To address discrepancies between backtesting and live trading with daily resolution, consider the following:

1. Order Fill Timing:

   • In backtesting, daily resolution fills, such as MarketOrder, occur at the close price on the same day at 16:00.
   • In live trading, after-hours market orders convert to Market On Open (MOO), potentially causing discrepancies if the market opens at a different price.

2. Use of Market On Close (MOC) Orders:

   • To align fills at market close in both backtesting and live trading, use Market On Close (MOC) orders, ensuring deterministic execution at the closing price.
   • Submit MOC orders shortly before market close to guarantee execution at the close price.

class MarketOnCloseAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2022, 10, 7)
        self.set_end_date(2022, 10, 11)
        self.set_cash(100000)
        # Subscribe to your equities
        self.equity = self.add_equity("SPY", Resolution.DAILY)
    def on_data(self, data):
        if not self.portfolio.invested:
            # Submit a Market On Close order at 10 shares
            self.market_on_close_order("SPY", 10)
    def on_order_event(self, order_event):
        order = self.transactions.get_order_by_id(order_event.order_id)
        self.log(f"Order event: {order.type}, {order_event}")
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1. Asynchronous Order Monitoring:

   • Implement on_order_event to handle order state changes in real-time, adapting your strategy based on executions.

2. Testing and Alignment:

   • Test the strategy in QuantConnect's backtesting and, if available, paper trading or live environments. Adjust to ensure consistent behavior across both scenarios.

Sources: Key Concepts - QuantConnect.com, Trading and Orders - QuantConnect.com, Data Preparation - QuantConnect.com, Opening Range Breakout for Stocks in Play, US Equities - QuantConnect.com