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Petter Hansson
I think what happens when you use daily bars is that you get the OnData callback at the midnight after the bar is available, since it's midnight between Friday and Saturday for the Friday bar. The order is a market on open which means the trade will take place Monday morning at the opening price.
Overall, results with daily bars can be a bit surprising and I usually find it easier to work with hour or minute bars as the resolution of the asset - if I need daily I manually convert to daily bars from the higher resolution (Lean has built in support for this via bar consolidators).
Yuefeng kim
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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