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Hi,
I have read that Daily Resolution just uses the close data. However, when I use the daily resolution in backtests, it seems to give different results for the same day.
Attached is an example where every day I buy a stock on 0935 and place a sell order after market hours to be executed on market open. The buy and sell orders on the same day execute at different prices, and it can't possibly be the bid-ask spread because the algo makes a slight profit.
Could someone kindly explain to me my misconception about how Daily Resolution works?.
Thank you.
Jing Wu
The sell order is scheduled at 16:15 when the market is closed. There is no price data for the symbol. "self.SetHoldings()" will convert the market order to the MakretOnOpen() order and the order will be executed when the market is open the next day. Therefore, the sell orders are executed at the daily open price on the next day.
Yujun Tang
Thank you for the clarification :)
Yujun Tang
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