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Hey team
Great to see the QC product continuing to improve this year with L1 equity data and the open-close auction prices available for research and backtesting now. I'm noticing that market on open orders are still executing at the bid/ask price however e.g. sell market on open order for the below ticker is filled in backtest at $16.630779932 which seems to be the bidopen value of the bar at 9:31. Is this expected behavior, as I would've assumed the open value of the bar should be the official open?
I note there are a few threads and github issues about this so is this still a fill/execution modelling issue, not a data issue? If so how do we work around this in the meantime?
https://www.quantconnect.com/forum/discussion/8705/market-on-close-fill-price/p1https://github.com/QuantConnect/Lean/issues/4567 askclose askhigh asklow \
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 16.945829 17.213144 16.936282
2018-07-06 09:32:00 16.936282 16.945829 16.936282
2018-07-06 09:33:00 16.936282 16.936282 16.936282
2018-07-06 09:34:00 16.926735 16.936282 16.926735
2018-07-06 09:35:00 16.917188 16.926735 16.917188
askopen asksize bidclose \
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 17.213144 200.0 16.802625
2018-07-06 09:32:00 16.945829 400.0 16.850360
2018-07-06 09:33:00 16.936282 400.0 16.850360
2018-07-06 09:34:00 16.936282 200.0 16.850360
2018-07-06 09:35:00 16.926735 100.0 16.850360
bidhigh bidlow bidopen \
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 16.821719 16.630780 16.630780
2018-07-06 09:32:00 16.850360 16.802625 16.802625
2018-07-06 09:33:00 16.850360 16.850360 16.850360
2018-07-06 09:34:00 16.850360 16.850360 16.850360
2018-07-06 09:35:00 16.850360 16.850360 16.850360
bidsize close high \
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 2400.0 16.783531 16.993564
2018-07-06 09:32:00 200.0 16.783531 16.993564
2018-07-06 09:33:00 200.0 16.783531 16.993564
2018-07-06 09:34:00 200.0 16.783531 16.993564
2018-07-06 09:35:00 200.0 16.850360 16.850360
low open volume
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 16.783531 16.993564 6015.0
2018-07-06 09:32:00 16.783531 16.993564 0.0
2018-07-06 09:33:00 16.783531 16.993564 0.0
2018-07-06 09:34:00 16.783531 16.993564 0.0
2018-07-06 09:35:00 16.850360 16.850360 120.0 
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