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Unrealistic execution price

Posted By suneg Last Year
Posted Saturday October 29 2016

I'm experiencing that my orders are getting filled at what seems like completely unrealistic prices during simulation. Take a look at the following position in Facebook.

The simulation results show that it was opened on 2013-07-31 at $36.33 and closed 2013-11-13 at $46.23
The problem is, that when I examine the data bars, I can see that $36.33 was not the opening price on the July 31th 2013. It was instead the Low of the day, thus giving me a huge (but unrealistic) advantage.

To my knowledge I should get the Open price when I place a market order in the NewBar() function (and use 1D frequency). I'm currently using the free Yahoo End-of-day data.

What could be causing this? I get a bit nervous about to what extent I can trust my results when I see this.
The closing price of $46.23 matches the Open of the day that the position was closed.

facebook_position.png (73 views, 6.00 KB)
unrealistic_buy_price.png (68 views, 3.00 KB)
correct_sell_price.png (70 views, 3.00 KB)

Edited: Saturday October 29 2016 by suneg

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