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.
Saturday October 29 2016 by