About market order execution price error

Hi,

I found that under the MC engine of SQ, the execution price of buy/sell next bar at market entry has an error, which is inconsistent with the opening price of the entry bar. The strange thing is that there is a certain probability of occurrence, sometimes correct, sometimes error. The error is several yuan. Backtesting is no problem in MC. In order to facilitate inspection, comparison and calculation, I set spread=0, slippage=0, commission=0.This problem is easy to reproduce
Attachments
2021-07-05 33346.png
(2.47 MiB)
Strategy 1580.sqx
(48.61 KiB)
2021-07-05 33526.png
(3.28 MiB)
2021-07-05 33311.png
(3.34 MiB)
  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

b
#1

binhsir

05.07.2021 09:46

Task created

E
#2

Emmanuel

11.11.2022 15:43
Voted for this task.
b
#3

binhsir

02.12.2022 13:25
Voted for this task.

Votes: +2

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