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Option to use Market On Close orders when subscribing to Daily Resolution

Open EmilioFreire opened this issue 3 years ago • 0 comments

Expected Behavior

We can choose between Market On Open orders and Market On Close orders when using Daily resolution.

Market On Open orders might be more realistic in general, but having the ability to immediately fill Market On Close orders is also a decent modeling alternative that would simplify many use cases. This feature would also be aligned with the typical daily data backtesting where the (big) assumption of filling at the close is normally made.

Actual Behavior

At the moment, we can only fill orders using Market On Open orders when subscribing to Daily resolution

Checklist

  • [x] I have completely filled out this template
  • [x] I have confirmed that this issue exists on the current master branch
  • [x] I have confirmed that this is not a duplicate issue by searching issues

EmilioFreire avatar Apr 29 '22 19:04 EmilioFreire