Fix MOO slippage reference price (#9763)

* Fix MOO slippage reference price

* Reference the bar open for market on open slippage

Market on open orders fill at the bar open, but the slippage models scaled
the slippage by the last data value, which for a bar is its close. With daily
data that leaks the fill-day close into the fill price.

Fix it inside the slippage models instead of extending ISlippageModel: when
the order is a MarketOnOpenOrder and the last data is a bar, the models use
its open as the reference price. Ticks keep using the price. Applies to the
constant, volume share (C# and Python), alpha streams and market impact
models, and to every fill model path since they all call the same method.

Drops the interface overload and fill model changes and extends the tests to
cover all models, data types, resolutions and the Python port.

Fixes #9753

Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01ELsDPabTSwU5kQF7f2ARTE

* Add market on open slippage regression algorithm

Daily SPY with a constant slippage model, alternating market on open buys and
sells, asserting every fill is the bar open plus or minus slippage on that
same open. Fails without the slippage model fix for GH 9753.

Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01ELsDPabTSwU5kQF7f2ARTE

* Update market impact slippage regression statistics

The algorithm submits market orders on daily data while the exchange is
closed, so they become market on open orders and their slippage is now
referenced to the bar open.

Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01ELsDPabTSwU5kQF7f2ARTE

---------

Co-authored-by: matvt-cell <282639098+matvt-cell@users.noreply.github.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Co-authored-by: Claude Fable 5.1 <noreply@anthropic.com>

Author: 3 people

Algorithm.CSharp/MarketImpactSlippageModelRegressionAlgorithm.cs

@@ -95,31 +95,31 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Total Orders", "9"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.04%"},
-            {"Compounding Annual Return", "-93.847%"},
-            {"Drawdown", "4.200%"},
+            {"Compounding Annual Return", "-94.178%"},
+            {"Drawdown", "4.300%"},
             {"Expectancy", "-1"},
             {"Start Equity", "10000000"},
-            {"End Equity", "9649801.20"},
-            {"Net Profit", "-3.502%"},
-            {"Sharpe Ratio", "-2.93"},
-            {"Sortino Ratio", "-2.869"},
-            {"Probabilistic Sharpe Ratio", "7.243%"},
+            {"End Equity", "9642964.36"},
+            {"Net Profit", "-3.570%"},
+            {"Sharpe Ratio", "-2.896"},
+            {"Sortino Ratio", "-2.829"},
+            {"Probabilistic Sharpe Ratio", "7.047%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-3.355"},
-            {"Beta", "1.244"},
-            {"Annual Standard Deviation", "0.306"},
-            {"Annual Variance", "0.094"},
-            {"Information Ratio", "-20.203"},
-            {"Tracking Error", "0.142"},
-            {"Treynor Ratio", "-0.722"},
-            {"Total Fees", "$1859.00"},
+            {"Alpha", "-3.395"},
+            {"Beta", "1.262"},
+            {"Annual Standard Deviation", "0.312"},
+            {"Annual Variance", "0.097"},
+            {"Information Ratio", "-19.58"},
+            {"Tracking Error", "0.147"},
+            {"Treynor Ratio", "-0.715"},
+            {"Total Fees", "$1860.21"},
             {"Estimated Strategy Capacity", "$470000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "21.04%"},
+            {"Portfolio Turnover", "21.06%"},
             {"Drawdown Recovery", "0"},
-            {"OrderListHash", "fc0626f660981cb698f6a9a5d5d1389a"}
+            {"OrderListHash", "6a2a541fbde8de8454e9ae3a20d1ed69"}
         };
     }
 }

Algorithm.CSharp/MarketOnOpenOrderSlippageRegressionAlgorithm.cs

@@ -0,0 +1,150 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Orders.Slippage;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that market on open orders using daily data are filled at the bar open
+    /// with the slippage referenced to that same open price, not to the bar close which is not known at the open.
+    /// See GH issue 9753
+    /// </summary>
+    public class MarketOnOpenOrderSlippageRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private const decimal SlippagePercent = 0.01m;
+        private Symbol _symbol;
+        private int _fills;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+            SetCash(100000);
+
+            var security = AddEquity("SPY", Resolution.Daily);
+            security.SetSlippageModel(new ConstantSlippageModel(SlippagePercent));
+            _symbol = security.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!slice.Bars.ContainsKey(_symbol) || Transactions.GetOpenOrders(_symbol).Count > 0)
+            {
+                return;
+            }
+
+            // alternate buys and sells so both directions are checked
+            MarketOnOpenOrder(_symbol, Portfolio[_symbol].Invested ? -100 : 100);
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status != OrderStatus.Filled)
+            {
+                return;
+            }
+
+            // the fill happens when the daily bar arrives, so this is the bar the order was filled with
+            var bar = Securities[_symbol].Cache.GetData<TradeBar>();
+            if (bar.Open == bar.Close)
+            {
+                throw new RegressionTestException($"Expected the fill bar open and close to differ so the slippage reference can be asserted: {bar}");
+            }
+
+            var slippage = bar.Open * SlippagePercent;
+            var expectedFillPrice = orderEvent.Direction == OrderDirection.Buy ? bar.Open + slippage : bar.Open - slippage;
+            if (orderEvent.FillPrice != expectedFillPrice)
+            {
+                throw new RegressionTestException($"Expected {orderEvent.Direction} fill price {expectedFillPrice} (open {bar.Open} +/- {SlippagePercent:P} slippage) but was {orderEvent.FillPrice}. Bar: {bar}");
+            }
+
+            _fills++;
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_fills < 2)
+            {
+                throw new RegressionTestException($"Expected at least a buy and a sell fill but got {_fills}");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 48;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "5"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.29%"},
+            {"Compounding Annual Return", "-36.910%"},
+            {"Drawdown", "0.600%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99412.82"},
+            {"Net Profit", "-0.587%"},
+            {"Sharpe Ratio", "-14.31"},
+            {"Sortino Ratio", "-19.441"},
+            {"Probabilistic Sharpe Ratio", "1.568%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.502"},
+            {"Beta", "0.093"},
+            {"Annual Standard Deviation", "0.022"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-11.354"},
+            {"Tracking Error", "0.202"},
+            {"Treynor Ratio", "-3.402"},
+            {"Total Fees", "$4.00"},
+            {"Estimated Strategy Capacity", "$1300000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "11.63%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "4bbdfd7aaf0f2e4fa6cc9226fbf3d9e8"}
+        };
+    }
+}

Common/Orders/Slippage/AlphaStreamsSlippageModel.cs

@@ -13,6 +13,7 @@
  * limitations under the License.
 */
 
+using QuantConnect.Data.Market;
 using QuantConnect.Securities;
 using System.Collections.Generic;
 
@@ -40,7 +41,13 @@ public decimal GetSlippageApproximation(Security asset, Order order)
                 return 0;
             }
 
-            return _slippagePercent * asset.GetLastData()?.Value ?? 0;
+            var lastData = asset.GetLastData();
+            if (lastData == null) return 0;
+
+            // Market on open orders fill at the bar open, which is the price we have to reference, not the bar close
+            var referencePrice = order.Type == OrderType.MarketOnOpen && lastData is IBar bar ? bar.Open : lastData.Value;
+
+            return _slippagePercent * referencePrice;
         }
     }
 }

Common/Orders/Slippage/ConstantSlippageModel.cs

@@ -14,6 +14,7 @@
 */
 
 using QuantConnect.Data;
+using QuantConnect.Data.Market;
 using QuantConnect.Securities;
 
 namespace QuantConnect.Orders.Slippage
@@ -41,7 +42,10 @@ public decimal GetSlippageApproximation(Security asset, Order order)
             var lastData = asset.GetLastData();
             if (lastData == null) return 0;
 
-            return lastData.Value*_slippagePercent;
+            // Market on open orders fill at the bar open, which is the price we have to reference, not the bar close
+            var referencePrice = order.Type == OrderType.MarketOnOpen && lastData is IBar bar ? bar.Open : lastData.Value;
+
+            return referencePrice * _slippagePercent;
         }
     }
 }

Common/Orders/Slippage/MarketImpactSlippageModel.cs

@@ -127,8 +127,11 @@ public decimal GetSlippageApproximation(Security asset, Order order)
             // realized market impact
             var realizedImpact = temporaryImpact + permanentImpact * 0.5d;
 
+            // Market on open orders fill at the bar open, which is the price we have to reference, not the bar close
+            var referencePrice = order.Type == OrderType.MarketOnOpen && asset.GetLastData() is IBar bar ? bar.Open : asset.Price;
+
             // estimate the slippage by temporary impact
-            return SlippageFromImpactEstimation(realizedImpact) * asset.Price;
+            return SlippageFromImpactEstimation(realizedImpact) * referencePrice;
         }
 
         /// <summary>

Common/Orders/Slippage/VolumeShareSlippageModel.cs

@@ -86,7 +86,10 @@ public decimal GetSlippageApproximation(Security asset, Order order)
                 slippagePercent = volumeShare * volumeShare * _priceImpact;
             }
 
-            return slippagePercent * lastData.Value;
+            // Market on open orders fill at the bar open, which is the price we have to reference, not the bar close
+            var referencePrice = order.Type == OrderType.MarketOnOpen ? ((IBar)lastData).Open : lastData.Value;
+
+            return slippagePercent * referencePrice;
         }
     }
 }

Common/Orders/Slippage/VolumeShareSlippageModel.py

@@ -58,4 +58,7 @@ def get_slippage_approximation(self, asset: Security, order: Order) -> float:
 
             slippage_percent = volume_share * volume_share * self.price_impact
 
-        return slippage_percent * last_data.Value;
+        # Market on open orders fill at the bar open, which is the price we have to reference, not the bar close
+        reference_price = last_data.open if order.type == OrderType.MARKET_ON_OPEN else last_data.value
+
+        return slippage_percent * reference_price

Tests/Common/Orders/Fills/EquityFillModelTests.cs

@@ -22,6 +22,7 @@
 using QuantConnect.Indicators;
 using QuantConnect.Orders;
 using QuantConnect.Orders.Fills;
+using QuantConnect.Orders.Slippage;
 using QuantConnect.Securities;
 using QuantConnect.Securities.Forex;
 using QuantConnect.Tests.Common.Data;
@@ -446,6 +447,75 @@ public void PerformsMarketOnOpenUsingOpenPriceWithMinuteSubscription(int quantit
             Assert.AreEqual(expected, fill.FillPrice);
         }
 
+        // The slippage is referenced to the bar open, so the fill price does not depend on the bar close
+        [TestCase(-100, 103.896, Resolution.Daily)]
+        [TestCase(100, 104.104, Resolution.Daily)]
+        [TestCase(-100, 103.896, Resolution.Hour)]
+        [TestCase(100, 104.104, Resolution.Hour)]
+        [TestCase(-100, 103.896, Resolution.Minute)]
+        [TestCase(100, 104.104, Resolution.Minute)]
+        public void PerformsMarketOnOpenUsingOpenPriceForConstantSlippage(int quantity, decimal expected, Resolution resolution)
+        {
+            const decimal open = 104m;
+            const decimal baselineClose = 105m;
+            const decimal mutatedClose = 103.5m;
+            const decimal slippagePercent = 0.001m;
+
+            var reference = new DateTime(2015, 06, 05, 12, 0, 0);
+            var config = CreateTradeBarConfig(Symbols.SPY, resolution);
+
+            var baselineEquity = CreateEquity(config);
+            var mutatedEquity = CreateEquity(config);
+
+            baselineEquity.SetSlippageModel(new ConstantSlippageModel(slippagePercent));
+            mutatedEquity.SetSlippageModel(new ConstantSlippageModel(slippagePercent));
+
+            var time = baselineEquity.Exchange.Hours.GetNextMarketOpen(reference, false);
+            TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
+
+            var period = resolution.ToTimeSpan();
+            TradeBar GetTradeBar(decimal close) => new TradeBar(
+                time.RoundDown(period),
+                Symbols.SPY,
+                open,
+                106m,
+                100m,
+                close,
+                100,
+                period);
+
+            baselineEquity.SetMarketPrice(GetTradeBar(baselineClose));
+            mutatedEquity.SetMarketPrice(GetTradeBar(mutatedClose));
+
+            var baselineOrder = new MarketOnOpenOrder(Symbols.SPY, quantity, reference);
+            var mutatedOrder = new MarketOnOpenOrder(Symbols.SPY, quantity, reference);
+
+            var configProvider = new MockSubscriptionDataConfigProvider(config);
+
+            var baselineFill = ((EquityFillModel)baselineEquity.FillModel)
+                .Fill(new FillModelParameters(
+                    baselineEquity,
+                    baselineOrder,
+                    configProvider,
+                    Time.OneHour,
+                    null))
+                .Single();
+
+            var mutatedFill = ((EquityFillModel)mutatedEquity.FillModel)
+                .Fill(new FillModelParameters(
+                    mutatedEquity,
+                    mutatedOrder,
+                    configProvider,
+                    Time.OneHour,
+                    null))
+                .Single();
+
+            Assert.AreEqual(quantity, baselineFill.FillQuantity);
+            Assert.AreEqual(quantity, mutatedFill.FillQuantity);
+            Assert.AreEqual(expected, baselineFill.FillPrice);
+            Assert.AreEqual(baselineFill.FillPrice, mutatedFill.FillPrice);
+        }
+
         [TestCase(-100)]
         [TestCase(100)]
         public void PerformsMarketOnOpenUsingOpenPriceWithDailySubscription(int quantity)

Tests/Common/Orders/Slippage/MarketImpactSlippageModelTest.cs

@@ -162,6 +162,23 @@ public void SlippageExpectationTests(decimal orderQuantity, int index, double ex
             Assert.AreEqual(expected, (double)slippage, 0.005d);
         }
 
+        // Market on open orders fill at the bar open, so the slippage is referenced to it instead of the close
+        [TestCase(10000)]
+        [TestCase(-10000)]
+        public void MarketOnOpenOrdersReferenceTheOpenPrice(decimal orderQuantity)
+        {
+            var asset = _securities[0];
+            asset.SetMarketPrice(new TradeBar(_algorithm.Time, asset.Symbol, 90m, 110m, 80m, 100m, 1));
+            var time = new DateTime(2015, 6, 10, 14, 00, 0);
+
+            // fresh models so both use the same noise sequence
+            var marketSlippage = new MarketImpactSlippageModel(_algorithm).GetSlippageApproximation(asset, new MarketOrder(asset.Symbol, orderQuantity, time));
+            var marketOnOpenSlippage = new MarketImpactSlippageModel(_algorithm).GetSlippageApproximation(asset, new MarketOnOpenOrder(asset.Symbol, orderQuantity, time));
+
+            Assert.AreEqual(0.5075d, (double)marketSlippage, 0.005d);
+            Assert.AreEqual((double)marketSlippage * 0.9d, (double)marketOnOpenSlippage, 0.0001d);
+        }
+
         // Test on buy & sell orders
         [TestCase(1)]
         [TestCase(-1)]