Fix MOO slippage reference price - #9763
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Hi, just following up in case this got buried. The regression and compatibility tests are passing, and the latest commit is now signed/verified. Happy to address any review feedback. Thanks. |
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 QuantConnect#9753 Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01ELsDPabTSwU5kQF7f2ARTE
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
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
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Thanks @matvt-cell! Pushed a few tweaks avoiding interface changes and expanding it to other models
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Description
Fixes #9753.
Daily
MarketOnOpenfills use the bar'sOpenas the execution price, butConstantSlippageModelpreviously calculated percentage slippage from the latest data value. For a dailyTradeBar, that value is the same-dayClose, introducing look-ahead bias into the MOO fill price.This change:
ISlippageModeloverload that accepts an explicit reference priceConstantSlippageModelto calculate percentage slippage from that reference priceEquityFillModel.MarketOnOpenFillto pass the selected pre-slippage execution priceISlippageModelimplementations through the default interface implementationTests
Added a regression test covering both buy and sell daily MOO orders and verifying that changing only the fill-day
Closedoes not change the fill price.Verification:
EquityFillModelTests: 126 passedSlippageModelsTests: 7 passedISlippageModelimplementations passes