I run a backtest on EOD data. In NT the execution price for market order are the next open, and for intraday data it makes a lot of sense, but for my test of EOD I want to get the statistic for the EOD filling.
I looked at the 2 Fill classes DefaultFill and LiberalFill and both use NextOpen for the fill price. I didn't see any represntive to the current price, can I use Close[0] to get the current price? If not how can I change it to do fill on current price?
TX in advance!
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