I have this issue when I'm testing my strategies in realtime where my orders get filled outside of bar data.
Here's a picture of a short exit that was executed at the open of the market.
For reference, my exit condition is met when the price goes below that bottom blue line.
I am also currently receiving my realtime data from IBKR, but I was previously using Kinetick and still experiencing this.
This problem generally only occurs during the start of the day, due to the large amount of slippage experienced.
If I were to restart this strategy, the historical trades wouldn't add up. If the market closes without moving below the blue line's peak today, my strategy would fall out of sync.
Two questions:
a) If I'm able to buy a round lot at that price, how come it's not a part of the bar data?
b) How do I enforce the execution of orders strictly within market data?
Here's the execution details just in case:
CHKP | Buy | 100 | 118.61 | 2021-04-20 9:30:01 AM | CHKP/000100df.607e930b.01.01 | Entry | 100 L | 1676749648 | SX | $0.00 | 1 | U******* | My Interactive Brokers |
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