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You might want to do a sensitivity test to see what happens to your system if you do not get the "OPEN".
First run the cases where the High is greater than the Open, and you fill at some possible price within that range, and then run the cases where the Low is lower than the Open and you get that price. Here is an example of the code. This is not "peeking", it is allowing the price to wander up or down, and you are getting filled at some % away from the Open. I used to think that fills could be both over and under the "Open" by a few cents and over the long run, it should average out to the backtested results. Obviously this depends on what your system is, but this is what I get with my "Buy on a pullback" system. If you get fills more than a few tenths of a percent away from the Open, even if they are on either side, your system can drop like a stone. Yes there is a magic zone where if you could always buy at the nanosecond the stock trades a few cents over the Open you make even more money- BUT you can not let your order be "seen" or of course it will fill and then the price will drop back a few cents. You have to let the market wander up and then jump in. Better to just try for "Open" and see that your system makes money even if you miss the Open.
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Monty
Buy = Ref(allgood,-1)
AND O/L>=Varopendrop;
BuyPrice = O/Varopendrop;
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