Execution at end of day

[heech]

Hi there,

Here's something I see in my backtest results, and I'd like to know how to interpret it.

Background, I'm running with 60 minute bars.

At 4:30, the last bar shows up as: Open: 25.35, High: 26.18, Low: 24.71, Close: 25.12. My strategy does a EnterLong() at this point... and the backtest (running with default fill) shows it filling at 25.37.

How did it come up with the 25.37 number? Shouldn't the fill price be on the open of the *next* bar? In this case, that would actually be the following day... with prices gapping down substantially.

I'd like some input in terms of how to think about "real world" execution at EOD, with that last bar, when I start running this thing live... thanks.

[NinjaTrader_Ray]

If the signal occured on the close of the 4:30 bar, the fill would occur on the open price of the next bar less any slippage set at run time.