Pairs Trading Execution Issue

[wallabee13]

I'm attempting a simple pairs trade strategy to enter two symbols the same day and exit the same day. I'm getting a few times where entry/exit happens different days and I'm not sure how. Please see code below and assist. Thanks.

if (Math.Abs(MyDivergencePrice(days,pctchange,symbol1,symbol2).difference[0]) > pctchange){
				qty1 = value / Closes[0][0];
				qty2 = value / Closes[1][0];
				lqty1 = Convert.ToInt32(qty1);
				lqty2 = Convert.ToInt32(qty2);
				if (Positions[0].MarketPosition == MarketPosition.Flat && Positions[1].MarketPosition == MarketPosition.Flat)	{
				if (MyDivergencePrice(days,pctchange,symbol1,symbol2).primary[0] < MyDivergencePrice(days,pctchange,symbol1,symbol2).secondary[0]){
					EnterLong(0,lqty1,"Long");
					EnterShort(1,lqty2,"Short");
				}
				else {
					EnterLong(1,lqty2,"Long");
					EnterShort(0,lqty1,"Short");
				}
				}
			}

Theoretically, running a backtest on a pair, SPY/QQQ should produce the same results as running QQQ/SPY, which it's not, so that's where I'm having trouble. I discovered that some entries are not happening on same day.

[NinjaTrader_ChelseaB]

Hello wallabee13,

Is this in real-time or historical?

Are the instruments using the same session template?

Have you enabled TraceOrders to ensure the orders are being submitted at the same time?
Have you added prints to OnOrderUpdate to see if the orders are reaching accepted / working / filled states?