Execution time

When does a modelled trade fill within a bar?

A backtest records, for every trade, whether it filled at the bar's Open, somewhere IntraBar, or at the Close, because that choice fixes which price the trade books at. Rebalance-driven trades are modelled to fill at the Open of the first trading day after the rebalance date, if the needed exchanges are open — so most fills carry an Open execution time. Because the calculation uses the close but execution is assumed at the next open, the booked price can differ from the level that triggered the trade.

Defaults in Fincanva

• Recorded per trade in the "Execution time" column of the Trade history table (Italian "Orario esecuzione"), next to the "Actual execution price".
• Rebalance trades are modelled to fill at the Open of the first trading day after the rebalance date.
• Stop-loss and take-profit exits do not wait for the next Open: they fill on the bar that reached the threshold, IntraBar at that level — or at the Open when the bar opens already past it, which is the case where the booked price overshoots the threshold.
• Open, IntraBar, and Close each map to a different bar price, so the execution time and the execution price move together.

Worked example

The same trade fills very differently depending on its execution time. Take a stock whose bar runs from an Open of 100 to a Close of 104. Filled at the Open, the trade books at 100; filled at the Close, it books at 104. The execution time is what decides which of the two prices the backtest records as the Actual execution price for that trade.