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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.
--
Monty
Buy = Ref(allgood,-1)AND O/L>=Varopendrop; BuyPrice = O/Varopendrop; 
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profit-Open.gif
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