Stop-loss order executed at a higher price than the market price

[dlwocks31]

Expected Behavior

Consider a stop-loss order placed at a stop-loss price p. When the opening price is way below the stop-loss price p, I would expect the stop-loss order to be executed at the opening price.

Actual Behavior

The stop-loss order is executed at the stop-loss price p, which is way higher than the opening price.

Steps to Reproduce

import pandas as pd
from backtesting import Strategy, Backtest

data = {
    'Open': [100, 100, 100, 50, 50],
    'High': [100, 100, 100, 50, 50],
    'Low': [100, 100, 100, 50, 50],
    'Close': [100, 100, 100, 50, 50],
}
dataframe = pd.DataFrame(data=data)

class BaseStrategy(Strategy):
    def init(self):
        pass
    def next(self):
        if self.data.Close[-1] == 100:
            self.buy(size=1, sl=90)
    
bt = Backtest(dataframe, BaseStrategy, cash=100, trade_on_close=True)
opt = bt.run()
bt.plot()
opt._trades['ExitPrice'][0] # Expected: 50, Actual: 90

Additional info

• When the trade_on_close option is False, the code works as expected.
• Backtesting version: 0.3.2

[thanassisKalv]

Not sure if there is active maintenance of the library, but this trade_on_close bug was really annoying and found no other place that's mentioned.
Just in case anyone has solved that properly or still searching about it, I write below my dirty patch.
After checking, my backtesting results seem normal now in terms of filling price for the SL orders.
On the other hand, I am competely ignorant if these extra lines could cause any harmful side effect, so it would be nice if someone that checks that can tell her/his opinion.

class _Broker:
...
    def _process_orders(self):
        data = self._data
        open, high, low = data.Open[-1], data.High[-1], data.Low[-1]
        prev_close = data.Close[-2]
...
            else:
                # Market-if-touched / market order
                price = prev_close if self._trade_on_close else open
                price = (max(price, stop_price or -np.inf)
                         if order.is_long else
                         min(price, stop_price or np.inf))
                ########################### [fix] use Open price ###############################
                if order.parent_trade and self._trade_on_close and stop_price:
                    if order.parent_trade.is_long and order.is_short:
                        if open < stop_price:
                            price = open
                    if order.parent_trade.is_short and order.is_long:
                        if open > stop_price:
                            price = open