process_orders_on_close = true: a stop-limit entry placed at the bar close does not fill on that close #707

Summary

With process_orders_on_close = true, an entry order created on a bar's close with both limit and stop equal to that close does not fill on the same closing tick. It stays pending and fills on a later bar. Market, limit-only and stop-only entries created the same way fill on the closing tick, as documented.

With process_orders_on_close = false, all four fill on the next bar, so only the stop-limit case ignores the setting.

Versions

pineforge-engine v1.9.1 (fc0a2df), pineforge-codegen 1.9.1, Apple clang 17.0.0, macOS 15 arm64. Run on BTCUSDT 1h bars from 2024-01-01 to 2024-03-01 (1,441 bars), initial capital 1000, no commission or slippage, input timeframe = script timeframe = 1h.

Reproduction

//@version=6
strategy('repro', process_orders_on_close = true)
if bar_index % 50 == 0 and strategy.position_size == 0
    strategy.entry('Long', strategy.long, limit = close, stop = close)
if strategy.position_size > 0 and bar_index % 50 == 10
    strategy.close('Long')

Generated: strategy_entry(std::string("Long"), true, current_bar_.close, current_bar_.close, na<double>(), "", "", 0, -1);

27 trades. Every entry fills one bar after its order bar: the order created on bar 0 fills on bar 1, bar 50 on bar 51, bar 100 on bar 101. Two orders never fill before the next order bar. Bars of this series open at the previous close, so the delayed fill keeps the same price; when the next bar gaps away from the level, the order waits until the price comes back.

Control, limit = close only:

    strategy.entry('Long', strategy.long, limit = close)

Generated: strategy_entry(std::string("Long"), true, current_bar_.close, na<double>(), na<double>(), "", "", 0, -1);

29 trades, every entry fills on its order bar (bar 0, 50, 100, ...) at that bar's close. stop = close alone and a market entry give the same 29 trades on the order bars.

Expected

The entry fills on the order bar at its close, as in the control. With process_orders_on_close = true the broker emulator can fill orders created on a bar's close on that same closing tick (process_orders_on_close). On that tick the price equals both the stop and the limit level, so the stop triggers and the limit is marketable at the same price.

TradingView check (2026-11-02, BINANCE:BTCUSDT 1h, Deep Backtesting 2024-01-01 to 2024-03-01): the stop-limit entry and the limit-only control give the same 29 trades with the same entry times and prices, 50 bars apart (for example 2024-01-02 02:00 UTC at 45378.96 in both runs), so TradingView fills the stop-limit entry where it fills the limit-only one.

Workaround

When stop and limit are the same price, pass only limit (or only stop). We have not tested a workaround for a stop-limit entry with two different prices.