I backtested a stock selection strategy and checked the transactions using ZiplineBacktestResult. In my strategy, my portfolio is rebalanced everyday when the market opens using the following code.
algo.schedule_function( rebalance, algo.date_rules.every_day(), algo.time_rules.market_open(minutes=1), )
I set the slippage and commission to be 0 and I compared the execution prices with the daily open/unadjusted open prices obtained from usstock-1d and I found that they were inconsistent. I thought that if the slippage and commission are not taken into account, the execution price would be the same as the open prices since the orders are executed when the market opens. Did I miss some configurations? What could be the reason for this inconsistency and how can I fix it?