In zipline, using daily bar, the market order executes at next day's close price.
I want it executes at next bar's open price.
There is a man who developed a patch OHLVolumeSlippage to achieve this.
I tried it in quantrocket, but didn't work, orders still execute at next bar's close.
I May made mistakes. So, @ Brian, could you see this patch, and make it work?
On-the-open orders are planned for a future release but aren't natively supported yet.