Hi,

at the moment I am testing strategies for certain stock universes such as the SP500.

I use daily bars, signals occur at the close and I want to open the trade at the next bar's open.
I am able to this by setting Fill=3.

However, this has unintended consequences. I've restricted NumOpenTotal < 5;
This works when Fill is set to its default value but when I set Fill to DELAYED (in order to enter at the open) the more than 5 trades are opened.

Has anyone an idea what the reason for this is?