I tested limit orders using the following code. I set Fill=3, meaning the order is filled at the opening price of the next day. I used historical AAPL EOD data. I placed the order on 2025-1-16 with a limit price of Entry = -232.00. I expected the order to be filled at the opening price of 231.86 the next day (17th, as shown in the attached image), but it was actually filled at 231.85 on the 17th, which is 0.01 less than expected. I'm not sure why this is happening. I tested several other dates, and the result was consistently 0.01 less. Any idea?

Good question. The reason of the difference is simulating the most likely price move between triggering the trade and and filling the order. Since you have an entry limit, the price is supposed to move against the trade direction. This difference is rounded to the next point, which is 0.01 in case of stocks.

It is arguable whether this makes much sense, since the Slippage simulation should anyway cover it. It has historical reasons, we wanted to replicate the backtests of TradeStation. They are in this way adding or subtracting one point from the fill price. We will probably in a future version add a flag to enable or disable that effect.

This revision is highly necessary, as otherwise the outcome would be too optimistic.

In this case yes, in other cases it's pessimistic. But we'll add a flag for that.