Thats difficult to backtest/ program because previous day's liquidity doesnt usually reflect the current days. So I could say only trade stocks that did x yesterday at x volume but the next day that stock's volume could be 1/10th of the previous day's.
Given how tiny the company is (10m in market cap), the normal trading volume (just 60K shares a day), its huge 52-week range (1.50 - 19.75), and the actual move today (45%), I would say your fill is not unreasonable for a market order at the open. You realise this stock could easily be cornered by a single institution?)
See the pre-market trades. No volume to support 3.56 you saw at 3500 shares. Quickly went back to prior close at the open
It's been a while since I've concerned myself with such matters, but as I recall, there is no necessary relationship between the two. If the spread is wide, and one large order or many small orders are willing to buy/sell at that spread, there is no requirement that the spread narrow. I believe trading indices instead of the underlyings helps to counteract the type of problem you're having...and other 'problems' too.
DUDE! ...u need the ability to plot 24 hour charts. If u could see what I'm looking at u would understand u have no idea what happened premarket. What's been described by others in this thread is the tip of the iceburg. No I am not going to post the chart but it's a simple switch that changes the session parameters. Without it even a tick based chart will still revert to regular session. U should know all this and be on top of it. U need to rewrite your strategy to use something more tangible than the open price. I don't care that you've backtested it with the open and that's what works. There are ways to get around the way you wrote your silly strategy and u need to get a handle on that because u can't trade thin symbols blindly like you're doing now. btw, you better be flat before it does something beyond your wildest expectations. U have no idea what you are messing around with being short at this price.
Im looking at a chart currently with premarket, care to enlighten me on what exactly you are referring to? Ive been researching, tweaking,and educating myself for the last 6 hours, so if you have something to contribute come out and say it. You're strategy is silly, there are ways around what you are doing... If you could see what I see.... Its a simple switch that changes session parameters.... WTF....why did you even post? And no Im not in the trade, like Ive said 10x now, in at the open and out at the close.
Another 6 hours and u should b on top of everything. If not just call your broker again and get the rundown of what's really happening.
I imagine you are a regular poster over on stocktwits with your unmistakable charm. Did you join this site just to try to compare sizes with everyone? You still havent said anything of any significance....
Are u looking at a 1 tic chart with trade volume plotted benath each trade? Do u see trades totaling 3500 shares occuring at the price u were filled at? Do u see the volume on the trades at 3.59 which is the price u were fixated on prior to entering your order? Do u see the 25 shares at 3.30? Was that dip necessary to fill part of a larger order? If u can't figure out how to remedy the problems I brought to your attn then u shouldn't be trading. U described your problem as trading thin stocks at the open. I gave u the solution. Don't base your strategy on the open price because it's absurd to do so.