I have developed a strategy by trading open price. However, how should I make order in practice to make the return of my strategy as close as in backtest? There are some ways I can think of:
1) Send limit order with limit price in call auction period before market open. This way seems to able to get the open price but I think if the amount is big, it will be not applicable.
2) Send market order in a few minutes after market open. Then hope most of the positive and negative fluctuations can cancel each other, then we can get the open price in average in the long term. But how can I estimate this effect in my backtest?
3) The combination of the above two.
So what's the common method in practice?
Thank you.