@alexander-lifanov said in Limit order execution on high price on the next bar:

Where have I mistake ?

In your understanding about when orders execute (in backtrader and in real-life). Please read: Docs - Order Management and Execution

@alexander-lifanov said in Limit order execution on high price on the next bar:

2018-10-01T13:15:00, Open: 0.00003940. High: 0.00003965. Low: 0.00003918. Close: 0.00003920 2018-10-01T13:15:00, Buy. Price: 0.00003920. Limit: 0.00003936. Stop: 0.00003904

You create an order at 13:15, which can first be executed with the next bar
@alexander-lifanov said in Limit order execution on high price on the next bar:

2018-10-01T13:20:00, Open: 0.00003933. High: 0.00003941. Low: 0.00003915. Close: 0.00003923

The next set of prices ...

@alexander-lifanov said in Limit order execution on high price on the next bar:

2018-10-01T13:25:00, Open: 0.00003925. High: 0.00003927. Low: 0.00003910. Close: 0.00003911

Cannot match your Limit sell order because the price for it is 0.00003936 which is higher than the high

Just follow the logic and understand when and why your order executes.