Opening and closing market prices in paper trading

On January 23 NBHC closed at 42.81. On my paper trading account, I put a market buy order for the closing auction, for three shares. It got filled at 42.86, that is 5 cents above the market price.

I understand that some stocks are not very liquid and thus even a small order will affect the price much. However, the daily volume for NBHC was 471,400. As far as I know, the closing auction accounts for about 10% of the daily volume. That should be 47k shares traded. Somebody please explain to me how three shares get bought at 5 cents above the market price. The stock is not soaring either, it opened lower on the following day.

@donkey_kong In paper trading all market orders are ‘filled’ at the current quote. Buy orders are filled at the “ask” price while Sell orders fill at ‘bid’ price. This is generally how regular market orders would fill in live trading and paper trading simulates that very well. However, paper trading doesn’t differentiate Market On Open (MOO) and Market On Close (MOC) orders. Those orders do not generally fill at the quote in live trading and paper trading doesn’t simulate those types of orders well (as noted). That is just a limitation of paper trading.

Thank you for the explanation @Dan_Whitnable_Alpaca. I would think that the most straightforward way to simulate MOO and MOC orders would be to use the open and close prices. Since paper trading doesn’t do that, I figured it does something more advanced, or closer to live trading. From what you said, I gather it doesn’t. Wouldn’t it be better to use the open/close prices then? Or is using quotes still better than that?

By the way, when do the quotes used for MOO & MOC come from - just before close (or after hours?) and just after open?