There is no easy way to simulate this in back-testing as the back-tester currently works. I would suggest that when back-testing a strategy with Calculate set to OnPriceChange with Order Fill Resolution set to High that the OnBarUpdates get called with Partial Bars according to the Order fill resolution.
This would be a closer approximation to how NT8 operates when using real-time data with similar settings. This would also simplify the execution of OnClose orders for daily bars by a) having the same code for historical back-testing as live trading, b) not requiring a second dataseries to back-test these type of strategies, and c) not having to modify indicators to take into account partial bar calculations.
Comment