I'm fighting with a system "scalping like", a lot of trades are filled in/out on the same bar, so while backtesting executions I'm observing many trades are not possible because, in example on a 2 mins bar, the system do not know what happened during the bar formation.
Attached a snapshot of deals I'm lookig to develop in order to get a better backtest.
Thanks in advance for any suggestions,
Regards
marce
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