I believe the problem of incorrectly paired executions occurs if/when the first execution found in the selected report date range is an exit. The entry may have occurred minutes, hours or even days prior... I don't see how millisecond resolution of execution timing has ANY bearing on that.
In my case, I got "sensible" trade reports on (at least) one instrument... by changing the report start date to a point where I was flat on GC or whatever it was. My point above is that fiddling the start date is NOT adequate to guarantee success, in a multi-instrument scenario.
If I am missing something - forgive me... but can you please explain why my suggested solution, ie, when assembling TRADES from executions, in a given period, one should ignore exit executions until you find an entry execution? It seems very logical to me...
Regards,
T.
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