The reason I ask, is that this would be a great solution for getting end-of-day executions without having to add a second data series.
For example:
If I set the primary dataseries to the ES ##-## daily bars (405 min) using the RTH Session and then backtest using high order fill resolution of 1 minute but using the ETH session I would get the approximate fill of the close without having to add the complexity of adding an additional dataseries.
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