Currently there are more types of Historical fill processing on High resolution:
- Minute
- Second
- Tick
I would say, that most interesting bar type for efficient simulation of right fills is Range bar, because it price-based and provides almost ideal precision if used with some smaller value.
But this most useful type for simulation of order-fills is missing.
Using Tick-bars or Second bars is far more less useful, because these bars are not price-based and many same bars can be processed without change of the price, or when very volatile market -> then Second bar can be also too big for detection of right fill.
I would suggest to add there type Range bar type, because that is where the most value is for most correct simulation of order fills.
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