I've been struggling to figure out the best way to code strategies that enter on the close. I've tried all the prescribed methods and they each have their drawbacks.
I have one more idea to throw out there. How about adding the flexibility to define the trading hour template when using the high order fill processing. That way the user can define the main data series being a daily bar using the RTH trading hours and the high fill processing of the ETH session. You would then be able to calculate your signals and orders based on the RTH session bars but get executions based on the ETH session.
This would allow you run and backtest strategies that enter on the close without the need for adding a second data series (and all the restrictions that come with it).
I have one more idea to throw out there. How about adding the flexibility to define the trading hour template when using the high order fill processing. That way the user can define the main data series being a daily bar using the RTH trading hours and the high fill processing of the ETH session. You would then be able to calculate your signals and orders based on the RTH session bars but get executions based on the ETH session.
This would allow you run and backtest strategies that enter on the close without the need for adding a second data series (and all the restrictions that come with it).
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