I have the ExitOnClose set to true but the backtestng is ignoring this command
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Unfortunately there would not be a supported workaround for that. Some members though have looked into changing the filltype to change the price logged in backtesting, perhaps something for you to look into as well - http://www.ninjatrader.com/support/f...892#post301892
Preferred would be though simulating via intraday data then.
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