Low - 100
High - 110
Close -110
If you have a EnterShortLimit order at 110 that upon execution via the on execution method triggers a ExitLongLimit order at 105, will backtesting show this as a filled??even though we cannot determine if in fact the subsequent order would have been filled in during that particular bar as we don't know if the market retraces during the period to the lower level.
If this is the case, how can you get around this? I assume that the only solution would be to go down to tick data
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