SetTradeStop() not executing?

[NinjaTrader_Ray]

In backtest there is no concept of time of day. Orders are evaulated on a bar by bar basis independant of what interval type and compression (period) the bar is.

So on bar X we have OHLCV and lets assume an entry condition is true and you submit a market order. On Bar X + 1, we determine if an order is filled and since it is a market order, it will be filled at the open price less any slippage.

[NinjaTrader_JoshP]

Then it would appear this lapse of intraday data is limiting my backtesting accuracy. Could I superimpose intraday data into my strategy to fill in the holes?

If conditions in the daily chart are favorable then check opening intraday data. If there are no drastic changes since previous day's close in the beginning of intraday activity then continue along with order entry.

From what you are saying it seems like this is not possible for backtesting. What about for real-time trading? This is rather critical if I am to use my strategy for automated trading.

[NinjaTrader_Ray]

Yes, you can check intraday data however, if your primary data is daily data, this will not help since your orders are generated off of daily data.

What you need to do is have your primary data based on an intraday time frame and access daily data as a secondary time frame.