Per my slide below, as tick #6 comes in this is the event that closes the now previous 5 tick bar. We call OnBarUpdate and then OnMarketData in that order as tick #6 comes in. So OnBarUpdate runs on CurrentBar pointer is incremented to next bar and OnMarketData current bar will be correctly updated as OnMarketData runs for that Tick #6 since it truly belongs to the next bar.
I will consider adding something to OnMarketData stating this.
-Brett
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