Strategy Desk Users' Group

[Tony G]

John that's about as close as you're going to get.

Backtesting only has data on 1-minute bars as OHLCV, nothing intra-bar. It cannot remember the bid/ask or level II at the time of your trigger, but if you've gotten it to agree within seconds then you are doing it correctly. Remember in live trading if you enter limit orders you may not get filled, and if you enter market orders you may have to pay up to get your whole position filled. That's the market.