So is it possible with the BarReplayer_Open to create orders in between open and close?
Orders are created at the moment the open price is available and executed during the bar. You can also take a look on cheat-on-open feature, which allows order creation at open price. This gives less hassle compare to the bar replayer mentioned.
@hercp, at RTB 5sec level TWS api still deliver a OLHC bar.
But the TWS api implementation under 5 sec deliver price based on tick data. The IBStore (based on IBPy2) pull tickers with tick code= 233 for non "CASH" symbols, take a look into function def reqMktData() and IBData feed take this and calculate a price usinf function def _load_rtvolume():
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@ab_trader Hi ab_trader. I did submit it as timeframe=minute. On closed inspection, I noticed that it was submitting more sell requests before the last one was executed. I don't know how this lead to this specific behavior but after changing that, I don't think that it's an issue anymore.