Problem seen. Because the filter is breaking down the data, the
ticks don't get filled in the platform. And the broker tries to use the best possible information to fill orders.
If your approach is to issue an order but have it expired at the end of the next trading day, I believe the best approach would be to set the right validity for the order, rather than try to experiment with replaying.
Setting a validity of
today + 24 hours would seem the most straightforward approach, but weekends and bank holidays would not be accounted for.
The best approach, imho, would be a trading calendar which says 2 things:
- Which days are not valid for trading
By asking the calendar, you would quickly know which one is the next valid trading day and you can set the order validity accordingly.