Trading gaps, need a market-on-open for backtesting

[adamus]

I want to write a strategy to backtest a theory that I can make money trading gaps.

I can't work out how best to implement this.

My first attempt was no good because the order is executed on the second bar after the gap is formed, whereas I want to enter at the market as soon as the Open[0] of the first bar arrives.

I realise i can do this in real-time with CalculateOnBarClose = false, but this doesn't work in backtesting.

The closest I can get is to use 1 minute bars but then I see I miss a considerable number of ticks.

Can I place a conditional Market-on-Open i.e. with a stop? I figure this would move into the realm of Unmanaged Orders, as long as I can backtest it.

Can't find anything in the Help or the forum messages.

Thanks.