A lot of the tools/libraries out there seem to focus on close to close time series analysis. This is all fine but I typically do not trade close to close, I will use limit or stop orders that may or may not get filled.
So for example if I get a buy signal at time t, I would place a buy limit for time t+1 at the level suggested by my model.
I was wondering if there was an existing library or package out there that I could use for backtesting such a system. Ideally, it could handle signals based off a daily series, but move through using hourly bars so I can test different intraday trade management strategies as well. It would also be good if I could put OCO bracket orders for profit/loss stops.
I am using R at the moment but can use whatever has what I am after.