Backtesting multiple data streams

["rascal" <rascal2@xxxxxxxxx>]

You have hit on one of the major deficiencies in TS's backtesting
capabilities, I believe.  I use a system that runs on two data streams (e.g.
5 minute and 1 minute).  TS is unable to backtest or optimize the system
because it tests the code for the 1 minute bar at the end of each 1 minute
period and the code for the 5 minute bar at the end of each 5 minute period.
Therefore, if my system signals a trade at 10:06:30, TS may not "see" it if
the signal is not there when the 1 minute code runs at 10:06 or 10:07 or the
5 minute code runs at 10:05 or 10:10.  This makes it impossible to backtest
or optimize the system as TS misses most of the signals that actually occur
when the system is run real-time.(Forgetting altogether the problem of
bouncing tics.)

I haven't been able to find a way around this problem, but would sure like
any suggestions.