jcl,

Can there be a fill mode which is more conservative than Fill = 3?

For Fill=3: "With daily bars, this mode simulates order entry at the open price of the next day."

The extra-delay fill description: "With daily bars, this mode simulates order entry at the close price of the next day."

You can simulate this by delaying your trade signal by 1 day. But out of curiosity, for what purpose do you need that?

Pessimism.

Also, if I’m using daily data for different international futures markets, the opens occur at different times, so the best assumption is that the fill is extra late.