I am using CMS automated trading systems, and one issue I have is that after a buy or sell signal is generated, the order is filled at the end of the price bar instead of when the signal is generated. Since the fills are at the end of the price bar, I have experienced numerous fills of 20 to 40 pips higher than where the actual signal is generated. Are other trading systems structured the same way, or can they be programmed to fill the order exactly when the signal is generated? If so, any recommendations appreciated.