say I have a consolidated 5 minutes bar (or any other time frame) and these data are passed to OnData(Slice), does that mean that all the data for these five minutes are instantly available or are they passed in tick by tick and thus simulatng the live markets? In the real world you obviously don't have all the information for the next five minutes at your hand, your bar opens, it migh start going in the other direction and then continue the main trend, fluctuate a great bit between open and close prices and so on. Is this information all contained in such a time slice?

If this question sounds very basic, I think it is, because I am still quite new to algo trading.