I'm testing a strategy where I filter the coarse universe to contain only the equities I want based on indicator values. The strategy creates limit orders once a day in the OnData event and in the initialize I'm using self.UniverseSettings.Resolution = Resolution.Daily. It all seems to work ok but the fill times are also always once a day at midnight, which of course is not reality as they happen at different times a day.

2020-02-11 00:00:00 BUY 217 RARX WF1LTBB6PZ6T AT LIMIT 46.15 UTC Time: 2020-02-11 05:00:00+00:00 (Logged from OnData)

2020-02-12 00:00:00 'RARX WF1LTBB6PZ6T' filled at '2020-02-12 00:00:00' (Logged from OnOrderEvent).

How can I get the fill times to come to backtesting throughout the day? Do I need to drop the self.UniverseSettings.Resolution = Resolution.Daily and start using faster resolution? This filll time handling is the only missing piece from the strategy and I'd rather not have the OnData triggered all the time as it is not necessary for daily signals.

Thanks in advance for possible comments!