WL7 takes nearly twice as long as WL6.9 to do this task, so I feel like there's an optimization to be had. Granted, WL6.9 has it much easier because it run through the intraday file once at the end bar loop, assigning priorities to a symbol's position in one swoop.
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Something that WL6 doesn't do [that WL7 does?] is load the intraday BarsHistory in memory. WL6 processes the data while reading it from the binary file. Seeking the data in the binary instead of loading a large intraday file could be the optimization required.
WL7 is more generalized. You can't be guaranteed that an intraday provider will actually use the "binary file".
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