I'm working with a strategy with Bars.Scale = Monthly. My first alert occurs on the 07/31/06 bar. The strategy executes a BuyAtMarket(bar+1). The Trades Tab "Entry Date" shown for this position is 08/31/06. I understand that 08/31/06 is the date associated with the next bar following 07/31/06 but since the BuyAtMarket executed at the Open of the 08/31/06 bar, the trade actually occurred on 08/01/06. Is there a way I can program this to more accurately reflect the actual entry date?

How about using Daily data and scaling DataSeries/indicators to Monthly via SetScaleMonthly?