Thanks, Aslan and Mike...

I understand the backtesting issue, but what I'm experiencing is live. I'm watching each fill take place at the close of the previous bar.

Is there anything I can do in my code (aside from changing it to a limit order) to get around this?

Even live, it is likely you would be filled at the open minus a tick. If you are getting an uptick forcing the bar to close, that is likely someone buying the ask, and the bid is likely a tick lower, which is where your market sell would execute. Since the bid/ask is dynamic, you don't know what you will get, but if you want to sell that up tick price, then you have to use a limit and risk not being filled.

Awesome answer, Aslan...thanks!

Actually, one more question. Probably a stupid one...

The NT chart trader features buttons that allow the user to Buy/Sell the Bid, and Buy/Sell the Ask. Since you suggested that the new range bar forms when someone buys the ask (the uptick), is there a way to programmatically do the same thing, or is that just another way to say "limit order"?

If you try those buttons, you will see that "sell the ask" will put a limit order in at the ask price. Anytime you want a specific price or better you need to use a limit order.