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I just stumble into this thread while browsing the internet. I think the problem of back testing with multiple data series and IOG is that orders are assumed by MC to be placed within a bar based on the close of the secondary data series of that bar. This is look-to-the-future issue is very dangerious when trading live. Personally, I don't use IOG and my experience is that you can replicate model trades with actual trades pretty well using MC when your bar resolution is 10 seconds or higher. The lower the time frame, the inherit lag time becomes a bigger component of that bar. When working within this constaint, you can concentrate your effort on systems that are tradeable in real time.
i made a feature request regarding backing with multiple data series in MC forum. please feel free to vote.
