In a multi instrument and multi timeframe strategy is it possible to load additional history for one instrument only? For example I may want to perform calculations on the last 60 days of daily bars but only the last two days on 15 min bars. I.e. Is there a function I can call which explicitly loads a defined range of history for a specified instrument and timeframe and doesn't load this data form other instruments in the strategy.
Aim is to maintain performance of strategy by only processing required data.
This is applicable to both backtesting and live strategies.
Thanks
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