I think, that data-merge policy should be set for each strategy individually,
as the global setting is not usable for all strategies running inside one platform.
Explanation by example:
- Strategy A: trades moving averages requires correct calculation of SMA/EMA between rollovers (rollover gap would break moving averages). In this case, strategy requires MergedBackadjusted policy to achieve smooth historical prices without gaps.
- Strategy B: trades round numbers, so it need exact historical prices like (1.3000 or 1.4000 for 6E). Back-adjusting prices is completely unacceptable, because back-adjusting adjusts = moves historical prices, so the strategy would trade non-existing setups. Such strategy needs MergedNonBackadjusted policy, because preserving exact historical prices is of primary interest.
So there is need to set-up data-merging policy per strategy.
There is no one global setting, that would be suitable for all running strategies.
As the 2 strategies example shows, the strategies can have completely different
requirements, so they cannot run in one platform together.
This is significant limitation of the platform, that should be addressed.
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