I have noticed that I am getting bad tick and volume counts while collecting data in the OnMarketData section of code.
It seems that when using if (FirstTickOfBar) to reset tick or volume counters for the prior bar, I loose the data for the first tick of the current bar.
Is this normal???
By time FirstTickOfBar executes, the first tick of the bar has already executed and the data for the first tick is gone!!!!
Pictures of this problem along with additional text can be found here.
Is this a known bug????
Thanks,
RJay
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