I setup a strategy as attached image for automatic intraday trading at Monday, July 18th, 2011. Data bar type is 5 minutes. Days to load is 2 and Min. bars required is 20.
The time zone I am living is UTC-07:00 Mountain Time, so the US stock market opens at 7:30AM of my local time. However, the first OnBarUpdate() of Monday was triggered at 9:15AM which was 20 data bars after market open.
Since I already setup Days to load to 2, I expected this 20 Min. bars should be applied to the very beginning of the loaded previous day's data and this Monday's OnBarUpdate() should be triggered right after market open instead of 20 bars later.
Why this 20 Min. bars still applied to this Monday's market data?
Thanks,
weiwei
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