I'm running a 5 min strategy that load many instruments and trade only one of them.
I use
CalculateOnBarClose = false;
protected override void OnBarUpdate() { //Calculate only once. if (!FirstTickOfBar || BarsInProgress != 0) return; ...
From my investigation I think that the problem is when I'm trying to refer to the other instruments previous 5 minute close Closes[index][1] I'm getting different results in backtest and live.
How can I refer to the previous close of for example BIP == 1 and getting the same result in live and backtesting?
TX in advance for any assistance.
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