I am getting some odd behaviour if I run my strategy on market replay when using downloaded data that is more than 4 weeks older than today's date.
I have multiple data series within the strategy: primary is 1minute, but also have 5mins, daily etc, to calculate various indicators within the strategy.
The strategy works fine if I run on market replay for any recent date up to about 4 weeks ago. But if I run it on an historical date further back than that, then no longer is it able to load the secondary data series - eg daily data is not available to the strategy.
I have tried forcing it to wait until it is in realtime mode (on replay) as I read on the forums that replay can cause some issues when dealing with historical data '(Historical)' vs realtime (replay) data.
But that makes no difference. It simply does not have access to the data ...
I get the error in my output that
'CurrentBars[3] = 0'
when my daily data load:
Add(PeriodType.Day, 1);
is the 3rd secondary dataseries (BarsInProgress = 3).
Is this known behaviour that market replay will not load historical data for secondary dataseries if running on data that is older than about 4/5 weeks old? many thanks
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