I am testing my ATM strategies with market replay data, using range bars.
First two short trades. ATM was proven working very well.
Then two long trade comes, at one point, suddenly 20 bars or so appears within one second. The bars sequences up 20 ticks then down -10 ticks with reference to my entries. And two long trades were stopped out at same price point which is -3ticks and another at -1ticks. On the chart markers shows that the stops was effected on first few bars that appears in the sequence. And I verify none of ATM autotrail has been hit.
I repeat and the same thing happens.
What is going on here?
I can send the market replay data if you need to understand what I mean.
Thanks.
Regards.
Edward K
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