I've just come across a weird NT behaviour. Wondering if it's a bug or not.
I've got two series of the same instrument in my strategy: a 30-minute (index =0) and 1-minute (index=1). I'm making trading decisions based on price action on the 1-minute series and am sending stop orders to barsInProgrrssIndex = 1 (the 1-minute one). Everything's fine till now. When the stop orders gets filled OnExecution is called. However, it's called only after the close of the 30-minute bar following the fill and what's even more weird BarsInProgress = 0.
Is this expected or is it a bug? I'd certainly expect OnExecution to be called with BarsInProgress = 1 and immediately following a fill.
Cheers,
ipso
Comment