When I took my strategy to live sim01 trading I had the following issue: For some reason it behaved differently to my backtests in a specific scenario.
The strategy is short, and a long signal is triggerd at the same time as the short exit condition. In this case, the strategy reverses my position (one trade "close position" one "buy") but it also executes the "buy to cover" order and I end up 2 contracts long.
If I backtest the same period there is only one contract, in market replay two. I read the help guide section on real-time vs. backtest but didn't find a solution (CalculateOnBar is set true, like in backtesting).
If anyone has run into similar issues I would be happy if you could help me with this.
Marco
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