Is there any way to prevent a strategy from sending a live order on the last bar? As a temporary fix I tried
if (!Historical) return;
at the beginning of OnBarUpdate() but it doesn't seem to matter -- if the strategy generated an order on historical data prior to the next live tick, the order gets sent.
The reason I want to prevent this is so that my ATM backtesting framework will work properly. It uses unmanaged orders on historical data, but I want it to switch over to ATM strategies on live data, and I don't want a lingering historical order to end up sitting there in the DOM ladder.
-Alex
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