What's the best way to determine if a multi-instrument strategy has holes in the data while running. If I have a strategy whose primary instrument is A, but I have an indicator analyzing the B, I'm running into situations where B's data drops out/is delayed (different provider) and I'd like to check that to prevent entering on false signals.
I guess I could just check compare the Time of each sequence, but I'm not sure if that's deterministic (do A bars always close before B given the same period?)
Comment