if (BarsInProgress == 0) { // Simple math calculations and get a signal } if (BarsInProgress == 1) { // Simple math calculations and get a signal } // Evaluate signals from DataSeries 0 and DataSeries 1. // If the same Signal then set an order needed otherwise wait for new OnBarUpdate
When I run it in Real-Time, that's another story. I've set all kind of evaluations to research it. such as: Output windows with key variable prints to see where are the differences.
After thorough research for possible causes of these discrepancies, I can tell:
DISCARD CAUSES:
- Executions filling prices or fillings quantities
- Both processes ( Backtest or Real-Time ) are under Tick-by-Tick
POSSIBLE CAUSE
- Bad filtering of data. It seems that there must be some trouble receiving, filtering and processing events that come pretty fast ( few milliseconds of difference )
The most clear example that I can give is this:
for the same event, registered at the same time, in the backtest there's just 1 but in Real-Time there're more, sometimes the double or more, without any logic.
This issue has stopped all my work, and I'd like some help, new ideas, suggestions...etc
Thanks in advance
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