Is it possible to assign (re-assign) or change the Trading Hours within OnStateChange for the primary data series?
E.g. suppose I have a strategy that I am running on ZS and ES, where for ZS I want to use say CBOT Agriculturals ETH, while for ES I want to use CME US Index Futures ETH.
Can I do something with in OnStateChange like this: if instrument.MasterInstrument.name contains ZS then use CBOT Agriculturals ETH, else if instrument.MasterInstrument.name name contains ES than use CME US Index Futures ETH ?
Comment