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Strategy deployment for Micro Futures

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    Strategy deployment for Micro Futures

    Hello,

    I am using a bar counter to exit a trade when long or short.

    The strategy works fine during back- testing but when running real time exits the trade a few bars too early.

    Please find below a part of my code

    ---------------------
    protected override void OnStateChange()
    {
    if (State == State.SetDefaults)
    {
    BarsExitLong = 35;
    BarsExitShort = 15;
    }
    }

    protected override void OnBarUpdate()
    {
    if (IsShort)
    {
    barsShort ++;

    if ( (barsShort >= BarsExitShort) && (Close[0] < (Position.AveragePrice - _atr[0]) ) )
    {
    base.ExitShort("STarget" + barsShort, "S1");
    }
    }

    if (IsFlat && (_smaS[2]<=_smaS[1]) && (_smaS[1] > _smaS[0]) )
    {
    int lots;

    barsShort = 0;

    double Ptarget = Close[0] - ProfitMultiplier;


    if (TradingFutures)
    {
    lots = (int) (InitialCapital / 50000);

    shortEntryOrder1 = EnterShort( lots , "S1");

    stopPrice = High[0] + ATRMultiplier;

    base.SetStopLoss("S1", CalculationMode.Price, stopPrice, false );
    }
    }
    }
    -----------------------------


    I suspect that the reason for this is the fact that I am running the strategy in real time on eurex regular trading hours while the program is computing the bars in extended trading hours.


    In this particular instance in the attached photo the trade was exited after 11 bars while the programming was for 15 bars.


    Please advise and why this is happening and how to rectify.

    Kind regards

    Ioannis

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