Currently I'm developing a strategy that bases its buying decision on 2 different instruments.
These instruments have different trading hours and this strategy has a 2 hours timeframe.
According to the data I'm using from Kinetick, 2 hours bars from these 2 instruments do not match in time, ie. for the first instrument there might be a 2 hour bar closing on 15:45 and the second instrument might have a 2 hour bar closing on 16:15. This is not helpful. For this strategy I need 2 hour bars containing data from the same hour range (13:45 - 15:45 or 14:15 - 16:15).
How do I make sure the latest is going to happen?
Also, how would it work on the period of time one of the instrument is not available?
thanks in advance.
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