When I backtest using the Strategy Analyzer I get the trades I expect. I then wanted to confirm the trades using Market Replay connection. The 1440 minute bar trades do not match.
The MR version is recording trades that begin and end at 9:30am instead of at the start of the CME US Index Futures ETH session ( 6 pm ).
Strategy Analyze enters price: 3097.50 at 11/21/2019 5pm:
Market Replay enters price: 3109.00 at 11/21/2019 9:30AM.
While debugging the Market Reply test, the EnterLong is called correctly at Time[0] == 11/21/2019 5:00 PM:
But as you can see from the performance report it's not being recorded as being filled at the time and price of the open of the CME US Index Futures session.
I have attached a video that shows this happening.
The strategy I used to create this is also attached.
AtsSampleMultiTimeFrame.zip
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