I have the next problem.
In my strategy I'm using multiple timeframes (1minute and 60minutes).
The Entry Logics are on 1 minute timeframe.
To Exit the positions I'm using OnMarketData with this code:
protected override void OnMarketData(MarketDataEventArgs marketDataUpdate) { if (marketDataUpdate.MarketDataType == MarketDataType.Last) { if(Position.MarketPosition == MarketPosition.Long) { if(mycondition) { ExitLong(0, orderSize, "Exit Long", "Enter Long"); } } }
One problem is that now it seems like Strategy Analyzer ignores the Highs and Lows of bars - it must be the stoploss and ExitLong triggered, but the Close of the bar was higher then SL price - and it ignored this ExitLong. After some time, when Close comes lower - it comes.
What I need to do?
Thanks.
Comment