I'm trying to write multi-time-frame strategy to backtest and got problem with EnterLongLimit / EnterShortLimit functions.
This strategy works with 2 time frames.
- 15 Minute period as primary
- 1 Day period as secondary
My strategy calculate at the first bar of every day the price to get long (from Day period bars) and set orders by calling EnterLongLimit( price ) and vice versa.
The problem is, that the order is executed immediately even if the price was not reached. This order is also executed by limit price and not by market price.
Hope I explain this issue clearly.
Thanks.
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