I am trying to create a multi instrument strategy. I have managed to get it working somehow, the problem is that the entry and exit signals is delayed by 1 bar, as opposed to running the strategy with only 1 instrument.
I tested it on the ES instrument by running a multi instrument strategy agains ES itself. This resulted in the entry and exit signals being off by 1 bar. When I tried running the same strategy without multi instrument the entry and exit signals was hit on the right bars.
Does anyone know what the problem might be?
This is what I use to execute the multi instrument strategy:
protected override void Initialize(){
CalculateOnBarClose = false;
TraceOrders = true;
Add("ES 06-14", PeriodType.Day, 1);
}
protected override void OnBarUpdate(){
if (BarsInProgress == 1){
Entry/exit signals come from this.
}
if (BarsInProgress == 0){
Entry/exit signals executed here.
}
}
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