I have a multibar Strategy running on FDAX 12-10. And am getting orders sent by the base bar cancelled by the slower bars.
I've written a very basic strategy to isolate the problem.
I've read the documentation and don't quite understand why this is happening.
Very basic strat :
protected override void Initialize()
{
CalculateOnBarClose = true;
Add(PeriodType.Minute,5);
TraceOrders=true;
}
protected override void OnBarUpdate()
{
if(BarsInProgress != 0)
return;
if(Position.Quantity > 0)
{
ExitLongLimit(Position.AvgPrice+10);
}
else
EnterLong(1);
}
The target order is sent at the bar, and every 5minute bar the order is cancelled !

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