it happens sometimes that when using GetCurrentBid or GetCurrentAsk I get wrong data. When comparing with IB data the problem is when setting a limit order it never gets filled because is out of the price requirements of the market.
Is OnMarketData() the solution for this?
On what part of the strategy this code
protected override void OnMarketData(MarketDataEventArgs e)
{
}
has to be set? I make this question because I need this data before OnBarUpdate() is executed.
Thanks
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