I'm wondering if I'm doing something dopey or not.
My usual approach to strategy development is to first start with static historical data, move to sim101 and then to a live trading account. A good deal of my development work requires looking inside bars, so of course I use multi bar series. Usually I have, say, a Range bar as the primary series, and then add a 1 Tick secondary series. This lets me backtest on a tick by tick basis and works quite well. The strategy inevitably works nicely on sim101 also.
The problem is when I go live. Pretty much every time the script won't work as is, because once an order is submitted, a cancel order goes out on the very next tick, because orders get cancelled automatically if not filled on the next bar, and with that 1 Tick series present, the next tick is the next bar.
I'm avoiding getting into keeping orders alive for longer than one bar, so what I do is basically rewrite the strategy by removing the secondary series and go COBC = false. This works, but now I have to keep track of and revise two separate strategy files.
Any comments or suggestions?
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