Below you can find a simplified version of my code.
protected override void OnStateChange() { if (State == State.SetDefaults) { this.LookbackPeriod = 20000; } else if (State == State.Configure) { AddDataSeries(Instrument.FullName, BarsPeriod, (this.LookbackPeriod + base.Bars.Count), Instrument.MasterInstrument.TradingHours.Name, null); } } protected override void OnBarUpdate() { if (BarsInProgress == 0) // Initial data series { } if (BarsInProgress == 1 && State == State.Historical) { // Normally this will be triggered x times (duration of lookbackperiod) before BarsInProgress will be 0 } }
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