Market Replay with CFD pauses and resumes - IB Data provider
I am using Interactive Brokers as my data provider and downloaded market replay data for future CFDs.
When I test my strategy with market replay with for e.g. @SPX500, it all goes well up to a point where it then seem to stop processing data while the Playback window shows the time ticking by. At some point it then resumes and completes all the bars that was missed, however all the orders that was placed during the "missed" time are then executed at the resume time.
I am not seeing this with other instruments like the future ES 12-17 for instance. Only with CFDs.
Any ideas?
Update:
The code in my algo that does the order placing is in the OnMarketData event and I do set my strategy to Order fill resolution to High. And I know it's executing that part of the code as it draws the dots which is also in the OnMarketData on the correct spot. But because the EnterLong or EnterShort are executed when it resumes, it obviously is at the incorrect levels.
When I test my strategy with market replay with for e.g. @SPX500, it all goes well up to a point where it then seem to stop processing data while the Playback window shows the time ticking by. At some point it then resumes and completes all the bars that was missed, however all the orders that was placed during the "missed" time are then executed at the resume time.
I am not seeing this with other instruments like the future ES 12-17 for instance. Only with CFDs.
Any ideas?
Update:
The code in my algo that does the order placing is in the OnMarketData event and I do set my strategy to Order fill resolution to High. And I know it's executing that part of the code as it draws the dots which is also in the OnMarketData on the correct spot. But because the EnterLong or EnterShort are executed when it resumes, it obviously is at the incorrect levels.
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