I'm running strategies dependent on indicators that require tick replay for historical data.
Since that tick replay is too resource intensive and that my strategies simply require the last 20 bars of indicator calculations to enter positions, I simply turn off tick replay and wait until 20 bars have drawn.
However, sometimes during the weekend, when the markets are closed, the CQG Continuum connection is lost and when I reconnect, it forces the indicator recalculations and I lose all the history that has been built.
Since these indicators are proprietary, I know that I can have them developed so that they record their historical calculations, however, I was wondering if there was a way to prevent the recalculations to happen when reconnecting to market data during the weekend as there hasn't been incoming data during the time the connection was lost. That forced recalculation is useless and needs to be prevented.
I also know that I can modify the Strategies options to "Keep runnning" on connection loss, however, I don't know how I can set it up so it actually works for this use case (connection loss during weekends) without interfering with the possibility that the connection would be lost when the markets are open as this would affect the strategies.
What do you suggest?
Thank you.
Since that tick replay is too resource intensive and that my strategies simply require the last 20 bars of indicator calculations to enter positions, I simply turn off tick replay and wait until 20 bars have drawn.
However, sometimes during the weekend, when the markets are closed, the CQG Continuum connection is lost and when I reconnect, it forces the indicator recalculations and I lose all the history that has been built.
Since these indicators are proprietary, I know that I can have them developed so that they record their historical calculations, however, I was wondering if there was a way to prevent the recalculations to happen when reconnecting to market data during the weekend as there hasn't been incoming data during the time the connection was lost. That forced recalculation is useless and needs to be prevented.
I also know that I can modify the Strategies options to "Keep runnning" on connection loss, however, I don't know how I can set it up so it actually works for this use case (connection loss during weekends) without interfering with the possibility that the connection would be lost when the markets are open as this would affect the strategies.
What do you suggest?
Thank you.
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