My strategy is running on 10 min bars of two instruments. I keep my positions overnight and restart NT before each session. I understand the position I had yesterday was based on live data and restarting NT today gives me the same position using yesterday's historical data. I had no problem in the past.
Recently I replaced the close of 10 min bars by using average of the last three 1 min bars of every 10 min interval. But now I get very often different positions when I restart the strategy. I guess the problem is due to difference between live and historical data of the 1 min bars, especially when there is no transaction in the market during that minute. My data provider is Kinetick.
Any idea how to fix this issue? I feel the historical data is more reliable to use. Is it possible to force the strategy to run on latest historical data? and how much delay comparing to live feed?
Thanks
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