I was doing some backtesting yesterday of one of my strategies , which runs in MES 23-09 - 15min chart, but also uses the MES 23-09 10 Tick data series, and I realised there were many data series inconsistencies between these two data series, over several periods: Basically the data seen on the screen (15 min time frame) didn't match the data accessed with the Close[0] function, 10 Tick time frame . As a result of that trades were triggered way higher/lower than the 15min bars were showing, like here (see the yellow dots):
[attached pic]
Some of the periods where I clearly see the data series been off are:
- 23 June 2023, from 14pm GMT+1 to 22pm GMT+1 (as seen in the picture above)
Can you confirm this is an identified issue? Is this something that happens often? And what do you guys do to fix it, so that backtesting works accurately again?
Thank you.
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