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Hello,
Here is the problem that I need to solve to make RT day trading
backtesting more realistic. I have a 5 second database that is loaded
into my charts as minute timeframe. Backtesting on this data is not
realistic because it does not take into consideration the RT lag from
actual exchange executions to the time that AB can get the data,
generate a buy order and have the order sent and executed at the
current market price.
I would like to have a 5 second delayed version of my minute data that
I can read in as a foreign symbol. I would like to generate signals
on the normal bars, the use the close of 5 second time offset bars for
the execution price in backtests.
Note: This is not using the built-in back tester, but my own AFL
written realtime BT, so I can generate whatever it takes.
Obviously, I can run everything at the 5 second timeframe, but that is
very awkward and runs very slow.
Does anyone have an elegant approach to automatically generate this 5
second time offset data ticker.
Thanks in advance,
Dennis
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