Posted By: byakuren81
simulation skipping bars in multi asset - 03/22/19 17:49
I noticed that when running a strategy in testing mode with more than one asset as for instance EUR/USD and GBP/USD, the simulation will align on the available bars of the first one declared and skipping the bars of the other one even if a bar was available.
Could you please tell me if it is possible to avoid such a behaviour?
Posted By: Spirit
Re: simulation skipping bars in multi asset - 03/23/19 07:29
Not really, the manual recommends to use the asset with less gaps as the first, that would be EURUSD in your example. Or maybe you can use an empty string as first asset name, this is a dummy asset and has no gaps. I dont know if this works but try it.
Posted By: Smon
Re: simulation skipping bars in multi asset - 04/22/19 13:02
What a coincidence... I'm just having the exact same problem. The empty string trick didn't work for me (I just put "" as first asset), but choosing an asset with fewer gaps worked.
By the way, this is the ducascopy dataset with
StartDate = 20060101;
EndDate = 20181231;
Asset Gaps
AUDJPY 4
EURGBP 5
GBPCHF 5
USDCHF 5
CHFJPY 6
EURUSD 6
GBPUSD 6
USDCAD 6
EURCHF 7
GBPJPY 7
NZDUSD 14
AUDNZD 19
EURJPY 23
USDJPY 24
AUDUSD 58
EURCAD 81
EURAUD 94
GBPAUD 119
AUDCHF 142
EURNZD 167
CADJPY 168
NZDCAD 181
GBPCAD 183
NZDCHF 187
CADCHF 193
NZDJPY 197
GBPNZD 221
AUDCAD 6263