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
