Starting a life strategy is easy as long as exchanges are closed:
* update historical data
* start realtime data stream
* start life strategy
* wait until exchanges open
* let it make money
For thousand reasons it is sometimes necessary to stop a life system and restart it after a few minutes.
Usually RE does not collect ticks during this time and the internal data history gets some "holes", if time crosses a bar boundary complete bars get lost.
I tried to fill the holes with another historical update.
If the watchlist is reasonably large (say 200 symbols) the historical update takes some time and I end up with new holes.
I RE starts a life system it should first do a historical update then start realtime feed for each individual symbol in this sequence *before* starting the next symbol. I think this is the only way to avoid "holes" in the price history.
Our Trading System at C2: Topaz