Posted Wednesday August 31 2011
I am wondering if there is a possibility in RE to have 2 frequencies being fed simultaneously for the same symbols to different parts of the trading system. Meaning that:
* On one hand, the broker will be giving me 1 minute bars and I want to do some processing and minor decision making at that frequency (no trading, this is just a helper, but I would want to check CurrentValues for position here among other things)
* On another hand, the trading strategy proper will work on a far greater time-span (e.g. hour(s), maybe even day bars). Thus, NewBar() in SymbolScriptBase needs to be triggered at this frequency (not minute by minute, I don't want strategies to do aggregation of bars).
Is this currently possible with RE? If yes, how could I achieve this?