My backtest involves in multiple symbols and it uses SetContext/RestoreContext to generate bars cache.
I would like to apply the split adjustment to each bars cache but SplitReverseFactor supports the context switching?
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What is your experience with it?
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I didn't have a chance to try it out yet as I'm working on a lot of issues in the migration.
So far I have implemented a manual split adjustment code within my strategy and I just finished 50 hours backtesting to verify the integrity with IQFeed data against Fidelity data. It took a lot of time to investigate every single difference.
My current plan is once I get confirmation from you, I implement your version and run another 50 hours backtesting.
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QUOTE:
SplitReverseFactor supports the context switching?
Yes.
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