Here's a real interesting behavior. I'm comparing data for the same symbol in two different data sets. The symbol is contained both in the DataSet I'm running the Strategy against and the Bloomberg Terminal DataSet. (The DataSet I'm running the Strategy against is a BBFree DataSet, so there are two different files for the symbol in two different directories on my hard drive.) In order to make sure I'm getting the right external symbol, I use
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(In case you're wondering, the Bloomberg Terminal data was saved in a Fidelity DataSet; hence the reason I call Bloomberg Terminal bars Fidelity bars.) The first time I run the Strategy, I get the correct result.
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APIC 1/12/2016 12:00:00 AM 12/31/2015 12:00:00 AM
The interesting thing is that when I re-run the Strategy, I get a different result.
APIC 1/12/2016 12:00:00 AM 1/12/2016 12:00:00 AM
WealthLab appears to be using the cached data from the DataSet I am running the Strategy against for the fidelity bars the second time. I'm guessing the problem is that once the data for a particular symbol is loaded in memory, WealthLab doesn't use the optional DataSet parameter.
Any ideas how to override this?