I have a strategy which performs a scan of the S&P 500 constituents in a PreExecute to find the top 20 stocks based on some metric. This works well in backtesting but during my testing in live trading I notice the strategy seems to be ran against roughly 4 chunks of the S&P 500, meaning the strategy is ran 4 times and the resultant signals are generated for more than 20 stocks. Is a suggested approach to working around this either in code or in settings?
Rename
Yes, the chunking occurs so intraday strategies can run in a timely manner without having to wait for all of the symbols to update each minute. You can disable the chunking here, or just run it in a Strategy window.
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