One never says "in the farm" in English. Only "on "is used for location on a farm.
"At our farm" or "on our farm" sound good, but "in our farm" is really strange. However, "in our barn" or "in our fields" sound fine.
We have a hard enough time trying to figure out the prepositions in Brazilian Portuguese, so when we are marked wrong when using the correct English it is really frustrating. Animals can be "on" or "at" but never "in" a farm.