Multi TimeFrame Help Needed!

[MyFirstMillion]

Hello,

I have a stategy that uses multi timeframe of 1 Tick and 15 mins. I want the strategy to place a long order inside of the 15 min candle stick (Hence the need for Tick Chart). But it seems like it is waiting for the 15 min stick to close before placing the order. I did some digging into it to find out why it was not doing what I wanted it to do by using arrows and noticed something weird happening

- The Arrow location is not the same as the Open[0] price on a 1 Tick Chart.For some reason it is 10s of pips below the Open. I have made some screen captures for you to see. The first picture shows the correct Open[0] for both time frames where the cross-hair is located but notice the arrow is way down below.
Secondly, even if I move my cross hair upto the arrow, it is near the middle of 15 min candle stick.I think this is the reason my Strategy is not placing the order like I want because I am using Open price of 15 min chart as a guide.

Any help would be much appreciated

 protected override void Initialize()
        {
            CalculateOnBarClose = false;
			Add(PeriodType.Minute,15);
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
			if(Open[0]==Opens[1][0])
			{
				DrawArrowUp("Arrow" +counter,0,Open[0],Color.Green);
				counter=counter+1;
			}
			
        }

[NinjaTrader_ChrisSch]

Hello MyFirstMillion,

Thank you for your note.

A NinjaScript representative will review your inquiry tomorrow morning and follow up with you on their findings.

[NinjaTrader_JessicaP]

Hello MyFirstMillion, and thank you for your questions. I noticed a couple of unusual things about your strategy's code. First, I noticed there is no BarsInProgress checking. This means that your OnBarUpdate code is the same for your primary series and your 15 minute series, which is probably not what you intended. You can structure your code like this to keep things separated.

[FONT=Courier New]protected override void OnBarUpdate()
{
    switch(BarsInProgress)
    {

        case 0 :[/FONT][FONT=Courier New][FONT=Courier New]
            // process primary bars here
[/FONT]            break;

        case 1 :[/FONT][FONT=Courier New][FONT=Courier New]
            // process 15 minute bars here
[/FONT]            break;

    }
}[/FONT]

Second, I would like to mention that the code you posted does not contain your entry order logic. If you would like your Entry orders to be placed on your primary bars, you will need to send in a 0 as your Entry Order's BarsInProgress index, and if you want them placed on your 15 minute bars, you will need to use a 1. Here's an example that places orders on your primary bars

[FONT=Courier New]
EnterLong(0, DefaultQuantity, "");[/FONT]

Please let us know if there are any other ways we can help.

[MyFirstMillion]

Thank you for the reply . I changed the code and I am getting the following error "Control case cannot fall from one case label to another"


protected override void OnBarUpdate()
{
switch(BarsInProgress)
{
case 0:
if(Open[0]==minopen)
{

EnterLong(0,2500,"");
DrawArrowUp("Arrow" +counter,0,Open[0],Color.Green);
counter=counter+1;
break;
}
case 1:
minopen=Opens[1][0];
break;
}

[MyFirstMillion]

Never mind, I realized my misplacement of 'break' tag. I will run some tests and let you know what comes out.
Thanks

[MyFirstMillion]

Hello,
the strategy seems to be working better now but I have run into another related issue. I am trying to get the Open for 15 min candle stick by using Opens[0][0]. But it seems like the information is not updated till after bar close. So instead I am having to use the previous bar close valvue as current candle sticks open value.
Is there a way to get current sticks Open value before the bar closes?
Thanks

[NinjaTrader_JessicaP]

If you had, for example, a 1 tick series, and you peeked at your 15 minute bars from within this 1 tick series, you should be able to see the building bars OHL and last traded price. Since you mentioned this is your primary bars series, you can also use CalculateOnBarClose == false.

[MyFirstMillion]

Thank you for the reply. Calculateonbarclose does not work during backtest. all calculations are done on bar close during the backtest. What would be the code for the barOHL to get Open Price of 15 min candle?

Thank You

[NinjaTrader_JessicaP]

You are correct with regard to backtesting. Could you send us a sample of the code that replaces the boldface code below in your script, to help us investigate further?

[FONT=Courier New]protected override void OnBarUpdate()
{
    switch(BarsInProgress)
    {

        case 0 :
            // process primary bars here
            break;

        case 1 :
            // process 15 minute bars here
            break;

        case 2 :
[SIZE=4][B]            // process 1 tick bars here[/B][/SIZE]
            break;

    }
}[/FONT]

Could you also send us a copy of the code you are using to create data series?

[NinjaTrader_JessicaP]

I understand your time is valuable. The code in the bolded line should look like the below code. Please let us know if there are any other ways we can help.

[FONT=Courier New]
Print("The most recent price is " + Closes[2][0] + " and the last 15 minute bar's close price is " + Closes[0][0]);[/FONT]

[MyFirstMillion]

Hello,

my code looks something like.

protected override void OnBarUpdate()
{
switch(BarsInProgress)
{

case 0 :
// process primary bars here
break;

case 1 :
if(Opens[1][0]>Fib382 & Opens[0][0]<fib236)
{
EnterLong(1,25000,"MyOrder");
}

}
}
The issue is, I am not able to get the Open price of the 15 min bar. Primary tf=15 min. It returns the Open price of the previous candle because the current bar has not closed yet. While this may work live, it is failing miserably during backtest. Thanks

[NinjaTrader_JessicaP]

Thank you MyFirstMillion. You are correct that Opens[1][0] will show the most recent bar's open price, rather than the building bar's. To get the building bar's price you will need to add a Tick series as discussed earlier, and take Opens[2][0] .

[MyFirstMillion]

I have done exactly that. I have a tick series in my strategy but I do I figure out which Tick Open is the Open for 15 min bar?

[NinjaTrader_JessicaP]

The building bar will open at the previous bar's close. The building bar's current close value will be identical to the 1-tick series close value. To get the high value of the building bar, assuming your tick series is at BarsArray == 2, you can use MAX(BarsArray[2], Bars.GetBar(Times[1][0]))[0]. You can use MIN in a similar way for the Low of the building bar.