High/Low since session start

[freewind]

Hi,

I'm developing a multi-instrument stocks 5m intraday strategy on US session.
I want to find out for each instrument the High/Low points since the session start.
For example for stocks XYZ 2 hours from the start of the trading day(9:30EST) I want to know what was the High point and the low point.
I thought about using the Max/Min function and to give them the number of bars since the session started something like that:

max = MAX(Highs[5], BarsSinceSession)[0];

My problem is that I don't know how many bars there are for each instrument, Maybe the primary BIP has more bars since the other BIP.
What do you think is the best approach to solve this?

TX,
Roy

[koganam]

Originally Posted by freewind

Hi,

I'm developing a multi-instrument stocks 5m intraday strategy on US session.
I want to find out for each instrument the High/Low points since the session start.
For example for stocks XYZ 2 hours from the start of the trading day(9:30EST) I want to know what was the High point and the low point.
I thought about using the Max/Min function and to give them the number of bars since the session started something like that:

max = MAX(Highs[5], BarsSinceSession)[0];

My problem is that I don't know how many bars there are for each instrument, Maybe the primary BIP has more bars since the other BIP.
What do you think is the best approach to solve this?

TX,
Roy

Reference specific bar series by either;
Using a BarsInProgess filter when needed: http://www.ninjatrader.com/support/h...inprogress.htm,
or by specifying the bar series with an index: http://www.ninjatrader.com/support/h...html?highs.htm

[freewind]

If I understood what you meant the BarsSinceSession is tight to the BIP the called the OnBarUpdate(), am I correct?

[koganam]

Originally Posted by freewind

If I understood what you meant the BarsSinceSession is tight to the BIP the called the OnBarUpdate(), am I correct?

Not quite. You said that you want to find when each instrument in a multi-instrument ...

The BarsInProgress will filter calculations to the instrument which matches its BarsInProgress index, and exclude the other instruments.