Calculate On Bar Close/Open-Low-High-Close relationship

[jkmott59]

Hi all,

If 'Calculate on bar close' if False are the values of Open[0], Close[0], High[0] and Low[0] modified with each tick before OnBarUpdate gets called?

I'm guessing the answer is yes but want to confirm.

john

[NinjaTrader_RyanM1]

Hi John,

Thanks for the post. The standard Open ,High, Low, Close values for your bars would be considered price data, so they will update independent of CalculateOnBarClose settings. There isn't available a COBC setting for standard price bars.

If you use Open[0], Close[0], etc in a script, then their values will update according to the scripts' CalculateOnBarClose settings. If CalculateOnBarClose = false, then OnBarUpate() will be raised with each tick. If COBC = true, then OnBarUpdate() is raised only on bar close.

[jkmott59]

Thank you for your response. I didn't ask the question well. I understand that onbarupdate is called differently based on the CalculateOnBarClose setting.

The scenario I was exploring was if CalculateOnBarClose is false and OnBarUpdate is called with each tick. In that scenario are High[0] and Low[0] updated by the platform with each tick or is High[0] only set at the end of the time frame? I want to be absolutely sure.

john

[NinjaTrader_Bertrand]

Hi John, they would be updated with each tick as well, so as new Highs and Lows are seen. With CalculateOnBarClose set to 'false' index 0 always means the currently developing / updating bar. With CalculateOnBarClose set to 'true' index 0 means the last completed bar.

[adam_norsworthy]

Hi Ryan,

On historical testing I understand the setting 'calculate on bar close' = false is irrelevant as it is always calculated as 'calculate on bar close' = true.

I have a strategy that enters a limit order 3 pips lower than the high of the last bar. What I would like the strategy to do is that:

"IF two bars have passed since the limit order was placed and the limit order is not filled, cancel the limit order". I have done this for historical testing by assigning an integer variable (called 'barcount') thats adds 1 to itself each time OnBarUpdate is called, and when 'barcount' = 3 then do not resubmit the limit order. This works on historical testing because OnBarUpdate is called on each bar for historical testing ('calculate on bar close' = true).

So...my question is how do I achieve the same thing for live testing when 'Calculate on bar close' = false, as each OnBarUpdate will calculate on each tick.?

Many thanks.

[NinjaTrader_RyanM1]

Hi adam_norsworthy,
You can check when property FirstTickOfBar == true which is only once per bar. A sample showing best way to combine bar close/every tick logic is available here:

http://www.ninjatrader.com/support/forum/showthread.php?t=19387

[adam_norsworthy]

Perfect. Thanks Ryan.