Calculate on bar close on range bars

[tickling]

Hello

1. I have a strategy that runs on range bars with COBC=true. When exactly is OnBarUpdate() called ? is it run on the first tick of the new bar, for the old bar ?

2. I need this strategy to run with COBC=false and get some info every tick, yet I do not want it to go through all the end of bar calculations. How do I do that programatically ? Should I use "FirstBarOfTick" and if true go through the end-of-bar-calculations, else go trough tick calculations ? Is there a better way ?

3. If I need this strategy to read OnMarketUpdate event, how can I programatically know if it is the start/end of a range bar ? The documentation for FirstTickOfBar says it is only available in OnBarUpdate().

Thanks

[NinjaTrader_Joydeep]

Hello tickling,

1. COBC is called on the first tick of the new bar, which is also where the previous bar ended.

2. Yes, you have to calculate it at the FirstBarOfTick. Please refer to this sample code which demonstrates it further http://ninjatrader.com/support/forum...ad.php?t=19387

3. OnMarketData and OnBarUpdate runs on different threads. As such FirstBarOfTick cannot be accessed from OnMarket Data. Unfortunately there are no native methods in OnMarketData to obtain that information.

Please let me know if I can assist you any further.

[koganam]

Originally Posted by tickling

Hello

1. I have a strategy that runs on range bars with COBC=true. When exactly is OnBarUpdate() called ? is it run on the first tick of the new bar, for the old bar ?

2. I need this strategy to run with COBC=false and get some info every tick, yet I do not want it to go through all the end of bar calculations. How do I do that programatically ? Should I use "FirstBarOfTick" and if true go through the end-of-bar-calculations, else go trough tick calculations ? Is there a better way ?

3. If I need this strategy to read OnMarketUpdate event, how can I programatically know if it is the start/end of a range bar ? The documentation for FirstTickOfBar says it is only available in OnBarUpdate().

Thanks

Use a boolean class variable that fires on FirstTickOfBar and off on the next tick, and query it from OnMarketData().

As the OnBarUpdate() and OnMarketData() events sequence is not guaranteed, it being asynchronous, with no lock, it will not be perfect, but it should be close enough. If you need microsecond accuracy, then you are probably on of those mega rich High Frequency Traders, so NT is not your cup 'o tea anyway.

[tickling]

Thanks ! The "close enough" solution is probably good enough ... will give it a try.
No mega rich HFT here