Calculate 15 minute bar Indicator values with tick data in Strategy Analyzer

[tomace]

Hi,

This is probably a math question more than anything, but I'm trying to simulate, in Strategy Analyzer, the changing indicator values that you'll get when running Calculate.OnEachTick on live data.

Specifically, I have tick data from IQfeed and want to calculate the changing Bollinger Band Upper and Lower values of a 15 minute bar on the fly using historical data within a strategy in order to simulate Calculate.OnEachTick for that indicator.

If I'm using a 2 bar SMA for the Bollinger, I will know the prior 15 min bar's closing value of the upper and lower, and now with each tick, I want to calculate how the upper and lower band change.

I just can't wrap my head around how to do this. Can anybody help?
Thanks,
Rick

[NinjaTrader_PatrickH]

Hello Rick,

Thank you for your post.

You would need to enable TickReplay and develop your strategy around TickReplay: http://ninjatrader.com/support/helpG...ick_replay.htm

Please let me know if you have any questions.

[tomace]

Hi PatrickH,

I've seen Tick Replay and looked into it, but can you just clarify for me quickly? If I correctly write a strategy to work with Tick Replay, why would that be different in a Strategy Analyzer backtest compared to running it through MR, assuming the data is the same and I have tick data that has bid/ask/last (IQFeed)? The help file seems to state that they will not match and Tick Replay isn't designed for Strategy Analyzer.

In other words, why is Playback considered to be the most accurate to Live data if Tick Replay can play the ticks back in the same exact sequence?

Thank you again!

[NinjaTrader_PatrickH]

Hello tomace,

If you plan to run using the Playback Connection then I would do that. TickReplay can allow for calculations intra-bar using OnMarketData(). However, Playback would not require this.

[tomace]

Thanks PatrickH.

Can you tell me what is happening with Tick Replay behind the scenes so I can more efficiently write a script around it? Does it simply call OnBarUpdate and OnMarketData with each tick without the need to add another DataSeries? There isn't a lot of clear language about what it actually does, at least not that I've seen.

If I'm using 5 minute bars with Tick replay, will OnBarUpdate be called for every tick as well as at the close of the 5 minute bar?

I think a lot of people are interested in using Strategy Analyzer (with Tick Replay) as a quicker alternative to running Playback through months/years of data, so I'd certainly appreciate as much clarity as possible. It seems like a great addition for NT8!

[NinjaTrader_PatrickH]

Hello tomace,

Thank you for your response.

I would start by reviewing the documentation at the following link: http://ninjatrader.com/support/helpG...ick_replay.htm

OnMarketData() would be called for each tick, OnBarUpdate() would be called for the bar close.

Please let me know if you have any questions after reviewing the documentation.