Set data-merge policy per each strategy

[misova]

I see, that current state of NT8 is, that data-merge policy is set global-wide for whole platform and all strategies.

I think, that data-merge policy should be set for each strategy individually,
as the global setting is not usable for all strategies running inside one platform.

Explanation by example:

• Strategy A: trades moving averages requires correct calculation of SMA/EMA between rollovers (rollover gap would break moving averages). In this case, strategy requires MergedBackadjusted policy to achieve smooth historical prices without gaps.
• Strategy B: trades round numbers, so it need exact historical prices like (1.3000 or 1.4000 for 6E). Back-adjusting prices is completely unacceptable, because back-adjusting adjusts = moves historical prices, so the strategy would trade non-existing setups. Such strategy needs MergedNonBackadjusted policy, because preserving exact historical prices is of primary interest.

So there is need to set-up data-merging policy per strategy.

There is no one global setting, that would be suitable for all running strategies.
As the 2 strategies example shows, the strategies can have completely different
requirements, so they cannot run in one platform together.

This is significant limitation of the platform, that should be addressed.

[NinjaTrader_ChelseaB]

Hello misova,

Currently, this would already be possible by doing an out of sync BarsRequest and specifying the merge policy.
http://ninjatrader.com/support/helpG...arsrequest.htm

I am happy to submit a feature request, however, with the request I would like to identify a possible troublesome situation.
If two strategies are added to the same chart, the strategies are using the chart's data series to pull the data. The data used as the primary data series of the script must be the data series of the chart.
In this situation, would you want to be able to change the strategy so that the source of the data is not the source of data on the chart?
(In other words, the strategy would be evaluating conditions using data that does not match the chart, resulting in trades and drawing objects that do not match the data on the chart.)

[misova]

When I am thinking about your comments, these ideas come to my mind:

1) Data-merge policy should be set for each data-series (not only per strategy)

• The data-merging policy - is not enough to be set per strategy (as was in my original request) but per each data-series added to the strategy. If this is doable via code - I am completely fine and happy with that. I was just not aware of this option
• This would allow us to overcome all limitations - we could create strategy that trades round numbers and evaluates slope of moving averages also as supporting factor. Solution in this case would be to load 2 data-series into the strategy and check round-numbers in data-series set with MergeNonBackadjusted policy and then check for EMA/SMA slopes on data-series with MergedBackAdjusted policy.

2) Addding 2 strategies to one chart and mismatch between their data-merge policy settings.

I think, that adding strategy with merge-policy AAAA, to the chart with merge-policy BBBB should not be possible and blocked by displaying clear popup message:
"Strategy cannot be added to chart, because Strategy requires data-merge policy AAAA, but Chart is set to use data-merge policy BBBB. More detailed explanation here." (Link to the documentation with more detailed explanation would be provided).

Why it should be blocked:
In case we would allow such behavior, it would make thing messy: Strategy would draw things on Chart bars, that could be different, than what the strategy sees and trades. I can imagine how users report invalid drawing of strategy and so on.... Such complexity (or let's say chaos) would be really hard to understand to common user/developer and should be prevented. Blocking this invalid scenario is systematic solution..

What is nice and easy with this solution - is that we are not going to support chaos and mess. No complex codes to handle it. We identify this clear logical conflict and report it with simple solution how to make it work reliably:

Solution fo the user is easy and simple: User has 2 options how to sync data-merge policies:

• Set existing Chart to use the same data-merge policy as the strategy uses.
• Create new chart with same data-merge policy as strategy uses

It is clear, that Strategy with data-merge policy AAA, can work reliably only with Chart with compatible data-merge-policy AAA. That can easily explained once and for all in documentation .

[NinjaTrader_ChelseaB]

Hi misova,

I have submitted a feature request on your behalf and included your comments.

It will be up to the NinjaTrader development to decide when and if a request will be implemented.

Do keep in mind you can accomplish this at this time with a BarsRequest.

We do highly appreciate your feedback. Please let me know of any other suggestions or feature requests you have for the NinjaTrader Platform.