Pairs Trading Suite for NT8?

[Lance El Camino]

Does anyone have a conversion of the Pairs Trading Suite for NT8?

[NinjaTrader_BrandonH]

Hello Lance El Camino,

Thanks for your post.

The Indicator Development forum is for NinjaScript developers looking for assistance on indicator development. We have moved your inquiry to the NinjaScript File Sharing forum since this is not NinjaScript development-related.

Our NinjaScript team has performed several popular conversions for NinjaTrader 7 indicators so they can be used on NinjaTrader 8. While our team has performed several conversions and have converted requested indicators, we cannot create modify or debug code for our clients since we are a small team.

As a courtesy and due to the simplicity of the indicators, we have approved and completed this conversion. If you would like to have more indicators converted at your request, we could have a representative of our EcoSystem reach out with information on NinjaScript Consultants who would be happy to do so.

See the attached file, PairsTradingSuite_NT8.

Let us know if we may assist further.

The NinjaTrader Ecosystem website is for educational and informational purposes only and should not be considered a solicitation to buy or sell a futures contract or make any other type of investment decision. The add-ons listed on this website are not to be considered a recommendation and it is the reader's responsibility to evaluate any product, service, or company. NinjaTrader Ecosystem LLC is not responsible for the accuracy or content of any product, service or company linked to on this website.

[derivtrader]

Hi Brandon,

Thanks for the conversion. When using the Pairs ratio indicator, I'm not getting a plot in that panel. Can you show an image of the inputs in the indicator's properties window? Thanks

[NinjaTrader_BrandonH]

Hello derivtrader,

Thanks for your note.

When testing the PairsRatio indicator on a chart with the default settings I am seeing the plot populate on the chart.

See the attached screenshots showing the PairsRatio indicator plotting and the indicator properties that are used.

Let us know if we may assist further.

[Lance El Camino]

Thank you a ton!!

I have another question:

I am trying to create an indicator for the average gain/loss per N periods. I can figure out how to find the average based on the point value of whichever instrument I'm referring to but how would I convert the average gain/loss in points to currency(USD)?

[NinjaTrader_BrandonH]

Hello Lance El Camino,

Thanks for your note.

You may find the value you would like to use in the SystemPerformance.AllTrades.TradesPerformance collection. See the help guide below for the TradesPerformance.Currency values available.

TradesPerformance values for currency: https://ninjatrader.com/support/help...ancevalues.htm

TradesPerformance: https://ninjatrader.com/support/help...erformance.htm

Or, if you are doing your own conversion from points to currency, you could get the exectution.Rate from OnExecutionUpdate(), which represents the exchange rate, and use that in your own formula to convert the points to currency.

See this help guide for more information: https://ninjatrader.com/support/help...?execution.htm

Note that to get that rate, USD must be running with a pair that pairs with the target denomination.

https://ninjatrader.com/support/foru...58#post1143558

You may also find this forum post to be helpful: https://ninjatrader.com/support/foru...856#post791856

Let us know if we may assist further.

[tffmd123]

Hello, i've downloaded the pairs trading suite. I have 2 questions. 1. what is the difference between the imput series and the first and second instrument. 2. I am unable to use the ratio indicator to plot iqfeed breadth instruments such as vpqea_z and vpqia_z. Why is this and can the code be changed to allow a ratio of such instruments? thanks.

[NinjaTrader_BrandonH]

Hello tffmd123,

Thanks for your note.

The Input series is the data series that you are adding the indicator to. The FirstInstrument and SecondInstrument input fields refer to the instruments that you would like to use for the indicator's calculations. The indicator uses the OHLC of the FirstInstrument and SecondInstrument to calculate the OHLC differences between the two instruments set in these fields.

The PairsRatio indicator simply uses the Close prices of the FirstInstrument and SecondInstrument for its calculations. The instruments that are set for FirstInstrument and SecondInstrument would need to have Close prices for the indicator to calculate values.

Are you able to open a chart and see data (close prices) for the instruments in question?

Let us know if we may assist further.

[tffmd123]

Hi Brandan, thanks for your reply.
My first question pertains to the fact that the pair indicator serves to compare two instruments for example Coca-Cola and Pepsi. These would be the first and second instruments within the indicator menu. I guess I don’t understand the concept of adding this indicator to a third instrument. Can you illustrate example of how this indicator would be applied to analyze a pair?

secondly, I can apply this instrument to a chart using two stocks and the indicators plot. However, if I use one of the many calculated indicator instruments that is provided by iqfeed such as the ones mentioned in my prior post which do have close prices, the indicators do not plot a graph. Can you help me understand? It would be useful to be able to use the ratio indicator within the pair trading suite to compare such instruments.

Much thanks

[NinjaTrader_BrandonH]

Hello tffmd123,

Thanks for your note.

Please see the images in post number 4 for an example of using the PairsRatio indicator to compare YM 09-21 and ES 09-21. The FirstInstrument is set to YM 09-21 because that instrument had the currently higher price compared to ES 09-21. If you hover the mouse over the FirstInstrument property name, we can see that the description states that the instrument used for FirstInstrument should be the instrument with the currently higher price.

It seems that the instruments, vpqea_z and vpqia_z, do not plot on a chart which means that you may not be getting any data for those instruments. If you are not getting any data for those instruments then no bars would appear on the charts and the instruments would not be able to be used for the PairsRatio indicator calculations.

Let us know if we may assist further.

[ezrollin]

I dont know if its the incoming price data or what but this locks up my system

[NinjaTrader_BrandonH]

Hello ezrollin,

Thanks for your note.

Please close all workspaces, open a new blank workspace, open a new blank chart (no indicator or strategies on the chart), then apply the PairsRatio indicator to the chart.

Does applying the PairsRatio indicator to a blank chart cause the platform to freeze?

To see what (if any) NinjaScript items may be contributing to the symptoms, you could open the NinjaScript Utilization Monitor using the steps below.

• Control Center > New > NinjaScript Output
• Right-click within the NinjaScript output window > Select 'NinjaScript Utilization Monitor...
• This window will begin to populate with NinjaScript items in order of time spent processing

Let us know if we may assist further.