IDataSeries Usage In Indicator Methods

[borland]

I'd like to locate a programming code example using IDataSeries in indicators in multiple time frames.

Many NT indicator methods provide for using the IDataSeries interface. As example:

MACD(IDataSeries inputData, int fast, int slow, int smooth).Avg[int barsAgo]

The Verison 6 Help Guide page 'DataSeries Class' states:

"DataSeries objects can be used on supplementary series in a multi-time frame and instrument strategy. Please see our support forum NinjaScript reference samples section for further information."

After reading this comment, I looked at the reference samples here, but found no specific examples using of IDataSeries in indicator methods. I did find code on changing IDataSeries data using BarsInProgress, but this is not relavent.

Are there any examples elsewhere?

Thanks for the support.

[NinjaTrader_Bertrand]

borland, you could for example review the SampleMultiInstrument / SampleMultiTimeFrame Strategies we install per default with NinjaTrader.

As dataseries you can also pass in directly the needed BarsArray to point to which series the indicator / method to calculate from -

http://www.ninjatrader-support.com/HelpGuideV6/BarSeries.html

[borland]

Bertrand,

Those bundled NT examples use BarsArray[], so its not the same. Using BarsArray[] would work, but the task of keeping track of several index markers will not work. I need to assign variable names to the bars array or DataSeries in order to keep track of what's going on with the programming trade logic.

How's this look for a multi-timeframe, multi-instrument coding framework?

// NinjaScript Framework for Multi-Timeframe & Multi-Instrument(1-traded), 3-timeframes/2-instruments
#region Variables 
//Standard declarations..
    using System;
    using System.ComponentModel;
    using System.Diagnostics;
    using System.Drawing;
    using System.Drawing.Drawing2D;
    using System.Xml.Serialization;
    using NinjaTrader.Cbi;
    using NinjaTrader.Data;
    using NinjaTrader.Indicator;
    using NinjaTrader.Strategy;
//declare multi-Instrument(1-traded), multi-timeframe DataSeries...
//trading off 5m bar, but need longer timeframes too..
  private DataSeries my_60m_bar ; 
  private DataSeries my_1d_bar ;
  private DataSeries my_$compq_5m_bar ;
  private DataSeries my_$compq_60m_bar ;    
  private DataSeries my_$compq_1d_bar ;
 
#endregion
protected override void Initialize() 
{ 
//Initialize multi-Instrument, multi-timeframe DataSeries...
  my_60m_bar = new DataSeries(Add(PeriodType.Minute, 60));
  my_daily_bar = new DataSeries(Add(PeriodType.Day, 1));
  my_$compq_5m_bar = new DataSeries(Add("$COMPQ", PeriodType.Minute, 5));
  my_$compq_60m_bar = new DataSeries(Add("$COMPQ", PeriodType.Minute, 60));
  my_$compq_1d_bar = new DataSeries(Add("$COMPQ", PeriodType.Day, 1));
 
//Detect trade triggers intra-bar ...
  CalculateOnBarClose = false;
}
protected override void OnBarUpdate() 
{ 
  if (BarsInProgress != 0)
  {
    return;
  }
  if (Position.MarketPosition == MarketPosition.Flat)
  {
    if
      (
        // Entry trade trigger logic here....
        MACD(12,26,9)[0] > 0
        &&
        MACD(my_60m_bar,12,26,9)[0] > 0
        &&
        MACD(my_1d_bar,12,26,9)[0] > 0
        &&
        MACD(my_$compq_5m_bar,12,26,9)[0] > 0
        &&
        {
          MACD(my_$compq_60m_bar,12,226,9)[0] > 0
          ||
          MACD(my_$compq_1d_bar,12,26,9)[0] > 0
        }
      )
    {
      EnterLong();
    }
  }
  if (Position.MarketPosition == MarketPosition.Long)
  {
    if
    (
      // Exit trade trigger logic here.....
      MACD(12, 26, 9)[0] > 0
      &&
      MACD(my_60m_bar,12,26,9)[0] > 0
      &&
      MACD(my_1d_bar,12,26,9)[0] > 0
      &&
      MACD(my_$compq_5m_bar,12,26,9)[0] > 0
      &&
      {
        MACD(my_$compq_60m_bar,12,26,9)[0] > 0
        ||
        MACD(my_$compq_1d_bar,12,26,9)[0] > 0
      }
    )
    {
      ExitLong();    
    }
  }
}

[NinjaTrader_Austin]

borland, as long as your not running into any issues with that code go ahead and use it. I haven't personally tried anything like my_60m_bar = new DataSeries(Add(PeriodType.Minute, 60)), nor do I know if that is a supported way to create and initialize a DataSeries.

If it doesn't work, you will need to work with BarsArray[] per Bertrand's posted sample.

[borland]

Austin,

OK, BarsArray[]..... not what I wanted to do.

Here's the revised code, zero complilation errors, 'Strategy successfully generated'.

// NinjaScript Framework for Multi-Timeframe & Multi-Instrument(1-traded), example: 3-timeframes/2-instruments
#region Variables 
//Standard declarations..
    using System;
    using System.ComponentModel;
    using System.Diagnostics;
    using System.Drawing;
    using System.Drawing.Drawing2D;
    using System.Xml.Serialization;
    using NinjaTrader.Cbi;
    using NinjaTrader.Data;
    using NinjaTrader.Indicator;
    using NinjaTrader.Strategy;
#endregion
namespace NinjaTrader.Strategy
{  
  public class SampleMultiTimeFrameMultiInstrument : Strategy
  {
    #region Variables
 //declare multi-Instrument(1-traded), multi-timeframe DataSeries...
    //trading off 5m bar, but need longer timeframes too..
    private int my_60m_bar; 
    private int my_1d_bar;
    private int my_compq_5m_bar;
    private int my_compq_60m_bar;    
    private int my_compq_1d_bar;
    private bool LookForLongEntryTrigger = false;
    private bool LookForLongExitTrigger = true;
 
    #endregion
    protected override void Initialize() 
    { 
      //Initialize multi-Instrument, multi-timeframe BarsArray[] DataSeries...
      Add(PeriodType.Minute,60);
      my_60m_bar = 1;
      Add(PeriodType.Day,1);
      my_1d_bar = 2;
      Add("$COMPQ", PeriodType.Minute, 5);
      my_compq_5m_bar = 3;
      Add("$COMPQ", PeriodType.Minute, 60);
      my_compq_60m_bar = 4;
      Add("$COMPQ", PeriodType.Day, 1);
      my_compq_60m_bar = 5;
 
      //Detect trade triggers intra-bar ...
      CalculateOnBarClose = false;
    }
    protected override void OnBarUpdate() 
    { 
      if (BarsInProgress != 0)
      {
        return;
      }
      if (BarsInProgress == 0)
      {
        if (Position.MarketPosition == MarketPosition.Flat)
        { 
          // Trade Entry trigger logic goes here...
    LookForLongEntryTrigger =
          MACD(12,26,9)[0] > 0
    &&
    MACD(BarsArray[my_60m_bar],12,26,9)[0] > 0
    &&
    MACD(BarsArray[my_1d_bar],12,26,9)[0] > 0
          &&
    MACD(BarsArray[my_compq_5m_bar],12,26,9)[0] > 0
    &&
    (
      MACD(BarsArray[my_compq_60m_bar],12,226,9)[0] > 0
            ||
            MACD(BarsArray[my_compq_1d_bar],12,26,9)[0] > 0
    );
 
          // If Entry Triggered, Make the Trade..
       if (LookForLongEntryTrigger == true)
          {
            EnterLong();
            return;
          }
        }
        if (Position.MarketPosition == MarketPosition.Long)
        {
          // Trade Exit trigger logic goes here.....
       LookForLongExitTrigger =
          MACD(12, 26, 9)[0] > 0
          &&
          MACD(BarsArray[my_60m_bar],12,26,9)[0] > 0
          &&
          MACD(BarsArray[my_1d_bar],12,26,9)[0] > 0
          &&
          MACD(BarsArray[my_compq_5m_bar],12,26,9)[0] > 0
          &&
          (
            MACD(BarsArray[my_compq_60m_bar],12,26,9)[0] > 0
            ||
            MACD(BarsArray[my_compq_1d_bar],12,26,9)[0] > 0
          );
          // If Exit Triggered, Make the Trade..
       if (LookForLongExitTrigger == true)
       {
            ExitLong();
            return;            
          }
        }
      }
    }
  }
}

Do you know a way to assign an array variable name to BarsArray[]? That would get me to where I wanted to go.

[NinjaTrader_Austin]

borland, I'm not sure of a way to assign a variable name to BarsArray[]. I'll leave this ticket open so a coworker can get back to you with a definitive answer tomorrow.

[NinjaTrader_Bertrand]

borland, this should work, as your variables just contain the index given to the added series by the Add method, spotted a small type you would need to correct -

 
 
  Add("$COMPQ", PeriodType.Minute, 60);
      my_compq_60m_bar = 4;
      Add("$COMPQ", PeriodType.Day, 1);
      my_compq_60m_bar = 5;