multitimeframe question

[rjngh2005]

Hi,

I was reading the following sample script

Question : Does this example have two time frames namely 5 minutes and 15 minute time frames

or

are there three time frames in the example below ?



copy of script is here below


SampleMultiTimeFrameOrders : Strategy

//
// Copyright (C) 2008, NinjaTrader LLC <www.ninjatrader.com>.
// NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release.
//
#region Using 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

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// Reference sample demonstrating how to submit orders to different bars arrays.
/// </summary>
[Description("Reference sample demonstrating how to submit orders to different bars arrays.")]
public class SampleMultiTimeFrameOrders : Strategy
{
#region Variables
// Wizard generated variables
// User defined variables (add any user defined variables below)
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
// Add a 5 minute Bars object to the strategy
Add(PeriodType.Minute, 5);

// Add a 15 minute Bars object to the strategy
Add(PeriodType.Minute, 15);

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
/* OnBarUpdate() method will execute this portion of the code when incoming ticks are on the
primary bar object. */
if (BarsInProgress == 1)
{
/* Checks if the 5 period SMA is decreasing in the secondary bar series (5min) and if it is below the 10
period SMA in the tertiary bar series (15min). */
if (SMA(5)[0] < SMA(5)[1] && SMA(5)[0] < SMA(BarsArray[2], 10)[0])
{
/* Exit the long position entered from the 15min bar object on a more granular time period.
This allows for more control in the management of your positions and can be used to improve
exit timing of your trades. */
ExitLong("Exit Long from 5min", "Enter Long from 15min");
}
}

/* OnBarUpdate() method will execute this portion of the code when incoming ticks are on the
tertiary bar object (15min). */
if (BarsInProgress == 2)
{
// Checks if the 25 period SMA is greater than the 50 period SMA on the 15min.
if (SMA(25)[0] > SMA(50)[0])
{
/* Enter long for 1 contract on the 15min bar object based on the barsInProgress parameter.
A value of 0=primary bars, 1=secondary bars, 2=tertiary bars */
EnterLong(2, 1, "Enter Long from 15min");
}
}
}

#region Properties
#endregion
}
}

[NinjaTrader_RyanM1]

rjngh2005,

There will be 3 total series. The primary series is the one that the strategy is applied to. Then the strategy adds two more in Initialize().

http://www.ninjatrader.com/support/helpGuides/nt7/multi_time_frame__instruments.htm

[rjngh2005]

If you want 3 time frames in the script....is the order important

say for example I have 5 minutes , 15 minutes, 30 minute time frames
is it important that the primary time frame is 5 minute or 30 minutes ?


second question

in the code below

if (BarsInProgress == 1)
{
/* Checks if the 5 period SMA is decreasing in the secondary bar series (5min) and if it is below the 10
period SMA in the tertiary bar series (15min). */
if (SMA(5)[0] < SMA(5)[1] && SMA(5)[0] < SMA(BarsArray[2], 10)[0])
{
/* Exit the long position entered from the 15min bar object on a more granular time period.
This allows for more control in the management of your positions and can be used to improve
exit timing of your trades. */
ExitLong("Exit Long from 5min", "Enter Long from 15min");
}
}


in particular the following code
(SMA(5)[0] < SMA(5)[1] && SMA(5)[0] < SMA(BarsArray[2], 10)[0])

since we are in the Secondary time frame section
does SMA(5)[0] refer to the primary, secondary or tertiary time frame ?

[NinjaTrader_RyanM1]

The order was important in NinjaTrader 6.5, but in 7 you can add series in any order.

BarsInProgress defines the context of updates. If you use this with BIP = 1
SMA(5)[0] - That's the SMA for the secondary series - the first one added in Initialize()

However, SMA(BarsArray[2], 10)[0])
Even though you access within BIP1, since you're accessing a multi-time frame value (BarsArray[2]), that will be the tertiary series - the second one added.

[rjngh2005]

The order was important in NinjaTrader 6.5, but in 7 you can add series in any order.

Since I am working with NT 6.5
could you explain more about the order for Primary, secondary, tertiary time frames please...?

[NinjaTrader_RyanM1]

In 6.5, added series interval should be smaller than the primary. If you're working with 5, 15, and 30 minute it should be:
Primary = 30
Secondary = 15
Tertiary = 5.

Unless you have a specific need to continue with 6.5, I suggest using NT7, especially for multiseries scripts.