Multi-Time Frame BarUpdate, Entries and Exits

[davidt07]

Hi again everyone,

I'm wondering, is it possible on a Multi-TimeFrame strategy that employs let's say a 2 minute bar time frame and 20 minute bar time frame to have conditions set on the 2 minute bar OnBarUpdate to Enter a position and on the 20 minute bar, conditions on it's OnBarUpdate set to Exit the previous entries with a set limit of direction to 1?

What I'd like essentially is to use 1 type of BarObject to specifically trigger Entries and another BarObject type to Exit.

I cannot seem to get my head around this logic yet with Ninja Script. Any help would be appreciated.

Thanks

David

[NinjaTrader_Matthew]

Hello David,

Yes, this would be possible. Please see our Strategy Reference Sample on Entering on one time frame and exiting on another:

http://www.ninjatrader.com/support/forum/showthread.php?t=5787

Please let me know if you have additional questions.

[davidt07]

Thank you for this, that is excellent, I'm now browsing all the reference strategy guides!

Just one quick question, is it possible for Ninja Trader to automatically cancel an automated order from a strategy trigger if lets say that order was not filled by x amount of time, x move of bars or x move of price?

I'm using Ninja Trader with IQFeed as my feed and Interactive Brokers as my online broker.

Thank you again,

David

[NinjaTrader_Matthew]

David,

Yes, this would also be possible using CancelOrder()

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?cancelorder.htm

The help guide will show an example of how to cancel after X number of bars, however, you would also be able to use a DateTime condition if needed.

[davidt07]

Nice, it seems like Ninja Trader has thought of everything.

And I have one more question please. Is it possible to when using Multi-TimeFrames to have lets say triggers set off on the close of the 2 minute bar, CalculateOnBarClose = true, BUT calculations and triggers to be set off by the 20 minute bar by the incoming ticks? e.g. CalculateOnBarclose = false, meaning that calcs and triggers will be calculated for the second time frame as each individual tick arrive?

Thanks

David

[NinjaTrader_Matthew]

David,

Yes, also possible! There is a reference sample on this subject as well:

Strategy: Separating logic to either calculate once on bar close or on every tick

http://www.ninjatrader.com/support/forum/showthread.php?t=19387

Please let me know if you have any questions on any of these methods or properties.

[davidt07]

Seriously, wow! lol, Is there anything that Ninja Trader didn't think of??? I really need to get myself a Lifetime license!

I hope lastly, consider this

(MACD(BarsArray[1], 12, 26, 9)[1]

Firstly, to verify,the last [1] signifies that I am request that value of the MACD for the bar previous to the current bar as the current bar index is [0] right?

Also, how do I get the MACD Difference value? I'm more interested in the Difference Value rather than the Avg and MACD values.

Thanks

David

[NinjaTrader_Matthew]

David,

You would need to specify .Diff after the MACD() method:

MACD(BarsArray[1], 12, 26, 9).Diff[1];

The snippet above would give you the MACD Difference value of the secondary data series one bar ago.

More information on the MACD() method can be found below:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?moving_average_convergence_divergence_macd.htm

[davidt07]

Thank you for the snippet, very helpful indeed. So if I have set

CalculateOnBarClose = false;

how do I get the value of the current tick? the current Last Traded Price?

Consider that I have 2 objects, 2 minutes and 20 minutes

So what I've done is, in my Initialize() I've set CalculateOnBarClose = false; Then in my OnBarUpdate() I test for the

if (FirstTickOfBar) //because I only want triggers on close of bars
{
//Entry
if (BarsInProgress == 1) //this would give me my 2 minute bar object
{
//I want to test current tick price against my intra formed 20 minute bar EMA values, BarsArray[2]
//if condition is good EnterLong(1);
}
//Exit
if (BarInProgress == 2)
{
//On Bar Close Condition
//ExitLong(1)
}
}

I'm wondering, is the above possible? Especially the condition for entering the EnterLong(1)

Thank you

David

[NinjaTrader_Matthew]

David,

If you're using Calculate On Bar Close == false, you can just use Close[0] to get the price of the current tick. This can be used and compared to other series you have added to the code

[davidt07]

And the condition of the BarsArray[2] inside the BarsArray[1] is possible?

[NinjaTrader_Matthew]

Hello,

Yes, as long as you are working within the correct BarsInProgress context.

Close[0] will give you the close of the first data series. You can compare this do your indicator using BarsArray[1].

Please let me know if you need further clarification

[davidt07]

Hi Matthew, well, erm... would it be possible to take a look at my earlier post with some of my pseudo logic code?

I think you may find that I maybe in the wrong BarInProgress context? I need your verification.

From what you are saying, it seems like Ninja Trader is finally NOT flexible enough to do my simple requirement? Sad :-(

Thanks

David

[NinjaTrader_Matthew]

David,

I see - you can just add another check that you are in BIP 1 and 2 when checking for that entry signal

if (BarsInProgress == 1 && BarsInProgress == 2) // this would give you the 2 minute bar and allow you to also check the Bars in the 2nd array as well.

Then you could just run a check for if (BarsInProgress == 2) to work only in the context of your exit condition you want to check.

[davidt07]

Okay, I will give that a shot. One thing however about the CurrentTick, if I am using something like RangeBars instead of TimeFrame bars, Close[0] would not get me the CurrentTick price because RangeBars closes due to the CurrentTick being out of Range.

How would I get the CurrentTick price in this instance if I am working with RangeBars, Renko or similar type bars?

Thanks

David