Prior Day values using GetBar

[ij001]

Hi there

I created a method that finds the High and Low of yesterdays values from a specific point in time using DateTime.

startDateTime = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day-1, 10, 00, 0);

int barsAgo = CurrentBar - Bars.GetBar(startDateTime); // Store price data from 10:30 AM

getHighestHigh = MAX(High, 1)[barsAgo];
...

It works fine except when I get to Monday then it spits out values that are maybe from Sunday since they are futures?

I prefer only US Equities RTH and assumed it would only use Monday-Friday...

Do I have to add a line that specifies the days?

Irvin

[ij001]

Ooops - I think I found my reply in SampleGetBar:

/* If the day is Monday, and we want the value from Friday, we must subtract 3 days from the current date.
If the day is Tuesday-Friday, just subtract one day. */
if (Time[0].DayOfWeek == DayOfWeek.Monday)
timeOfInterest = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day - 3, 9, 30, 0);
else
timeOfInterest = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day - 1, 9, 30, 0);

[NinjaTrader_Matthew]

Hello,

That should work for you. Let me know if you have any questions on these references.

[ij001]

I added the below code and Tuesday through Friday work but now on Monday I get an output msg:


2780.5 3/28/2012 10:00:00 AM
2774.5 3/28/2012 10:00:00 AM
2790.25 3/29/2012 10:00:00 AM
2779.5 3/29/2012 10:00:00 AM
2766.5 3/30/2012 10:00:00 AM
2752 3/30/2012 10:00:00 AM
Error on calling 'OnBarUpdate' method for indicator 'MyMethodDrawFibs' on bar 52: You are accessing an index with a value that is invalid since its out of range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.

I don't understand why it doesnt work like the template -3 will get you back to Friday but barsAgo doesn't have enough bars on the chart?

[NinjaTrader_Matthew]

Hello,

Have you added a currentbar check to ensure that there are enough bars to calculate?

Please try adding if(CurrentBar < barsAgo) return; to the beginning of your OnBarUpdate method.

[ij001]

Yes, but that didn't help.

I broke it down and started literally counting and am starting to think its my example where its Friday at end of month, so the -3 doesn't point to anything.

That is:

Friday May 30, 2012 and I'm comparing Monday May 2nd

I probably need to factor in end of month?

[ij001]

Update: I added more days to view in my chart and it does work but gives the same message only at the end of the month. So its simply comparing dates at the end of the months...

[NinjaTrader_Matthew]

Hmm... yeah from this approach you would need to add logic for the end of the month. You are essentially emulating functionally that exists when using a session tempalte.

Lets take a step back here: you're sure that using the session template of US Equities RTH there are values being printed from outside those hours? Can I see an example of this?

[ij001]

Yes, I am using US Equities RTH.

Is there a better approach?

I can't seem to figure out the logic for comparing the months because we are not able to simply comparing from Time[0] to Time[1].

To clarify, the snippet of code works except for the Monday at end of the month. So a couple of times a month its okay, lol.

The reason, I believe has nothing to do with US Equities RTH as I mentioned earlier but the fact that we are comparing days and it has switched months.

This approach was from the provided template so there much be an issue there as well?

[NinjaTrader_Matthew]

You're on the right track, however there will need to have custom code to handle this.

You would need to use something that is basically saying, if "the .Day value for the given bars ago interest time" is between 1 and 7, then Subtract 1 for the month of interest

[ij001]

You're on the right track, however there will need to have custom code to handle this.

You would need to use something that is basically saying, if "the .Day value for the given bars ago interest time" is between 1 and 7, then Subtract 1 for the month of interest

Let me see if I follow you.

The time of interest is say - 9:30 AM so we define it with:

timeOfInterest = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day, 9, 30, 0);

Then

int myBarsAgo = GetBar(timeOfInterest);

But how will - if myBarsAgo >= 1 && myBarsAgo <= 7
Time[0].Month-1 help?

Sorry - I guess I'm not following because I went by the provided template and also searched the forum for like examples but each of them has the same error that I don't see corrected...


Irvin

[NinjaTrader_Matthew]

Hello,

There reference sample would also exhibit this behavior and was not designed to provide solutions to all items you might run into in this area. These are just used to help point you in the right direction.

You will need to add custom logic which is missing from the reference sample to handle the month breaks.

You should compare the Time[barsAgo] for that Day

if (Time[barsago].Day >= 1 && Time[barsago].day <=7) 
//make my month special

[ij001]

Thanks Matthew for your suggestion.

Below is the code I wrote.

Hopefully it proves useful to somebody searching on this exact topic and helps avoid wasting time.

I went with more of a nested approach because after struggling with this easy concept it was the only way I could process all of the different scenarios in my head.

Please note: I commented out the print statements and return but they are there so you can test them if neccessary.

After correctly identifying the dates, go ahead and use the barsAgo for whatever you need it to.

I ended up using barsAgo with the MAX function to find the maximum values at 10 AM for any time interval on any timeframe.

I'm interested in opening range trading as they say ...

Cheers.
Irvin

#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.Gui.Chart;
#endregion
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
[Description("")]
public class MyMethod : Indicator
{
#region Variables
private DateTime startDateTime;
 
 
#endregion
 
protected override void Initialize()
{
Overlay = true;
CalculateOnBarClose = true;
}
 
protected override void OnBarUpdate()
{
 
if (
Bars.FirstBarOfSession && // Display only once a session
CurrentBar > 0 && // My preference to start after the first bar of the session
Time[0].DayOfWeek != DayOfWeek.Saturday && // No weekends
Time[0].DayOfWeek != DayOfWeek.Sunday // No weekends
)
{
if (Time[0].DayOfWeek != DayOfWeek.Monday) // Don't deal with Monday here
{
if (Time[0].Day-1 > 0) // Avoid crashing here because of beginning of month
{ 
startDateTime = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day-1, 10, 00, 0); // Set time to previous day 10 AM
//Print("Day of Week: "+Time[0].DayOfWeek+" "+startDateTime+" | "+Time[0].ToString());
}
 
if (Time[0].Day-1 == 0) // 1st day of beginning of month. Since don't deal with Monday here only worried about first of month
{ 
startDateTime = new DateTime(Time[0].Year, Time[0].Month-1, Time[0].Day-1+DateTime.DaysInMonth(Time[0].Year, Time[0].Month-1), 10, 00, 0); // Subtract month by 1, days by 1 but add the previous Months days
//Print("Days in Month: "+DateTime.DaysInMonth(Time[0].Year, Time[0].Month-1)+" | "+Time[0].ToString());
//Print("Day of Week: "+Time[0].DayOfWeek+" and 1st of Month: "+startDateTime+" | "+Time[0].ToString());
//return;
}
}
 
else if(Time[0].DayOfWeek == DayOfWeek.Monday) // if its Monday
{
if(Time[0].Day-3 > 0) // and its not beginning of month so wont crash
{ 
startDateTime = new DateTime(Time[0].Year, Time[0].Month, Time[0].Day-3, 10, 00, 0); // Set time to previous day 10 AM
//Print("Monday so get Friday: "+startDateTime+" | "+Time[0].ToString());
}
 
if (
Time[0].Day-3 == -2 ||
Time[0].Day-3 == -1 ||
Time[0].Day-3 == 0
) 
{ 
startDateTime = new DateTime(Time[0].Year, Time[0].Month-1, Time[0].Day-3+DateTime.DaysInMonth(Time[0].Year, Time[0].Month-1), 10, 00, 0); // Subtract month by 1, days by 1 but add the previous Months days
//Print("Days in Month: "+DateTime.DaysInMonth(Time[0].Year, Time[0].Month-1)+" | "+Time[0].ToString());
//Print("Day of Week: "+Time[0].DayOfWeek+" and 1st of Month: "+startDateTime+" | "+Time[0].ToString());
//return;
}
}
}
}
 
#region Properties
 
#endregion
}
}