Multi time frame and Multi Instrument

[markus1000]

Running a strategy on the FDAX on 1 minute data, i use the daily series to calculate some indicators on a daily basis and i want to add the FESX continious contract as a second instrument

protected override void Initialize()
{



Add(PeriodType.Day, 1);
Add("FESX ##-##", PeriodType.Minute, 1);


CalculateOnBarClose = false;
}

then i want to add a filter that i only want to trade if some conditions for the FESX are satisfied

protected override void OnBarUpdate()
{

....
#region FESX

if (BarsInProgress == 2)
{if (PriorDayOHLC().PriorClose[0] > CurrentDayOHL().CurrentOpen[0])
{} else {return;} }

if(Closes[2][0] > Opens[2][0]) {}
else{ return; }
#endregion
...

but the code doesnt seem to affect the strategy at all

[NinjaTrader_Joydeep]

Hello markus1000,
Thanks for the code snippet.

To assist you further, can you be a bit more explicit on what you are trying to do?

I look forward to assisting you further.

[markus1000]

i have a dax strategy and want to add a second instrument as a filter.

A cheap example the strategy goes long if Dax gaps up and if several conditions are satisified, and i want to add a filter that the strategy should only go long if the FESX also gaps up.

[NinjaTrader_Joydeep]

Hello markus1000,
Thanks for the information.

You need to integrate the 2 conditions using the && operator. The below code checks for the gap for both the instrument.

if (BarsInProgress == 0)
{
	if (this.PriorDayOHLC().PriorClose[0] > CurrentDayOHL().CurrentOpen[0] && this.PriorDayOHLC(Closes[2]).PriorClose[0] > CurrentDayOHL(Closes[2]).CurrentOpen[0])
	{
		//do something
	}
	
}

Please let me know if I can assist you any further

[markus1000]

ok thank you will test it later

but in general if i call

if (BarsInProgress == 2)
{if (PriorDayOHLC().PriorClose[0] > CurrentDayOHL().CurrentOpen[0])
{} else {return;} }

and then add the other filter in

..if (BarsInProgress == 0)
{if (PriorDayOHLC().PriorClose[0] > CurrentDayOHL().CurrentOpen[0])

isnt this basically the same like your code, maybe not that slick but..

and i made a small mistake in my OP. the following code is not active in my strategy

if(Closes[2][0] > Opens[2][0]) {}
else{ return; }
#endregion
...

[NinjaTrader_Joydeep]

Hello markus1000,
To assist you further can you please send a toy NinjaScript code* replicating the behavior to support[AT]ninjatrader[DOT]com

Please append Attn:Joydeep in the subject line of the email and give a reference of this thread in the body of the email.

I look forward to assisting you further.

*The "toy" just means something that is a stripped down version that isn't necessarily the whole logic. It makes things easier to rout out.