SMA on DataSeries using a 2nd Time Frame

[nlaporte]

Dear all,

I have the following setup:
- daily default time frame on a stock (primary time frame)
- 5 days time frame on the same stock (2nd time frame)

I compute on the 2nd time frame the Abs(Close-Open), using "BarsInProgress == 1"
As a consequence, it seems like that:
- when I am in "BarsInProgress == 0", the dataseries value is set to 0 (and not "empty").
- if I want to compute a moving average on the last x values of Abs(Close-Open), the result is obviously incorrect (it includes the "0" in the computation).

How can i solve that problem? Is there a way to define a DataSeries for a specific time frame (in my case my secondary, asking to store a value only every 5 bars)?

Thank you very much,
Best

Nicolas

[NinjaTrader_Lance]

Hello,

Try using Closes[][] instead of Close[] for your calculations

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

Please let me know if I can be of further assistance.

[nlaporte]

Hi

I am actually using Closes[][] and Opens[][]. Apologies for the lack of initial precision. I attach the all code so you can look at where I stand. I used an extensive number of "print" and that's where I spotted the issue with the generated dataseries beeing

Thanks a lot,
Best

Nicolas

[NinjaTrader_Lance]

Hello,

- when I am in "BarsInProgress == 0", the dataseries value is set to 0 (and not "empty").

Can you clarify which data series you are referring to? By default if no value is assigned to the dataseries it should return the closing price (this is a feature of NinjaScript to prevent a null reference exception)

- if I want to compute a moving average on the last x values of Abs(Close-Open), the result is obviously incorrect (it includes the "0" in the computation).

How can i solve that problem? Is there a way to define a DataSeries for a specific time frame (in my case my secondary, asking to store a value only every 5 bars)?

You may find that creating a time filter allows you to store the correct data you're trying to get.

http://www.ninjatrader.com/support/forum/showthread.php?t=3226

Perhaps I need some further clarification as to your goals as I'm not certain I fully understand what is wrong.

Please let me know if I can be of further assistance.

[nlaporte]

Hi Lance,

Looking at the code I sent you:
1. I define dataseries as variables with no specification regarding to which timeframe they will be used for --- can a dataseries be defined for a specific timeframe?
2. I feed the "myAbsOpenCloseSeries" only on "(BarsInProgress == 1)" BUT, to my surprise, each time there a new bar for the primary timeframe, "myAbsOpenCloseSeries" is set with a zero value ---- Am i missing something?
3. In order to have a chart with data not equal to zero, I added the line "myAbsOpenCloseSeries[0] = myAbsOpenCloseSeries[1];" for "(BarsInProgress == 0)". it works well but it leaves the issue that any stats using the "myAbsOpenCloseSeries" is incorrect (ex: SMA).

Hopefully i am a little clearer regarding my issue. The all idea of this post is to understand if created timeseries can only have bars related to their timeframe.

Thanks a lot for your help (and patience )

Nicolas

[NinjaTrader_Lance]

Hello,

1. I define dataseries as variables with no specification regarding to which timeframe they will be used for --- can a dataseries be defined for a specific timeframe?

Yes, the following will serve as a great example for doing so: http://ninjatrader.com/support/forum...ead.php?t=3572

2. I feed the "myAbsOpenCloseSeries" only on "(BarsInProgress == 1)" BUT, to my surprise, each time there a new bar for the primary timeframe, "myAbsOpenCloseSeries" is set with a zero value ---- Am i missing something?

Your data series is the size of the primary series and thus has 0s every time the second series is not updated. The above link should help you resolve this

3. In order to have a chart with data not equal to zero, I added the line "myAbsOpenCloseSeries[0] = myAbsOpenCloseSeries[1];" for "(BarsInProgress == 0)". it works well but it leaves the issue that any stats using the "myAbsOpenCloseSeries" is incorrect (ex: SMA).

Please let me know if the above example doesn't help with this as well.

[nlaporte]

Lance,

Thanks. The example file was exactly what I was looking for and it works fine.
One question regarding the time frames: does the principal time frame must be the highest frequency or there is no constraint on that side. If you have a H1 and a H4, both can be primary?
Best

Nicolas

[NinjaTrader_Matthew]

Nicolas,

There is no constraint here. You can either have the H1 as primary or H4 as primary. You can Add() another bars array in any sequence/timeframe that you wish.

[nlaporte]

Thanks Lance

Nicolas