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Multi-Instrument Strategies

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    Multi-Instrument Strategies

    Hi.

    This is a question about how the series are calculated.

    For example:

    I want to make a strategy on ES that uses an RSI that works on FDAX.

    What I'd like to know is what session template is used on FDAX to calculated the RSI.

    The RSI is calculated using all historical data (24/7)? It is calculated using the session template in the Instrument Editor of the FDAX? Other?

    Thank you in advance.
    Last edited by Plaket; 07-23-2013, 02:56 AM.

    #2
    Hi Plaket, here's an excerpt from the docs showing the logic for deciding which template to use for those series -

    If a multi-series script adds an additional Bars object that already exists on the chart, the script will use the preexisting series instead of creating a new one to conserve memory. This includes that series' session template as applied from the chart. If the Bars object does not exist on the chart, the session template of the added Bars object will be the session template of the primary Bars object. If the primary Bars object is using the "<Use instrument settings>" session template then the additional Bars objects will use the default session templates as defined for their particular instruments in the Instrument Manager.
    BertrandNinjaTrader Customer Service

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      #3
      Thank you Bertrand. I have a doubt about this part (my secondary bars object does not exist on the chart):

      If the Bars object does not exist on the chart, the session template of the added Bars object will be the session template of the primary Bars object. If the primary Bars object is using the "<Use instrument settings>" session template then the additional Bars objects will use the default session templates as defined for their particular instruments in the Instrument Manager.

      Let’s say that I have two symbols:

      Primary Bars object: ES
      Secondary Bars object: FDAX.

      And the next ones session templates in the Instrument Editor ("<Use instrument settings>"):

      ES-> Instrument Editor -> CME Index Futures RTH

      FDAX-> Instrument Editor -> Eurex Equity Index Futures

      Then, if I use a strategy on ES (using the template "<Use instrument settings>" / CME Index Futures RTH) that uses FDAX data series, the session template that will be used in the FDAX data series is Eurex Equity Index Futures. Is it true?

      Thank you so much.

      Comment


        #4
        That is correct, in the <Use Instrument Settings> case it goes to the defaults you have set for each master instrument.
        BertrandNinjaTrader Customer Service

        Comment


          #5
          Great Bertrand. Thank you.

          And the last question please.

          Following my example, I understand that if I have a workspace with the two symbols charting simultaneously (ES and FDAX, both using their own session template <Use instrument settings>") the same way to calculated the series is applied. At this case the secondary bars object (FDAX) will be calculated using its own session template (Eurex Equity Index Futures). Is it Ok?

          Thank you in advance.
          Last edited by Plaket; 07-23-2013, 03:57 AM.

          Comment


            #6
            You are correct, in this case as well the series would use the default you have spec'ed under Tools > Instrument Manager and as the series is present already on the chart > the script will make use of it conserving memory.
            BertrandNinjaTrader Customer Service

            Comment

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