Writing to text file OnTermination()

[Beach01]

Hi,

I am overriding the OnTermination() method of my strategy to write to a text file.

When running the the market analyser for multiple instruments my understanding is that it is creating a new thread for each strategy. This is fine and I have put a lock around the OnTermination() method, however i need a way to determine if the Strategy is the first to be processed for the backtest run.

I need to write to the text file with the conditions:
(i) If it is the first strategy to be complete in the backtest then FileMode.Create
(ii) If it is NOT the first strategy to be processed in the backtest run then FileMode.Append

I tried to make a static bool firstRun = true which is set to false in OnTermination but this variable is never reset after running the first backtest.

I hope this makes sense

[NinjaTrader_CalH]

Beach01,

Thank you for your note.

I'm not sure I quite follow.

When you say backtest, you are referring to a backtest of the strategy, correct?

If not, could you please elaborate?

[Beach01]

Hi Cal,

Thanks for your reply, sorry for the confusion not sure if i have the terminology right...I am going to the Strategy Analyzer and running a back test on a bunch of stocks eg DOW 30 for my Strategy.

Basically what I want to achieve is to be able to get the data for all the trades for all the stocks (each stock has a trades tab) and dump them into a single excel file.


Thanks Mike

[NinjaTrader_CalH]

Beach01,

You can use the Microsoft.Office.Interop.Excel dll to read or write to an excel file.
http://msdn.microsoft.com/en-us/libr....interop.excel

Additionally, you can right click on the backtest results and export it to an Excel spreadsheet as well.

Let me know if I can be of further assistance.

[Beach01]

Hi Cal,

Thanks for the reply. The right click results and export to Excel is great for a few stocks but having to do this for 50+ stocks for each back test is not really feasible.

I will look into the Microsoft.Office.Interop.Excel but feel its over-complicating things when i can just write CSV to a text file and open in excel.

Is there an event i can hook onto when the back test kicks off? this would really help me to solve my problem.

Thanks,
Mike

[NinjaTrader_CalH]

Beach01,

OnTermination should still be called in the backtest. You can use that to hook into,
http://www.ninjatrader.com/support/h...rmination2.htm

[Beach01]

Hi Cal,

I don't think you are understanding the problem correctly. OnTermination() Gets called multiple times when running the backtest for multiple instruments.

I found a post with a similar with a similar problem please see here they may explain it better than i have

http://www.ninjatrader.com/support/forum/showthread.php?t=59848&highlight=Backtest+start

You can see that they have used a static variable but because the Market Analyser does not dispose of the strategy object after a run, the next run the variable is not reset.

So the person needed to recompile each time to force re-initialisation of the static variable.

So my question is...Is there some sort of back test run id we can access from the Market Analyser or an event when the backtest first runs? Does the Strategy reference the Market Analyser object?

I have a dirty solution at the moment which is assuming that back tests cannot be run within 2 seconds of each other

protected override void OnStartUp()
{
lock(_syncLock)
{
// this is used because the static variables only get initialised once not once every backtest run
// so assume the last
if (DateTime.Now.Subtract(_lastRun).TotalMilliseconds > 2000)
_isFirstRun = true;

_lastRun = DateTime.Now;
}
}

It would be more robust if we could read a backtest id or event or something similar

[NinjaTrader_Matthew]

Hi,

There is no backtest event you can hook onto to know when the backtest has started or completed.

However I can understand how this would be useful and will submit this as a feature request to consider in a potential future version.