Matrix with Ninja trader

[mrlogik]

I see what you mean.

Thanks sefstrat!

[stefy]

Hi mrlogik,

Thank you for the example, it's exactly what I was looking for!

When I tried to apply the concept to NT though, I got stuck again!

Assuming I'm working with Primary and Secondary Bars (to securities, BarsArray[0], BarsArray[1]), could you please show how I can build the matrix?

I don't understand how to go from:
sMatrix[0,0] = 1;
sMatrix[0,1] = 2;
sMatrix[1,0] = 3;
sMatrix[1,1] = 4;

to something like

sMatrix[,0] = BarsArray[0]
sMatrix[,1] = BarsArray[1]

Many thanks in advance!

A simple example of an integer matrix

//Define the matrix
int[,] sMatrix;

//Initialize the matrix and define the size
Initialize()
{
    //this is a 2x2 matrix
    int[,] sMatrix = new int[2,2];
}

//Now, lets use the matrix a little
OnBarUpdate()
{
    //matrix starts at index 0,0
    sMatrix[0,0] = 1;
    sMatrix[0,1] = 2;
    sMatrix[1,0] = 3;
    sMatrix[1,1] = 4;

  //this matrix looks like this in memory
  /*
    0   1 
   ---------
  0| 1 | 2 |
   ---------
  1| 3 | 4 |
    --------
  */    
}

Here's some more information

Hope this helps.

[mrlogik]

Stefy,

What type of data are you trying to save into the array? The example I gave will hold int type data; BarsArray[1] holds DataSeries type. Can you give a little more information as to what you're trying to do. It looks like you're trying to save bar (Open / High / Low / Close / Volume) data. If so, (can someone else comment) I believe you should have the ability to reference those directly from the BarsArray object.

[stefy]

Hi again mrlogik,

You're absolutely correct, BarsArray[1] holds DataSeries type. From your example, I changed already from int to double to consider prices.

I'm working on DIA (BarsArray[0]) and SPY (BarsArray[1]).
I want to calculate their covariance on the close prices, and then I want to run a multi regression on the close prices of those two securities.
So, I want to fill up a Matrix with:
sMatrix[,0] = BarsArray[0].Close
sMatrix[,1] = BarsArray[1].Close

If I can populate the matrix with BarsArray directly, that's also fine indeed. I would just like to know how to do it (an example would help). I tried to use the link from MSDN but didn't manage yet.

Thank you very much!

Stefy,

What type of data are you trying to save into the array? The example I gave will hold int type data; BarsArray[1] holds DataSeries type. Can you give a little more information as to what you're trying to do. It looks like you're trying to save bar (Open / High / Low / Close / Volume) data. If so, (can someone else comment) I believe you should have the ability to reference those directly from the BarsArray object.

[sefstrat]

stefy, try something like this:

for (int i = 0; i < CurrentBar; i++)
{
   sMatrix[0, i] = Closes[0][i];
   sMatrix[1, i] = Closes[1][i];
}

That is an oversimplified example but hopefully it will put you on the right track. Note that I assumed that all barseries have the same number of bars (ie, time based and using the same timeframe).