Making A Multi Instrument % Spread Indicator

[vt2009]

I have almost no experience and I am trying to make an indicator that measures % deviation from another instrument. I have read the multi instrument series chapter. I have in my Initialize method:
Add("XXX",PeriodType.Minute, 1);
Add(new Plot(Color.FromKnownColor(KnownColor.Green), PlotStyle.Line, "Spread"));
CalculateOnBarClose = true;
Overlay = true;


What math logic in my OnBarUpdate will take the percent change from the first bars price? I want the y axis to be percent with 0 as the baseline. For an example, go to google finance and compare 2 stocks...I want this type of graph.

[NinjaTrader_Austin]

vt2009, we can help you out with specific errors and such but due to time and bandwidth limitations, we can't create specific indicators/strategies. If you get something going and you feel like it isn't working how it should, let us know and we'll take a look.

However, I can give you hints/tips:

You will need to create two variables that will store the first bar's price. Lets call these values inst0start and inst1start.

In OnBarUpdate(), when CurrentBar == 0, set those values.

You can use either Closes[1][0] to obtain the secondary instrument's most recent closing price or in OnBarUpdate() with an if (BarsInProgress == 1) { inst1start = Close[0];}

For the primary instrument's most recent price, you can use Closes[0][0]. Or the same check as above but with BarsInProgress == 0.

To get the percent change, you just have to manipulate the current prices verse the price from the start.

Please let us know if you have any other questions.

[vt2009]

protectedoverridevoid OnBarUpdate()
{

// Use this method for calculating your indicator values. Assign a value to each
// plot below by replacing 'Close[0]' with your own formula.
If CurrentBar == 0;
int inst0start=Close[0][0];
int inst1start=Close[1][0];


}

Like this? Please be more clear. I only need to know 1 way to do it.

[NinjaTrader_Austin]

vt2009, I'm not supposed to do this and do not expect complete scripts from us in the future, but I had this script laying around so here it is:

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
    /// <summary>
    /// Enter the description of your new custom indicator here
    /// </summary>
    [Description("Enter the description of your new custom indicator here")]
    public class PercentDifference : Indicator
    {
        #region Variables
        private string secondInstrument = @"TF 06-10"; // Default setting for SecondInstrument
        private double inst0start, inst1start = 0;
        private double inst0chg, inst1chg = 0;
        private double inst0pct, inst1pct = 0;
        private double difference = 0;
        #endregion

        /// <summary>
        /// This method is used to configure the indicator and is called once before any bar data is loaded.
        /// </summary>
        protected override void Initialize()
        {
            Add(secondInstrument, PeriodType.Minute, 1);
            Add(new Plot(Color.FromKnownColor(KnownColor.Orange), PlotStyle.Line, "PercentPlot"));
            Add(new Line(Color.FromKnownColor(KnownColor.Black), 0, "ZeroLine"));
            Overlay                = false;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            if (CurrentBar == 0 && BarsInProgress == 1)
            {
                inst0start = Closes[0][0];
                inst1start = Closes[1][0];
            }
            inst0chg = Closes[0][0] - inst0start;
            inst1chg = Closes[1][0] - inst1start;
            
            inst0pct = inst0chg / inst0start * 100;
            inst1pct = inst1chg / inst1start * 100;
            
            difference = inst1pct - inst0pct;
            
            PercentPlot.Set(difference);
        }

        #region Properties
        [Browsable(false)]    // this line prevents the data series from being displayed in the indicator properties dialog, do not remove
        [XmlIgnore()]        // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
        public DataSeries PercentPlot
        {
            get { return Values[0]; }
        }

        [Description("")]
        [Category("Parameters")]
        public string SecondInstrument
        {
            get { return secondInstrument; }
            set { secondInstrument = value; }
        }
        #endregion
    }
}

Hopefully you'll be able to modify it to suit your needs.

[vt2009]

Very Beneficial

Extremely helpful. The spread I am making uses a logarithmic ratio- here is how I modified the code but for some reason it doesnt want to plot. Any suggestions?

protectedoverridevoid OnBarUpdate()
{
if (CurrentBar == 0 && BarsInProgress == 1)
{
inst0start = Closes[0][0];
inst1start = Closes[1][0];
}
inst0chg = Closes[0][0] - inst0start;
inst1chg = Closes[1][0] - inst1start;

inst0pct = inst0chg / inst0start * 100;
inst1pct = inst1chg / inst1start * 100;

double LogRatio= Math.Log(inst1chg/inst0chg);

PercentPlot.Set(LogRatio);

}

[NinjaTrader_Bertrand]

At the first bar of the OnBarUpdate() you reference one bar back, this will throw an error to the log tab -

http://www.ninjatrader-support2.com/vb/showthread.php?t=3170

[NinjaTrader_Austin]

vt2009, you can't take a log of a negative number, which is probably why it isn't plotting. If either inst0chg or inst1chg is negative, that will make the ratio negative, which would give you an imaginary answer.

[dennho]

I am also looking into a multiinstrument indicator and I tried to compile the attached script posted by Austin. The part in the script I am having trouble with is this part:

protected override void Initialize()
{
Add(secondInstrument, PeriodType.Minute, 1);
...
}


I am getting a compile time error that says "No overload for method 'Add' takes '3' arguments. So I am curious as to how you compiled this indicator? Add only takes a plot or a line as far as I can see. I understand that in strategies, there is an Add() function that takes the three parameters but not in indicators, and I thought this was an indicator that is being talked about?

[NinjaTrader_RyanM1]

Hello dennho,

Multiseries support has been added to indicators only in version 7. For charting multiseries in version 6.5 you will have to plot from a strategy.

Your code should compile in an indicator in version 7. This version is in public beta and you can download at the link below:
http://www.ninjatrader.com/webnew/download_trading_software.htm

[dennho]

Oh I see then. Thanks for the fast reply!

[crmtrade]

Hi, New to the forum.

Can anyone paste the completed version of this code or PM it to me? Do not have much program knowledge.

[crmtrade]

Used code above and it has compiled. How do I use it as an indicator now? It isn't showing up in the indicator list and Ive saved it.

[NinjaTrader_Austin]

crmtrade, just to double check, you've hit the F5 key to compile it and received no errors? After that, when you're trying to apply it to a chart, it is not appearing in the indicator list? Could you try restarting NinjaTrader? The indicator would be called PercentDifference in the indicator list.

[crmtrade]

Alright have it going. Now is it possible to have the chart display % change like google finance? That way I can see the percentage difference between the 2 % change numbers.

[NinjaTrader_Austin]

crmtrade, you can just apply the indicator twice and pick two different instruments in the indicator settings.