Multi Time Frame (MTF) Indicator

[Peter Cherry]

Hello,
I would like to display intra-day calculation results on daily chart.

There are 2 data series:
PRIMARY -> Daily bars (chart resolution)
SECONDARY -> 60min bars using ADD() function

Let's say the indicator calculation is now on daily bar 1.1.2014. How can I check all 60min opens against 100 on this date? Because this condition checks only the latest one 60min open...???

if (Opens[1][0] > 100)
do something on daily chart....

Thanks for hints
Peter

[NinjaTrader_ChelseaB]

Hi Peter,

Are you wanting to check the open of all 60 minute bar opens being higher than 100 back to the beginning of the data or just for the current day?

You will need to use a loop to find this information.

Below is a link to the help guide on Basic Programming Concepts -> Looping Commands.
http://www.ninjatrader.com/support/h...g_commands.htm

For all bars on chart, run on every bar:

for (var i=0; i<CurrentBars[1]; i++)
{
if (Opens[1][i] > 100)
{
// execute code
Print(Opens[1][i]);
}
}

For all bars within today's bar, run once on the last historical bar (you can have other code for each live bar):

if (Historical && CurrentBars[1] == BarsArray[1].Count-2)
{		
for (var i=CurrentBars[1]; i>=BarsArray[1].GetBar(Times[0][0].AddMinutes(1)); i--)
{
if (Opens[1][CurrentBars[1]-i] > 100)
{
// execute your code
Print(Times[1][CurrentBars[1]-i] + " - Open: " + Opens[1][CurrentBars[1]-i]);
}
}
}

I would also make sure that you are running this on one BarsInProgress.

As far as if this is run on each bar or on the last historical bar, you can use either. I just wanted to demonstrate both.

[Peter Cherry]

Hello,
what about to run the calculation directly on SECONDARY 60-min bar time series (within BarsInProgress == 1 block? No loops needed.

PROBLEM 1:
I don't know how to display result on PRIMARY plot.
My drawing buffers are inserted like this:
Add(new Plot(Color.FromKnownColor(KnownColor.Blue), PlotStyle.Dot, "DailyPlot"));

So again (now running on secondary 60-min series using BarsInProgress == 1 block)
if (Opens[1][0] > 100) DailyPlot[0] = 1; Is it possible?

PROBLEM 2:
The same for Dataseries added like this:
private DataSeries Trend;

It contains the same number of elements as bars in a chart, but I need number of elements equal to SECONDARY bars!

Thanks for help
Peter

[NinjaTrader_ChelseaB]

Hello Peter,

It depends on what you are trying to do.

You can choose to have the code run on the 60 minute BarsInProgress. It would then run once per 60 minute bar.

You could then change a variable if a value over 100 is detected and then use this variable in the BarsInProgress for the daily bar.

For example:

in #region Variables:
private bool over100 = false;

if (BarsInProgress == 1)
{
if (Open[0] > 100)
{
over100 = true;
}
}

if (BarsInProgress == 0)
{
if (over100 == true)
{
// execute code
}
}

Also, yes it is possible synchronize an added custom data series to a secondary instrument by using the BarsArray with the proper index. You would probably want to do this in OnStartup with BarsArray[1].

Below is a link to a reference sample that demonstrates this.
http://www.ninjatrader.com/support/forum/showthread.php?t=3572

[Peter Cherry]

Hello,
now I experience strange behavior. I wrote the following test within BarsInProgress == 1 (60-min block):

if (Opens[1][0] > 1845) //any 60-min open during the day
{
Print(Times[0][0]); //Primary 1day bar
Print(Times[1][0]); //Secondary 60min bar
}

Look at the screenshot. It is not true, that any price open was higher than 1845 on 21.2.2014 (see the screenshot).

Peter

[NinjaTrader_ChelseaB]

Hi Peter Cherry,

Try the following print:


Print("\r\nOpen BIP1: "+Opens[1][0]+" > "+1845);
if (Opens[1][0] > 1845) //any 60-min open during the day
{
Print(Times[0][0]); //Primary 1day bar
Print(Times[1][0]); //Secondary 60min bar
}

Please let me know what prints.

[Peter Cherry]

Hello ChelseaB,
it prints the following (run on Daily ES 06-14 chart):
I agree 1848,50 > 1845 on 24.2.214 but why Times[0][0] prints 21.2.2014 Daily bar?
.
.
.
Open BIP1: 1831 > 1845
Open BIP1: 1841,25 > 1845
Open BIP1: 1843,5 > 1845

Open BIP1: 1848,5 > 1845
21.2.2014 23:15:00
24.2.2014 19:00:00

Open BIP1: 1847,25 > 1845
21.2.2014 23:15:00
24.2.2014 20:00:00

Open BIP1: 1845,25 > 1845
21.2.2014 23:15:00
24.2.2014 21:00:00

Open BIP1: 1845,25 > 1845
21.2.2014 23:15:00
24.2.2014 22:00:00

Open BIP1: 1837,5 > 1845
Open BIP1: 1837,5 > 1845
.
.
.

[NinjaTrader_ChelseaB]

Hi Peter Cherry,

With Calculate on bar close set to True, Times[0][0] references the most completed daily bar.

On February 24th (a Monday) the most completed daily bar is from the previous Friday (Feb 21st).

(edit)
If you are wanting to use the open, high, or low of the current day use the CurrentDayOHL() indicator.

[Peter Cherry]

Hello ChelseaB,
clear, but I have CalculateOnBarClose = false !

The practical consequence of this problem is color line change (from blue to yellow) one day ahead of the actual condition (see the screenshot). This is part of the code (within BarsInProgress = 1 section):

if (Opens[1][0] > 1845)
{
Print(Times[0][0]);
Print(Times[1][0]);

BlueTmp[0]=0;
YellowTmp[0]=1845;

}
Line[0]= YellowTmp[0]; //Plot on the chart created by Add(new Plot......)

[NinjaTrader_ChelseaB]

Hi Peter Cherry,

Are you backtesting this or running it through the Market Replay?

Calculate on bar close is always true in historical data.

This is mentioned in the help guide under CalculateOnBarClose.
http://www.ninjatrader.com/support/h...onbarclose.htm


As I mentioned before, if you want the current day's OHL use the CurrentDayOHL indicator with the bar data of the secondary series.

For example:

if (CurrentDayOHL(BarsArray[1]).CurrentOpen[0] > Opens[0][0])
{
// execute code
}

[Peter Cherry]

Hi,
you are right, I am running the chart script on historical data.

I don't want to access current day's OHLC (it was just demonstrative example).
What I want is to display yellow line starting from proper day and not a day before as you can see on MTF problem III.jpg

Why this line from code above draw the yellow chart a one day before the actual condition?
Line[0]= YellowTmp[0]; //Plot on the daily chart created by Add(new Plot......)

[NinjaTrader_ChelseaB]

Hi Peter Cherry,

I'm not really able to discern anything from this screenshot.

What day does the print show that its triggered on?

What day does the color change on the chart (there are no dates in the screenshot).

What bars in progress is the plot being set on?

[Peter Cherry]

Hi ChelseaB,
but it is still the same, the whole problem is described again and again within this thread and documented on all 3 screenshots!

if (BarsInProgress == 1)
{
if (Opens[1][0] > 1845)
{
Print(Times[0][0]);
Print(Times[1][0]);
YellowTmp[0] = 1845;
}
}

Open BIP1: 1848,5 > 1845
21.2.2014 23:15:00
24.2.2014 19:00:00

As you wrote: "On February 24th (a Monday) the most completed daily bar is from the previous Friday (Feb 21st)."

Is this reason, why the yellow line starts one day before the actual condition is met?

if (BarsInProgress == 0)
Line[0]= YellowTmp[0]; //Plot on the daily chart created by Add(new Plot......)

Thanks
Peter

[NinjaTrader_ChelseaB]

Hello Peter Cherry,

May I have an export of your script so that I may test this on my end?

To export your script do the following:

1. Click File -> Utilities -> Export NinjaScript
2. Enter a unique name for the file in the value for 'File name:'
3. Select the strategy from the objects list on the left -> click the right facing arrow ">" to add the strategy to the export
4. Click the 'Export' button -> click 'yes' to add any referenced indicators to the export -> click OK to clear the export location message

By default your exported file will be in the following location:

• (My) Documents/NinjaTrader 7/bin/Custom/ExportNinjaScript/<export_file_name.zip>

Below is a link to the help guide on Exporting NinjaScripts.
http://www.ninjatrader.com/support/h...nt7/export.htm

Are you testing this on the ES?

What time zone are you in? (I ask because the ES starts trading on Sunday at 5:00 Central in the US meaning you should be getting a yellow print on Sunday)

[Peter Cherry]

Hi,
here you have exported example. Chart script run on ES. My timezone is Europe.
Thanks
Peter