Using ATR value of different time frame

[Gianpiero]

Hi!

I'm quite new at programming in NinjaScript, but I'd like to develop an indicator based on the ATR value of a higher time frame. In particular, I'd like to use the ATR value of the prior day in an intraday chart. I trade only the CAC40 on Euronext and the DAX on Eurex, so I do not have overnight sessions. Say I have a tick chart. In order to plot my indicator, I need to know the Initial Balance of the current day and the value of the ATR for the previous day, either defined as a proper day unit or as day made of 1440 minutes.

Would you please suggest me how to do that? I would much appreciate your help!

[NinjaTrader_CalH]

Hello Gianpiero,

Thank you for your post.

You would want to take a look at Multi-Timeframe and instruments programming with NinjaScript. I am attaching a link below on tips with using this -
http://www.ninjatrader.com/support/h...nstruments.htm

Let me know if I can be of further assistance.

[Gianpiero]

Thanks a lot Cal!

Then I shoud add an additional Bars object with this instruction:

Add(PeriodType.Minute, 1440);

Then I could refer to the ATR value for the prior day with the following instruction:

double atrLevel = ATR(BarsArray[1], 20)[1];

Would you please confirm me that I understood correctly?

[NinjaTrader_CalH]

Gianpiero,

Are you going to be running this with CalculateOnBarClose (COBC) set to true or false?

If you are running true then you would want to use -
ATR(BarsArray[1], 20)[0] which will give you the previous day

While, ATR(BarsArray[1], 20)[1] will give you two days ago, unless this is set with COBC false, then you will get the previous day

[Gianpiero]

OK, thank you, but I get an error I cannot understand: "Error on calling 'OnBarUpdate' method for indicator ... on bar 30: You are accessing an index that is invalid since it's out of range. I.E. accessing an series [barsAgo] wiyh a value of 5 when there are only 4 bars on the chart."

I guess the offending statement is the following:

double atrLevel = ATR(BarsArray[1], 30)[0];

and this is the series that I added to my tick chart:

Add(PeriodType.Minute, 1440);

From the message I figured that I don't have enough days, but how could that be possible? I tried to check to have enough bars with:

if (CurrentBar < 30)
return;

though I suppose that this instruction refers to the primary series and not to the second. How would I check to have enough bars for the second one?

[NinjaTrader_CalH]

Gianpiero,

Ensure that you have more than 30 days load for the Primary data series for the chart.

Additionally, you may want to run a CurrentBars check in the OnBarUpdate(). See the sample below for more info -
http://www.ninjatrader.com/support/f...ead.php?t=3170