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Most efficient bar type?
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Most efficient bar type?
Hey guys lets say you have a strategy and you want to know when an instrument first trades at a certain price which would be the most efficient type of bar to use within a strategy? Betterrenko, Renko, Tick or does it matter?Tags: None
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Hello elitetradernyc,
By most efficient bar type are you asking which bar type has the least amount of code?
Are you asking which bar type will result in more OnBarUpdate calls to your code?
Are you asking which bar type uses the least amount of memory?
Are you asking which will cause your strategy to run the fastest?
I look forward to your reply.Chelsea B.NinjaTrader Customer Service
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Hello elitetradernyc,
Each tick bar, minute bar, and daily bar is going to process at the same speed. Each bar has an open, high, low, close, and volume. These four price points and the volume is basically the same for these 3 bar types.
At this point, the amount of bars will determine how fast the script runs. There will be several 1 tick bars within 1 minute. There will be up to 1440 minutes in each day.
In other words, testing 5 days of 1 day data is much much faster than testing 5 days of 1 minute data which is much much faster than testing 5 days of 1 tick data.
Kagi, renko, range, point and figure, line break etc, has more code and will use one of the underlying bar types of tick minute or day.
These bar types will require more processing power and time to process.Chelsea B.NinjaTrader Customer Service
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Originally posted by elitetradernyc View PostHey guys lets say you have a strategy and you want to know when an instrument first trades at a certain price which would be the most efficient type of bar to use within a strategy? Betterrenko, Renko, Tick or does it matter?
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Hello outsource,
There are no bar types that are built into NinjaTrader that distort the data in this way of stretching over the gaps of data.
The gaps are caused by the high and low of the ticks received during that time interval. If you are using an RTH session template there will be a gap between the close of the previous session and the open of the current from the overnight trading that would be seen with an ETH session template.
You can try using an imported bar type or using your own. Just keep in mind that custom bar types are not supported by NinjaTrader Platform Support.Chelsea B.NinjaTrader Customer Service
Comment
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Originally posted by NinjaTrader_ChelseaB View PostHello outsource,
There are no bar types that are built into NinjaTrader that distort the data in this way of stretching over the gaps of data.
The gaps are caused by the high and low of the ticks received during that time interval. If you are using an RTH session template there will be a gap between the close of the previous session and the open of the current from the overnight trading that would be seen with an ETH session template.
You can try using an imported bar type or using your own. Just keep in mind that custom bar types are not supported by NinjaTrader Platform Support.
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