Do I need a Multi-Time Frame Script?

[GeoOrtiz]

Hi All,

I have a script that trades on 1 minute bars. I want to add a filter to it so that it does not trade when the 14 day ATR on daily bars for the same instrument is below or above a certain level. Is there an easier way to get that 14 day ATR on daily bars reading (value) that does involved having the develop a multi-time frame script, which at my level of programming seems complicated? I mean, the script only needs to check this condition once at the beginning of the session and say "go" or "no go". Everything else is based on the 1 minute bars.

Any help is greatly appreciated.

[NinjaTrader_MichaelM]

Hello GeoOrtiz,

Thank you for writing in. Unfortunately this would either require a multi time frame script or a rewriting of the ATR indicator. With that being said, I have created an example that will let you ignore most of the issues that are commonly associated with working with multi time frame scripts:

#region Variables
  private ATR myATR;
#end region
protected override void Initialize()
{
Add(PeriodType.Day, 1);
myATR = ATR(BarsArray[1], 14);
CalculateOnBarClose = true;
}
protected override void OnBarUpdate()
{
  if(BarsInProgress == 0)
  {
    //Everything that you usually put inside OnBarUpdate would go inside here
    //myATR[0] is the most recent value of the 14 day ATR
  }
}

Please let me know if I may be of further assistance.

[GeoOrtiz]

Thank you MichaelM! I played around with your code and made it work for my purposes. I did have a problem with the "myATR = ATR(BarsArray[1], 14);" statement, but I figure out another way to do it. Thanks again!

[NinjaTrader_MichaelM]

Hello GeoOrtiz,

Thank you for the update. I am glad to hear you were able to make the code work for your purposes.

Please let me know if I may be of further assistance anytime.