Putting an Indicator inside a Strategy

[rcsingleton]

Hello.

I have an indicator that uses "Protected override void OnMarketData(MarketDataEventArgs e)" to gather realtime tick volume. This information is later used to build a trend indicator. This indicator can not be used in Market Replay, because it doesn't work with historical data, since NT 7 doesn't collect that data.

I want to put this code inside of an existing strategy I have, so that the trend indicators will generate automated signals.

Question. Do you see any reason why that won't work? Can I put OnMarketData inside of a strategy? Are there any NT indicator reserved words that can't exist inside of a strategy?

[NinjaTrader_JessicaP]

Hello rcsingleton, and thank you for your question.

Methods such as OnBarUpdate() and OnMarketData() are methods of the base Indicator and Strategy class, and are available in both. To demonstrate the difference, I have provided a small code sample, which does compile. If you attempted to run this, you would only see output from the Strategy, and not from the Indicator.

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class Example1470821 : Strategy
    {
        #region Variables
        // Wizard generated variables
        private int myInput0 = 1; // Default setting for MyInput0
        // User defined variables (add any user defined variables below)
        private MySMA sma;
        #endregion
        
        private class MySMA : SMA
        {
            protected override void OnBarUpdate()
            {
                Print("OnBarUpdate called from indicator");
            }
            protected override void OnMarketData(MarketDataEventArgs e)
            {
                Print("OnMarketData called from indicator");
            }
        }

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            sma = new MySMA();
            sma.CalculateOnBarClose = false;
            CalculateOnBarClose = false;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            Print("OnBarUpdate called from Strategy");
        }
        
        protected override void OnMarketData(MarketDataEventArgs e)
        {
            Print("OnMarketData called from Strategy");
        }

        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public int MyInput0
        {
            get { return myInput0; }
            set { myInput0 = Math.Max(1, value); }
        }
        #endregion
    }
}

All the event handling methods, such as OnBarUpdate, present in Indicators, are present in Strategies as well.

By the way, an indicator or strategy with OnMarketData() should work in Market Replay. It is not historical data. I am including a link to the Help Guide sections for Market Replay and Historical Data for more information.

http://ninjatrader.com/support/helpGuides/nt7/historical_data.htm

http://ninjatrader.com/support/helpGuides/nt7/historical_data.htm"