Historical Candle Formation

[cp.trader]

Hi,

I have an indicator that needs to know how the candle forms. In real time this is not an issue.

This currently works in real time however when plotting historical markers if the candle is an outside candle the indicator needs to know whether the high or low formed first.
I can do this by adding an additional dataseries on a faster time frame however this seems inefficient as once the historical data has been processed there is no need to keep passing the faster time sereis to OnBarUpdate.

Also using a faster timeseries can still have a problem if the high and low was formed in one candle ie as in a news announcement..

Any suggestions would be appreciated.

[NinjaTrader_ChrisL]

Hi cp.trader, thanks for writing in. You can either use Tick Replay or add a 1 tick series to do this. Adding a 1 tick series would be the most efficient way to do this. I attached an example for reference.

Kind regards,
-ChrisL

[cp.trader]

Thankyou for your response. If this indicator was added to a number of larger charts such as the daily it would be very intensive also the tick data will not be stored for 365 days etc. Is it possible to determine an outside bar formation any other way?
Also when looking through the code I can't see what is used to determine the start and end of the candle being worked on. ie if this indicator was on a 5 minute chart how does it tell the start and end of the candle when using the tick data

[NinjaTrader_ChrisL]

Hi cp.trader, tick replay or a 1 tick series is the only way to replay the formation of bars in historical mode. Without this, all the system has is the OHLC of the bar. I attached a better example on how one would use a 1 tick series to do this. It generates Minute bars from tick data, so it builds minute bars and partitions them correctly. It demonstrates the logic needed to detect the start of each new bar.

Kind regards,
-ChrisL