Multi Time Frame Help

[antrux]

I have read and read and am not sure where the heck i'm going wrong here. I'm trying to run a minute chart that also looks at the same instrument as the chart but is instead in day bars. I've probably gotten something right out of all the combinations I've tried yet if it was it then appears that maybe no day data got loaded. Just not sure. Any advice would be much appreciated.

Also a few questions related.
If the primary chart is minute bars and part of the code looks at Day data say SMA(30 days bars) will it poll for 30 days worth of day bars from Kinetick or is it expecting that 30 days of minute data be preloaded on strategy run?

Should I expect any differences in say SMA(3 day bars) versus SMA(1170 minute bars)? "390 minutes a day x 3 days = 1170"

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
    public class TestBed : Strategy
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Enter the description for your new custom Strategy here.";
                Name                                        = "TestBed";
                Calculate                                    = Calculate.OnBarClose;
                EntriesPerDirection                            = 1;
                EntryHandling                                = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy                = false;
                ExitOnSessionCloseSeconds                    = 30;
                IsFillLimitOnTouch                            = false;
                MaximumBarsLookBack                            = MaximumBarsLookBack.Infinite;
                OrderFillResolution                            = OrderFillResolution.Standard;
                Slippage                                    = 0;
                TimeInForce                                    = TimeInForce.Gtc;
                TraceOrders                                    = false;
                RealtimeErrorHandling                        = RealtimeErrorHandling.IgnoreAllErrors;
                StopTargetHandling                            = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade                            = 0;
                DaysToLoad                                    = 10;
                // Disable this property for performance gains in Strategy Analyzer optimizations
                // See the Help Guide for additional information
                IsInstantiatedOnEachOptimizationIteration    = true;
            }
            else if (State == State.Configure)
            {
                AddDataSeries(BarsPeriodType.Day, 1);
            }
            else if (State == State.DataLoaded)
            {
//                AddDataSeries(BarsPeriodType.Day, 1);
            }
        }

        protected override void OnBarUpdate()
        {
//            if (CurrentBars[0] <= BarsRequiredToTrade )
//            Print("Not Enough Bars");
//            return; 

            //Print(SMA(Close, 1170)[0]);
            //Print(SMA(Close, 3)[0]);

//            Print(Closes[0][0]);
//            Print(" : ");
//            Print(Closes[1][0]);

            Print(CurrentBars[0] + " : " + Closes[0][0]);
            Print("---");
            Print(CurrentBars[1] + " : " + Closes[1][0]);
            Print("###########");








        }
    }
}

Thanks in advance,

[NinjaTrader_Jim]

Hello antrux,

Thanks for your post.

Data will be loaded going back as far as described in the Data Series window when configured on a chart or as specified when configuring the strategy in the Strategies tab of the Control Center.

If you have a 30 period SMA in your script that uses daily data and you apply your NinjaScript to a 1 minute chart, the chart will need to load 30 days of data or process 30 days of data before the SMA can calculate. This will have to include days filtered by a Trading Hours template.

In your script, although commented, I see that you have AddDataSeries in State.DataLoaded. When we should only call AddDataSeries in State.Configure.

For the thread's reference, I've included a link to our Multi Time Frame and Instruments documentation that can be used as a complete reference for creating multi series NinjaScripts. Help guide information is publicly available.

Multi Time Frame and Instruments - https://ninjatrader.com/support/help...nstruments.htm

Please let us know if you have any additional questions.

[antrux]

AddDataSeries is in the state.configure section in the code above.

I removed the check for CurrentBars1 just to see anything work. I can tell the chart to load 10 days of minute data before starting so it should have 10 days of minute bars and 10 day bars. I'm using Print to just see the current minute bar as well as the current Day bar values but can never see a value for the day bar.

This is why I've posted I can't get any day data to be produced.

[NinjaTrader_Jim]

Hello antrux,

I saw CurrentBars[1] and somehow read CurrentBars[1][1] this morning. This would be the case for Closes[1][0] for that daily bar. Sorry for any confusion, I grabbed a cup of coffee and updated my post for clarity. I also added a note regarding Trading Hours templates.

Here is a demo and test code showing 30 days of daily data printing after reloading the NinjaScript on the chart. As we can see, there are 20 bars of Daily data since the Trading Hours template limits these days.

Demo - https://drive.google.com/file/d/1Zmn...w?usp=drivesdk

protected override void OnStateChange()
{
    if (State == State.SetDefaults)
    {
        Description                                    = @"Enter the description for your new custom Indicator here.";
        Name                                        = "TestDailyBars";
        Calculate                                    = Calculate.OnBarClose;
    }
    else if (State == State.Configure)
    {
        AddDataSeries(Data.BarsPeriodType.Day, 1);
    }
}

protected override void OnBarUpdate()
{
    if(BarsInProgress == 1)
        Print(CurrentBars[1] + " " + Times[1][0]);
}

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

[antrux]

Jim,
From the original code posted if you compile and run it does it output properly?
See attached screenshot.

[NinjaTrader_Jim]

Hello antrux,

Your script is referencing the daily bar (Closes[1][0]) when the minute bar is processing, before the daily bar has been processed and would be available for reference.

You will need to add a CurrentBar check for the daily bar if (CurrentBars[1] < 1) return; so you are not referencing the daily bar on the minute bar, when the daily bar is not yet processed.

Let me know if you have any additional questions.

[antrux]

Since a strategy can't request Day bars from the data provider when on a minute chart, for some reason, that does make sense now. If the Day bar is created based on only the prior Minute bar's data then using US Equities RTH after say 390 minute bars one new Day bar should be available yes?

In testing this it doesn't seem to pan out though. See screenshot below.

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
    public class TestBed : Strategy
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Enter the description for your new custom Strategy here.";
                Name                                        = "TestBed";
                Calculate                                    = Calculate.OnBarClose;
                EntriesPerDirection                            = 1;
                EntryHandling                                = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy                = false;
                ExitOnSessionCloseSeconds                    = 30;
                IsFillLimitOnTouch                            = false;
                MaximumBarsLookBack                            = MaximumBarsLookBack.Infinite;
                OrderFillResolution                            = OrderFillResolution.Standard;
                Slippage                                    = 0;
                TimeInForce                                    = TimeInForce.Gtc;
                TraceOrders                                    = false;
                RealtimeErrorHandling                        = RealtimeErrorHandling.IgnoreAllErrors;
                StopTargetHandling                            = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade                            = 0;
                DaysToLoad                                    = 10;
                // Disable this property for performance gains in Strategy Analyzer optimizations
                // See the Help Guide for additional information
                IsInstantiatedOnEachOptimizationIteration    = true;
            }
            else if (State == State.Configure)
            {
                AddDataSeries(BarsPeriodType.Day, 1);
            }
            else if (State == State.DataLoaded)
            {
//                AddDataSeries(BarsPeriodType.Day, 1);
            }
        }

        protected override void OnBarUpdate()
        {
            // Should process 10 days of minute bars ~3,900
            Print("Minute " + CurrentBars[0] + " : " + Closes[0][0]);
            Print("---");
            // Should return for the first 1 day of minute bars ~390
            if (CurrentBars[1] < 1 )
            Print("Days - Not Enough Bars");
            return; 
            // Should print day bar data after ~390 minute bars
            Print("Day " + " : " + Closes[1][0]);
            Print("###########");

        }
    }
}

[NinjaTrader_Jim]

Hello antrux,

I've created a demonstration reviewing your code and how we can print out each iterating bar and see how OnBarUpdate unrolls that data.

Demo - https://drive.google.com/file/d/14Rt...w?usp=drivesdk

Let me know if there is anything else I can do to help.

[antrux]

Ok!
Damn it Jim I'm not a great coder and forgot those brackets. I blame it on autocorrect. <grin>
Thank you.
This makes perfect sense now.