Multi instrument, multi timeframe question...

[fxRichard]

In my strategy I want to compare against an index and where the price is at since open. To do this I do the following:

else if (State == State.Configure)
			{
				// add dow daily for comparison to index 1
				AddDataSeries("^DJIA", new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 }, "US Equities RTH", false);
				
				// add dow tick for comparison to index 2
				AddDataSeries("^DJIA", new BarsPeriod { BarsPeriodType = BarsPeriodType.Tick, Value = 1 }, "Default 24 x 7", false);

			}

Basically I'm loading daily data at index 1 and tick data at index 2. Thus on my main instruments update interval I am attempting to do something like the following:

double sinceOpen = Closes[2][0] - Opens[1][0];

However on a historical test it seems the Daily bar is not loaded until the day has passed and thus my tick data never has anything to compare against which makes sense since Ninja does not handle intrabar data in a backtest. Any other recommendations besides looking for the first tick of the day to determine opening price to compare against?

[NinjaTrader_PatrickH]

Hello fxRichard,

Thank you for your post.

You could use Tick Replay in the historical backtest allowing you to hard code the option Calculate to OnPriceChange and thus being able to see the intra-bar movement.

For information on Tick Replay please visit the following link: https://ninjatrader.com/support/help...ick_replay.htm

Please let me know if you have any questions.