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IsExitOnSessionCloseStrategy for multi-instrument timeframe strategy

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    IsExitOnSessionCloseStrategy for multi-instrument timeframe strategy

    When setting IsExitOnSessionCloseStrategy = true;

    for an array

    AddDataSeries("CL 10-20", new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 330 }, "Nymex Energy RTH");
    AddDataSeries("CL 10-20", new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 1110 }, "Nymex Energy Night");
    // Europe Futures
    AddDataSeries("FESX 09-20", new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 540 }, "Euronext GMT Index Futures RTH2"); // 19

    // Asia Futures
    AddDataSeries("NKY 09-20", new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 375 }, "SGX Nikkei Index Futures"); // 20


    Will this setting close any open positions at each discrete session / instrument session close? In other words does the setting "IsExitOnSessionCloseStrategy = true;" work for each independent session and instrument in isolation, and leave other array positions untouched?

    Regards

    #2
    Hello, thanks for your post.

    Please see the notes on this page for scenarios where you have multiple bars objects of the same instrument:

    https://ninjatrader.com/support/help...ionInformation

    To summarize, the orders should only be placed on the primary instrument and not the additional time frames of the same instrument so that the end of session closing logic is applied properly.

    Please let me know if you have any questions on this material.
    Chris L.NinjaTrader Customer Service

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