A NinjaTrader strategy uses the session settings of the the main chart instrument it is associated with. Though it is possible to add new instruments to the strategy, all new bars confirm with the session settings of the main instrument. As a result you can not have some indicators which run on 24/7 bars and others which on RTH data only.
NT properly handles situations where their are some instruments which have 24/7 data (e.g. futures) and other instruments which are RTH only (e.g. Market Internals). The OnBarUpdate function is called as appropriate (at least on historical data). So the architecture does seem to support bars coming at different time periods.
The session associated with a strategy should be selectable at the bar level when an instrument is Added to the strategy. It should not be linked to the master instrument's session. This will allow the use of existing indicators on all bar series, whether 24/7 or RTH.
Right now, even if you do your own filtering to create the bar series you want analyzed there is no way to pack them into an iDataSeries object to pass them to indicators.
I am also wondering if there is a workaround possible by creating a new instrument via the Instrument Manager which has RTH only sessions and maps to the base instrument.
NT properly handles situations where their are some instruments which have 24/7 data (e.g. futures) and other instruments which are RTH only (e.g. Market Internals). The OnBarUpdate function is called as appropriate (at least on historical data). So the architecture does seem to support bars coming at different time periods.
The session associated with a strategy should be selectable at the bar level when an instrument is Added to the strategy. It should not be linked to the master instrument's session. This will allow the use of existing indicators on all bar series, whether 24/7 or RTH.
Right now, even if you do your own filtering to create the bar series you want analyzed there is no way to pack them into an iDataSeries object to pass them to indicators.
I am also wondering if there is a workaround possible by creating a new instrument via the Instrument Manager which has RTH only sessions and maps to the base instrument.
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