Please confirm / correct my understanding, in the situation where:
- you have a single time frame single instrument strategy,
- the strategy is applied to multiple time frames on a single instrument (e.g. CL 09-17 15min, 30min, and 60min), and
- you want each time frame strategy to operate independently of other time frames.
Where the strategy is applied as three separate strategies in the Strategies Tab (Running a NinjaScriptStrategy from the Strategies Tab), you will run into issues Syncing Account Positions under the default setting "Wait until flat". For example, where the 60min strategy is long one contract in Account Position and Strategy Position and both 30min and 15min Strategy Positions are flat, the 30min and 15min strategies will not execute trades until the 60min Strategy Position (and thus Account Position) are flat.
To combat this issue, one option is to relax the Strategy StartBehavior. However, I would prefer not to relax this setting.
I believe, another option is to combine (and hard-code) the three time frames into one strategy (Multi-Time Frame & Instruments). That is, a multi time frame single instrument strategy. In this situation, the combined Strategy Position of the three time frames would match the Account Position.
Please confirm / correct.
As a second question, in creating a multi time frame single instrument strategy, is it better to have BarsArray[0] = 60min, BarsArray[1] = 15min, and BarsArray[2] = 5min. Or alternatively, in reverse order, BarsArray[0] = 5min, BarsArray[1] = 15min, and BarsArray[2] = 60min? What are the pros / cons?
Thanks
Shannon
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