Multi Instrument Issues

[ciro1963]

Hello,

I am running a multi instrument strategy. In this strategy I have two different instruments. One instrument has data that goes back at least 10 years. and a 2nd instrument only goes back 5 years. However, I'm noticing that the strategy will ignore the first 5 years of data from the 10 yr instrument -which is when the start date of 2nd instrument begins. Is there a way to correct this with additional code?

2nd thing is I'm noticing is that the BarsSinceEntry command doesn't seem to work properly when given all of the proper overloads. Is there a know issue with this command in a Multi Instrument strategy? Thank you.

Mr. Lee

[NinjaTrader_ChrisL]

Hello Mr. Lee,

Thanks for the post.

The Strategy will not work until all data series are loaded. There is no way to change this behavior.

Could you please clarify specifically what problem you are having with BarsSinceEntry?

I look forward to your reply.

[ciro1963]

Bars Since Entry Issue in Multi Instrument Mode

Hello Chris,

I've noticed that the bars since entry command does not reset to zero once a trade is made in multi-instrument mode. For instance it's my impression that the BarsSinceEntry(5,"BuyMkt5",0) command should return a 0 value (reset) for the BIP=5 instrument once shares are bought. As an example, I'm using the EnterLong(nShares,"BuyMkt5") command to purchase the instrument in the BIP 5 routine. To verify the issue, I'm printing to the output window and confirming that the values do not reset properly. Is there something wrong with the above overloads?


It's not a show stopper since I was able to create my own counter which I reset to -1 when I buy and increment by 1 every pass. Just a curiosity of mine. Thanks.

[NinjaTrader_ChrisL]

Hello Mr.Lee,

Thanks for the reply.

I was able to confirm that BarsSinceEntry() works with both time series. Please see the example attached. I would have to look at your code to see that is going wrong. If you would like for me to look at your script please post it here or you can send it into platformsupport[at]ninjatrader[dot]com and paste this forum link in the body of the email.

You can attach your indicator to your response by going to File > Utilities > Export NinjaScript > Export selected source files > select your Strategy > select the right arrow to add it to the list> Export. The file will be located under (My) Documents\NinjaTrader 7\bin\Custom\ExportNinjaScript.

I look forward to hearing of your results.

[ciro1963]

Hello Chris,

Yes I was able to find the issue.

Question: Is there a limit to how many instruments one can use in a multi-instrument strategy before problems arise?

I have about a dozen instruments in a strategy but none of the region variables are loading into the back tester GUI. the code does compile properly however.

Mr. Lee

[NinjaTrader_ChrisL]

Hello Mr. Lee,

Thanks for the follow up.

The only limit to how much data a script can process is your CPU/RAM/internet speed, etc.

Could you please post your "#region Properties" code so I can take a look?

I look forward to your reply.