Can strategy access dynamic data-series (not added before)?

[misova]

Problem
We want to access range bars with various periods. The period is not fixed - it is dynamically changing based on calculation of daily volatility.

Example

• In lower volatility range bars with lower period (like 10 ticks) are OK
• In higher volatility we need range bars with higher period (like 20 ticks)

The logic is dynamic, so there is nothing to hardcode. So we cannot add just some static data-series at startup of the strategy.

Question
Is it possible to access bar-data (OHLC or indicators on them) of data-series with various (dynamically changing) period?

[NinjaTrader_PaulH]

Hello misova,

Thanks for your post.

Can you clarify the response of changing the bar size? Is it the expectation that the bar size changes at say session change-over or are you looking more frequently than that? Would it be your expectation or desire that the historical bars reflect the new bar size? What would be your expectation of indicators in this dynamic environment?

Can you expand out on the ideas to further clarify your interesting post?

[misova]

Thank you Paul

when I am talking about bar-series with dynamic period - I am looking for some way to request any bar-series with specified period. And then having access to its bars by index.

I expect - it is not possible to have one bar-series instance with changing periods. What I am looking for is to query any specified bar-series on request.

Example scenario would be like following:

We use range-bars for managing trade - after first range-bar against our position - we move stoploss behind this range-bar.

Strategy is trading during the day:

• At time from 07:00-09:30 : Current volatility is low, so we would like to read OHLC from 5-tick range-bar-series (to manage stoploss)
• At time from 09:30-12:00 : We detected increased volatility. In relation to increased volatiltiy, we would like read OHLC 8 tick range-bar-series.
• At time from 12:00-15:00 : We detected, that volatility increased even more. In relation to this increased volatiltiy, we would like read OHLC values from 21 tick range-bar-series.

As you see - the whole point is, that period of the range-bars (used for managing stoploss) is constantly evolving with volatility. As volatility is changing in time - also period of the range-bars (that we need to read/access) is changing.

Optional features:

• Reading historical bars is optional - very nice to have. If it would be possible to read older bars by index, that would be excellent.
• Applying indicators on these bar-series is also optional - very nice to have if possible.

Added:
Maybe I found something related for NT7 here (http://ninjatrader.com/support/forum...ad.php?t=37569) - but with new NT8 possibilites, maybe there is some solution...

[NinjaTrader_PaulH]

hello misova,

Thanks for your explanation of use.

We have entered a feature request, SFT - 882, for allowing dynamic loading of dataseries in OnStateChange().

Thanks again for your participation in NT8 beta and suggestions for improvements.

[jeronymite]

Can strategy access dynamic data-series (not added before)?

Please also reference this for the feature request.

http://ninjatrader.com/support/forum/showthread.php?t=74000

Thanks!