Multi Instrument Strategy Questions

[fxRichard]

I have several strategies that run against roughly 500 stocks. Up until now I have run each of them individually side by side but have recently moved to running them through one single strategy via the AddDataSeries call.

The problem is that since doing this I have been running into some weird issues, let me preface this with saying that everything calculates on each tick and thus during the market open things move VERY fast especially when managing 500 instruments.

1) OnBarUpdate uses Instrument.FullName to store data in a dictionary based on the current instrument being processed. It almost seems like if I am not done processing another instruments tick that this value will change to the new event that fired. For example:

AAPL -> Incoming Tick -> OnBarUpdate()
- Do some processing reference Instrument.FullName = AAPL
- NVDA -> Incoming Tick -> OnBarUpdate()
- Do Some processing reference Instrument.FullName = NVDA
- AAPL Continues processing, reference Instrument.FullName again = NVDA

I don't know if this is correct but this is what it seems like is happening. I can put some code together to verify this or am I missing something here, should I be using something else? I assume Instrument is a reference to an object that is changing in fast environments whereas the BarsInProgress is a primitive type passed by value and thus things like Closes[BarsInProgress][0] works without flaw etc.

As I mentioned I'm making some assumptions here that could be incorrect but this is what I am currently lead to believe. Can you shed any light onto whether or not I am referencing the current object in the right way?

[NinjaTrader_ChelseaB]

Hello fxRichard,

The script will be processing OnBarUpdate sequentially in one thread. This means its unlikely for this to be the case.

However, if you can create a script to demonstrate that the BarsInProgress index does not match the Instrument name for that BarsInProgress we can submit this to our development.

In the example script please do not include any code that is not absolutely necessary to demonstrate the behavior.

[fxRichard]

Thasks Chelsea, so I have figured out the problem. It has to do with my integration with Sterling trader for order execution. My callbacks happen on another thread disassociated with what is going on in Ninja.

[mcosta72]

Hi !


I am working in something close to this and my issue is that I couldnt find anything using multi-intruments and Unmanaged Orders together. Is that possible? Any sample code to look at?


Thank you

[NinjaTrader_Jesse]

Hello mcosta72,

Thank you for the post.

I am unaware of a sample that we provide for these two concepts to be combined. Generally, we don't provide much in the form of samples for unmanaged as it is very specific to your logic and how you have made it to work. I frequently suggest reviewing the Managed approach samples that involve storing orders as variables as this is often used with unmanaged. Outside of the managed samples showing the general workflow for orders, much of unmanaged orders would be up to you to experiment with and ensure it works for the purpose you are trying to achieve.

https://ninjatrader.com/support/helpGuides/nt8/en-us/reference_samples.htm

I look forward to being of further assistance.