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Old 12-03-2017, 09:18 AM   #1
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Thumbs up NT8's Greatest shortcoming: No OHLC Synthetic Symbols or indicators

Thanks for NT8s many improvements!

For those of us who would like to use synthetic symbols created from combinations of multiple symbols, on which we would like to run indicators and strategies that recognize the OHLC of a synthetic user-defined symbol or indicator, we are severely limited. At the present the best we can do is create a custom synthetic indicator that produces 2-4 plots to simulate HL or OHLC, then run duplicated sets of analysis, one on one plot to deal with for example highs, and one on the other plot to deal with lows.

If only we could create a synthetic OHLC custom symbol or indicator that all other indicators and strategies could reference like a regular symbol, the code those indicators and strategies contain could deal with Highs and lows without having to ourselves create so much duplicated analysis by having to treat them independently from single plots, once for the highs and once for the lows, which adds immense overhead time to development and runs into software like sharkindicator's Bloodhound and Blackbird that are designed to operate efficiently on OHLC symbols with logic that gets much more complicated if required to isolate and write separate logic for each of the High and low plots.

I'm gratefully appealing to Ninjatrader to open an entire world, now severely crippled, by allowing users to create and store their own custom OHLC symbols and indicators. Yes I know that its possible to create a chart that provides a visual semblance of such for purely discretionary trading, but not the functional reality of OHLC synthesized series, whether they be regarded as a symbol (at best a primary default symbol) or at least an OHLC indicator for other indicators and strategies to efficiently reference.

Should I entertain any serious hope that Ninjatrader regards this as a worthy undertaking and is soon planning such an expanded capability, one which I believe will allow retail Ninjatrader customers to discover and better survive the insights of the professional traders who take their money?

All the best to a great company with the world's best support, and for boldly rewriting your code to raise the standard of functionality your users need compete with banksters running sophisticated models which we need to emulate to survive.
Last edited by ProfitPilgrim; 12-03-2017 at 09:59 AM.
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Old 12-03-2017, 10:57 AM   #2
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Hi ProfitPilgrim, I wholly and sincerely support your above plea to the powers that be at NinjaTrader! By owning a lifetime NT license, I am sort of chained to the platform for better or for worse, but I can only take so much, and eventually could be forced to jump ship to a different, more pro-active, trading platform that does have the ability to natively chart & trade spreads (and options, for that matter)...

I would go further, and ask that any of you out there who see the urgent need for NT to address this somewhat baffling shortcoming in their platform to please come out of the shadows and join in your voices now - it might make all the difference!
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Old 12-03-2017, 05:40 PM   #3
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Hello ProfitPilgrim,

Thank you for your suggestion.

I have forwarded your request to create custom symbols in the Instrument database and to supply ask and bid prices calculated from a script to the symbol to the NinjaTrader Development. Once I have a tracking ID for your request I will post this for future reference.

In the meantime, you can likely accomplish your goal with a custom bar type.

Below is a link to an example.
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Old 12-06-2017, 10:05 AM   #4
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Hi ProfitPilgrim,

I've received a tracking ID for your request.

For future reference your request for synthetic instruments is being tracked with ID #SFT-2260.

Please note it is up to the NinjaTrader Development to decide if and when a request will be implemented.

We appreciate the suggestion. Please let me know of any other requests you have for the NinjaTrader platform.
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Old 12-06-2017, 10:34 AM   #5
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Default spread framework

Hi ProfitPilgrim,

already a few years ago I did write about PairsTrading in this forum.

I do offer a SpreadTrader ( http://www.zweisteintrading.eu/spreadtrader.htm ) with customisable exit strategies . The correct spread chart can be generated automatically and extending this to OHLC would certainly be possible.

Look at "smoothed=s.SMA(spreadpriceseries.SpreadValue, 3)[0];"in the code, you see full strategy programming is possible on synthetic instruments.

here a code sketch:
public TargetExitQuantity ExitNow(SingleSpread spread){
				double pnl=spread.PnlPerUnit();
				if(pnl<=minPnl) {
					return TargetExitQuantity.All;
					// trailing stopp hit 
                                          s=spread.StrategyBase() as 
				var spreadpriceseries =s.Spread(S.Closes[0],S.PriceString,spread.Lots1, S.strLeg2Instrument,spread.Lots2,S.Leg1PriceDisplayMultiplier, S.Leg2PriceDisplayMultiplier);
				// use all Indicators on the spread price series!!!
				// and applying SMA to it
				double smoothed=s.SMA(spreadpriceseries.SpreadValue,3)[0];
				return TargetExitQuantity.None;
Have a nice day
Last edited by zweistein; 12-06-2017 at 10:39 AM.
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