OnMarketData IB LastClose

[benoirat]

Hi,

I have been trying to get the close price for the previous day with OnMarketData, but I never get (e.MarketDataType == MarketDataType.LastClose). My broker is interactive brokers.

Is this an IB limitation? If yes how can I get the previous day's close? It must be published somewhere since I see a value appearing in the market analyzer under last close....

Thanks a lot.

[NinjaTrader_Lance]

Unfortunately this is a fundamental data type that IB does not support.

You could still get the prior close through other methods in OnBarUpdate() such as GetDayBar()

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?getdaybar.htm

Or using Close[] http://www.ninjatrader.com/support/h...html?close.htm

Please let me know if I can be of further assistance.

[benoirat]

Well I am using minute bar for multiple instruments. So I guess I could use Close[] but then would have to add a day bar just for that...

I actually tried the following, but it always return null. Am I supposed to download historical data for the previous day manually?

BarsArray[BarsInProgress].GetDayBar(1)

Thanks

[NinjaTrader_Lance]

You would have to ensure you're in the correct BIP

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?barsinprogress.htm

If you are then you should be able to use:

// Print the prior trading day's close
if (Bars.GetDayBar(1) != null)
    Print("The prior trading day's close is: " + Bars.GetDayBar(1).Close.ToString());

You would need the historical data available on your chart.

[benoirat]

Ok, so even in this case, I am getting null for evey bar. I currently have 4 minute bars (2 instruments with bid and ask each).

I am not using a chart, my strategy is running from the strategies tab. Is this an issue? I have days to load parameter set to 2, and minimum bars to zero. I do have the minute data for yesterday, I can see it in the historical data manager and I can simulate over it.

[NinjaTrader_Lance]

Could you please post your source file or simplified version that replicates the error?

I tested this on my end and it seems to work properly when using two instruments on a minute chart

			if (BarsInProgress == 0)
			{
				// Print the prior trading day's close
if (Bars.GetDayBar(1) != null)
    Print("The prior trading day's close is: " + Bars.GetDayBar(1).Close.ToString());
			}
			else
			{
				// Print the prior trading day's close
if (Bars.GetDayBar(1) != null)
    Print("The prior trading day's close is: " + Bars.GetDayBar(1).Close.ToString());
			}