Hey,
I seem to have found a bug. This bug seems to occur when you have an indicator that uses more than one security to calculate its value.
I have an indicator called Spread and it basically calculates the spread between two contracts...pretty straight forward, Closes[0][0] - Closes[1][0] is pretty much the essence of it.
When I use this indicator in a strategy, it works - i.e. I Add() it in initialize, and displays correctly. However, as soon as I do any calculation involving it, the spread value becomes completely out of whack. For example, in OnBarUpdate, let's say I check for this:
then the values get all messed. It doesn't matter what other indicator I use (it can be EMA, MACD, whatever) as long as I "touch" it in some way, it gets screwy. I placed some print statements in the code, and inside the indicator, the values are still calculating ok. In the strategy however, the values are no longer correct. Basically, it starts returning the base instrument's value instead of the spread.
Here is my code for the strategy:
Doesn't matter if I use the variable of type Spread bobby, or if I recalculate it (Spread(xx)). Internal properties of the object are fine, but not what is sent back to the strategy...
Any ideas?
Here is the spread code if needed:
I seem to have found a bug. This bug seems to occur when you have an indicator that uses more than one security to calculate its value.
I have an indicator called Spread and it basically calculates the spread between two contracts...pretty straight forward, Closes[0][0] - Closes[1][0] is pretty much the essence of it.
When I use this indicator in a strategy, it works - i.e. I Add() it in initialize, and displays correctly. However, as soon as I do any calculation involving it, the spread value becomes completely out of whack. For example, in OnBarUpdate, let's say I check for this:
Code:
if (SMA(mySpread,2)[0] > 10)
{
// do something
}
Here is my code for the strategy:
Code:
namespace NinjaTrader.Strategy
{
/// <summary>
/// Simple moving average cross over strategy.
/// </summary>
[Description("Simple moving average cross over strategy.")]
public class BasicTester : Strategy
{
#region Variables
private Spread bobby;
#endregion
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
CalculateOnBarClose = true;
bobby = Spread("6C 09-10", 100, 100);
Add(bobby);
}
/// <summary>
/// Called on each bar update event (incoming tick).
/// </summary>
protected override void OnBarUpdate()
{
if (SMA(Spread("6C 09-10",100,100),2)[0] > 100)
{
Print("BOb is big!");
}
Print("From strategy: " + bobby[0]);
Print("From strategy recalc: " + Spread("6C 09-10", 100, 100)[0]);
Print("Public var from strat: " + bobby.MySpread[0]);
}
#region Properties
/// <summary>
/// </summary>
/// [Description("Period for fast MA")]
/// [GridCategory("Parameters")]
/// public int X
/// {
/// get { return x; }
/// set { x = Math.Max(1, value); }
///}
#endregion
}
}
Any ideas?
Here is the spread code if needed:
Code:
/// <summary>
/// Spread between two instruments given a specific spread ratio
/// </summary>
[Description("Spread between two instruments given a specific spread ratio")]
public class Spread : Indicator
{
#region Variables
// Variables
private int quotedQuantity = 1; // Default setting for QuotedQuantity
private int hedgeQuantity = 1; // Default setting for HedgeQuantity
private string hedgeInstrument = @""; // Default setting for HedgeInstrument
private double spreadRough;
private DataSeries mySpread;
private int barValue;
#endregion
/// <summary>
/// This method is used to configure the indicator and is called once before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
Add(new Plot(Color.Gray, PlotStyle.Line, "Spread"));
barValue = Math.Max(1, base.BarsPeriod.Value);
Add(hedgeInstrument, BarsPeriod.Id, barValue);
mySpread = new DataSeries(this);
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// NT Crashes if these conditions aren't in place...
if (hedgeInstrument == "" || hedgeInstrument == Instrument.FullName)
{
Print("instrument error");
return;
}
if (CurrentBars[0] < 1)
{
Print("CurrentBars[0]: " + CurrentBars[0] + " " + Time[0] + " " + CurrentBar);
return;
}
if (CurrentBars[1] < 1)
{
Print("CurrentBars[1]: " + CurrentBars[1] + " " + Time[0] + " " + CurrentBar);
return;
}
//Calculate spread
try
{
spreadRough = (Closes[0][0]*quotedQuantity)-(Closes[1][0]*hedgeQuantity);
mySpread.Set(Math.Round(spreadRough, 4));
Print("CloseBase: " + Closes[0][0] + " CloseHedge: " + Closes[1][0] + "Spread: " + spreadRough);
Value.Set(Math.Round(spreadRough, 4));
}
catch (Exception e)
{
Print(Time[0] + " Indicator SpreadZScore on " + Instrument.FullName+ " Error: mySpread.Set" + " " + e.ToString());
}
}
#region Properties
[Browsable(false)] // this line prevents the data series from being displayed in the indicator properties dialog, do not remove
[XmlIgnore()] // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
public DataSeries MySpread
{
get { return mySpread; }
}
[Description("Number of Contracts for Base Series")]
[GridCategory("Spread Parameters")]
public int QuotedQuantity
{
get { return quotedQuantity; }
set { quotedQuantity = Math.Max(1, value); }
}
[Description("Numbers of Contracts for Hedge Instrument")]
[GridCategory("Spread Parameters")]
public int HedgeQuantity
{
get { return hedgeQuantity; }
set { hedgeQuantity = Math.Max(1, value); }
}
[Description("Hedge Instrument Symbol - ex. ES 09-10")]
[GridCategory("Spread Parameters")]
public string HedgeInstrument
{
get { return hedgeInstrument; }
set { hedgeInstrument = value.ToUpper(); }
}
#endregion
}
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