So I am attempting to make some changes to a new second bars type. When I copy the SecondBarsType template from NT8 and simply change the name and update the BarsPeriodType as required it updates on every change in price no matter what the duration is set to.
For example if I set it up for 100 seconds you would expect the bar to complete every 100 seconds but instead a new one is created on every price change.
For simplicity sake I have copied the original code for the SecondBarsType with my 2 changes necessary for just changing the name etc.
For example if I set it up for 100 seconds you would expect the bar to complete every 100 seconds but instead a new one is created on every price change.
For simplicity sake I have copied the original code for the SecondBarsType with my 2 changes necessary for just changing the name etc.
Code:
#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
#endregion
//This namespace holds Bars types in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.BarsTypes
{
public class FXR_SecondFilter : BarsType
{
public override void ApplyDefaultBasePeriodValue(BarsPeriod period)
{
}
public override void ApplyDefaultValue(BarsPeriod period)
{
period.BarsPeriodTypeName = Custom.Resource.BarsPeriodTypeNameSecond;
period.Value = 30;
}
public override string ChartLabel(DateTime time)
{
return time.ToString("HH:mm:ss");
}
public override int GetInitialLookBackDays(BarsPeriod period, TradingHours tradingHours, int barsBack)
{
return (int) Math.Max(1, Math.Ceiling(barsBack / Math.Max(1, 8.0 * 60 * 60 / period.Value)) * 7.0 / 5.0);
}
public override double GetPercentComplete(Bars bars, DateTime now)
{
return now <= bars.LastBarTime ? 1.0 - (bars.LastBarTime.Subtract(now).TotalSeconds / bars.BarsPeriod.Value) : 1;
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
if (SessionIterator == null)
SessionIterator = new SessionIterator(bars);
if (bars.Count == 0 || time >= bars.LastBarTime)
{
DateTime barTime = TimeToBarTime(bars, time, isBar);
AddBar(bars, open, high, low, close, barTime, volume);
}
else
UpdateBar(bars, high, low, close, bars.LastBarTime, volume);
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
// ONLY CHANGES - NEXT 2 LINES - ORIGINAL COMMENTED OUT
Name = "FXR Second Filter"; //Custom.Resource.NinjaScriptBarsTypeSecond;
BarsPeriod = new BarsPeriod{BarsPeriodType = (BarsPeriodType)18,BarsPeriodTypeName = Name};//new BarsPeriod { BarsPeriodType = BarsPeriodType.Second };
BuiltFrom = BarsPeriodType.Tick;
DaysToLoad = 3;
IsIntraday = true;
}
else if (State == State.Configure)
{
Name = string.Format("{0}{1}", string.Format(Core.Globals.GeneralOptions.CurrentCulture, Custom.Resource.DataBarsTypeSecond, BarsPeriod.Value), (BarsPeriod.MarketDataType != MarketDataType.Last ? string.Format(" - {0}", Core.Globals.ToLocalizedObject(BarsPeriod.MarketDataType, Core.Globals.GeneralOptions.CurrentUICulture)) : string.Empty));
Properties.Remove(Properties.Find("BaseBarsPeriodType", true));
Properties.Remove(Properties.Find("BaseBarsPeriodValue", true));
Properties.Remove(Properties.Find("PointAndFigurePriceType", true));
Properties.Remove(Properties.Find("ReversalType", true));
Properties.Remove(Properties.Find("Value2", true));
}
}
private DateTime TimeToBarTime(Bars bars, DateTime time, bool isBar)
{
if (SessionIterator.IsNewSession(time, isBar))
SessionIterator.GetNextSession(time, isBar);
if (bars.IsResetOnNewTradingDay || !bars.IsResetOnNewTradingDay && bars.Count == 0)
{
DateTime barTimeStamp = isBar
? SessionIterator.ActualSessionBegin.AddSeconds(Math.Ceiling(Math.Ceiling(Math.Max(0, time.Subtract(SessionIterator.ActualSessionBegin).TotalSeconds)) / bars.BarsPeriod.Value) * bars.BarsPeriod.Value)
: SessionIterator.ActualSessionBegin.AddSeconds(bars.BarsPeriod.Value + Math.Floor(Math.Floor(Math.Max(0, time.Subtract(SessionIterator.ActualSessionBegin).TotalSeconds)) / bars.BarsPeriod.Value) * bars.BarsPeriod.Value);
if (bars.TradingHours.Sessions.Count > 0 && barTimeStamp > SessionIterator.ActualSessionEnd) // Cut last bar in session down to session end on odd session end time
barTimeStamp = SessionIterator.ActualSessionEnd;
return barTimeStamp;
}
else
{
DateTime lastBarTime = bars.GetTime(bars.Count - 1);
DateTime barTimeStamp = isBar
? lastBarTime.AddSeconds(Math.Ceiling(Math.Ceiling(Math.Max(0, time.Subtract(lastBarTime).TotalSeconds)) / bars.BarsPeriod.Value) * bars.BarsPeriod.Value)
: lastBarTime.AddSeconds(bars.BarsPeriod.Value + Math.Floor(Math.Floor(Math.Max(0, time.Subtract(lastBarTime).TotalSeconds)) / bars.BarsPeriod.Value) * bars.BarsPeriod.Value);
if (bars.TradingHours.Sessions.Count > 0 && barTimeStamp > SessionIterator.ActualSessionEnd)
{
DateTime saveActualSessionEnd = SessionIterator.ActualSessionEnd;
SessionIterator.GetNextSession(SessionIterator.ActualSessionEnd.AddSeconds(1), isBar);
barTimeStamp = SessionIterator.ActualSessionBegin.AddSeconds((int) barTimeStamp.Subtract(saveActualSessionEnd).TotalSeconds);
}
return barTimeStamp;
}
}
}
}
Comment