Did Price Trade At This Level X Bars Ago?

[trend747]

Does anyone have an idea of how to write up code to be true if:

"At any time, price traded at 1.4320 over the last 20 bars"

IOW, I want to return true if price has ever hit 1.4320 in the last X amount of bars.

It would be easy to do this just based on Close... but I want to do this based on Bid or Ask... so basically (I assume) I'd have to do this at the tick level...

Thoughts?

[NinjaTrader_RyanM1]

Hi trend747,

There's a few built in methods that check conditions over a lookback to return a useful value.

CountIf() method.

http://www.ninjatrader.com/support/helpGuides/nt7/countif.htm

MRO:

http://www.ninjatrader.com/support/helpGuides/nt7/most_recent_occurence_mro.htm

LRO:

http://www.ninjatrader.com/support/helpGuides/nt7/least_recent_occurence_lro.htm

When looking at historical bars, you only have four price points to work from: OHLC. These methods will not work in a multiseries framework which you may need to work at the tick level. Similar functionality is possible through custom coding by iterating through previous bars.

[NinjaTrader_RyanM1]

Yes, there's not exactly one way to do it, and the best technique varies depending on whether you need this historically/real time or within multiseries framework.

For single series, CountIf() works well to check occurrence of a condition. I'd use something like this to check bars over a lookback to see if they contain the specified price:

if (CountIf(delegate {return Low[0] <= 1.4320 && High[0] >= 1.4320 ;}, 20) > 0)
Print("There's been at least one occurence of my test condition");

[koganam]

Does anyone have an idea of how to write up code to be true if:

"At any time, price traded at 1.4320 over the last 20 bars"

IOW, I want to return true if price has ever hit 1.4320 in the last X amount of bars.

It would be easy to do this just based on Close... but I want to do this based on Bid or Ask... so basically (I assume) I'd have to do this at the tick level...

Thoughts?

Check for Highest High and Lowest Low. If the reference price is between them, then the reference price must have been traded through at least once.

[koganam]

Yes, there's not exactly one way to do it, and the best technique varies depending on whether you need this historically/real time or within multiseries framework.

For single series, CountIf() works well to check occurrence of a condition. I'd use something like this to check bars over a lookback to see if they contain the specified price:

if (CountIf(delegate {return Low[0] >= 1.4320 && High[0] <= 1.4320 ;}, 20) > 0)
Print("There's been at least one occurence of my test condition");

Ryan, should that not be the other way around?

if (CountIf(delegate {return Low[0] <= 1.4320 && High[0] >= 1.4320 ;}, 20) > 0)

[NinjaTrader_RyanM1]

Hi koganam,

Yes, you're right. Thanks for the spot and post corrected above.