I create an ES 06-12, 3-minute chart, and add an indicator defined as follows:
Note that the extra instruments are also being added with a three minute bar. The expected behavior is that sumprice will increase with the close of each bar, and given .Update() before I use the EMA indicator each time, I should get a new value for EMA taking into account the new value of sumprice.
Output:
At bar 30, it starts with 1392 for the close of the primary instrument, and taken the exponential average. Then instrument "AA" closes, adds 9.69 to sumprice. I would then expect EMA to recalculate with this new value and the same previous two values to determine the exponential average... but it yields the _same_ result. This seems to be contradictory to the documentation for .Update(). Could you tell me what's going wrong?
Code:
public class TestIndicator : Indicator {
#region Variables
private string[] symbols = {
"A",
"AA",
"BAC",
};
DataSeries sumHistory;
private PeriodType periodType = PeriodType.Minute;
private int periodValue = 3;
#endregion
protected override void Initialize() {
int i;
// Add each symbol with the calculation period we're told, since there's no way to get Ninja****ter's.
for (i = 0; i < symbols.Length; i++) {
Add(symbols[i], periodType, periodValue);
}
sumHistory = new DataSeries(this);
BarsRequired = 30;
}
long calcbar = 0;
double sumprice = 0;
protected override void OnBarUpdate() {
//Thank you, NinjaTrader.
if (CurrentBars[0] < BarsRequired || CurrentBars[BarsInProgress] < BarsRequired)
return;
// At bar change, reset.
if (CurrentBars[0] != calcbar) {
Print("");
Print("New bar: " + CurrentBar);
calcbar = CurrentBars[0];
sumprice = 0;
}
// For example, sum the closing prices and take exponential average of that sum.
Print("Summing price for: " + BarsInProgress + " (at " + CurrentBars[0] + "): " + Close[0]);
sumprice += Close[0];
// Update the history for the current bar.
sumHistory.Set(sumprice);
// This is documented as calling OnBarUpdate again, and so should update the
// value that EMA returns for this bar.
EMA(sumHistory, 3).Update();
// For clarity, lets see what we're taking the exponential average over, and the return value.
Print(Math.Round(sumHistory[0], 2) + "; " + Math.Round(sumHistory[1], 2) + "; " +
Math.Round(sumHistory[2], 2) + "; average: " + EMA(sumHistory, 3)[0]);
}
}
Output:
Code:
New bar: 30 Summing price for: 0 (at 30): 1392 1392; 0; 0; average: 696 Summing price for: 2 (at 30): 9.69 1401.69; 0; 0; average: 696 Summing price for: 3 (at 30): 8.07 1409.76; 0; 0; average: 696 New bar: 31 Summing price for: 0 (at 31): 1392.75 1392.75; 1409.76; 0; average: 1044.375 Summing price for: 2 (at 31): 9.69 1402.44; 1409.76; 0; average: 1044.375 Summing price for: 3 (at 31): 8.09 1410.53; 1409.76; 0; average: 1044.375 ....
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