Beginner's question:How to get the price of an index?

[drusann]

Hi,

On my strategy I'm trying to calculate a price ratio between SP500 instruments and ^SPX(or SPY). Do i need to insert Add("SPY",PeriodType.Day,1) on Initialize() in order to get the price of SPY?

Thank you in advance

Dan

[NinjaTrader_Bertrand]

Hi Dan, welcome to our forums - yes that would be correct, if you wanted to add / access the daily price series of the SPY ETF. A detailed into and reference for our MultiSeries framework could be reviewed here : http://www.ninjatrader.com/support/h...nstruments.htm

[drusann]

Bertrand,

First of all thank you for your quick response,
Here's the code in my strategy:

protected override void Initialize()
        {
						
                        CalculateOnBarClose = false;
			Add("SPY",PeriodType.Day,1);
			myDataSeries = new DataSeries(this); 
			
			
        }
protected override void OnBarUpdate()
        {
                        double instClose=Close[0];
			double spyClose=Closes[1][0];
			myDataSeries.Set(Close[0]/Closes[1][0]);
			PriceRatio=instClose /spyClose;
                        Print("The date is ="+Time[0].Date.ToString()+ "The stock is "+Instrument.FullName+" the price is "+Close[0]);
			Print("Priceratio is "+PriceRatio);
}

And this is my output window:

The date is =5/24/2013 12:00:00 AM The stock is BSX the price is 9.08
Priceratio is 0.0549271066481157
The date is =5/24/2013 12:00:00 AM The stock is SPY the price is 165.31
Priceratio is 1
The date is =5/24/2013 12:00:00 AM The stock is BTU the price is 20.44
Priceratio is 0.123646482366463
The date is =5/24/2013 12:00:00 AM The stock is SPY the price is 165.31
Priceratio is 1

By looking at the output you can see that I get two Priceratio for the same date and I only need one, which is the first one.
What am I doing wrong?

Thank you,

Dan

[NinjaTrader_Bertrand]

Dan, you're welcome - you're not filtering for any Bars update calling OnBarUpdate() here, so essentially your code is then run twice as both the primary and added series would be calling the calcs.

You can filter this via BarsInProgress -

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

[drusann]

Thank you, I'll give it a try.

Dan