Questions about OnBarUpdate

[shinnyih]

Dear NT Support:
Have a question to ask about multi-timeframe strategy. Currently I am setting the onbarclose to true. My primary series is 377 Tick and secondary is 1 Tick. Then what I am interested is see if the system truely call the onbarupdate in order. So what I do is just simply print a message every time it call this function. However, it does not line up as what I expected. In particular, it behaves as follows

TimeFrame:0 and CurrentBar: 0
TimeFrame:1 and CurrentBar: 377
TimeFrame:1 and CurrentBar: 378
TimeFrame:1 and CurrentBar: 379
.
.
.(skip some)
.
TimeFrame:1 and CurrentBar: 698
TimeFrame:1 and CurrentBar: 699
TimeFrame:1 and CurrentBar: 700
TimeFrame:1 and CurrentBar: 701
TimeFrame:1 and CurrentBar: 702
TimeFrame:1 and CurrentBar: 703
TimeFrame:1 and CurrentBar: 704
TimeFrame:0 and CurrentBar: 1
TimeFrame:1 and CurrentBar: 705
TimeFrame:0 and CurrentBar: 2
TimeFrame:1 and CurrentBar: 706
TimeFrame:1 and CurrentBar: 707
TimeFrame:1 and CurrentBar: 708
TimeFrame:1 and CurrentBar: 709
TimeFrame:1 and CurrentBar: 710
TimeFrame:1 and CurrentBar: 711
TimeFrame:1 and CurrentBar: 712
TimeFrame:1 and CurrentBar: 713
TimeFrame:1 and CurrentBar: 714
TimeFrame:1 and CurrentBar: 715
TimeFrame:1 and CurrentBar: 716
TimeFrame:1 and CurrentBar: 717
TimeFrame:1 and CurrentBar: 718
TimeFrame:1 and CurrentBar: 719
TimeFrame:1 and CurrentBar: 720
TimeFrame:1 and CurrentBar: 721
TimeFrame:1 and CurrentBar: 722
TimeFrame:1 and CurrentBar: 723
TimeFrame:1 and CurrentBar: 724
TimeFrame:1 and CurrentBar: 725
TimeFrame:1 and CurrentBar: 726
TimeFrame:1 and CurrentBar: 727
TimeFrame:1 and CurrentBar: 728
TimeFrame:1 and CurrentBar: 729
TimeFrame:1 and CurrentBar: 730
TimeFrame:1 and CurrentBar: 731
TimeFrame:1 and CurrentBar: 732
TimeFrame:1 and CurrentBar: 733
TimeFrame:1 and CurrentBar: 734
TimeFrame:1 and CurrentBar: 735
TimeFrame:1 and CurrentBar: 736
TimeFrame:1 and CurrentBar: 737
TimeFrame:1 and CurrentBar: 738
TimeFrame:1 and CurrentBar: 739
TimeFrame:1 and CurrentBar: 740
TimeFrame:1 and CurrentBar: 741
TimeFrame:1 and CurrentBar: 742
TimeFrame:1 and CurrentBar: 743
TimeFrame:1 and CurrentBar: 744
TimeFrame:1 and CurrentBar: 745
TimeFrame:1 and CurrentBar: 746
TimeFrame:1 and CurrentBar: 747
TimeFrame:1 and CurrentBar: 748
TimeFrame:1 and CurrentBar: 749
TimeFrame:1 and CurrentBar: 750
TimeFrame:1 and CurrentBar: 751
TimeFrame:1 and CurrentBar: 752
TimeFrame:1 and CurrentBar: 753
TimeFrame:1 and CurrentBar: 754


This is somewhat strange to me since I expect the primary bar to call onbarupdate after every 377 ticks.

Can you help me with this? Thank you so much!

s.h.

[NinjaTrader_CalH]

Hi Shinnyih,

Thank you for your note.

The OnBarUpdate() will calculate as long as there is information/real time data or a bar when running historically. You would see this more commonly with time based charts.

Essentially, if there is no market data to generate that bar then you may see the tick count be different in this scenario


Try running this on a 10s chart with the secondary data series set to 1 minute.

Additionally, what is the code you are using to run this check?

[shinnyih]

Thanks Cal for your help. Here is the code I am using

protected override void Initialize()
        {
			BarsRequired = 0; 
			
            CalculateOnBarClose = true;
			
			//TraceOrders = true;
			
			IncludeCommission = true;
			
			ExitOnClose = false;
			
			accountSize = startAccountSize;

			Add(PeriodType.Tick,1);
			
			EntriesPerDirection = 12;
			
			if (inTradingTime)
			{
				timeCalculate();
			}
        }

protected override void OnBarUpdate()
{
if ((CurrentBar <= 377*2 && BarsInProgress == 1) || (CurrentBar <=4 &&      BarsInProgress == 0))
	{
	     Print("TimeFrame:" + BarsInProgress + " and CurrentBar: " + CurrentBar);
	}

So another question that comes from this problem would be. Let's say I am adding the 1 tick time frame as intrabar. While backtesting, since the onbarupdate is not really called in order. We can never say that the order signal is sent at the very next tick of the beginning of the next 377 bar right?

[shinnyih]

Dear Cal:
I am sorry to say that I do not fully understand your reply. Since every tick will trigger onbarupdate on the secondary series, so theoretically after 377 calls on the onbarupdate, the onbarupdate will be called again for the primary series isnt it?

Thanks a lot

[NinjaTrader_CalH]

Hi Shinnyih,

Could you re-test this with adding a printed timestamps at the end of the current bar.

TimeFrame:0 and CurrentBar: 1
TimeFrame:1 and CurrentBar: 705
TimeFrame:0 and CurrentBar: 2

This part here looks like a session break and I would like to check for this.

Thank you for your patience

[shinnyih]

Dear Cal:
No problem. Here is the result I got

CurrentTime: 2013/9/2 上午 06:00:24, TimeFrame: 0, CurrentBar: 0
CurrentTime: 2013/9/2 上午 06:00:24, TimeFrame: 1, CurrentBar: 377
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 378
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 379
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 380
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 381
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 382
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 383
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 384
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 385
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 386
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 387
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 388
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 389
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 390
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 391
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 392
CurrentTime: 2013/9/2 上午 06:00:25, TimeFrame: 1, CurrentBar: 393
CurrentTime: 2013/9/2 上午 06:00:26, TimeFrame: 1, CurrentBar: 394
CurrentTime: 2013/9/2 上午 06:00:26, TimeFrame: 1, CurrentBar: 395
CurrentTime: 2013/9/2 上午 06:00:26, TimeFrame: 1, CurrentBar: 396
CurrentTime: 2013/9/2 上午 06:00:26, TimeFrame: 1, CurrentBar: 397
CurrentTime: 2013/9/2 上午 06:00:26, TimeFrame: 1, CurrentBar: 398
CurrentTime: 2013/9/2 上午 06:00:26, TimeFrame: 1, CurrentBar: 399
CurrentTime: 2013/9/2 上午 06:00:26, TimeFrame: 1, CurrentBar: 400
CurrentTime: 2013/9/2 上午 06:00:27, TimeFrame: 1, CurrentBar: 401
CurrentTime: 2013/9/2 上午 06:00:27, TimeFrame: 1, CurrentBar: 402
CurrentTime: 2013/9/2 上午 06:00:27, TimeFrame: 1, CurrentBar: 403
CurrentTime: 2013/9/2 上午 06:00:27, TimeFrame: 1, CurrentBar: 404
CurrentTime: 2013/9/2 上午 06:00:27, TimeFrame: 1, CurrentBar: 405
CurrentTime: 2013/9/2 上午 06:00:27, TimeFrame: 1, CurrentBar: 406
CurrentTime: 2013/9/2 上午 06:00:27, TimeFrame: 1, CurrentBar: 407
CurrentTime: 2013/9/2 上午 06:00:27, TimeFrame: 1, CurrentBar: 408
CurrentTime: 2013/9/2 上午 06:00:30, TimeFrame: 1, CurrentBar: 409
CurrentTime: 2013/9/2 上午 06:00:30, TimeFrame: 1, CurrentBar: 410
CurrentTime: 2013/9/2 上午 06:00:30, TimeFrame: 1, CurrentBar: 411
CurrentTime: 2013/9/2 上午 06:00:31, TimeFrame: 1, CurrentBar: 412
CurrentTime: 2013/9/2 上午 06:00:31, TimeFrame: 1, CurrentBar: 413
CurrentTime: 2013/9/2 上午 06:00:32, TimeFrame: 1, CurrentBar: 414
CurrentTime: 2013/9/2 上午 06:00:32, TimeFrame: 1, CurrentBar: 415
CurrentTime: 2013/9/2 上午 06:00:32, TimeFrame: 1, CurrentBar: 416
CurrentTime: 2013/9/2 上午 06:00:32, TimeFrame: 1, CurrentBar: 417
CurrentTime: 2013/9/2 上午 06:00:32, TimeFrame: 1, CurrentBar: 418
CurrentTime: 2013/9/2 上午 06:00:32, TimeFrame: 1, CurrentBar: 419

.
.
.

CurrentTime: 2013/9/2 上午 06:01:25, TimeFrame: 1, CurrentBar: 656
CurrentTime: 2013/9/2 上午 06:01:25, TimeFrame: 1, CurrentBar: 657
CurrentTime: 2013/9/2 上午 06:01:26, TimeFrame: 1, CurrentBar: 658
CurrentTime: 2013/9/2 上午 06:01:27, TimeFrame: 1, CurrentBar: 659
CurrentTime: 2013/9/2 上午 06:01:27, TimeFrame: 1, CurrentBar: 660
CurrentTime: 2013/9/2 上午 06:01:27, TimeFrame: 1, CurrentBar: 661
CurrentTime: 2013/9/2 上午 06:01:27, TimeFrame: 1, CurrentBar: 662
CurrentTime: 2013/9/2 上午 06:01:31, TimeFrame: 1, CurrentBar: 663
CurrentTime: 2013/9/2 上午 06:01:32, TimeFrame: 1, CurrentBar: 664
CurrentTime: 2013/9/2 上午 06:01:32, TimeFrame: 1, CurrentBar: 665
CurrentTime: 2013/9/2 上午 06:01:32, TimeFrame: 1, CurrentBar: 666
CurrentTime: 2013/9/2 上午 06:01:32, TimeFrame: 1, CurrentBar: 667
CurrentTime: 2013/9/2 上午 06:01:32, TimeFrame: 1, CurrentBar: 668
CurrentTime: 2013/9/2 上午 06:01:32, TimeFrame: 1, CurrentBar: 669
CurrentTime: 2013/9/2 上午 06:01:33, TimeFrame: 1, CurrentBar: 670
CurrentTime: 2013/9/2 上午 06:01:33, TimeFrame: 1, CurrentBar: 671
CurrentTime: 2013/9/2 上午 06:01:35, TimeFrame: 1, CurrentBar: 672
CurrentTime: 2013/9/2 上午 06:01:37, TimeFrame: 1, CurrentBar: 673
CurrentTime: 2013/9/2 上午 06:01:37, TimeFrame: 1, CurrentBar: 674
CurrentTime: 2013/9/2 上午 06:01:37, TimeFrame: 1, CurrentBar: 675
CurrentTime: 2013/9/2 上午 06:01:37, TimeFrame: 1, CurrentBar: 676
CurrentTime: 2013/9/2 上午 06:01:37, TimeFrame: 1, CurrentBar: 677
CurrentTime: 2013/9/2 上午 06:01:37, TimeFrame: 1, CurrentBar: 678
CurrentTime: 2013/9/2 上午 06:01:39, TimeFrame: 1, CurrentBar: 679
CurrentTime: 2013/9/2 上午 06:01:40, TimeFrame: 1, CurrentBar: 680
CurrentTime: 2013/9/2 上午 06:01:42, TimeFrame: 1, CurrentBar: 681
CurrentTime: 2013/9/2 上午 06:01:42, TimeFrame: 1, CurrentBar: 682
CurrentTime: 2013/9/2 上午 06:01:42, TimeFrame: 1, CurrentBar: 683
CurrentTime: 2013/9/2 上午 06:01:43, TimeFrame: 1, CurrentBar: 684
CurrentTime: 2013/9/2 上午 06:01:43, TimeFrame: 1, CurrentBar: 685
CurrentTime: 2013/9/2 上午 06:01:44, TimeFrame: 1, CurrentBar: 686
CurrentTime: 2013/9/2 上午 06:01:45, TimeFrame: 1, CurrentBar: 687
CurrentTime: 2013/9/2 上午 06:01:47, TimeFrame: 1, CurrentBar: 688
CurrentTime: 2013/9/2 上午 06:01:47, TimeFrame: 1, CurrentBar: 689
CurrentTime: 2013/9/2 上午 06:01:51, TimeFrame: 1, CurrentBar: 690
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 691
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 692
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 693
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 694
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 695
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 696
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 697
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 698
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 699
CurrentTime: 2013/9/2 上午 06:01:54, TimeFrame: 1, CurrentBar: 700
CurrentTime: 2013/9/2 上午 06:01:56, TimeFrame: 1, CurrentBar: 701
CurrentTime: 2013/9/2 上午 06:01:56, TimeFrame: 1, CurrentBar: 702
CurrentTime: 2013/9/2 上午 06:01:56, TimeFrame: 1, CurrentBar: 703
CurrentTime: 2013/9/2 上午 06:01:56, TimeFrame: 1, CurrentBar: 704
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 0, CurrentBar: 1
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 705
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 0, CurrentBar: 2
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 706
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 707
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 708
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 709
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 710
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 711
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 712

The instrument I am using is CL 01-14 with ZenFire

Thanks!

[shinnyih]

Dear Cal:
Furthermore, when I run a 10 tick primary series and 1 tick secondary series case. The result is even worse.

CurrentTime: 2013/9/2 上午 06:00:00, TimeFrame: 0, CurrentBar: 9
CurrentTime: 2013/9/2 上午 06:00:00, TimeFrame: 1, CurrentBar: 103
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 0, CurrentBar: 10
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 104
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 0, CurrentBar: 11
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 105
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 0, CurrentBar: 12
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 106
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 0, CurrentBar: 13
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 107
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 0, CurrentBar: 14
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 108
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 109
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 110
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 111
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 112
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 113
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 114
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 115
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 116
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 117
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 118
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 119
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 120
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 121
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 122
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 123
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 124
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 125
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 126
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 127
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 128
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 129
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 130
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 131
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 132
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 133
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 134
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 135
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 136
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 137
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 138
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 139
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 140
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 141
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 142
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 143
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 144
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 145
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 146
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 147
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 148
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 149
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 150
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 151
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 152
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 153
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 154
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 155
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 156
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 157
CurrentTime: 2013/9/2 上午 06:00:01, TimeFrame: 1, CurrentBar: 158
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 0, CurrentBar: 15
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 159
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 0, CurrentBar: 16
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 160
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 161
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 162
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 163
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 164
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 165
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 166
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 167
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 168
CurrentTime: 2013/9/2 上午 06:00:02, TimeFrame: 1, CurrentBar: 169
CurrentTime: 2013/9/2 上午 06:00:03, TimeFrame: 1, CurrentBar: 170
CurrentTime: 2013/9/2 上午 06:00:03, TimeFrame: 1, CurrentBar: 171
CurrentTime: 2013/9/2 上午 06:00:03, TimeFrame: 1, CurrentBar: 172
CurrentTime: 2013/9/2 上午 06:00:04, TimeFrame: 1, CurrentBar: 173
CurrentTime: 2013/9/2 上午 06:00:04, TimeFrame: 1, CurrentBar: 174
CurrentTime: 2013/9/2 上午 06:00:04, TimeFrame: 1, CurrentBar: 175
CurrentTime: 2013/9/2 上午 06:00:05, TimeFrame: 0, CurrentBar: 17
CurrentTime: 2013/9/2 上午 06:00:05, TimeFrame: 1, CurrentBar: 176
CurrentTime: 2013/9/2 上午 06:00:05, TimeFrame: 1, CurrentBar: 177
CurrentTime: 2013/9/2 上午 06:00:05, TimeFrame: 1, CurrentBar: 178
CurrentTime: 2013/9/2 上午 06:00:05, TimeFrame: 1, CurrentBar: 179
CurrentTime: 2013/9/2 上午 06:00:05, TimeFrame: 1, CurrentBar: 180
CurrentTime: 2013/9/2 上午 06:00:05, TimeFrame: 1, CurrentBar: 181
CurrentTime: 2013/9/2 上午 06:00:05, TimeFrame: 1, CurrentBar: 182
CurrentTime: 2013/9/2 上午 06:00:05, TimeFrame: 1, CurrentBar: 183
CurrentTime: 2013/9/2 上午 06:00:06, TimeFrame: 1, CurrentBar: 184
CurrentTime: 2013/9/2 上午 06:00:06, TimeFrame: 1, CurrentBar: 185
CurrentTime: 2013/9/2 上午 06:00:06, TimeFrame: 1, CurrentBar: 186
CurrentTime: 2013/9/2 上午 06:00:07, TimeFrame: 0, CurrentBar: 18
CurrentTime: 2013/9/2 上午 06:00:07, TimeFrame: 1, CurrentBar: 187
CurrentTime: 2013/9/2 上午 06:00:07, TimeFrame: 1, CurrentBar: 188
CurrentTime: 2013/9/2 上午 06:00:07, TimeFrame: 1, CurrentBar: 189
CurrentTime: 2013/9/2 上午 06:00:08, TimeFrame: 1, CurrentBar: 190
CurrentTime: 2013/9/2 上午 06:00:08, TimeFrame: 1, CurrentBar: 191
CurrentTime: 2013/9/2 上午 06:00:09, TimeFrame: 0, CurrentBar: 19
CurrentTime: 2013/9/2 上午 06:00:09, TimeFrame: 1, CurrentBar: 192


I am not sure why session break would have anything to do with this though since it's all about building the bars by ticks isnt it?

[NinjaTrader_CalH]

Shinnyih,

CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 0, CurrentBar: 1
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 705
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 0, CurrentBar: 2
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 706
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 707
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 708
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 709
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 710
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 711
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 712

How the bars being called works is the the primary is going to get called when you have the fully completed number of ticks. We see this in the beginning with the primary is called at bar 0 and the secondary has 377.

With the quote above you can see that the BIP 0 is called at the same time as BIP 1. I would expect if you showed the rest of the print output window the rest of those ticks would have the same time stamp as well.

The logic of the OnBarUpdate is still going to work out the individual ticks that you have setup, but the primary will get called first when it is completed the full 377 ticks. Thus this why you see the BIP 0 get called twice above is because it has already reached the 377 ticks and the tick prints are still being printed.


Let me know if this helps.

[shinnyih]

Dear Cal:
Thanks. I understand the issue now. But that leads to a couple questions.

First of all, say that OnBarUpdate get called in terms of the timestamp from your reply. Which means the earliest time will be called and the primary series will be the higher priority among the same time stamps. However, from what I see how the TimeStamp works, it seems that it is only approximate to minute not seconds. Will it create an issue that after the current 377 bar close and onbarupdate get triggered, then the tick bar within this 377 bar will call the onbarupdate and becomes a "time travel" issue.

In fact, we can already see from the previous posts

CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 0, CurrentBar: 1
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 705
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 0, CurrentBar: 2
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 706
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 707
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 708
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 709
CurrentTime: 2013/9/2 上午 06:01:57, TimeFrame: 1, CurrentBar: 710

Apparently, 377 bar number 2 is way before these tick bars.

Then if so, we got another problem coming in. Let's say, we call the enterlong function in the 377 bar with barsInProgress 1 (which means we will send the signal in the next available tick bar). However, since the next tick bar is within the current 377 bar (time travel issue), the contract will be filled within the same 377 bar. My point is that if we want to enter the contract in the next starting tick of the 377 bar. This implementation will not work.

[shinnyih]

Another question is that during real time testing, if I set the onbarclose to true, the onbarupdate calling priority will still be different from the backtest right? Exactly because of the time travel issue.

[NinjaTrader_CalH]

Sinnyih,

The expectation with the historical calls is that the the primary Data Series will get called first before any other added data series. This is why the calls for BIP look out of place.

However, running this in real time produces the expected results that at each tick is called before the full primary bar is completed.