Multi-timeframe indicator value

[siroki]

Hello,

I have a little difficulties getting the proper value for an ATR indicator with a multi-timeframe setup.

Basically I am running a strategy on a 1-min interval. I have added a 1 Day period to my script.

Now I would like to access the 5 day period ATR value of the prior day. Note: I am running the script on a 1-min timeframe.

I thought I could address like this:

double value = ATR(BarsArray[1],5)[1];

Meaning: the index of the added Day period = 1, 5 periods and by addressing [1] I access the prior day.

But this doesnt give me the proper values in time. It looks like for some reason it keeps on giving me the value of yesterday and not the historical day when I run the backtest.

[NinjaTrader_PatrickH]

Hello siroki,

Thank you for your post.

I am not sure I understand what is occurring. You are looking for the prior day value, but you are getting yesterday's value? As in the previous day as it would be based on your current PC time?

[siroki]

I am one step closer.

But now it shows the ATR for the day before the day I want, and for the current day it shows a value of 0.

For today i would like to know yesterday's ATR. For yesterday's candle I would like to know yesterday-1.. Etc etc.

This is my code:

        protected override void Initialize()
        {
            CalculateOnBarClose = true;
			Add(PeriodType.Day, 1);
        }

        protected override void OnBarUpdate()
        {
			int iMultiplier = 2;
			if(Left(Instrument.FullName,1) == "$" && Right(Instrument.FullName,3) != "JPY") {
				iMultiplier = 4;	
			}
			
			double dATR 			= Math.Round(ATR(BarsArray[1],5)[0],iMultiplier);
			double dCurrentDayOpen 	= Math.Round(CurrentDayOHL().CurrentOpen[0],iMultiplier);
			double dCurrentDayHigh 	= Math.Round(CurrentDayOHL().CurrentHigh[0],iMultiplier);
			double dCurrentDayLow 	= Math.Round(CurrentDayOHL().CurrentLow[0],iMultiplier);

			Print(Time[0].ToString() + " - " + Instrument.FullName + " " + dATR + " " + dCurrentDayHigh + " " + dCurrentDayLow);
		}
        }

[siroki]

One step closer again. I changed the CalculateOnBarClose to FALSE. Now it shows the proper values.

BUT

Is it possible to set this value ONLY for the added Day period? I still want my 1-min timeframe to calculate on bar close = true.

[NinjaTrader_Bertrand]

Hi Siroki, that property would not be directly usable on a per series basis. However there's a workaround involving FirstTickOfBar that would come in handy in case you want to process more individually - http://www.ninjatrader.com/support/f...ad.php?t=19387

[siroki]

Ah great! What I did now was set a boolean value to Checked=True on the FirstTickOfBar when the criteria has been hit. This way I dont get a flood of signals on each tick. A little creativity solved all problems