Multi instrument indicator...

[Teks71]

Hello I cannot understand, why it does not work? Сan you help me?

 protected override void Initialize()
        {
            Add(new Plot(Color.FromKnownColor(KnownColor.Red), PlotStyle.Line, "Plot1"));
            Add(new Plot(Color.FromKnownColor(KnownColor.Green), PlotStyle.Line, "Plot2"));
            Add(new Line(Color.FromKnownColor(KnownColor.Gold), 0, "ZeroLine"));
            Overlay				= false;
			//BarsRequired =6;
			
			
			string Instr1Name =Instruments[0].FullName;
			
			Add(Instr1Name,PeriodType.Minute,1,MarketDataType.Ask);//Ask1)
			Add(nameOfSecondInstr,PeriodType.Minute,1, MarketDataType.Bid);//Bid2
			
			Add(nameOfSecondInstr,PeriodType.Minute,1, MarketDataType.Bid);//Ask2)
			Add(Instr1Name,PeriodType.Minute,1,MarketDataType.Bid);//bid1)
			
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Use this method for calculating your indicator values. Assign a value to each
            // plot below by replacing 'Close[0]' with your own formula.
			Print(Closes[0].ToString()+Closes[0].IsValidPlot(0).ToString());
			Print(Closes[1].ToString()+Closes[1].IsValidPlot(0).ToString());
			Print(Closes[2].ToString()+Closes[2].IsValidPlot(0).ToString()); //#Error on calling 'OnBarUpdate' method for indicator 'A1MySprend2' on bar 0: You are accessing an index with a value that is invalid since its out of range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.
			Print(Closes[3].ToString()+Closes[3].IsValidPlot(0).ToString());
            Plot1.Set(1);
			Plot2.Set(2);
        }

PS:Error at the reference to Closes [2][0]...
//#Error on calling 'OnBarUpdate' method for indicator 'A1MySprend2' on bar 0: You are accessing an index with a value that is invalid since its out of range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.

[NinjaTrader_Austin]

Teks71, in order to reference the Closes array, you need to specify two parameters: the bar index (which instrument you want), and how many bars back. Please try this:

Print(Closes[0][0].ToString())
Print(Closes[1][0].ToString())
Print(Closes[2][0].ToString())
Print(Closes[3][0].ToString())

I do not know how the IsValidPlot() method works, so that could be the source of the error as well.

[MXASJ]

I'm getting a similar error in a two-instrument indicator... sometimes when I change the period loaded (for example, 1 day, 5 mins, etc works, then I get an exception when I try 1 minute. On another set of instruements, 1 minute works but 1 day throws and exception).

The exception appears to be on the Value.Set action.

My OnBarUpdate()

protected override void OnBarUpdate() /////////////////////////////////////////////
{
//Calculate spread
try
{ 
spreadRough = (Closes[0][0]*quotedQuantity)-(Closes[1][0]*hedgeQuantity);
mySpread.Set(Math.Round(spreadRough, 2));
}
catch (Exception e)
{
Print(Time[0] + " " + e.ToString());
}
 
 
//Calculate ZScore of spread
try
{
double i,j;
i=SMA(mySpread, zPeriod)[0];
j=StdDev(mySpread, zPeriod)[0];
myzscore = ( (mySpread[0]-i) / j );
zPlot.Set(myzscore);
}
catch (Exception e)
{
Print(Time[0] + " " + e.ToString());
}
 
try
{
Value.Set(zPlot[0]);
}
catch (Exception e)
{
Print(Time[0] + " " + e.ToString());
}
} 

The exception is:

2010-04-19 20:01:00 System.ArgumentOutOfRangeException: Index was out of range. Must be non-negative and less than the size of the collection.
Parameter name: index
at System.Collections.ArrayList.get_Item(Int32 index)
at NinjaTrader.Data.DataSeries.Set(Double value)
at NinjaTrader.Indicator.SpreadZScore.OnBarUpdate()

2009-04-24 12:00:00 System.ArgumentOutOfRangeException: Index was out of range. Must be non-negative and less than the size of the collection.
Parameter name: index
at System.Collections.ArrayList.get_Item(Int32 index)
at NinjaTrader.Data.MemBars.GetClose(Int32 index)
at NinjaTrader.Data.Bars.GetClose(Int32 index)
at NinjaTrader.Indicator.DataSeriesHelper.get_Item(In t32 barsAgo)
at NinjaTrader.Indicator.SpreadZScore.OnBarUpdate()

I note the time stamps of the errors are somewhere in the time series data. Those errors are from two different tests.

Is there a better way to code this to make it more robust?

Thanks.

[MXASJ]

Some more information. This was thrown on set of instruments on a Daily chart:

2009-04-24 12:00:00 SpreadCalc error! System.ArgumentOutOfRangeException: Index was out of range. Must be non-negative and less than the size of the collection.
Parameter name: index
at System.Collections.ArrayList.get_Item(Int32 index)
at NinjaTrader.Data.MemBars.GetClose(Int32 index)
at NinjaTrader.Data.Bars.GetClose(Int32 index)
at NinjaTrader.Indicator.DataSeriesHelper.get_Item(In t32 barsAgo)
at NinjaTrader.Indicator.SpreadZScore.OnBarUpdate()

While this was thrown on a different set of instruments on a Minute chart:

2010-04-19 20:01:00 Value.Set error! System.ArgumentOutOfRangeException: Index was out of range. Must be non-negative and less than the size of the collection.
Parameter name: index
at System.Collections.ArrayList.get_Item(Int32 index)
at NinjaTrader.Data.DataSeries.Set(Double value)
at NinjaTrader.Indicator.SpreadZScore.OnBarUpdate()

Any ideas? Thanks.

[MXASJ]

And FYI SpreadCalc, Value.Set, etc are strings I put in the try/catch blocks to isolate the errors as follows:

protected override void OnBarUpdate() /////////////////////////////////////////////
{
//Calculate spread
try
{ 
spreadRough = (Closes[0][0]*quotedQuantity)-(Closes[1][0]*hedgeQuantity);
mySpread.Set(Math.Round(spreadRough, 2));
}
catch (Exception e)
{
Print(Time[0] + " SpreadCalc error!" + " " + e.ToString());
}


//Calculate ZScore of spread
try
{
double i,j;
i=SMA(mySpread, zPeriod)[0];
j=StdDev(mySpread, zPeriod)[0];
myzscore = ( (mySpread[0]-i) / j );
zPlot.Set(myzscore);
}
catch (Exception e)
{
Print(Time[0]+ " ZScoreCalc error!" + " " + e.ToString());
}

try
{
Value.Set(zPlot[0]);
}
catch (Exception e)
{
Print(Time[0] + " Value.Set error!" + " " + e.ToString());
}
} 

[NinjaTrader_Bertrand]

MXASJ, is this occuring on NT65 or NT7 for you? Could you send me your code for testing so support at ninjatrader dot com?

Do you have a CurrentBars[x] check running for all series in question if you're on NT7?

Thanks.

[MXASJ]

Thanks Bertrand,

The indicator "SpreadZScore" is attached. Try it on a few instruments, and also try scrolling back and forth in history some times.

NT7b14 compile. The only "trick" in there might be how I'm getting the second instrument to default to the same periodicity as the first, but the errors that pop up look more like a NaN handling issue.

[NinjaTrader_Bertrand]

So far I only saw it, as you for example tried hedging with the same instrument producing i and j values of 0, this will cause indeed a plot overflow error as you divide by 0 then in your spread formula.

[MXASJ]

That is a good point. I have similar code working fine on a single instrument ZScore indicator as follows:

protected override void OnBarUpdate()/////////////////////////////////////////////////////////
{
double i,j;
i=SMA(Close, zPeriod)[0];
j=StdDev(Close, zPeriod)[0];
myzscore = ( (Close[0]-i) / j );
zPlot.Set(myzscore);

Value.Set(zPlot[0]);

} 

Close would, I presume, never be <=0 and as such that indicator works great.

With two instruments, I'm replacing 'Close' with a variable which might be 0 or < 0 as it represents a relationship between those instruments. I need to think about that... but am very open to input from anyone who already has thought about it. The full code for the indicator was posted earlier (SpreadZScore, NT7 only), so if anyone has a cointegrated pair they want to try it on to better this code... pitch in!

Thanks

[MXASJ]

This will kill one of the errors in runtime:

protected override void OnBarUpdate() /////////////////////////////////////////////
{
 
if (hedgeInstrument == ""||hedgeInstrument == Instrument.FullName) return;
 
etc etc 

And this would give you a heads up when you try it:

protected override void OnStartUp()///////////////////////////////////////////////////////////
{
if (hedgeInstrument == ""||hedgeInstrument == Instrument.FullName)
{
MessageBox.Show("Hedge Instrument field is blank or the same as the Quoted instrument", "Warning!", MessageBoxButtons.OK, MessageBoxIcon.Exclamation );// Requires using System.Windows.Forms
return;
}
} 

But the

if mySpread <= 0

still has me thinking.

[MXASJ]

Adding this to OnBarUpdate() helped clear my original errors that were the reason for the post:

if (CurrentBar < 1) return; 

Updated version attached. NT7b14 compile.

Still open to ideas to make it better.