Multi timeframe indicator DataSeries forgets values

[saltminer]

Hi,
I have a multi timeframe indicator, the Bars are 5m, 30m, 60m.
Most of the calculation is done on the 5m.
I have a custom DataSeries synced to the 5m (BarsArray[0]).

If I set a value into the DataSeries (for a signal for example) in BarsInProgress==0, it is remembered just fine UNLESS this bar's timestamp coincides with a bar in another timeframe. So on the half hour and on the hour, the DataSeries forgets its value.
I programmed a variable to remember the value and set it again from the higher timeframes, (which are executed after BarsArray[0]) however DataSeries.Set(value) doesn't seem to work from a timeframe other than the one the DataSeries is synced to.

So I currently have no workaround for this problem.

Suggestions please?
Thanks,
saltminer

[NinjaTrader_Bertrand]

Hi saltminer, what do you mean by 'forget' it's value - what value are you getting printed for this 'conflict' bar then?

Would you have a sample of code I could check into here?

[saltminer]

HI Bertrand,
I have emailed you some code.
The value is 'forgotten' by being set to the bar's Close price, which is what happens for a DataSeries if Set() is not used during an OnBarsUpdate().
Cheers,
saltminer

[NinjaTrader_Bertrand]

Ok got it Saltminer, will take a look shortly.

[NinjaTrader_Bertrand]

Replied via email directly saltminer.

[saltminer]

Hi Bertrand,
thank you for taking the time to run my code. Yes, the signal remains only for a single bar. However, the signal at ten minutes past the hour is not a test of the problem.
If the signal occurs at a time when there is also a bar on another timeframe, for instance at the hour or the half-hour, then the value in the signals dataseries does not remain. it gets changed to the Closing price of the bar.

I have gotten around it by creating a public double value, which will remember a value I set to it, but the overall principle of multi-timeframe indicators is going to be very difficult to use if a simultaneous OnBarsUpdate from another timeframe is going to obliterate any data generated in the principle timeframe.

Cheers,
saltminer

Here's what I get running your code on 5 min ES Replay for yesterday -

1/25/2011 7:10:00 PM found setup bar but it ADX is beneath required
level of 25
1/25/2011 7:10:00 PM indicator: BIP 0 signals[0] = 1
1/25/2011 7:15:00 PM indicator: BIP 0 signals[0] = 0

This looks like the signal is really only set for the signal bar.

[NinjaTrader_Bertrand]

You're welcome, thanks for taking the time to clarify saltminer, I'll give this another look to see what happens on the halfHour / Hour updates.

[NinjaTrader_Bertrand]

Saltminer, I took another look here but was unable to reproduce - the signal set in my BIP0 was persisted on the BIP1 call with the same timestamp, this was the case for both a custom series on BIP0 and a custom series synched to BIP1. Are you sure you set a value for every bar in the series, even if just a dummy one?