News Filter

[CableTrader007]

I am going to code a news filter but would like some advice on the best way to implement this. I am guessing an indicator that can be called from a strategy, does that sound best?

So basically using a historical calendar to exclude trading during NFP, FED and possibly other events I will have to code times and dates for these events and set a flag to true at these times.

i.e. if(ToTime(Time[0]) == 083000){newsFilter == true;}

and then using something for the actual date of the event.

From there how do I get flat and exclude the current trade entry based on an upcoming event, i.e. and event that occurs at 8:30 am on Friday (NFP) before that time even if trading on 60 minute timeframe? Specifically looking at ideas pertaining to the times not lining up exactly as I can handle the trade exit and not entering a new trade.

Ideas are appreciated as I am working on this now as a strategy that avoids the news give very inaccurate performance statistics when testing without filtering these events.

Cheers - CableTrader007

[NinjaTrader_PatrickH]

Hello CableTrader007,

Thank you for your post.

For real-time you could use DateTime.Now, however in backtesting this would pull the system time instead of a time stamp. So you may wish to add in a secondary time frame to check the Time[0] against, such as a 1 minute bar series.

To check a certain time before you could use AddMinutes(). For example:

if(ToTime(Time[0].AddMinutes(60)) > = ToTime(83000))
{
// current bar timestamp is one hour or less before 8:30 AM
}