Get daily highs and lows

[rafe0304]

What is the easiest way to get historic daily highs and lows?

or to be more specific: How can I get the daily highs and lows of yesterday, 2 days before, etc within a strategy script where I use range bars ?

[NinjaTrader_PaulH]

Hello rafe0304,

Thanks for your post.

One way to get the high and low of the previous days would be the use of the GetDayBar() method that will create daily bars from your data and make the OHLC values available.

Syntax:
Bars.GetDayBar(int tradingDaysBack).High
Bars.GetDayBar(int tradingDaysBack).Low

Please see: http://ninjatrader.com/support/helpG...?getdaybar.htm

[rafe0304]

I cannot even get the High of one day before, since Bars.GetDayBar(1) is null. How can I increase the lookback period?

[NinjaTrader_PaulH]

Hello rafe0304,

Thanks for your post.

Using the GetDayBar would require that you have the data loaded before trying to access it. Keep in mind that it makes up a day bar from your exiting data bars. So if you are looking back 1 day you would need 1 day plus the current days data loaded before accessing. You can accomplish this by doing a CurrentBar check (which could be lengthy in this application) or test for null bars first and then access when not null.

Example:
if ( Bars.GetDayBar(1) != null)
{
yesterdaysHigh = Bars.GetDayBar(1).High;
}

[rafe0304]

Thanks for your answer. Checking for null pointers is an integral part of a defensive programming style.

But how can I make shure that I got enough data loaded when testing and running my strategy?

[NinjaTrader_PaulH]

Hello rafe0304,

Thanks for your reply.

"So if you are looking back 1 day you would need 1 day plus the current days data loaded before accessing. You can accomplish this by doing a CurrentBar check".

Reference: http://ninjatrader.com/support/helpG...currentbar.htm

[rafe0304]

Can I do that check based on days? If I work with range bars, I got a changing number of bars each day such that I cannot convert the number of days I need in a number of bars.

So how can I load the necessary number of historic days when I need it in my strategy?

[NinjaTrader_PaulH]

Hello rafe0304,

Thanks for your reply.

Next option would be to add daily bars to your strategy.

Please see: http://ninjatrader.com/support/helpGuides/nt7/?add3.htm

and

http://ninjatrader.com/support/helpG...nstruments.htm