Referencing DataSeries elements in Multi-timeframe Strategies

[dbw451]

When using multi-timeframe Strategies, how can I reference the elements of a secondary timeframe based DataSeries? I've setup an example strategy where I'm entering 1000t as the primary timeframe in the Strategy Analyzer and 200t for a secondary timeframe in the code. I've attached the example simple strategy which is composed of the following code:

Variables
private DataSeries myOpen;

Initialize()
Add(PeriodType.Tick, 200); // secondary 200t timeframe
myOpen = new DataSeries(this);

OnBarUpdate()
if (BarsInProgress == 1) // work with secondary timeframe
{
if (CurrentBar == 0) {
myOpen.Set(0);
return;
}
myOpen.Set(Open[0]); // set myOpen to secondary timeframe Open

Print("myOpen[1]("+myOpen[1]+") myOpen[0]("+myOpen[0]+")");
}

Output:
08/28/08 12:27:42 PM myOpen[1](0) myOpen[0](1296)
08/28/08 12:28:25 PM myOpen[1](0) myOpen[0](1295.75)
08/28/08 12:28:51 PM myOpen[1](0) myOpen[0](1296.25)
08/28/08 12:29:25 PM myOpen[1](0) myOpen[0](1297)
08/28/08 12:30:24 PM myOpen[1](0) myOpen[0](1296.5)
08/28/08 12:31:24 PM myOpen[1](1296.5) myOpen[0](1296.25)
08/28/08 12:32:27 PM myOpen[1](1296.5) myOpen[0](1296.75)
08/28/08 12:33:41 PM myOpen[1](1296.5) myOpen[0](1296.25)
08/28/08 12:34:15 PM myOpen[1](1296.5) myOpen[0](1295.75)
08/28/08 12:34:32 PM myOpen[1](1296.5) myOpen[0](1295.25)
08/28/08 12:35:44 PM myOpen[1](1295.25) myOpen[0](1295.25)

The use of overload 'myOpen[0]' works properly, but using 'myOpen[1]' gives me a value that only changes when the primary timeframe (1000t) updates which is 1 time for every 5 times of the secondary timeframe (200t) updates. How can I specify, set and reference DataSeries values based on the secondary timeframe?

Thanks,

David
dbw451

[NinjaTrader_Ray]

Could this help?

http://www.ninjatrader-support.com/vb/showthread.php?t=3572

[dbw451]

Yes, it works. Pretty tricky... The key is to use an arbitrary indicator with a secondary bar IDataSeries input to sync the DataSeries with the secondary bar object when constructing the DataSeries. In my example, I moved the 'new' statement from the Initialize() event to the OnBarUpdate() event and passed an arbitrary indicator using BarsArray[1] to construct the DataSeries:

OnBarUpdate()
if (myOpen == null)
myOpen = new DataSeries(SMA(BarsArray[1], 1));

Now the output works correctly:

08/28/08 12:21:45 PM myOpen[1](1295) myOpen[0](1295.5)
08/28/08 12:21:59 PM myOpen[1](1295.5) myOpen[0](1295)
08/28/08 12:22:18 PM myOpen[1](1295) myOpen[0](1295.25)
08/28/08 12:22:27 PM myOpen[1](1295.25) myOpen[0](1295.25)
08/28/08 12:22:50 PM myOpen[1](1295.25) myOpen[0](1295.25)
08/28/08 12:23:37 PM myOpen[1](1295.25) myOpen[0](1295.5)
08/28/08 12:24:13 PM myOpen[1](1295.5) myOpen[0](1295.5)
08/28/08 12:24:45 PM myOpen[1](1295.5) myOpen[0](1295.5)
08/28/08 12:25:11 PM myOpen[1](1295.5) myOpen[0](1295.25)
08/28/08 12:25:33 PM myOpen[1](1295.25) myOpen[0](1295.5)
08/28/08 12:25:58 PM myOpen[1](1295.5) myOpen[0](1295)

I had previously searched through the forum trying to find posts that relate, but I did not see Josh's post. Thanks for pointing it out.

Regards,

David