Help to explain sample code

[ssg10]

Hi, Could somebody explain to me briefly how this snippet works?
It is from sample code from NT "Strategy: Monitoring for and trading a breakout "

I especially wonder if how "FirstBarOfSession" and "BarsSinceSession " work here.

Thanks


protectedoverridevoid OnBarUpdate()
{
// Resets the highest high at the start of every new session
if (Bars.FirstBarOfSession)
highestHigh = High[0];

// Stores the highest high from the first 30 bars
if (Bars.BarsSinceSession < 30 && High[0] > highestHigh)
highestHigh = High[0];

// Entry Condition: Submit a buy stop order one tick above the first 30 bar high. Cancel if not filled within 10 bars.
if (Bars.BarsSinceSession > 30 && Bars.BarsSinceSession < 40)
{
// EnterLongStop() can be used to generate buy stop orders.
EnterLongStop(highestHigh + TickSize);
}

// Exit Condition: Close positions after 10 bars have passed
if (BarsSinceEntry() > 10)
ExitLong();
}

[NinjaTrader_Bertrand]

Hi ssg10, Bars.FirstBarOfSession returns true when a new session begins, this is then used in the code reset the high breakout variable.

Bars.BarsSinceSession counts the bars since Bars.FirstBarOfSession was true...this is then used to track the highestHigh of the first 30 bars in the new session.

[ssg10]

How do you define "session" ?

[NinjaTrader_Ray]

The session is defined when running a backtest, these are the start time and end time parameters.

[ssg10]

So, does this strategy only for backtesting?

From the code, this buy or sell only gets executed once, right? since the condition below might be true only once (<30)

if (Bars.BarsSinceSession < 30 && High[0] > highestHigh)
highestHigh = High[0];

[NinjaTrader_JoshP]

ssg10,

Your strategy can run on real-time too. In real-time, the session is defined by the chart you throw your strategy onto. If you run it from the Strategies tab you will have similar options to select it as you did when backtesting.

The condition has 30 opportunities to be true. Every bar after session start before bar 30 is available.