Daily Strategy?

[ErikHR]

I am back testing a daily strategy against multiple instruments to see what instruments I need to trade against tomorrow. I am only interested in trading daily bars. That is I want to do my analysis in the evening and in the morning be for I head off to my day job place my limit orders and see how they did in the evening after the market closed. What I am doing does not seem like it is going to work and I am not sure what I need to do differently. My issue is:
I run a back test on a stock. I add a print statement to the OnBarUpdate method:

protectedoverridevoid OnBarUpdate() {
Print(Time[0].Date.ToShortDateString());

The last bar on the chart is 7/1/2009

My output reads:
Initialize
Initialize
6/26/2009
6/29/2009
6/30/2009

I originally thought since I have the 7/1/2009 data and since I can see the bar on the chart that the OnBarUpdate event would have fired, but I guess that is not the case.

How do I get around this?
Multiple time frames Add(PeriodType.Minute, 60)???
I basically need to know what Instruments I need to open strategies for in the morning so I can trade them.

Thanks,
Erik

[NinjaTrader_JoshP]

Erik,

This happens because NinjaTrader does not close a bar until the opening of the next bar. That means you do not receive a 7/1 OnBarUpdate event until 7/2 comes along.

You can try adding that intraday granularity to get the prices for that last bar.

[ErikHR]

When I connect to my MB Trading Demo account and run a back test against a simple strategy if I try to use Type = Minute instead of Type=daily I don't see any bars and my print statement below does not print anything? I am using Yahoo as the backup. Is there any way using my MB Trading demo account to get minute bars? I wrote a C# app using their api and I can see historical minute data so I thought this would be possible?

Thanks,
Erik

[NinjaTrader_JoshP]

Please see this article: http://www.ninjatrader-support.com/H...HistoricalData

Historical minute is not supported on MBT.

[ErikHR]

MB Trading Adapter
- Added support for MBT historical data
- Added option to drive streaming level 1 data from either snap shot data or time & sales data
- Fixed issue where redundant execution events were thrown after recovery on a loss of connection

Does this mean minute data will be available in NT 7?

Thanks,
Erik

[NinjaTrader_JoshP]

Sure does.

[ErikHR]

Josh,

I have another question on this subject.

If I do the following:
1. Connect to my data source and run a strategy up to current day (7/8/2009).
2. Disconnect from my data source (using historical data on my hard-drive now).
3. Create a file for say INTC that looks something like this (mock data for tomorrows bar - I really do not care about it at this point):
20090709;2.00;3.00;1.00;2.10;200
4. Import it (now I can run my historical test to see if I want to Trade INTC tomorrow based on how OnBarUpdate handles 7/8/2009's data).

Question: The next day (evening of 7/9/2009) when I repeat the process the historical data added in step 3 above will be overwritten by step 1 above. Is this correct? Will messing with the historical data like this cause problems with the software?

Thanks,
Erik

[NinjaTrader_JoshP]

If you want it to overwrite the data you import just tell NinjaTrader to reload historical data and it will load whatever it has again. If you want to start a day fresh, you can delete data for the day you do not want.

[ErikHR]

Josh,

What do you mean by until 7/2 comes along? I am trading daily bars with calculate on close = true, so will 7/1 OnBarUpdate fire the morning of 7/2 or end of day 7/2 when the 7/2 bar paints on my chart.

Thanks,
Erik

Erik,

This happens because NinjaTrader does not close a bar until the opening of the next bar. That means you do not receive a 7/1 OnBarUpdate event until 7/2 comes along.

You can try adding that intraday granularity to get the prices for that last bar.

[NinjaTrader_JoshP]

7/1 bar does not close till 7/2 bar begins. No OnBarUpdate() is received till the bar closes.