OnBarUpdate() problem

[betcashrun]

Hi Guys,

Instrument EURUSD, 3 minutes: having an issue with an indicator called inside a strategy OnBarUpdate.

    public class StratDebug : Strategy
    {
        protected override void Initialize()
        {
            CalculateOnBarClose = true;
        }
        protected override void OnBarUpdate()
        {
            DebugThis();    
        }
        
        #region Misc
        private void DebugThis()
        {
            int lowEndBarsAgo = ZigZag(DeviationType.Points,0.0013,true).LowBar(0,1,CurrentBar);
            if (Time[0].Hour == 21 && Time[0].Minute == 3)
            Print(Time[0].Date + " " + Time[0].Hour + ":" + Time[0].Minute.ToString("00") + " Print at the end of the strategy OnBarUpdate  " + lowEndBarsAgo + " " + Low[lowEndBarsAgo]);
            
        }
        #endregion
    }
}

where the following code has been added at the end of the ZIGZAG OnbarUpdate:

            int lo = LowBar(0,1,CurrentBar);
            if (Time[0].Hour == 21 && Time[0].Minute == 3)
            Print(Time[0].Date + " " + Time[0].Hour + ":" + Time[0].Minute.ToString("00") + " Print at the end of the indicator OnbarUpdate " + lo + " " + Low[lo]);

Output:

8/24/2009 12:00:00 AM 21:03 Print at the end of the strategy OnBarUpdate 16 1.4289
8/24/2009 12:00:00 AM 21:03 Print at the end of the indicator OnbarUpdate 1 1.4286

The right bar value should be 1 not 16. So, does it mean that the indicator is fully updated after being called? I will appreciate any help.

[NinjaTrader_JoshP]

The indicator values pulled from the strategy should be the correct values at the time they are accessed. Be sure that your indicator does NOT have any CalculateOnBarClose setting as that will cause conflicting issues even if it is set the same as the strategy's setting.

[betcashrun]

Thank you for your reply Josh. Indeed, the indicator CalculateOnBarClose is set to true. When I remove this setting, the problem remains.

[NinjaTrader_JoshP]

LowBar is likely not meant to be called from within ZigZag. Please pull up a chart and visually see what value is correct at that point in time. This can be difficult because ZigZag repaints itself in the future.

[betcashrun]

In my case the right value is 1. I also checked on a 3 minutes chart with the ZigZag indicator. For an unkown reason, the LowBar(0,1,CurrentBar) cannot be equal to 1 inside the strategy itself. Used as an indicator, ZigZag is ok and LowBar(0,1,CurrentBar) can be equal to 1 in that case.

[NinjaTrader_JoshP]

Could then be just the sequence of events in updating. You may need to migrate the zigzag logic into a method in the strategy, but remember, that the ZigZag indicator is a very difficult indicator to actually create a strategy with due to its repainting nature. The reason it looks so good on a chart is because it changes its values when something happens a few bars later making it seem like it detected such a move in the past.

[betcashrun]

Ok I will do that. As for the zigzag logic, I love it: Brownian motion with a volatility zest.

Could then be just the sequence of events in updating. You may need to migrate the zigzag logic into a method in the strategy, but remember, that the ZigZag indicator is a very difficult indicator to actually create a strategy with due to its repainting nature. The reason it looks so good on a chart is because it changes its values when something happens a few bars later making it seem like it detected such a move in the past.

[betcashrun]

Finally, I found a solution:
- In ZigZag declare zigZagHighSeries & zigZagLowSeries as ArrayList not DataSeries.
- In ZigZag add or remove the right values .i.e.

if (addHigh || updateHigh)
                {
                    zigZagHighZigZags.Set(1, saveValue);
                    zigZagHighZigZags.Set(0, 0);

                    currentZigZagHigh = saveValue;
                    if (updateHigh)
                        zigZagHighSeries.RemoveAt(zigZagHighSeries.Count-1);
                        
                    zigZagHighSeries.Add(currentZigZagHigh);
                }

- To get the last value of zigZagLowSeries in the strategy :

                int ii = ZigZag(DeviationType.Points,0.0013,true).ZigZagLow.Count-1;
                double lastValue = (double) ZigZag(DeviationType.Points,0.0013,true).ZigZagLow[ii];