Strategy based on scanner

[Andrea Fare]

HI,
I am evaluating the product and I am impressed so far.
Can the instruments on which a strategy should operate, be determined at runtime with some sort of scanner?
Where, by scanner, I mean a set of conditions on the market as a whole.

Let's say I wanted to take the 5 instruments which have performed better yesterday on a specific market and act upon them today.

Is this possibile without coding a specific sorting algorhythm to compare opening and closing prices of each one by one?

Best Regards.

Andrea Farè.

[NinjaTrader_JoshP]

Andrea,

Unfortunately not. You will need to specify which instrument it is that you want to run your strategy on at startup.

[Andrea Fare]

Andrea,

Unfortunately not. You will need to specify which instrument it is that you want to run your strategy on at startup.

dear Josh,
sorry to hear that, but thanks for the blazing fast reply!!

Can you confirm that the complex option would still be applicable (by writing appropriate code)?

- Loop through all instruments on the market (I mean actually specifying each single name)
- Calculate their performance (percentage variation open/close)
- Sort them by performance
- Pick the first five
- cycle through and open positions on each of them.

Regards.

Andrea.

[NinjaTrader_JoshP]

Technically possible, but will be taxing on your computer system as that requires many computations. It will also depend on your data provider since not all of them will let you open that many data streams.

[Buthus]

Hello Andrea,

I have such a strategy running. The strategy analyzes 28 currency pairs (all pairs I'm subscribed to). The strategy calculates the performance (determined by 6 different indicator values) for each tick on each pair and my CPU (8 cores) is still bored, only memory is sometimes on its limit. But the real problem is the performance of NT when you try to debug such a strategy. Most of the time is spent to watch this annoying "Loading data" dialog. I really don't know why NT always downloads the same data again and again.

However, when the development of your strategy is finished, you won't have any performance problem.

Regards,
Daniel

[NinjaTrader_Bertrand]

Daniel, not sure I follow, once downloaded data is stored in the database and is only requested again from the provider in those cases -

http://www.ninjatrader-support.com/HelpGuideV6/WhenDoesNinjaTraderLoadHistoricalData.html

[Buthus]

Hello Bertrand,

correct, NT will load data when “Format Data Series” contains the current day. I'm always testing my strategies with current live data in Sim101 account, so NT loads all the data of the current day again and again.

Would it help to create a workspace that holds a chart for each instrument? I haven't tested it yet, because I'm not sure if charts on inactive workspaces are actually updated.

Regards,
Daniel

[NinjaTrader_Bertrand]

Yes, this would be a good idea to try - the workspace is still active though just not 'in current view'.

[Andrea Fare]

Thanks for the hint Buthus,
Regards.
Andrea