Multi-timeframe/instrument problem

[kw123]

Solved, thanks

[NinjaTrader_JoshP]

Multi-time frame indicators are not supported in NT6.5. They will be in NT7.

[kw123]

Multi-time frame indicators are not supported in NT6.5. They will be in NT7.

Hi Josh, Thanks for your reply, but the code is a strategy, not an indicator, I just want to add more timeframes than the primary timeframe and the tick timeframe that's required.

[NinjaTrader_Austin]

kw123, it looks like you're heading in the right direction. What errors did you run into?

To create a multi-instrument strategy you need to add the instrument (we'll use ES 03-10 in this example) in the Initialize() section:

protected override void Initialize()
{
    Add("ES 03-10", PeriodType.Volume, 1000);
}

Then, you can just reference the additional instrument through Closes[1][n] like you already are in the code you posted.

If you'd like, there is also a multi-instrument that comes pre-loaded with a NinjaTrader installation that you could take a look at from Tools -> Edit NinjaScript -> Strategy -> SampleMultiInstrument.

[kw123]

Hi Austin, thanks for your reply.

I've looked at the pre-loaded sample multi-timeframe/multi-instrument strategies, and tried to use them without any success.

For example, if I use 5000 volume chart as my primary timeframe, add another 1000 volume as my secondary timeframe(which will be referred as BarsArray[2],because there a required tick timeframe) and change the following part in the code that refer to the primary to secondary:

From

else if ((base.BarsInProgress == 0) && (base.CurrentBar > this.LastCurrentBar)) 

to

else if ((base.BarsInProgress == 2) && (base.CurrentBar > this.LastCurrentBar)) 

From

if (base.BarsArray[0].CurrentBar >= Math.Max((this.L1 + this.L2) - 1, this.L3)) 

to

if (base.BarsArray[2].CurrentBar >= Math.Max((this.L1 + this.L2) - 1, this.L3)) 

From

 if (BarsInProgress != 0 )
                return;            
  if(BarsInProgress==0)
        {          Print(Time[0]+" "+VolumeSeries[0]);        } 

to

 if (BarsInProgress != 2 )
                return;                            
        if(BarsInProgress==2)
        {        Print(Time[0]+" "+VolumeSeries[0]);       } 

Then I ran this new strategy, the values I got is different from the values I got if I just ran the original strategy on a 1000 volume chart, which make me very confused.

[NinjaTrader_Austin]

kw123, you are running the strategy on another instrument/period, so it would make sense that the values don't match.

You can try printing more values than just the time and your current data series (price, volume, open, high, low, etc) to help you verify which data set you're working with and such.

[kw123]

Hi Austin, so if I understand correctly, the values from 1000 volume as a secondary timeframe on a 5000 volume primary timeframe chart will be different from the values of a 1000 volume as a primary chart with no secondary timeframe?

[NinjaTrader_Austin]

kw123, sorry for the misunderstanding. The values from 1000V as secondary should be exactly the same as from a 1000V primary.

I suggest you start from a place where you know exactly what is going on, and slowly adding complexity, one layer at a time.

[kw123]

Hi Austin, thanks for your reply.
I guess I have to dig in to do some more debugging.

[aviat72]

This is a wild hunch, but the problem might be caused due to sequencing of the bar update calls. Since your volume charts are multiples of each other, the tick which cause the larger one to trigger will also cause the smaller one to trigger (or round abouts). The sequence in which the ticks for different bars are called might be causing some problem when you are looking for exact data. Try something which is not a multiple (say 1000, and 2500) and see how the results are.

[kw123]

This is a wild hunch, but the problem might be caused due to sequencing of the bar update calls. Since your volume charts are multiples of each other, the tick which cause the larger one to trigger will also cause the smaller one to trigger (or round abouts). The sequence in which the ticks for different bars are called might be causing some problem when you are looking for exact data. Try something which is not a multiple (say 1000, and 2500) and see how the results are.

Hi aviat72, thanks for your advice, I think too it may be something like that, but my programming knowledge is just too limited to figure it out myself.