Multi time frame strategy

[Nuno Renato]

Hi

I would like to ask if it is possible to create a strategy, whith 2 diferent time bases, with the higher time frame making historical calculations for 10 days, and the small time frame only 1 day.

Imagine a strategy that have um time frame with 2304 ticks and another time frame with 1 tick, for tick to tick calculations

When I initilize the time frames, this will make the OnBarUpdate event to be called every tick, generating a lot of interrupts and extend the calculations to several seconds for each indicator using this method

I would only to make calculations on a tick to tick base on the last day, so I would like to have historical calculations of 10 days on the 2304 ticks chart and only the tick by tick calculations on the last day.

If this is not possible it is possible to change the time frames after initialization.

I could start both time frames at 2304 and then when I get something like Time[0].Day == DateTime.Now.Day, I switch the BarsInProgress 1 to one to one tick calculations?

Another other ideias to workarround are also welcome.

[NinjaTrader_RyanM1]

There doesn't really exist options to separate the date loaded depending on the series. The date is specified in the strategy settings and will apply to all series.

The 'best practice" here depend on your goals. Are you looking to improve performance backtesting or during real time? Once the values are calculated for the historical period, the strategy doesn't need to go back and calculate again.

[Nuno Renato]

The ideia is to decrease the time that the indicators take to load. When I start the workspace with all indicators, it take more the 2 minutes to load everything. Due to heavy processing, during this period the feed data is not received correctly.

If I do not start the workspace, before the openning bell, I will miss some data from the feed, and wait more than one minute to have the charts again when I refresh one of the time bases is very bad.

All the indicators use the same process of calculations, and I have 2 different indicators for each chart. If I open 4 different time bases I will get a lot o repeated calculations

Another possibility, was to have only one indicator to make the calculations, and the others receive the tick by tick calculations. The problem is that I did not find any process to transfer information from one indicator to another in the same chart, or even worst in diferent charts.

[NinjaTrader_RyanM1]

I see. Thanks for the reply.

You may be able to set indicator values conditionally then, as you propose in your first post.

The big drawback to this is that you'll also want to check values conditionally, as the values called historically won't be what you expect. This is also done in the indicator itself, not the strategy, which may cause issues if you're using the same indicator for both series. Most likely your best bet will be to create two different indicators for the two series.

[Nuno Renato]

I will explain further, in order to workaround this issue, I implement a cache process where I save the calculated values on a tick by tick base into a file.

The when I put every thing to work, I realize the it takes more or less the same time to make the calculations or to read the values from the cache file. The problem, I believe is the fact that the OnBarUpdate is called every tick for the lowest bar in progress.

So during cache reading, I do not need tick by tick calculations, but because in the last day I would like to make the calcultions in order the have seamless change between historical and real time, I need to switch to tick to tick calculations again.

I need this because, I cannot cache until the last tick of the feed, so making the calculactions for the last day only, looks like a good comprimise.

I was just asking if it ispossible to switch the period of the bar in progress, before I even try, because if it is not possible I will save some hours of work in order to put everthing running again.

[Nuno Renato]

Another even better solution, could be disable the OnBarUpdate() event for one Bar in Progress and activate it later. Is this possible?

[NinjaTrader_RyanM1]

No, there's nothing you can do to disable OnBarUpdate. You can return out of processing bar updates with return statement.

if (BarsInProgress != 0) return;

[Nuno Renato]

No, there's nothing you can do to disable OnBarUpdate. You can return out of processing bar updates with return statement.

if (BarsInProgress != 0) return;

That is the initial problem

If I do that, a normal indicator inside um chart that takes 2 seconds to load it will take 8 seconds just by doing this

protected override void Initialize()
{
Add(PeriodType.Tick, 1);
......

}

protected override void OnBarUpdate()
{
if (BarsInProgress != 0) return;
.......
}

What I need is to change the BarsInProgress interrupt time to more than 1 tick for a specific period when I am loading the chart or even disable the OnBarUpdate event for that specific BarsInProgress and activate it later during the loading process

[NinjaTrader_RyanM1]

Unfortunately I'm not sure the exact implementation you'll need for maximum efficiency. I would review the performance tips available below for ways to reduce Ninja's resource requirements.

http://www.ninjatrader.com/support/helpGuides/nt7/performance_tips2.htm

[Nuno Renato]

Unfortunately I'm not sure the exact implementation you'll need for maximum efficiency. I would review the performance tips available below for ways to reduce Ninja's resource requirements.

http://www.ninjatrader.com/support/h...ance_tips2.htm

I just comparing two source codes, with the modification of adding another time frame of 1 tick. I believe that I can compared results, since I did not change anything else.

The main problem here is to know if I can change the period value of the second time frame during execution.

If yes, what are the variables to change. I try to access to the BarsArray and change the Period values without any luck, Any more properties?

[NinjaTrader_Bertrand]

You could unfortunately not change the timeframe dynamically - you would need to Add() all frames needed and then direct to the barsobject as you desire for your script.

[Nuno Renato]

Thanks anyway