Multiple instruments programming

[pedrokramer]

I wonder if there is any way to program a script that scans all the instruments in a given list of instruments. I need this because I'm programming a system that seeks the best pairs of actions for pair trading (testing for probability of cointegration).

Thanks,
PH

[NinjaTrader_RyanM1]

Hi Ph,

The best way to scan against a list of instruments, is with a custom indicator and a market analyzer window. You can code an indicator to check for any custom condition. Commonly by setting a plot value to 1 when the condition is true and 0 otherwise.

Then, you can apply a list of instruments to the market analyzer, and setup a filter condition when the value of this indicator = 1.

[pedrokramer]

Hi Ph,

The best way to scan against a list of instruments, is with a custom indicator and a market analyzer window. You can code an indicator to check for any custom condition. Commonly by setting a plot value to 1 when the condition is true and 0 otherwise.

Then, you can apply a list of instruments to the market analyzer, and setup a filter condition when the value of this indicator = 1.

But in the Market Analyzer window I can program an indicator that analyzes more than one instrument? For example, an indicator that calculates the sum of closing prices of the two instruments.

[NinjaTrader_RyanM1]

You would do this within the indicator, working with multiseries NinjaScript framework.

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