Multi Time Frame Calculation not working on first day

[freeway]

In the Initialize() mehod I have the Add statement Add(PeriodType.Day, 1)

coded. The Strategy normally runs on a 1 minute chart. I want to calculate the 10 day ATR so I have the following coded near the top of the OnBarUpdate() method:

if (BarsInProgress == 1)
{
Index = CurrentBars[1] - Bars.GetBar(Time[0].Date.AddHours(21));
dailyATR = ATR(BarsArray[1],10)[Index];

}

This works fine except for the first day that I want to start processing trades. Since the BarsArray[0] processes before the BarsArray[1] bars the ATR doesn't get calculated on the first day.

What would be a good way to correct this?

[NinjaTrader_Bertrand]

freeway, I'm not exactly sure I'm following you here, there be no meaningful ATR to calculate with one daily bar or here in your example until 10 daily bars are seen.

[freeway]

Say I am trying to track trades in Aug 2011. I make the From date in the Strategy Analyzer Jul 1, 2011. The data is there. It works on Aug 2 thru Aug 31. It appears to me that the Primary data is processed before the Secondary data. In this case the 1 min Bars array is processed before the Daily data. That is the reason the code I have used doesn't work on the first day. So, I am wondering what I can do make it work on the first day. Is there a way to make the Bars refer to the Daily data while in the 1 min processing?

[NinjaTrader_Bertrand]

You could check for the daily bars also in BarsInProgress == 0 context, your primary series, but this would still not give you a valid ATR to work with on the daily chart, it would those 10 daily bars to stabilize it's values.

[freeway]

I have it working. Just seems like there ought to be an easier way. In my inputs to the Strategy I have a set of Begin and End dates and the Strategy Analyzer also has it's From and To dates to set. As I said in an earlier post, if I want to process trades for Aug 2011 I enter Jul 1, 2011 in the From date and Aug 31,2011 in the End date.I enter 1 trading day before I want to start processing trades in my Begin date. So for Aug 2011, I enter July 29, 2011 for the Begin date and Aug 31 for End date.

[freeway]

How can I check for the daily bars in the BarsInProgress = 0 context?

[lefevreed]

BarsInProgress just determines which bar series called OnBarUpdate(), you still have access to any of the added bars series.

So something like this works:

if (BarsInProgress == 0)
{
	Print(BarsArray[0].Count);
	Print(BarsArray[1].Count);
}

[freeway]

How can I access the daily ATR while it is processing the bars on the 1 min chart? I couldn't find a way to do that. Had to wait until it was done processing the 1 min data to go to the daily data.

These statements wouldn't work on the 1 min data (BarsInProgress = 0):

Index = CurrentBars[1] - Bars.GetBar(Time[0].Date.AddHours(21));
dailyATR = ATR(BarsArray[1],10)[Index];

[lefevreed]

I'm not exactly sure what you're trying to accomplish. However, it's always helpful when you're having problems to use some debugging/print statements to check the values that are being used vs those you think are being used.

Taking your examples and putting in some print statements:

if (BarsInProgress == 0)
{
	Index = CurrentBars[1] - Bars.GetBar(Time[0].Date.AddHours(21));
	dailyATR = ATR(BarsArray[1], 10)[Index];
	Print("CurrentBars = " + " " + CurrentBars[1]);
	Print("BarTime = " + " " + Time[0].Date.AddHours(21));
	Print("Index = " + " " + Index);				
}

gives output like this:
CurrentBars = 9
BarTime = 11/3/2011 9:00:00 PM
Index = -14001
CurrentBars = 9
BarTime = 11/3/2011 9:00:00 PM
Index = -14001

Using BarsInProgress == 1:

if (BarsInProgress == 1)
{
	Index = CurrentBars[1] - Bars.GetBar(Time[0].Date.AddHours(21));
	dailyATR = ATR(BarsArray[1], 10)[Index];
	Print("CurrentBars = " + " " + CurrentBars[1]);
	Print("BarTime = " + " " + Time[0].Date.AddHours(21));
	Print("Index = " + " " + Index);				
}

Gives output like this:
CurrentBars = 8
BarTime = 10/31/2011 9:00:00 PM
Index = 0
CurrentBars = 9
BarTime = 11/1/2011 9:00:00 PM
Index = 0

Are those values for your Index what you are expecting expecting them to be? It is either always 0 or negative values.

As I said before, perhaps I'm not sure what you're trying to do, but that certainly doesn't seem right.