OnExecution and Multi-Time Frame Strategies

[Style]

For a multi-time frame strategy, when inside the OnExecution function and I reference Open, High, Low, or Close, how do i know which time frame it is getting the data from? Should I be checking BarsInProgress?

Thanks!

[NinjaTrader_Bertrand]

Style, the OnExecution() is not tied to any bars update event, it's strictly monitoring for fill reports, incoming executions - so the BarsInProgress filter would not make sense really here.

For data access you can use Opens, Closes, Lows or Highs, which would let you point to a specific frame to get the last known data from.

Alternatively you can set a tracking variable in OnBarUpdate() that would update on your needed BarsInProgress calls.

[Style]

For data access you can use Opens, Closes, Lows or Highs, which would let you point to a specific frame to get the last known data from.

This is exactly what I needed. Thanks so much! I didn't even know those arrays existed.

[NinjaTrader_Bertrand]

You're welcome, all price input types would have such multiseries 'cousins' - Typicals, Medians and Weighteds are available as well.