Dual TimeFrame & Indicator on DataSeries

[dom993]

Hi there,

I am trying to get a mock-up dual-timeframe strategy up & running ... but it crashes NinjaTrader ... All it does is to use an SMA indicator on a DataSeries.

This works perfectly on a single timeframe (comment-out Add( PeriodType.Second, 1); ) OR when using SMA( Close /* instead of aDataSeries */, 20 ) in dual-timeframe.


Thanks in advance,
Dominique



#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// Enter the description of your strategy here
/// </summary>
[Description("Enter the description of your strategy here")]
public class TestDualTFv2 : Strategy
{
#region Variables
// Wizard generated variables
// User defined variables (add any user defined variables below)
DataSeries aPriceSeries;
#endregion

/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
// Add 2nd timeframe
Add( PeriodType.Second, 1);

// Add( SMA( Close, 20) );

aPriceSeries = new DataSeries( this, MaximumBarsLookBack.Infinite);
Add( SMA( aPriceSeries, 20) );

CalculateOnBarClose = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{

if (BarsInProgress == 1)
{
}

if (BarsInProgress == 0)
{
aPriceSeries.Set( Close[0] );
}

} // OnBarUpdate()

#region Properties
#endregion
}
}

[NinjaTrader_Matthew]

Hello,

What are you trying to plot with the aPriceSeries data series?

If you're looking to set the SMA to the Added Second Period type, you would use

Add(SMA(BarsArray[1], 20));

[dom993]

Matthew,

This is a mock-up strategy ... ultimately, what I will pass to the indicator will be nothing directly available through Highs / Lows / Closes / Opens / Volumes or simply BarsArrays (which if I am not mistaken is just another name for Closes) - so I need to calculate it & keep track of it in a DataSeries object.

(and the indicator won't be an SMA either )


So I would appreciate if you could get this to work using a DataSeries object, because this is what the problem is.

Thanks in advance

[NinjaTrader_Matthew]

Hello,

Thank you for the clarification.

You would only be able to use a default bar series in Initialize. If you are including a data series you just initiated, it would have no opportunity for the values to be set.

If you would like to Initialize a data series in this strategy, you would need to do this from an external indicator with this data series exposed that can be referenced.

[dom993]

There isn't much more information I can provide to help you guys figure this out ... I just spent a couple hours in Visual Studio Debugger, the crash is a System.StackOverflow that takes place beyond my strategy Initialize(), but before it ever gets to OnBarUpdate().

I noticed that the DataSeries non-public members BufferSlots & PlotSlots are not initialized after creating a new DataSeries object (BufferSlots.Count = 0 / PlotSlots.Count), I only can hypothesize that they might be used while setting up the dual TF context before they get initialized?

Anyway, as I said I cannot provide any more info on this.

[NinjaTrader_Brett]

To clarify as we discussed via email as well. Essentially any dynamic Add() call is basically unsupported in NinjaTrader and may or may not work. I asked development to add a count to our tracking database for user requested features for development to review for our next major release.


What you will need to do is use this StrategyPlot sample to get this done. Basically get out of Initialize() and then initialize a dummy indicator that you will set from inside OnBarUpdate() in the strategy with your custom dataSeries. StrategyPlot does have its own set of limitations but if you just need to plot some strategy calculated data it will get the job done.

http://www.ninjatrader.com/support/forum/showthread.php?t=6651

[dom993]

Brett,

Thank you ... I quickly tested this workaround, I think it will work for the time being.

Cheers
Dominique