Compose strategies

[Goshewan]

Hi all,

I have a few strategies, each based on a different indicator. The logic is simple: whenever the underlying indicator signals "short" or "long", the strategy enters the market. Trade management is done by the strategy afterwards.

I want to create an additional strategy, which would combine all these indicators. I.e. whenever any of the indicators signals "short" or "long", the strategy would enter the market and manage the trade (PT and SL).

Is this even possible given the current architecture? First of all, I do not know how to assign data to the "sub-strategies" (i.e. the Input IDataSeries). Also I need to know how to ensure that "OnBarUpdate" is being called (since it is a protected method) - but I hope this would be solved once the sub-strategy would get a reference to the processed data series (similarly to how indicators handle this).

I am not asking about the intercommunication of the strategies; this I hope I can handle. However I am unable to execute synchronously a strategy from another strategy.

Any help would be much appreciated!

Best regards.

[NinjaTrader_RyanM1]

Hi Goshewan,

Thanks for the post and welcome to the NT forums! Yes, NinjaScript is built with C# so you can use standard programming conventions, like OR operator ||. Your indicators need to return a value you could check for your entry conditions.

OnBarUpdate() is a required handler in all strategies and indicators. It's raised whenever there is a bar update. The timing of this event can be controlled with CalculateOnBarClose setting. When set to false, it's raised on every incoming tick. When set to true, it's raised only on bar close.

You can learn more about basic C# syntax to help with II operator here:

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

An overview of the strategy development process is available here:

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

[Goshewan]

Hi Ryan M,

thanks for the reply. I might have made it clearer that I have already several implemented strategies in the NinjaScript and I need to learn how to use a strategy from within another strategy (in the meaning of the type of the object). I am quite familiar with C# with several years of experience.

Basically I want to instantiate few custom strategies within my new "ComplexStrategy" and somehow ensure that they will be notified when the OnBarUpdate occurs (and subsequently do their computing). The resulting actions are not of the concern right now.

Thanks!

[NinjaTrader_RyanM1]

Strategies cannot call other strategies. You need to have exposed values from your indicators and can then integrate this into one strategy.

[Goshewan]

Is there no way of doing that? It would reduce the code duplication significantly, not mentioning the maintenance.

[NinjaTrader_RyanM1]

Right - there's no way for a strategy to call another strategy. We appreciate the feedback and I will forward your comments and suggestions to our development team.