ATR based on daily period

[zachj]

With there being the primary(5min) and the 2 indexes in the script below, in the condition set how do I have the ATR be based on index 1 which would be 14 period based on daily?

protected override void Initialize()
{Add(PeriodType.Day, 1);
Add(PeriodType.Day, 5);
CalculateOnBarClose = true;
}

protected override void OnBarUpdate()
{
// Condition set 1
if ((Close[0] > Highs[2][0]) && ((Highs[1][0] - Lows[1][0]) > ATR(14)[0] * .75))
{
EnterLong(200);
}
}

[NinjaTrader_Bertrand]

Hi zachj, no you would need to base the ATR for example on BarsArray[1] here and then also apply a filter to your condition in OnBarUpdate() to only execute it in a certain BarsInProgress, for example the primary one -

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

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

[zachj]

Is this correct below. The first if statement can use any of the bars in progress(or any of the indexes) and the third if statement will only use index 1?

protectedoverridevoid OnBarUpdate()
{

// Condition set 1
if (Close[0] > Highs[2][0] && Close[0] < Lows[1][0] * 1.05)

if (BarsInProgress == 1)

if (Highs[1][0] - Lows[1][0] > ATR(BarsArray[1], 14)[0]*.75)
{
EnterLong(200);
}
}

[NinjaTrader_Bertrand]

Any statement can use any BarsArray (or Highs, Lows etc for that matter). The difference is then with BarsInProgress when it will be processed, so on which series calling OnBarUpdate - that's the filter here.

[zachj]

Ok so the process order I have is correct then? The first if statement calls onbarupdate allowing any of the series thru. Then the third if statement calls onbarupdate only allowing the secondary series through due to barsinprogress? Then it will enter long if everything passes.

[NinjaTrader_Bertrand]

You're understanding is correct, I'm not sure though why you would seek to have the first statement not filtered by a BIP.

[zachj]

How can it be filtered when its using multiple series? The script below is close of primary > High of index 3
or basically current price on 5min > weekly high

Close[0] > Highs[2][0]

[NinjaTrader_Bertrand]

The filtering is not for which series you could access in their values and which not - it would be the event on which the code is called an evaluated, meaning the close / update of your primary or added series. You can still access all streams from both series update events.

[zachj]

Im not getting it, isnt it needing to call and evaluate both events in both series? What am I needing to filter.

[NinjaTrader_Bertrand]

Before progressing in that area I would suggest reading through this info and examples here - http://www.ninjatrader.com/support/h...nstruments.htm

The data series you've added is accessible from any series, however the filter would decide from which event you're acting on the condition - do you want to check the condition when series 0 updates, or do you want it from series 1?

So it's two moving pieces here - the bar update event fired for each series, which is determined by BarsInProgress and the actual reference to the price data array for each series you added.

[zachj]

Ok so basically I would want it to act on the primary 5min current price data seeing that's what's changing, the highest price in the last week is not changing. So now I have the following correct?...

protectedoverridevoid OnBarUpdate()
{

// Condition set 1
if (BarsInProgress == 0)
if (Close[0] > Highs[2][0] && Close[0] < Lows[1][0] * 1.05)

if (BarsInProgress == 1)
if (Highs[1][0] - Lows[1][0] > ATR(BarsArray[1], 14)[0]*.75)
{
EnterLong(200);
}
}

[zachj]

Is the logic below correct?

[NinjaTrader_Bertrand]

zachj, I would work for both conditions and your entry from the primary series so BIP = 0. As you just want to access the higher timeframe info / prices.