MultiTimeFrame Query - Use of BarsInProgress

[sburtt]

I am running a MTF strategy that looks for a setup on the primary time frame BarsArray[0] and then executes on the secondary time frame BarsArray[1] and i was wondering what the difference would be between these 3 scripts:

if (BarsInProgress == 0)
{
	if (CrossAbove(EMA(Fast), EMA(Slow), 1))
		{
			//1 = secondary bars,
			EnterLong(1, 1, "Long");
		}

and

if (BarsInProgress == 1)
{
	if (CrossAbove(EMA(BarsArray[0],Fast), EMA(BarsArray[0],Slow), 1))
		{
			//1 = secondary bars,
			EnterLong(1, 1, "Long");
		}

and

if (BarsInProgress == 0)
{
	if (CrossAbove(EMA(BarsArray[0],Fast), EMA(BarsArray[0],Slow), 1))
		{
			//1 = secondary bars,
			EnterLong(1, 1, "Long");
		}

[NinjaTrader_Matthew]

Your first example, will be called when the primary series updates, but since you're not reference any specific bars array, will only check the EMA for the BarsInProgress series you have put that code under.

The second will operate when BarsInProgess 1 updates, but will use the data from the BarsArray[0], or primary series.

The 3rd will be called when the primary series is updated, and will use data from the Primary Series.

In all of your examples, the EnterLong will operate on the secondary series as you have specified 1 as the barsInProgressIndex.

[sburtt]

Your first example, will be called when the primary series updates, but since you're not reference any specific bars array, will only check the EMA for the BarsInProgress series you have put that code under.

The second will operate when BarsInProgess 1 updates, but will use the data from the BarsArray[0], or primary series.

The 3rd will be called when the primary series is updated, and will use data from the Primary Series.

In all of your examples, the EnterLong will operate on the secondary series as you have specified 1 as the barsInProgressIndex.

Ok, therefore given my initial remarks and the simple code, do you agree with me that all 3 examples should return the same result?

[NinjaTrader_Matthew]

As far as your data is referenced yes, however in the second example would only be called when the secondary series is updated.

[sburtt]

As far as your data is referenced yes, however in the second example would only be called when the secondary series is updated.

This is all very clear, i only have 1 doubt:

-Assuming I am running the code below and I want to enter long with a limit. My BIP=0 is 60 min time frame whilst execution will occur on the 1 min time frame. I will send the order on the BIP=1, but will this order be valid for only 1 minute or 60 min?

if (BarsInProgress == 0)
{
	if (longcondition == true)
		{
			EnterLongLimit(1, false,DefaultQuanitity,High[0], "Long");
                        //1 = secondary bars;
		}

[NinjaTrader_Matthew]

If you're running on CalculateOnBarClose = true, it would only evaluated every 60-minutes.

If it was CalculateOnBarClose = false, it would submit as soon as the instrument received an update.

You may want to consider using unique print statements to get a better idea of what order and time your code will be called.

[sburtt]

Matt, thanks for reply, but it doesn't really answer my question. I was referring to the fact that the the field valid till cancel = false, therefore I was wondering if the order is valid for a 1 min bar or a 60 min bar

[NinjaTrader_Matthew]

As your logic occurs on BIP0, it will be live until BIP0 bar closes; in your case it will cancel 60-minutes after it has been placed.

[sburtt]

As your logic occurs on BIP0, it will be live until BIP0 bar closes; in your case it will cancel 60-minutes after it has been placed.

ok this helps thanks