Donchian Channel values in a multi-instrument strategy

[dmitry75]

Hello,

I'm developing a multi-instrument strategy which needs to obtain DonchianChannel's upper and lower values within the "OnPositionUpdate(IPosition position)" method. All the trading logic is processed based on the primary Bars, but I'm entering positions for both--the primary and the secondary Bars instruments: if (altInUse == false) {entryOrder = EnterLong(IQ, "IQ");} else {entryOrder = EnterShort(1, aIQ, "IQ");}. The problem is the following: if I enter a secondary Bars' position: {entryOrder = EnterShort(1, aIQ, "IQ");}, I cannot then obtain the primary Bars DonchianChannel's values within the "OnPositionUpdate()" method--I receive the secondary Bars values. How can I get DonchianChannel's primary Bars values?

Thank you!

[NinjaTrader_Bertrand]

dmitry75, the OnPositionUpdate() would not have a BarsInProgress logic as the event you're tied to here is soley the update of the IPosition object of the strategy.

'I cannot then obtain the primary Bars DonchianChannel's values within the "OnPositionUpdate()" method--I receive the secondary Bars values'

Which snippet have you been using to attempt accessing the values? Have you passed the needed BarsArray to the DonchianChannel indicator?

[dmitry75]

Bertrand,

here is the code:

protected override void Initialize()
{
Add(AAPL, PeriodType.Minute, 1);
...
}

protected override void OnBarUpdate()
{

if (Historical)
return;
if (CurrentBars[0] <= BarsRequired || CurrentBars[1] <= BarsRequired)
return;
if (BarsInProgress != 0)
... return;
}


protected override void OnPositionUpdate(IPosition position)
{
Print (Closes[0][0]); // 38.01 (correct first Bars close)
Print (Closes[1][0]); // 502.18 (correct second Bars close)
Print (DonchianChannel(1).Lows[0][0]); // 502.08 (second Bars lower channel -- not the first Bars as I needed)
Print (DonchianChannel(1).Lows[1][0]); // *NT** Error on calling 'OnPositionUpdate' method for strategy ...: Index was outside the bounds of the array.
}


As you can see, I can obtain the last price from both the first and the second Bars but cannot do the same with DonchianChannel's values. Why?

[NinjaTrader_Matthew]

Are you using the standard NT DonchianChannel?

If so, you want to use the following:

Print (DonchianChannel(BarsArray[0], 1).Lower[0]); // Lower of primary
Print (DonchianChannel(BarsArray[1], 1).Lower[0]); // Lower of secondary

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

[dmitry75]

It worked. Thank you!