Vetoing Trading When Market Inactive

[BenHeaton]

Hello there

I've been trying to add a filter that acheives the following.

If in 2 consecutive minutes the high is equal to the low, then don't put a trade on in the next "X" minutes. The idea being that the market is too quiet to have generated genuine signals, and therfore any signals should be ignored.

I'm OK with the bit about locating the minutes in which the range is zero, but i'm not aware of a way of preveting the strategy from trading for a set number of minutes.

Any suggestions greatly appreciated.

Tks

Ben Heaton

BTW - tks for the new Beta, lots of great new features.

[whitmark]

Ben,

I assume you are using minute bars on a liquid market? If so, then its just a bar counting excercise. For example, try something like this:

if (FilterConditionTrue)
   BarsUntilTrade = 2;
else
   BarsUntilTrade = 0;

if (BarsUntilTrade == 0)
{
   // Do setup and order placement logic
}
else
{
   BarsUntilTrade--  // decrement variable each bar
}

HTH

Whitmark

[BenHeaton]

Hi there Whitlock - Yes am using liquid market and minute data - I spoke too soon in saying i understood the idea u kindly posted, as when I tried to apply it i came upon problems.

What I cant get my head round is that in the first "else" statement you assign "BarsUntilTrade=0".

Doesn't this effectively mean that the decrement line used later on never comes into effect, since as soon as a new bar arrives, and the condition is no longer met, BarsUntilTrade is set to zero?

Thanks again for your input on this!
Ben

[NinjaTrader_JoshP]

Hi Ben,

The logic works like this:

1. Filter condition is met so the counter is set to 2.
2. Then it checks BarsUntilTrade to be 0 but since it isnt zero it will decrement it to 1
3. Next bar
4. Filter condition true again then 2
5. if not true then 0
6. if 0 then execute order logic
7. if not zero decrement by 1 again but since it was reset to 2 you may want to revisit the logic in the code sample

[whitmark]

Thanks Josh. Ben, let me know if this logic does not meet your needs or feel free to PM me if you like.

Regards,

Whitmark

[BenHeaton]

Hi Josh/Whitmark

Thanks v much for the comments.

Regarding the logic below, i'm really sorry if i'm being thick, but I have a problem with Point 5.

I'm looking to avoid trading for "X" minutes after the occurrence of two consecutive minutes in which the High equals the Low.

Working through an example, lets say X=20, at 9:15AM two consecutive minutes occur 9:15AM & 9:16AM) where the High equals the low, so BarsUntilTrade is set to 20.

At 9:17 the high is greater than the low. As i understand it, according to the logic below, BarsUntilTrade would be then set to "0" - allowing the strategy to start executing trades. Wheras my objective would be for no trades to be exceuted for 20 minutes after BarsUntilTrade was initially set to 20 back at 9:16AM.

Once again, thanks for your support here.

Ben

Hi Ben,

The logic works like this:

1. Filter condition is met so the counter is set to 2.
2. Then it checks BarsUntilTrade to be 0 but since it isnt zero it will decrement it to 1
3. Next bar
4. Filter condition true again then 2
5. if not true then 0
6. if 0 then execute order logic
7. if not zero decrement by 1 again but since it was reset to 2 you may want to revisit the logic in the code sample

[NinjaTrader_JoshP]

Right. Which is why I said the actual code needs to be revisited. I believe Whitmark just threw up some quick pseudo code as a starting point.

In your case just do something along those lines:

1. when condition true barsUntilTrade=20
2. at each next bar after condition became true decrement barsUntilTrade
3. when barsUntilTrade hits 0 it is a greenlight so start trading

[BenHeaton]

Hi Josh

All clear. Thanks for that. I snag I have. Is it possible to refer to an undeclared variable?

Since, if BarsUntilTrade is yet to be declared in the bar, if I try and decrement it , an error is generated.

Ben
I've tried to do as u suggest, but when

Right. Which is why I said the actual code needs to be revisited. I believe Whitmark just threw up some quick pseudo code as a starting point.

In your case just do something along those lines:

1. when condition true barsUntilTrade=20
2. at each next bar after condition became true decrement barsUntilTrade
3. when barsUntilTrade hits 0 it is a greenlight so start trading

[NinjaTrader_JoshP]

Just declare it in the Variables section of your code.
private int barsUntilTrade = -1; or something like that.

[BenHeaton]

Tks Josh - got it working - much appreciated - Ben

Just declare it in the Variables section of your code.
private int barsUntilTrade = -1; or something like that.

[whitmark]

Ben, glad to see you wrestled to the ground the the approach I first posted about . . . sorry I was "unplugged" and away from the forum for a few days while on vacation. Thanks Josh for stepping in to clarify.

Regards,

Whitmark