Multi Instrument OnStartUp() Problem

[wuileng]

Hi,

I have a UserDefinedMethod called DoPrint which essentially does Print with a timestamp, instrument and a model identifier tag.

In OnStartUp, I have included one of these DoPrints, which call Times[0][0] (to get the timestamp). In a single instrument/TF strategy, this works fine and the strategy performs as normal.

However, when I add another instrument or TF and try running/backtesting the strategy, I get this error:

**NT** Error on calling 'OnStartUp' method for strategy 'FW/e4d9e5b45b0746a8a04b5cf1bda2ebcf': Bar index needs to be greater/equal 0

I have troubleshooted and found that the problem lies with Times[0][0]. If I do not use my DoPrint method or if I use a modified DoPrint method which doesn't include Times[0][0], it works fine. I have even tried several iterations of BarsInProgress with no luck.

In this case, having the time of a bar printed OnStartUp is not relevant, and I could get around this problem by hardcoding a Print(ModelID + " Message") into the strategy instead so it is not a major problem. However, I am just interested to know why this is the case for only multi instrument strategies or if there is another workaround possible so that I can continue to use my DoPrint method for consistency?

Thanks

[NinjaTrader_JC]

Hello wuileng,

Do you pass a "BarsArray" or "BarsInProgress" value to your "DoPrints"?

The error message is saying you are passing an invalid bar index. Note this can also be if your are using a single series item when it requires a multiseries item like "BarsSinceEntry(int barsInProgressIndex, string signalName, int entriesAgo)".

[wuileng]

Hi JC,

I'm not passing either, the only thing bar dependent in DoPrint is Times[0][0].

Also DoPrint is a single lined function which is passed two strings - contents and ModelID and does:
Print (Times[0][0].ToString("HH:mm:ss") + ModelID + contents);

Thanks again for your help.

[NinjaTrader_JC]

Hello wuileng,

Thanks for the information. Do you mind sharing the snippet of your strategy from your Initialize and OnStartUp() method to replicate the error for me to review?

[wuileng]

Hi,

I've replicated the problem.

        protected override void Initialize()
        {
			Add("SPY", BarsPeriods[0].Id, BarsPeriods[0].Value);
			
			BarsRequired = 0;
        }
		
		protected override void OnStartUp()
		{
			// Print(Times[0][0].ToString("HH:mm:ss") + " - Test");
			 Print(" - Test");
		}

It seems that if you set BarsRequired != 0 then there is no problem using Times[0][0] in OnStartUp() with multiple instruments. Otherwise, using Times[0][0] in OnStartUp() seems to cause this error.

Thanks

[NinjaTrader_Bertrand]

wuileng, which instruments are you working with as this happens? I just tried ES 12-13 primary and your SPY added in and could not reproduce. The bars array info should be accessible, however the BIP reported for OnStartUp() would always be primary only.

[wuilengh]

Oh, I was using SPY and VXX, though I think you would see the error for any instrument.

Did you uncomment the Print line which uses Times[0][0]?

[NinjaTrader_Bertrand]

Yes, I did, was using this print here to check into matters -

protected override void OnStartUp()
{
Print(BarsInProgress + " BIP " + Times[1][0].ToString("HH:mm:ss") + " - Test Time 0 " + " " + Times[1][0].ToString("HH:mm:ss") + " - Test Time 1");
}


So VXX being primary then? Which timeframe and sessions were you using?

[wuileng]

Ok I just played with it again, with VXX, GLD and several other US ETFs which are set to US Equities RTH session and based on 1 minute bars. These are the primary instruments whilst SPY is secondary.

Strangely enough, when I used your print, there isn't a problem. However, when I switch your Times[1][0] to Times[0][0], then the problem resurfaces.

Also, there isn't a problem using Times[0][0] when I select the primary instrument to be a futures contract (I tried the ES continuous contract).

Thanks

[NinjaTrader_Bertrand]

Which data provider do you use wuileng? Tried with Time[0], Times[0] and Times[1] on Kinetick VXX and GLD as primary on US Index RTH and getting the expected prints shown. You are on latest NT7 R17 as this occurs, correct?

[wuileng]

I am also using Kinetick, and have tried different date ranges just in case this might be the problem.

I am on NT7 R16. Let me update now and see if this fixes it.

Edit: Seems like R16 is the latest, did you mean that?

[koganam]

Hi,

I've replicated the problem.

        protected override void Initialize()
        {
            Add("SPY", BarsPeriods[0].Id, BarsPeriods[0].Value);
            
            BarsRequired = 0;
        }
        
        protected override void OnStartUp()
        {
            // Print(Times[0][0].ToString("HH:mm:ss") + " - Test");
             Print(" - Test");
        }

It seems that if you set BarsRequired != 0 then there is no problem using Times[0][0] in OnStartUp() with multiple instruments. Otherwise, using Times[0][0] in OnStartUp() seems to cause this error.

Thanks

BarsRequired = 0; would imply you do not need any bars on the chart. Try using BarsRequired = 1;, meaning that you need at least one bar on the chart.

It has been my experience that using BarsRequired = 0; has always given me somewhat unpredictable problems; sometimes working perfectly, at other times producing out of range errors, that are hard to isolate.