Help with mulit time frame

[superhaze421]

I have a strategy that runs on a 5minute time frame.
How would I be able to check on start up of the strategy the price of the open and the 20 period sma on a daily chart time frame? I only need the strategy to check it once and not continuously through out the day.

Thanks

[NinjaTrader_CalH]

Hello Superhaze,

Thank you for your note.

I would recommend that you do this in the OnBarUpdate and setup a condition for the first bar and check the price and 20 SMA for the daily.
Such as,
if(CurrentBar == 0)

Additionally, you would need to use the Add() to additionally data series.
Please see the link below for more information on Multi-Time series -
http://www.ninjatrader.com/support/h...nstruments.htm

Let me know if I can be of further assistance.

[superhaze421]

Ok, I used Add() to add in a daily time frame in addition to the primary bars.

This is my code to test out to see if I get the correct opening price on the daily bars

if (CurrentBars[1] == 0)
            {
                double dailyChartOpen = Opens[1][0];

                DrawTextFixed("MyTag", dailyChartOpen.ToString(), TextPosition.BottomRight);
            }

It retrieves the open for the current date, the problem is that I want to get the value when the asian markets open up, but its still considered the same day.

Example, on the 17th at 4pm Colorado time the asian markets open, and a new daily bar is started, need to retrieve this open which is technically the 18th.

[NinjaTrader_PatrickH]

Hello superhaze421,

Thank you for your response.

You can use the following code for each day rather than just the first day.

			if(BarsInProgress == 0 && Bars.FirstBarOfSession)
			{
				double dailyChartOpen = Opens[1][0];
                DrawTextFixed("MyTag", dailyChartOpen.ToString(), TextPosition.BottomRight);
			}

[superhaze421]

Hi, thanks
But it still retrieves the 17th's open not the new daily bar that starts in the afternoon.

[NinjaTrader_PatrickH]

Hello superhaze421,

Thank you for your response.

Are you using CalculateOnBarClose = True? And what instrument are you testing?

[superhaze421]

CalculateOnBarClose=false

testing on CL

[NinjaTrader_PatrickH]

Hello superhaze421,

Thank you for your response.

I will test this further and follow up with you when I have additional information.

[superhaze421]

Any update? Thanks

[superhaze421]

Change my code up a bit. I was getting the wrong open by checking the daily bars in market replay.

Checks the first bar of the nymex crude session open using the primary 5min bars
Now I need to get the value of the 20 SMA at the open, this needs to be the daily bar sma not the 5min.

when I run this strategy over a couple of days it returns the correct opens, but sma value stays the same. Am I doing something wrong?

protected override void Initialize()
        {
            CalculateOnBarClose = false;
            Add("CL 08-14",PeriodType.Day, 1);
        }


        protected override void OnBarUpdate()
        {
            if(BarsInProgress == 0 && Bars.FirstBarOfSession)
            {
                double dailyChartOpen = Opens[0][0];// Gets open from 5min, primary bar

                double smaValue = SMA(BarsArray[1], 20)[0];// Should get sma from daily bar, not primary bar

                Print(dailyChartOpen.ToString()); // gets correct value
                Print("SMA=" + smaValue.ToString()); // prints the same number every open
            }

[NinjaTrader_PatrickH]

Hello superhaze421,

Thank you for your patience.

What are your DaysToLoad set to on the Chart for the 5 Minute? (Right click > Data Series > DaysToLoad)

I look forward to your response.

[superhaze421]

5 days to load

If i run a market replay for several days, it will give me the correct opens but will keep printing the same sma value.
If i restart the strategy right before the session open it will reinitialize and then give me a different sma value.

[NinjaTrader_PatrickH]

Hello superhaze421,

Thank you for your response.

As we are checking the 20 period of the Daily bars we need at least 20 Daily bars loaded - so we need more than 20 DaysToLoad set for the 5 minute bar in the Data Series menu.

[superhaze421]

ok changed it to a 5 sma and set the strategy to load 10 days in market replay 07/7 - 07/11

started the replay at 7/8 at around 11:00am, and got the data below

Session Start: 6/29/2014 3:00:00 PM Open Price 105.72 SMA Value 105.76
Session Start: 6/30/2014 3:00:00 PM Open Price 105.39 SMA Value 105.76
Session Start: 7/1/2014 3:00:00 PM Open Price 105.34 SMA Value 105.76
Session Start: 7/2/2014 3:00:00 PM Open Price 105.45 SMA Value 105.76
Session Start: 7/3/2014 3:00:00 PM Open Price 104.01 SMA Value 105.76
Session Start: 7/6/2014 3:00:00 PM Open Price 103.76 SMA Value 105.76
Session Start: 7/7/2014 3:00:00 PM Open Price 103.47 SMA Value 105.76

when it hits the next session at 3:00 PM
i get this
Session Start: 7/8/2014 3:00:00 PM Open Price 103.49 SMA Value 105.76

this is CL it gets the correct opens but SMA is the same across all dates unless I reinitialize the strategy.
I dont need all thoses values, just need to pull that data at the start of a sesssion, so i only need the last line that I got.

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


        protected override void OnBarUpdate()
        {
            if(Bars.FirstBarOfSession)
            {
                double dailyChartOpen = Open[0];// Gets open from 5min, primary bar
                double smaValue = SMA(Closes[1], 5)[0];// Should get sma from daily bar, not primary bar
                Bars.Session.GetNextBeginEnd(BarsArray[0], 0, out sessionBegin, out sessionEnd);
                Print("Session Start: " + sessionBegin+" Open Price "+dailyChartOpen + " SMA Value "+smaValue);

[NinjaTrader_CalH]

Hello,

If you are wanting just the current day and session you would need to filter out our condition for the most current day.

if(Time[0] == DateTime.Today)