Trade filter based on time to market open/close

[darmbk]

Hi,

I am backtesting a strategy over multiple markets and want to have a parameter that allows me to specify a time filter so that I don't trade x minutes prior to the market close. I could easily do this by specifying the time myself in each case but this is not ideal as some of these markets close at different times to others. Is there a way of writing code in the following way:

// Test on trade entry
if( time >= market open + nMins && time <= market close - nMins
&& //other tests )
{
enter trade
}

Where market open and close are universally understood time values that I don't need to specify in each case.

Thanks,
darmbk.

[NinjaTrader_Bertrand]

darmbk, what you could look into adding / accessing from your script are the actual session begin / end times used for your instrument.

https://www.ninjatrader.com/support/helpGuides/nt7/getnextbeginend.htm

Then you had a way to dynamically use the appropriate template for each unique instrument and set the trades times as needed including your offset nMins.

[darmbk]

Hi Bertrand,

I see from your link how to get the sessionEnd and as a Datetime object:

if (Bars.FirstBarOfSession)
Bars.Session.GetNextBeginEnd(BarsArray[0], 0, out sessionBegin, out sessionEnd);

I can't find an example in the help where I would reduce a DateTime value (sessionEnd) by number of bars. Could you point me to an example please? I can see how to do it using AddHours or AddMinutes for a time difference.

Thanks,
darmbk.

[NinjaTrader_CalH]

Darmbk,

You would need to add a calculation to the AddMinutes() for the Bar value * number of bars for time based bars

You can use the DateTime object to test the time against.

Time[0] >= sessionBegin.AddMinutes(BarsPeriod.Value * numberOfBars) && Time[0] <= sessionEnd.AddMinutes(-BarsPeriod.Value * numberOfBars)