Question on multiple instrument strategy

[svrz]

Greetings

I have read the help file on multiple instrument strategy development. While I found the information very helpful, I still have some lingering doubts.

The strategy that I have in mind is dependent on several custom indicators that have been developed in NT 6.5. This strategy will run on a basket of 50 stocks for the daily timeframe. If I understood the help file correctly, the OnBarUpdate method will look like this:

protected override void OnBarUpdate()
{
for (int i = 0; i < 50; i++)
{
if (BarsInProgress == i)
{
CustomIndicator.m_CurrentBar = CurrentBar; //needed for ref. of close, open, etc.
if (CustomIndicator(BarsArray[i]).GetX(CurrentBar) > SOME_CONSTANT)
{
EnterLong();
}
}
}

Is this code snippet an accurate reflection of what needs to be done for a multiple instrument strategy?

Thanks very much in advance.

[NinjaTrader_Dierk]

Not sure about your sample code. OnBarUpdate will be triggered whit BarsInProgress being set correctly. Not sure why you would need a for loop. Please check out the SampleMultiInstrument strategy.

[svrz]

Thank you for the reply, Dierk

I looked at that previously but it seems that I misunderstood it. From studying the sample, I was under the impression that BarsArray corresponding to a symbol must be passed to built-in or custom indicators. Hence the reason for the existance of the loop.

I take it that since the timeframes and the buy rules for all symbols are the same, the revised OnBarUpdate() code may look like this:

CustomIndicator.m_CurrentBar = CurrentBar; //needed for ref. of close, open, etc.
if (CustomIndicator(BarsArray[BarsInProgress]).GetX(CurrentBar) > SOME_CONSTANT)
{
EnterLong();
}

Thanks again.

[NinjaTrader_Dierk]

Sorry, not sure I follow. There is no "m_CurrentBar" logic at any indicator.
I suggest
- running the sample to see how it works
- copying the sample and amending it step by step to reflect your desired logic

[svrz]

No worries, Dierk. m_CurrentBar is just a class variable that was added so the prices are retreived with the bar index number.

I will run my strategy and if problems occur, I will use the VS debugger.

Thanks again.

[svrz]

Dierk

I apologize but I'm still not clear how a multi symbol strategy should be coded. So let me clarify my objective:

I have a series of custom indicators:

MyIndicator1
MyIndicator2

If this was a single instrument strategy, the buy logic would look like this:

if ((MyIndicator1().GetValue(CurrentBar) > 20) && (MyIndicator2().GetValue(CurrentBar) < 30)) EnterLong();

For a basket of 50 symbols, the buy rules are very much the same as above. My question is does BarsArray[BarsInProgress] need to be passed to MyIndicator1 and MyIndicator2? I assume BarsInProgress is the index which is used to obtain the correct price bars for the symbol being called in OnBarUpdate.

Thanks very much in advance.

[NinjaTrader_Dierk]

Not sure what you mean by "series of indicators". There are bar series and indicators which can run on these bar series. See SampleMultiInstrument strategy where ADX running on series0 (=default) and ADX running on series1 make up a condition

if (ADX(14)[0] > 30 && ADX(BarsArray[1], 14)[0] > 30)

Hope this clear the confusion.

[svrz]

SampleMultiInstrument is the reason that I ask this question. I'm not sure if BarsArray needs to b passed to the indicator object if the buy rules are exactly the same for every symbol.

For example, let's just say the buy rule for a single symbol was if (ADX(14) > 30). The same rule will apply to every symbol in a multi-instrument strategy. So the question becomes, will BarsArray need to be passed to the ADX object or is that not necessary?

Thanks again.

[NinjaTrader_Dierk]

Sorry I don't follow. BarsArray[n] is the bar series for an instrument which needed to be passed in for the indicator which runs on that series. Indicator by default run on BarsArray[0], meaning no need to pass in BarsArray[0]. Hope, this clears the confusion.

Also: Please make sure you understood the relevant sections in the docs http://www.ninjatrader-support.com/H...struments.html