Preventing Strategy from Entering Virtual Positions Based off Historical Data

[joedtrades1982]

Hi Folks, I am trying to update my code to NOT enter virtual positions based off historical data. My problem is when I input the following snippet into my code:

protected override void OnBarUpdate()
{
// Only run on real-time data
if (Historical)
return;
}

per this official guidance: https://ninjatrader.com/support/help...cal.htm

I get an error code of CS0103 "The name 'Historical' does not exist in the current context" when trying to compile the code.



My entire code is this:

#region Using declarations

using System;

using System.Collections.Generic;

using System.ComponentModel;

using System.ComponentModel.DataAnnotations;

using System.Linq;

using System.Text;

using System.Threading.Tasks;

using System.Windows;

using System.Windows.Input;

using System.Windows.Media;

using System.Xml.Serialization;

using NinjaTrader.Cbi;

using NinjaTrader.Gui;

using NinjaTrader.Gui.Chart;

using NinjaTrader.Gui.SuperDom;

using NinjaTrader.Gui.Tools;

using NinjaTrader.Data;

using NinjaTrader.NinjaScript;

using NinjaTrader.Core.FloatingPoint;

using NinjaTrader.NinjaScript.Indicators;

using NinjaTrader.NinjaScript.DrawingTools;

#endregion


namespace NinjaTrader.NinjaScript.Strategies

{

public class SampleMACrossoverWithATRstopsV3 : Strategy

{

private SMA smaFast;

private SMA smaSlow;

private ATR atr;


private double atrStopLong;

private double atrStopShort;


protected override void OnStateChange()

{

if (State == State.SetDefaults)

{

Description = "SampleMACrossoverWithATRstopsV3";

Name = "SampleMACrossoverWithATRstopsV3";

Calculate = Calculate.OnPriceChange;

EntriesPerDirection = 1;

EntryHandling = EntryHandling.AllEntries;

IsExitOnSessionCloseStrategy = true;

ExitOnSessionCloseSeconds = 30;

IsFillLimitOnTouch = false;

MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;

OrderFillResolution = OrderFillResolution.Standard;

Slippage = 0;

StartBehavior = StartBehavior.WaitUntilFlat;

TimeInForce = TimeInForce.Gtc;

TraceOrders = false;

RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;

StopTargetHandling = StopTargetHandling.PerEntryExecution;

BarsRequiredToTrade = 20;

IsInstantiatedOnEachOptimizationIteration = true;


Fast = 9;

Slow = 21;

AtrPeriod = 14;

AtrMultiplier = 2;


DrawIndicators = false;

}

else if (State == State.DataLoaded)

{

smaFast = SMA(Fast);

smaSlow = SMA(Slow);

atr = ATR(Close, Convert.ToInt32(AtrPeriod));


if (DrawIndicators)

{

smaFast.Plots[0].Brush = Brushes.Snow;

smaSlow.Plots[0].Brush = Brushes.Yellow;

atr.Plots[0].Brush = Brushes.DarkCyan;


AddChartIndicator(smaFast);

AddChartIndicator(smaSlow);

AddChartIndicator(atr);

}

}

}


protected override void OnBarUpdate()

{

// Only run on real-time data

if (Historical)

return;


if (BarsInProgress != 0 || CurrentBars[0] < Slow) return;


double atrValue = atr[0] * AtrMultiplier;


if (Position.MarketPosition == MarketPosition.Flat)

{

if (CrossAbove(smaFast, smaSlow, 1))

{

EnterLong(Convert.ToInt32(DefaultQuantity), "Long");

atrStopLong = Close[0] - atrValue;

}

else if (CrossBelow(smaFast, smaSlow, 1))

{

EnterShort(Convert.ToInt32(DefaultQuantity), "Short");

atrStopShort = Close[0] + atrValue;

}

}


if (Position.MarketPosition == MarketPosition.Long)

{

double newStop = Close[0] - atrValue;

if (newStop > atrStopLong)

{

atrStopLong = newStop;

ExitLongStopMarket(0, true, Position.Quantity, atrStopLong, "ExitLong", "Long");

}

}


if (Position.MarketPosition == MarketPosition.Short)

{

double newStop = Close[0] + atrValue;

if (newStop < atrStopShort)

{

atrStopShort = newStop;

ExitShortStopMarket(0, true, Position.Quantity, atrStopShort, "ExitShort", "Short");

}

}

}


region Properties

[Range(1, int.MaxValue)]

[NinjaScriptProperty]

public int Fast { get; set; }


[Range(1, int.MaxValue)]

[NinjaScriptProperty]

public int Slow { get; set; }


[Range(1, int.MaxValue)]

[NinjaScriptProperty]

public int AtrPeriod { get; set; }


[Range(0.1, double.MaxValue)]

[NinjaScriptProperty]

public double AtrMultiplier { get; set; }


[NinjaScriptProperty]

public bool DrawIndicators { get; set; }

#endregion

}

}

[NinjaTrader_BrandonH]

Hello joedtrades1982,

Thanks for your post.

To skip historical processing so the strategy always starts from a flat position you would need to add the code below to the top of your OnBarUpdate() logic.

if (State == State.Historical)
return;

State: https://ninjatrader.com/support/help.../nt8/state.htm