Renko bars directional bar time

[Sparkyboy]

I'm trying to create an indicator that measures the time it takes to complete a non-time based bar such as renko or range, but calculate up-close bars separately from down close bars so that I can then calculate the mean time of each over a certain lookback period.

This code works fine for showing up-bar time lengths, but when I try to apply indicators to it, such as a 10 bar SMA, the SMA returns the SMA of price, not time.

I'm sure it's something simple, but I've been unable to solve. Many thanks.


protected override void OnBarUpdate()
{
if (CurrentBar<1)
return;
if (Close[0] < Open[0])
return;

DateTime eTime, pTime;
if (Bars.FirstBarOfSession)
Bars.Session.GetNextBeginEnd(Time[0],out pTime,out eTime);
else
pTime = Time[1];

TimeSpan span = Time[0].Subtract(pTime);
TimePast.Set(span.TotalMinutes);
}

[NinjaTrader_Jesse]

Hello Sparkyboy,

Thank you for the post.

Have you at this point confirmed that the logic in your indicator performs the same when you apply it versus when you have supplied it to an indicator like the SMA?

Depending on your logic and configuration, this may be a case where logic is executed differently causing an incorrect value.

Also, do you see the correct value calculated in real-time, or is the outcome the same in both realtime and historical?

I look forward to being of further assistance.

[Sparkyboy]

Hi Jesse.

Perhaps a more detailed description would help

For reporting bar elapsed times on up bars only:

Onbarclose=true

When BAR = UP, indicator reports the bar time, correctly
When BAR =down, indicator reports N/A, which is also correct

Applying an SMA(1) to this, the SMA(1) correctly reports the bar time on UP, but when BAR = DOWN the indicator incorrectly reports the closing price of the instrument.

It would appear to be an issue with returning N/A when the bar is down. The problem is that I don't want to return 0 as this would incorrectly skew the mean bar upspeed downwards.

[NinjaTrader_Jesse]

Hello Sparkyboy,

Thank you for the reply.

Yes, this helps, in this case, you would need to supply a valid data value for each data point to prevent this. The default value used for a series data point if nothing is supplied is the close price.

You would likely need to find values that work for that use case to avoid the N/A values, or you would need to create a custom indicator that supports using IsValidDataPoint in its calculations to logically handle the missing values. https://ninjatrader.com/support/help...ghtsub=isvalid

I look forward to being of further assistance.