On first tick development - EMA

[madams212121]

Hello community,

I have an issue again with the 1st tick indicator development

I am trying to replicate the EMA indicator so it can only calculate on the 1st tick but I am have significant difference between the result. It seems a little much that I have to recode all the indicators so I can be used with a strategy the works on eachticks

any idea why we have this behavior ?

Thank you

Here the code of the modified indicator

namespace NinjaTrader.NinjaScript.Indicators
{
 public class EMAFroceonbarclose : Indicator
 {   private double constant1;
    private double constant2;

  protected override void OnStateChange()
  {

   if (State == State.SetDefaults)
   {
    Description         = NinjaTrader.Custom.Resource.NinjaScriptIndicatorDescriptionEMA;
    Name          = "EMAFroceonbarclose";
    IsOverlay     = true;
    IsSuspendedWhileInactive = true;
    Period      = 14;
    AddPlot(Brushes.Goldenrod, NinjaTrader.Custom.Resource.NinjaScriptIndicatorNameEMA);
   }
   else if (State == State.Configure)
   {
    constant1 = 2.0 / (1 + Period);
    constant2 = 1 - (2.0 / (1 + Period));
   }
  }

  protected override void OnBarUpdate()
  {

   if (CurrentBar == 0)
    Value[0] = Input[0];

   if (CurrentBar < 2)
    return;

   if (IsFirstTickOfBar)
   {
    Value[0]  = (CurrentBar == 0 ? Input[1] : Input[1] * constant1 + constant2 * Value[2]);

   }
   else
    Value[0] = Value[1];
  }

  #region Properties
  [Range(1, int.MaxValue), NinjaScriptProperty]
  [Display(ResourceType = typeof(Custom.Resource), Name = "Period", GroupName = "NinjaScriptParameters", Order = 0)]
  public int Period
  { get; set; }
  #endregion

 }
}

[NinjaTrader_ChelseaB]

Hello madams212121,

When using a strategy that has Calculate set to OnEachTick, any indicators called from that strategy will also be using OnEachTick.

You could choose to only call the SMA indicator from the strategy on the first tick of a new bar.

Are you trying to change the calculation or just improve performance?

[madams212121]

well the problem was, trailing stop only update the value at candle close, so I have been developing a strategy utilized strategy based on each tick. did you see any issue with my coding for the EMA that calculate on the first tick ?

[NinjaTrader_ChelseaB]

Hello madams212121,

I'm not sure that I understand. You can have custom logic for exit orders and have them only update when the bar closes while the strategy is Calculating on each tick if you would like.
This would not require re-coding indicators.

Below are links to examples of custom exit order movement logic.

https://ninjatrader.com/support/forum/forum/suggestions-and-feedback/suggestions-and-feedback-aa/103992-request-breakeven-functions-in-strategy-builder?p=806596#post806596

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/97419-priceos-cs-expecting?p=802269#post802269

That said, the logic in your script is different that the SMA indicator included with NinjaTrader.

I would expect that different calculations would produce different results.

[madams212121]

This is the same calculation of the EMA indicator not SMA currently included in the ninja trader platform

if (IsFirstTickOfBar) // Added to calculate on the only on the 1st tick of the candle
{
Value[0] = (CurrentBar == 0 ? Input[1] : Input[1] * constant1 + constant2 * Value[2]);

}
else // if different than 1st tick of the candle
Value[0] = Value[1];
}

if the indicator calculate at candle close , checking the value of the first tick should not change the calculation of the EMA indicator .

This was recommended by another customer service NinjaTrader_Jim to do it this way .

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/1091901-challenge-onprice-change-startegy-base-on-signal-coming-from-on-bar-close-indicator

[madams212121]

I found the solution


Value[1] = Input[1] * constant1 + constant2 * Value[2];


and it working fine now

thank you