action before bar is getting closed

[mphilipp]

Hi anyone,

I'm trying to implement a calulation which is useful in backtest an replay mode too.
Using the primary bars as daily and a secondary as 5min, I'm like to calculate the major logic on daily bars and the final desicion on how to react (alerting or something like this), has to be in the last minutes before the sessions ends...

Here is my implementation for OnBarUpdate:

protected override void OnBarUpdate()
{
if(CurrentBars[0] < PeriodSlow || CurrentBars[1] < PeriodSlow)
return;


EMA200[0] = SMA(BarsArray[0], PeriodSlow)[0];

var percentB2 = PercentB(BarsArray[0][2], Bollinger(Deviation, PeriodBollinger).Lower[2], Bollinger(Deviation, PeriodBollinger).Upper[2]);
var percentB1 = PercentB(BarsArray[0][1], Bollinger(Deviation, PeriodBollinger).Lower[1], Bollinger(Deviation, PeriodBollinger).Upper[1]);
var percentB0 = PercentB(BarsArray[0][0], Bollinger(Deviation, PeriodBollinger).Lower[0], Bollinger(Deviation, PeriodBollinger).Upper[0]);

// Update from the 5min Bars
if(BarsInProgress == 1)
{
if(ToTime(Times[1][0]) >= ToTime(21,50,00))
{
// long
if(Closes[0][0] > EMA200[0] && !_enteredLong)
{
if(percentB0 < 0.2 && percentB1 < 0.2 && percentB2 < 0.2)
{
EntryBuy[0] = Close[0];
_enteredLong = true;
}
}
// long agressive
if(_enteredLong && !_aggressiveLong && percentB0 < 0.2)
{
EntryBuy[0] = Close[0];
_aggressiveLong = true;
}
// close all long positions
if(_enteredLong && percentB0 > 0.8)
{
_aggressiveLong = false;
_enteredLong = false;
Print("Exit agressive longs");
}
}
}
The hint is, that a minimum of 200 days is needed to calulate the SMA, so the indicators need to wait until these 200 days AND 200 * 480 5 minute bars are loaded...
Is there any way to speed up this? Or is something wrong with my implementation?
The preferred usage of this indicator is for market analysing, not necessarely on charts.

Hope someone can help me :-)

Thx for your ideas and have a nice weekend.
Cheers Markus

[NinjaTrader_PaulH]

Hello Markus,

Thanks for your post.

Technically you would need more than 200 (trading) days for an accurate 200 period simple moving average. You may want to test charting a 200 period SMA with a various number of days to see the differences, for example 200 days, 250 days, 300 days, etc. At some length, the changes will become less significant.

One workaround for, "The hint is, that a minimum of 200 days is needed to calculate the SMA, so the indicators need to wait until these 200 days AND 200 * 480 5 minute bars are loaded... Is there any way to speed up this?" is to create a data file that contains a date and the value of the 200 SMA for each date then in your indicator read that data file and pull the 200 period value from that historical date.

To read or write a data file, please see these working references:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?using_streamwriter_to_write_to.htm

https://ninjatrader.com/support/helpGuides/nt8/en-us/?using_streamreader_to_read_fro.htm