SMA of double series returns current price of instrument instead of average of series

[pjsmith]

Hello,

I have a bizarre issue where SMA of a double series returns the current price of the instrument instead of the average of the series.

I have tested that the data in the series is valid and correct, but SMA still returns the current price.

Here is the SMA and the series it is supposed to be calculated on. It is in State.Dataloaded

vb_barms = new Series<double>(this, MaximumBarsLookBack.TwoHundredFiftySix);
vb_avgms = SMA(vb_barms, 20);

This code in onbarupdate assigns the values to the vb_barms series and attempts to read the average etc. I've some debugging code in there too


TimeSpan t = Time[0] - vb_barstart;
vb_barms[1] = t.TotalMilliseconds; // store time in ms

if (CurrentBar > 22000)
{
for (int i=CurrentBar; i>CurrentBar-20; i--)
Print(vb_barms.GetValueAt(i));
Print(vb_barms.Count+":"+t.TotalMilliseconds.ToStr ing()+", "+SMA(vb_barms,velocityBarsPeriod).GetValueAt( Curr entBar-1)+", "+vb_avgms.GetValueAt(CurrentBar-1)+", vb_barms[2]="+vb_barms[2]+", vb_barms[1]="+vb_barms[1]);
}
if (t.TotalMilliseconds * velocityBarsMultiplier < vb_avgms.GetValueAt(CurrentBar-1))
VelocitySeries[1] = 1;
}
vb_barstart = Time[0];

The debug loop will print something like this

159195
103410
101668
53496
86547
81215
88328
105559
257980
94449
97711
44969
35602
22660:121254, 15094.75, 15094.75, vb_barms[2]=150312, vb_barms[1]=121254

All the numbers are from the vb_barms series. But, as you can see,

vb_avgms.GetValueAt(CurrentBar-1)

returns the price of the security.

I could not figure out why, so I added SMA(vb_barms,velocityBarsPeriod).GetValueAt(Curren tBar-1), and clearly, you can see the numbers printed above from that vb_barms series, but that returns the current price of the security too! I can get a correct average if I manually loop through the numbers, add them up, divide by count, etc.

Any ideas why SMA is doing this?

Thanks.

[NinjaTrader_ChelseaB]

Hello pjsmith,

I first recommend removing complexity and simplifying the prints with proper labels.

Below is a link to a forum post on using prints.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/99209-date-conditions-not-working?p=791121#post791121

From the looks of it, vb_barms never has a value set on the current bar. Only the previous bar's value is ever set (and there is no check for CurrentBar to be greater than 1 so I would imagine this would cause an index error).

This would mean that the SMA is trying to calculate with no value set on the current bar on its input series. If no value is set then a 0 is returned.

Also, GetValueAt() uses an absolute barIndex value and not a barsAgo value. .GetValueAt(1) would be returning the value from the 2nd bar all the way to the left of the chart. .GetValueAt(CurrentBar) would return the value from the most recent bar. .GetValueAt(CurrentBar - 1) would return the value from the previous bar.

https://ninjatrader.com/support/helpGuides/nt8/getvalueat.htm

Last, .GetValueAt() needs the actual series from the indicator (.Values[0]).

Attached is the code, but with the custom series getting a value set on the current bar instead of the previous bar, and using the series for the parameter to .GetValueAt().

[pjsmith]

Hi,

Thanks for the response and test code. I missed out on some critical info that is relevant. I apologise for this. The reason I noticed this is, I have just come across the same exact problem in a completely unrelated indicator. I didn't twig before, but with further troubleshooting, this is what is happening

I have a double series series and an SMA of that double series. So, for example

private Series<double> CDeltas;
private SMA CDeltasSMA;

in State.DataLoaded

CDeltas = new Series<double>(this, MaximumBarsLookBack.Infinite);
CDeltasSMA = SMA(CDeltas,20);

Now, in OnBarUpdate, all is good.

I've got this in OBU filtered with BarsInProgress == 0 (the indie is set to OnEachTick)

if (CurrentBars[0] >= 0) CDeltas[0] = balance;

And, this debug print statement below it

Print("CurrentBar="+CurrentBar+", CDeltas="+CDeltas[0]+", CDeltasSMA[0]="+CDeltasSMA[0]);

From that print statement, I get this (actual test data I just ran)


CurrentBar=265, CDeltas=8396, CDeltasSMA[0]=5735.66666666667, CDeltasSMA[1]=5782
CurrentBar=266, CDeltas=8655, CDeltasSMA[0]=5686.33333333333, CDeltasSMA[1]=5735.66666666667
CurrentBar=267, CDeltas=8734, CDeltasSMA[0]=5799, CDeltasSMA[1]=5686.33333333333
CurrentBar=268, CDeltas=8776, CDeltasSMA[0]=5839.33333333333, CDeltasSMA[1]=5799
CurrentBar=269, CDeltas=8779, CDeltasSMA[0]=5854.33333333333, CDeltasSMA[1]=5839.33333333333
CurrentBar=270, CDeltas=8774, CDeltasSMA[0]=5853.66666666667, CDeltasSMA[1]=5854.33333333333
CurrentBar=271, CDeltas=8800, CDeltasSMA[0]=5860.66666666667, CDeltasSMA[1]=5853.66666666667
CurrentBar=272, CDeltas=8809, CDeltasSMA[0]=5872.33333333333, CDeltasSMA[1]=5860.66666666667
CurrentBar=273, CDeltas=8777, CDeltasSMA[0]=5864.66666666667, CDeltasSMA[1]=5872.33333333333
CurrentBar=274, CDeltas=8748, CDeltasSMA[0]=5844.33333333333, CDeltasSMA[1]=5864.66666666667
CurrentBar=275, CDeltas=8823, CDeltasSMA[0]=5859.66666666667, CDeltasSMA[1]=5844.33333333333

So, you can see, the average is incrementing fine. The CDeltas series is fine. We are printing the currentbar number, the CDeltas series, and the current and prior value of the CDeltasSMA series. I printed the prior value to make sure historical values were available and showing correctly from OBU. All good.

But, if access the same CDeltasSMA series via OnRender, using GetValue there is a problem

Here, in the onrender loop, I have a debug print statement.

Print("idx="+idx+", CDeltas.GetValueAt(idx)="+CDeltas.GetValueAt(idx)+ ", CDeltasSMA.GetValueAt(idx)"+CDeltasSMA.GetValueAt( idx));

In the same test, this outputs this

idx=265, CDeltas.GetValueAt(idx)=8655, CDeltasSMA.GetValueAt(idx)15416.25
idx=266, CDeltas.GetValueAt(idx)=8734, CDeltasSMA.GetValueAt(idx)15422.75
idx=267, CDeltas.GetValueAt(idx)=8776, CDeltasSMA.GetValueAt(idx)15424.75
idx=268, CDeltas.GetValueAt(idx)=8779, CDeltasSMA.GetValueAt(idx)15427
idx=269, CDeltas.GetValueAt(idx)=8774, CDeltasSMA.GetValueAt(idx)15425.5
idx=270, CDeltas.GetValueAt(idx)=8800, CDeltasSMA.GetValueAt(idx)15424.75
idx=271, CDeltas.GetValueAt(idx)=8809, CDeltasSMA.GetValueAt(idx)15425.5
idx=272, CDeltas.GetValueAt(idx)=8777, CDeltasSMA.GetValueAt(idx)15425.5
idx=273, CDeltas.GetValueAt(idx)=8748, CDeltasSMA.GetValueAt(idx)15421.75
idx=274, CDeltas.GetValueAt(idx)=8823, CDeltasSMA.GetValueAt(idx)15423.75
idx=275, CDeltas.GetValueAt(idx)=8823, CDeltasSMA.GetValueAt(idx)15428

So, you can see the CDetlas.GetValueAt is returning the correct value (it matches with the output from OnBarUpdate

The bizarre thing is, I get back the current instrument price (or the average of the current price series) for the SMA series CDeltasSMA when using CDeltasSMA.GetValueAt(idx) to retrieve the value, but in onbarupdate, as you can see from the debug prints, the series is fine.

I thought I'd perhaps messed something up in prior code in the first post, so was trying to look at it in more detail, though I could not see nor understand the issue. Now, I have encountered the same issue in a totally unrelated codebase. - I am completely stumped!

Can you comment on any issues you know of that might cause a problem accessing an SMA series from within OnRender using GetValueAt?

I have built a cut down version of this as example code and have replicated the issue. I will email to you, for your attention. Thank you.

[NinjaTrader_ChelseaB]

Hello,

"Can you comment on any issues you know of that might cause a problem accessing an SMA series from within OnRender using GetValueAt?"

This is asynchronous but I would not expect a run-time error as long as the value supplied to .GetValueAt is less than CurrentBar.

Perhaps the order of events is not as you expect because the data thread and render thread are asynchronous?

[NinjaTrader_ChelseaB]

Hello pjsmith,

I have received a private email in our support address and will be conversing with you privately moving forward.