How to get the yesterstay close of an instrument on onMarketChange ?

[cyruss]

Hi all ,
I am trying to determine the daily variation of and instrument while in onMarketData , is that possible ?
I tried to use MarketDataType.LastClose to calculate it but it only gives the underlying instrument, I have more instruments added.

Basically onStateChange in Configure State I am adding DataSeries to receive onMarketData and I want to calculate their daily change like "this stock is 2% and this other one is 1.5%"

Best,
Cyrus

[NinjaTrader_Emily]

Hello Cyrus,

Thank you for your post.

Yes, you may get the daily variation from OnMarketData(). This has already been done in the indicator "Net Change Display" that comes with NinjaTrader by default. I suggest reviewing the source code for this indicator in the NinjaScript Editor to get a look at how that is achieved. As for a multi-series script, please see the following note from the help guide page for OnMarketData():

• https://ninjatrader.com/support/help...marketdata.htm
  • "With multi-time frame and instrument strategies, a subscription will be created on all bars series added in your indicator or strategy strategy (even if the instrument is the same). The market data subscription behavior occurs both in real-time and during TickReplay historical"

I suggest adding print statements or checking the Instrument from the MarketDataEventArgs to get a better understanding of which instrument the market data updates are coming through for. Here is a snippet that shows how you would print out the instrument's name the update is for:

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{​
Print("Instrument: " + marketDataUpdate.Instrument.MasterInstrument.Name);
}

You could add a condition that checks if the update is for a particular instrument and if marketDataUpdate.MarketDataType == MarketDataType.LastClose and then save the desired value for that particular instrument.

Please let us know if we may be of further assistance.

[cyruss]

Hi Emily , thanks for the support . That example you suggested had exacly what I was looking for .
Thank you very much.

BR