Suspected Multi-Threading Issue

[jflaggs]

Hello,

I have a strategy that adds one custom indicator. In that strategy, I access the data series of my indicator via the indicators public property called DataSeries. The trouble is, when I try to access the current value of the indicator, sometimes it returns 0. I highly suspect that this is a multi-threading issue or an event timing issue and that my strategy is accessing the indicator property before it is set internally by the indicator. Here is my pseudo code:

// My Indicator Pseudo-Code:
// ---------------------------------------
public Series<double> DataSeries { get { return Values[0]; } private set { Values[0] = value; } } // Property I am accessing from My Strategy.

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
    DataSeries[0] = Close[0];

    // DEBUG
    if (DataSeries[0] < 1)
    {
        ; // *Breakpoint* [B]never[/B] gets triggered. 
    }
}

// My Strategy Pseudo-Code:
// ---------------------------------------
private MyIndicator _indicator = MyIndicator(); // This is actually properly instantiated when State == DataLoaded

protected override void OnBarUpdate()
{
    double y2 = _indicator.DataSeries[2]; // This value is always correct. 
    double y1 = _indicator.DataSeries[1]; // This value is always correct. 
    double y0 = _indicator.DataSeries[0]; // This value is sometimes 0.

    // DEBUG:
    if (y1 < 1 || y0 < 1)
    {
        ; // *Breakpoint* gets triggered and I can see that y0 is [B]indeed[/B] 0. 
    }
}

This is obviously a simplification of my source code, but it is an accurate representation of what I am doing. The debug section of my strategy is being triggered but the debug section of my indicator is not being triggered. This leads me to believe that this is a multi-threading issue wherein my strategy is accessing my indicator property before it is set for the current bar. I have tried using a lock in my indicator as well to make sure that other threads wait for DataSeries to be set before accessing it, but that did not work. My second guess is that it has to do with the timing between OnMarketData and OnBarUpdate, in that the strategy's OnBarUpdate is being called OnEachTick and is "too fast" for the indicator's OnMarketUpdate. Is this possible? I am a bit stumped on this one.

Your help is highly appreciated.

[sledge]

Where are you running this?

[NinjaTrader_PatrickH]

Hello jflaggs,

Thank you for your post.

Essentially you are running into a multi-threading scenario here as you suspected. More importantly it is the fact the Series is set in the OnMarketData section of indicator and then called in the OnBarUpdate() section of the Strategy.

There is the possibility that the Series is not yet set to a valid value and therefore return 0. The solution would be to check for a valid data point before processing. You can do this with IsValidDataPoint(): http://ninjatrader.com/support/helpG...ddatapoint.htm

Please let me know if you have any questions.

[jflaggs]

Patrick and Sledge, thanks for your replies.

Checking for IsValidDataPoint() did in fact do the job. Thank you. As a side note, I have found that the behavior of built-in method Slope() is misleading or incorrect in this scenario. Passing in a data series with an invalid data point does not throw an error or return double.NAN as I believe it should. Instead, it quietly assumes that the invalid data point is equal to 0 and returns the slope based on that. I discovered this while making my own slope function that returns NAN if a data point is invalid. Perhaps that could be a candidate for review.

Thanks again for the assistance. Always a pleasure.

[reach4thelasers]

Have you tried running Update() before returning your series?

public Series<double> DataSeries 
{ 
       get 
        {
               Update(); // <---- here 
              return Values[0]; 
        }
        private set { Values[0] = value; }
 }

[jflaggs]

Ah, I actually forgot about the Update() method. I just tried it but, unfortunately, it didn't do the trick.

As a side note, using Update() in this way also "overrides" the Calculate property of the indicator. For example, if your indicator Calculate property is set to Calculate.OnBarClose but you are reading indicator.DataSeries[0] on OnEachTick in your strategy, your indicator is now calling OnBarUpdate() each tick of your strategy rather than OnBarClose as originally intended. Even if it did fix this particular issue, it might introduce other undesirable behaviors.

I am okay with using IsValidDataPoint() for my particular application.

[Leeroy_Jenkins]

Have you tried running Update() before returning your series?

public Series<double> DataSeries
{
get
{
Update(); // <---- here
return Values[0];
}
private set { Values[0] = value; }
}

I do coding NT indicators/strategies for 4 years and have never seen this method. It could have saved me from a lot of troubles with multi threading. Thanks.