Get the entry execution order bar index from the execution time

[matrixxx]

I would like to get the bar index from the execution order time. I used the following function but sometime it return the previous bar of the execution order bar on the live trading.

I'm using 60 mins time frame.


Please advise.

int orderIndex = CurrentBars[0] - BarsArray[0].GetBar(execution.Time);

[NinjaTrader_Jim]

Hello matrixxx,

Thanks for your post.

You aren't far from reaching your goal, but there may be some indexing issues.

BarsArray[0].GetBar(execution.Time) will give the bar index of the order execution, however, this would reference a "future bar" since we may see this execution before the iteration of the next bar and CurrentBar would not yet be updated. Thus, using CurrentBars[0] - BarsArray[0].GetBar(execution.Time) will often return a -1 for a barsago reference.

You could set a bool when the the execution is seen and then get the appropriate reference in OnBarUpdate() or you could correct the reference in OnExecutionUpdate() for when the execution is seen before the OnBarUpdate() iteration.

If the order gets submitted intra-bar using Calculate.OnPriceChange/Calculate.OnEachTick or using a secondary series, you may see instances where the primary bar may close before the execution is seen.

You may use some code similar to what I have attached to better visualize these indexes:

protected override void OnExecutionUpdate(Cbi.Execution execution, string executionId, double price, int quantity, 
	Cbi.MarketPosition marketPosition, string orderId, DateTime time)
{
	
	int orderIndex = BarsArray[0].GetBar(execution.Time);
	Print("Exec index: " + orderIndex + " Bar: " + CurrentBars[0] + " Close: " + Close[0] + " Price: " + price);
	Print("Exec barsago: " + (CurrentBars[0]-orderIndex) );
	Print("Exec barsago corrected: " + (CurrentBars[0]-orderIndex+1) );
}

protected override void OnBarUpdate()
{
	if(Position.MarketPosition == MarketPosition.Flat)
	{
		EnterLong();
		Print("Entry: " + CurrentBar);
	}
	else if (BarsSinceEntryExecution() > 3)
	{
		ExitLong();
		Print("Exit: " + CurrentBar);
	}
	Print("   NewBar: " + CurrentBar + " Close: " + Close[0]);
}

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