Optimizing Multi-time frame

[futuros]

When I tried to optimize my automated trading strategy, which uses 2 diff. Renko time frames to give a signal, I got an error. Is there a workaround to optimize a multi-timeframe? can you give me a tip?

[NinjaTrader_PaulH]

Hello futuros,

Thanks for you post.

Can you provide some specific information such as:

1) What was the full error message?
2) Does the strategy back test without errors/isssue?
3) Does the strategy work when applied to live or market replay data?
4) What version of NinjaTrader8 are you using? (look under help>about)

[futuros]

Hello futuros,

Thanks for you post.

Can you provide some specific information such as:

1) What was the full error message?
2) Does the strategy back test without errors/isssue?
3) Does the strategy work when applied to live or market replay data?
4) What version of NinjaTrader8 are you using? (look under help>about)

1) High Order Fill resolution is only available for single-series strategies. For multi-series strategies, please program directly into your strategy the more granular resolution you would like to simulate order fills with.
2) yes
3) yes
4) 8.0.17.2

[NinjaTrader_PaulH]

Hello futuros,

Thanks for your reply.

Correct, when adding any data series to your strategy then high order fill is no longer available, this is expected behavior. As the message states you would need to add "the more granular resolution you would like to simulate order fills with."

In addition to adding the more granular series, you would need to code your strategy to not run when that added data series calls OnbarUpdate(), so if the more granular series is the 2nd added dataseries you would add in OnBarUpdate() if (BarsInProgress == 2) return;

Also you would have to code your entry/exits to be placed on that last added data series in order to get the expected fills based on the added data series.

============

The current version of NinjaTrader8 is 8.0.21.1, when convenient for you please feel free to update as follows:

• First, copy your license key from NinjaTrader under Help> License Key then exit NinjaTrader
• Click on the link: http://ninjatrader.com/PlatformDirect
• Enter your license key and press Submit
• Select 'NinjaTrader 8'
• Select 'Download'
• Critical: Before running the installer, ensure NinjaTrader is closed.

If interested you can see what has changed version by version in the release notes here: https://ninjatrader.com/support/help...ease_notes.htm

[futuros]

Hello futuros,

Thanks for your reply.

Correct, when adding any data series to your strategy then high order fill is no longer available, this is expected behavior. As the message states you would need to add "the more granular resolution you would like to simulate order fills with."

In addition to adding the more granular series, you would need to code your strategy to not run when that added data series calls OnbarUpdate(), so if the more granular series is the 2nd added dataseries you would add in OnBarUpdate() if (BarsInProgress == 2) return;

Also you would have to code your entry/exits to be placed on that last added data series in order to get the expected fills based on the added data series.

============

The current version of NinjaTrader8 is 8.0.21.1, when convenient for you please feel free to update as follows:

• First, copy your license key from NinjaTrader under Help> License Key then exit NinjaTrader
• Click on the link: http://ninjatrader.com/PlatformDirect
• Enter your license key and press Submit
• Select 'NinjaTrader 8'
• Select 'Download'
• Critical: Before running the installer, ensure NinjaTrader is closed.

If interested you can see what has changed version by version in the release notes here: https://ninjatrader.com/support/help...ease_notes.htm

Thanks Paul, could you please elaborate a little bit more what do you mean by this: "the more granular resolution you would like to simulate order fills with."

what is "more granular resolution"?

[NinjaTrader_PaulH]

Hello futuros,

Thanks for your reply.

When you select the High Fill option In the strategy analyzer you are specifying a more granular resolution, whatever you want to use is what you would need to add. For example if using High Fill with 1 tick (on non MTF strategies) then for your MTF strategy you would need to add a 1 tick series.