Supplemental dataseries
The AddDataSeries api allows scripts to load supplemental dataseries. These are price data streams that are distinct and separate from the chart or “primary” dataseries that the indicator/strategy is running on. The OHLCV of these supplemental series can be referenced by specifying the barsarray index.
So if a script calls
in the State.Configure event of a strategy that’s running on a chart of NQ 09-21, then the script can access the last price of NQ with Closes[0][0] and the last price of ES with Closes[1][0]. The “1” is the index of the 1st data series added with a call to AddDataSeries.
By the way, as a side bar suggestion to this post it would be great if AddDataSeries returned the index of the bar series that is assigned to it.
The other data points of the OHLCV supplemental series can be accessed in similar fashion:
Opens[1][0], Highs[1][0], Lows[1][0], Volume[1][0].
Now suppose a strategy uses indicators internally and the strategy wants the indicators to use the supplemental series. No problem, the NinjaScript code generator that creates the constructor script for its hosted indicators creates an overload for each indicator so that the strategy can specify which dataseries the hosted indicator should use:
Continuing with our example, to get the SMA of the ES:
The Closes[1] parameter is passed into the SMA. Inside the SMA, this is referenced as the Input dataseries. The implementation of the SMA uses it to compute the moving average of the Input. In most cases the user wants the SMA of the closing price but they’re not limited to this. A user can pass in
SMA(Volumes[0], 14) or SMA(Volumes[1], 14) to get the average volume of NQ and ES.
Suppose the user wants the ADX of the supplemental dataseries:
ADX has the same overloaded constructor. But the implementation of ADX is not using the Input series that’s passed into this overloaded constructor. Instead it’s using the Close series. Also, it’s using the High and the Low and we haven’t discovered any means of supplying the supplemental series High or Low to a hosted script.
Continuing with our example, to get the ADX of ES :
But will this work? I don't think it will because ADX doesn't use it's Input. So how can scripts run indicators like ADX on supplemental series?
There is a BarsInProgress property that indicates what the current bars in progress are in any given call to OnBarUpdate. If BarsInProgress is equal to 1 then a call to ADX(14) or ATR(14) returns the values for the BarsArray[1] ? If so is it valid to cache the references returned?
Then, after doing the above, does it matter what the BIP are when using these references? For example if BIP is 0 can adxForES be used? I’m thinking not. I think that the Open, High, Low, Close Volume dataseries properties get connected to the BIP so if BIP is 0 using adxForES will cause the ADX it references to use OHLCV dataseries for the 0 BIP ( the NQ ).
To use supplemental dataseries with hosted indicators, the hosting script MUST make sure that the hosted indicator is run in the context of the BIP that it's intended to run in. But how?
I see there's an overload to the Update method. How is this to be used?
I'm guessing
is the way to get the adxForES to run for BIP 1? What is that idx parameter for?
The AddDataSeries api allows scripts to load supplemental dataseries. These are price data streams that are distinct and separate from the chart or “primary” dataseries that the indicator/strategy is running on. The OHLCV of these supplemental series can be referenced by specifying the barsarray index.
So if a script calls
Code:
AddDataSeries(“ES 09-21”);
By the way, as a side bar suggestion to this post it would be great if AddDataSeries returned the index of the bar series that is assigned to it.
The other data points of the OHLCV supplemental series can be accessed in similar fashion:
Opens[1][0], Highs[1][0], Lows[1][0], Volume[1][0].
Now suppose a strategy uses indicators internally and the strategy wants the indicators to use the supplemental series. No problem, the NinjaScript code generator that creates the constructor script for its hosted indicators creates an overload for each indicator so that the strategy can specify which dataseries the hosted indicator should use:
Code:
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.SMA SMA(int period)
{
return indicator.SMA(Input, period);
}
public Indicators.SMA SMA(ISeries<double> input , int period)
{
return indicator.SMA(input, period);
}
}
Code:
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.ADX ADX(int period)
{
return indicator.ADX(Input, period);
}
Code:
SMA(Closes[1], 14);
SMA(Volumes[0], 14) or SMA(Volumes[1], 14) to get the average volume of NQ and ES.
Suppose the user wants the ADX of the supplemental dataseries:
Code:
public Indicators.ADX ADX(ISeries<double> input , int period)
{
return indicator.ADX(input, period);
}
Continuing with our example, to get the ADX of ES :
Code:
ADX(Closes[1], 14);
There is a BarsInProgress property that indicates what the current bars in progress are in any given call to OnBarUpdate. If BarsInProgress is equal to 1 then a call to ADX(14) or ATR(14) returns the values for the BarsArray[1] ? If so is it valid to cache the references returned?
Code:
ADX adxForES; ATR adxForNQ; if(BarsInProgress == 0) adxForNQ = ADX(14); else if(BarsInProgress == 1) adxForES = ADX(14);
To use supplemental dataseries with hosted indicators, the hosting script MUST make sure that the hosted indicator is run in the context of the BIP that it's intended to run in. But how?
I see there's an overload to the Update method. How is this to be used?
Code:
public void Update(int idx, int bip);
Code:
adxForES.Update(0,1);
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