Is it proper way to have settlement line filter?

[tkaboris]

To use selltlement filter not to trade close to settlement lines Pluse 20 Ticks ,

https://ninjatraderecosystem.com/user-app-share-download/futures-settlement-lines/

I want to add in my custom strategy.
in strategy i have

private settlementLines mySetLines;

on dataloaded
mySetLines= settlementLines();

on bar update
double dist = Math.abs(settlementLines.Settlement[0] - Close[0])

Indicator plots these values
AddPlot(new Stroke(Brushes.Cyan, 2), PlotStyle.Hash, "Settlement");
AddPlot(new Stroke(Brushes.HotPink, 2), PlotStyle.Hash, "Prior Settlement");


in Logic for Long
if (close[0] > open[0]) && (dist >= 20 * TickSize)
Go Long

Is this the right way of doing it? its not working on my end.
Also are settlement lines backtestable?

[NinjaTrader_Jesse]

Hello tkaboris,

If your dist variable is already an amount of ticks that would be correct, it looks like you are just subtracting two prices though which would just be a price difference. You would need to either convert that value to ticks or change your condition to check a price value instead of ticks. For example how much is 20 ticks in price for the instrument you used? That would be what you replace 20 * TickSize with or that amount of difference in price.

I wouldn't be able to say if that indicator can be used in a backtest as it was created by a user. You would have to use a Print in your strategy and see what values it produces during a backtest.

[tkaboris]

HI i am already converting dist to ticks
if (close[0] > open[0]) && (dist >= 20 * TickSize)

or it has to be on this level?
double dist = Math.abs(settlementLines.Settlement[0] - Close[0]) * TickSize? -> would this be right to convert to ticks?

[NinjaTrader_Jesse]

Hello tkaboris,

I would suggest using a Print to output the values you are seeing on that instrument to make sure the condition you have makes sense.

[tkaboris]

ok i am doing something wrong.

private SettlementLines mySetLines;
mySetLines = SettlementLines();
mySetLines.Plots[0].Brush = Brushes.Cyan;

when i try to print
Print(mySetLines.Settlement[0]);

it complains. I dont see that settlement lines have any arguments

[NinjaTrader_Jesse]

Hello Hello tkaboris,

The error is mentioning that you called the indicator incorrectly, it takes some parameters but you provided 0 parameters.

The second error mentions that there is no plot named Settlement, you would need to look at the indicators code to see what the actual plots are named and make sure you use the same name when calling the plot.

You can use the strategy builder to generate the code to use indicators, you would open a new empty strategy builder and make 1 condition using the indicator and plot you wanted. Then click View Code and it will show the syntax to use the indicator.

[tkaboris]

Thank you i fixed that with
mySetLines = SettlementLines(Close, @"CME US Index Futures RTH");
Print(mySetLines.SettlementPlotValues[0]);

I now have this error in output.
SettlementLines' tried to load additional data. All data must first be loaded by the hosting NinjaScript in its configure state. Attempted to load MNQ 03-23 Globex: Daily

[tkaboris]

Update
I added daily series and error is gone but also settlement line is gone too
else if (State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Tick, 1);
AddDataSeries(Instrument.FullName, new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 }, "CME US Index Futures RTH", false);
}

[NinjaTrader_Jesse]

Hello tkaboris,

The error you are seeing about data means the indicator uses a secondary series so the calling strategy needs to add that same series.

I wouldn't be able to comment on the line not showing up, that is a user created script so I would have no knowledge of how it works. When you call an indicator from a strategy it won't show up so if you were expecting it to be added to the chart it wont be. You can try using AddChartIndicator to add it visually to see if that helps.

[tkaboris]

ok
I added indicator
I have line
AddDataSeries(Instrument.FullName, BarsPeriodType.Day, 1, "CME US Index Futures RTH", false);
its complaining on that line.
If i keep previous line
AddDataSeries(Instrument.FullName, new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 }, "CME US Index Futures RTH", false);
i get Error on calling 'OnStateChange' method: Object reference not set to an instance of an object.

I wish there would be native settlement lines indicator that we could use in our strategies with less issues.

[NinjaTrader_Jesse]

Hello tkaboris,

The code that you are trying to use won't work right, this is mentioned in the AddDataSeries help guide page:

Arguments supplied to AddDataSeries() should be hardcoded and NOT dependent on run-time variables which cannot be reliably obtained during State.Configure (e.g., Instrument, Bars, or user input). Attempting to add a data series dynamically is NOT guaranteed and therefore should be avoided.

https://ninjatrader.com/support/helpGuides/nt8/adddataseries.htm?zoom_highlightsub=AddDataSeries

If you want to specify the instrument you need to specify the instrument name as text like "ES 03-23". That or you can use one of the overrides which does not take an instrument meaning it uses the same instrument as the strategy has for the primary.

The errors you pictured are because the incorrect arguments are being used with AddDataSeries.

To add the series the indicator asked for you can just use the following override:

AddDataSeries(BarsPeriodType periodType, int period)

which is:

AddDataSeries(BarsPeriodType.Day, 1);

[tkaboris]

HI strategy compiles but is not getting enabled.
if i remove this then i am able to enable it but its not working.. Could there be any more solution?
mySetLines = SettlementLines(Close, @"CME US Index Futures RTH");

[NinjaTrader_Jesse]

Hello tkaboris,

If the strategy does not enable that is likely because its having a runtime error. You can check the log or NinjaScript output window to check if its having an error when you try to enable it.

[tkaboris]

Yes its showing this error in output
SettlementLines' tried to load additional data. All data must first be loaded by the hosting NinjaScript in its configure state. Attempted to load ES 03-23 Globex: Daily

However i have these in my code
private SettlementLines mySetLines;

else if (State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Tick, 1);

AddDataSeries(BarsPeriodType.Day, 1);
}
else if (State == State.DataLoaded)
{
{
ClearOutputWindow(); //Clears Output window every time strategy is enabled
}


mySetLines = SettlementLines(Close, @"CME US Index Futures RTH");
AddChartIndicator(mySetLines);

[NinjaTrader_Jesse]

Hello tkaboris,

You would need to look in the code for that indicator and make sure you are using the exact same data that it tried to load inside your strategy. If using AddDataSeries(BarsPeriodType.Day, 1); is not correct you will need to review the indicators code to see what it used.