Tick data conflicting with volume data?

[jourdale]

I'm troubleshooting a larger strategy that I'm working on, and am gradually moving code over to a testing strategy to isolate the issue. When I add a single line of code, the strategy analyzer will show 0 trades. The single line of code is tick data to the StateConfigure area. I've tried two options, the one currently in place, and the one commented out:

else if (State == State.Configure)
            {
                AddDataSeries("MES SEP23", Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Last);
                //AddDataSeries(Data.BarsPeriodType.Tick, 1);
            }​

I do need tick data, as I'll be adding orderflow tools later on. I also want to add that even though I'm pulling in tick data, I'm using it on minute timeframes. Here is the whole code for the test strategy:

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
    public class volmatesting : Strategy
    {
        private OrderFlowCumulativeDelta cumulativeDelta;
        private EMA ema2;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Enter the description for your new custom Strategy here.";
                Name                                        = "volmatesting";
                Calculate                                    = Calculate.OnBarClose;
                EntriesPerDirection                            = 1;
                EntryHandling                                = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy                = true;
                ExitOnSessionCloseSeconds                    = 30;
                IsFillLimitOnTouch                            = false;
                MaximumBarsLookBack                            = MaximumBarsLookBack.TwoHundredFiftySix;
                OrderFillResolution                            = OrderFillResolution.Standard;
                Slippage                                    = 0;
                StartBehavior                                = StartBehavior.WaitUntilFlat;
                TimeInForce                                    = TimeInForce.Gtc;
                TraceOrders                                    = false;
                RealtimeErrorHandling                        = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling                            = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade                            = 2;
                // Disable this property for performance gains in Strategy Analyzer optimizations
                // See the Help Guide for additional information
                IsInstantiatedOnEachOptimizationIteration    = true;

                VolMAPeriod = 60;
                VolMultiplierHigh = 2.0;
                VolMultiplierLow = 0.5;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("MES SEP23", Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Last);
                //AddDataSeries(Data.BarsPeriodType.Tick, 1);
            }
            else if (State == State.DataLoaded)
            {
                ema2 = EMA(Volume, VolMAPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            double VolumeUpperBound = (ema2[0] * VolMultiplierHigh);
            double VolumeLowerBound = (ema2[0] * VolMultiplierLow);

            if (Volume[0] > VolumeUpperBound)
                {
                   EnterLong(1, @"voltest");
                }
            if (
                 (Volume[0] <= VolumeUpperBound)
                 && (Volume[0] >= VolumeLowerBound))
                {
                    ExitLong(1, @"voltest", @"voltest");
                }
            if ((Volume[0] <= VolumeLowerBound))
                {
                    EnterShort(1, @"voltest");
                }
            if (
                 (Volume[0] <= VolumeUpperBound)
                 && (Volume[0] >= VolumeLowerBound))​
                {
                    ExitShort(1, @"voltest", @"voltest");
                }
        }
        #region Properties
        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name="VolMAPeriod", Order=3, GroupName="Parameters")]
        public int VolMAPeriod
        { get; set; }

        [NinjaScriptProperty]
        [Range(1, double.MaxValue)]
        [Display(Name="VolMultiplierHigh", Order=4, GroupName="Parameters")]
        public double VolMultiplierHigh
        { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, double.MaxValue)]
        [Display(Name="VolMultiplierLow", Order=5, GroupName="Parameters")]
        public double VolMultiplierLow
        { get; set; }
        #endregion
    }
}​

Please advise on how to still get volume data while pulling in tick data.

Thank you!

Edit:

With more testing, starting from a different point, I've gathered that the specific conflict is between these lines:

double VolumeUpperBound = (ema2[0] * VolMultiplierHigh);
double VolumeLowerBound = (ema2[0] * VolMultiplierLow);​

and this line

 AddDataSeries("MES SEP23", Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Last);

I can calculate VolumeUpperBound and VolumeLowerBound and use them in the strategy if I don't add tick data, or I can have tick data if I comment out those two lines and just use the ema as a trading condition instead.

[NinjaTrader_BrandonH]

Hello jourdale,

Thanks for your post.

In the code you shared I see your Entry and Exit orders are using the same Signal Name properties. Each Entry and Exit order should have unique signal names. For example, "Entry Long" for the long entry order, "Entry Short" for the short exit order, "Exit Long" for the long exit order, and "Exit Short" for the short exit order.

What exactly is the issue you are having when using the code you shared?

Do you see an error message appear in the Log tab of the Control Center? If so, what exactly does it report?

Have you added debugging prints to the script to understand how your logic is evaluating?

If not, debugging prints should be added to the strategy to understand how it is processing the logic in your script if you have not yet done so.

Below is a link to a forum post that demonstrates how to use prints to understand behavior.
https://ninjatrader.com/support/foru...121#post791121

[jourdale]

The issue is that if I include tick data I can't create these doubles:

double VolumeUpperBound = (ema2[0] * VolMultiplierHigh);
double VolumeLowerBound = (ema2[0] * VolMultiplierLow);​​

If I do it will not produce any trades regardless of what I set them to. I know for a fact trades should be triggering. Either there's a conflict with ninjascript somewhere, or I've programmed this incorrectly. I'm leaning towards the latter.

I will attempt to add debugging prints

[jourdale]

Just an update, I was actually able to do everything I needed in the strategy builder. Thanks for the help!