Values of previous session's final bar are all zeros when strategy is run realtime

[Red_70]

In my strategy I'm trying to record the properties of the final bar of the previous session during the first bar of a new session, assigning them to the previousSession... variables. When the current bar's close hour equals earliestTradableBarCloseHour, I want to write these previousSession... values to a file, along with the current bar's open price. Here's the relevant section of code:

//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
    public class HourlyLongOrShortES : Strategy
    {
        private const int sessionFirstBarCloseHour = 17;
        private const int earliestTradableBarCloseHour = 8;
        private const int latestTradeableBarCloseHour = 15;
        private string instrumentNameFull;
        private string contractSymbol;
        private string hourlyPricesPath;

        private DateTime previousSessionFinalBarCloseDateTime;
        private double previousSessionFinalBarOpen;
        private double previousSessionFinalBarHigh;
        private double previousSessionFinalBarLow;
        private double previousSessionFinalBarClose;
        private double previousSessionFinalBarVolume;
        private DateTime previousBarCloseDateTime;
        private DateTime lastKnownBarCloseDateTime;
        private DateTime currentBarCloseDateTime;
        private string currentBarCloseDateTimeString;
        private int currentBarCloseHour;

        private double previousOpen;
        private double previousHigh;
        private double previousLow;
        private double previousClose;
        private double previousVolume;
        private double currentOpen;

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

            else if (State == State.Configure)
            {
                SetStopLoss(CalculationMode.Ticks, stopLossTicks);
            }

            else if (State == State.DataLoaded)
            {
                instrumentNameFull = Instrument.FullName;
                contractSymbol = instrumentNameFull.Substring(0, 2);
                hourlyPricesPath = @"F:/hourlyPrices_" + contractSymbol + ".csv";
            }
        }

        protected override void OnBarUpdate()
        {
            if (State == State.Historical)  // Process only realtime events
                return;
            if (BarsInProgress != 0)
                return;
            if (CurrentBars[0] < 1)
                return;

            currentBarCloseDateTime = Time[0];  // Expected close time of current bar
            currentBarCloseDateTimeString = currentBarCloseDateTime.ToString();
            currentBarCloseHour = int.Parse(currentBarCloseDateTimeString.Substring(11, 2));

            // If current bar is first of trading session then capture last bar of previous session
            if (currentBarCloseHour == sessionFirstBarCloseHour)
            {
                previousSessionFinalBarCloseDateTime = Time[1];
                previousSessionFinalBarOpen = Open[1];
                previousSessionFinalBarHigh = High[1];
                previousSessionFinalBarLow = Low[1];
                previousSessionFinalBarClose = Close[1];
                previousSessionFinalBarVolume = Volume[1];
                lastKnownBarCloseDateTime = currentBarCloseDateTime;  // Initialize lastKnownBarCloseDateTime
            }

            if (currentBarCloseHour <= latestTradeableBarCloseHour && currentBarCloseHour >= earliestTradableBarCloseHour)
            {
                if (currentBarCloseDateTime != lastKnownBarCloseDateTime)  // If a new bar has just opened...
                {
                    lastKnownBarCloseDateTime = currentBarCloseDateTime;  // Update lastKnownBarCloseDateTime

                    // If current bar is first actionable bar then let previous session's final bar become previous bar
                    if (currentBarCloseHour == earliestTradableBarCloseHour)
                    {
                        previousBarCloseDateTime = previousSessionFinalBarCloseDateTime;
                        previousOpen = previousSessionFinalBarOpen;
                        previousHigh = previousSessionFinalBarHigh;
                        previousLow = previousSessionFinalBarLow;
                        previousClose = previousSessionFinalBarClose;
                        previousVolume = previousSessionFinalBarVolume;
                    }
                    else
                    {
                        previousBarCloseDateTime = Time[1];
                        previousOpen = Open[1];
                        previousHigh = High[1];
                        previousLow = Low[1];
                        previousClose = Close[1];
                        previousVolume = Volume[1];
                    }
                    currentOpen = Open[0];

                    if (File.Exists(hourlyPricesPath))
                    {
                        string[] ohlcLinesToWriteNoHeader = {
                            DateTime.Now.ToString("yyyy-MM-dd HH:mm:ss") + "," +
                            previousBarCloseDateTime.ToString() + "," +
                            previousOpen.ToString() + "," +
                            previousHigh.ToString() + "," +
                            previousLow.ToString() + "," +
                            previousClose.ToString() + "," +
                            previousVolume.ToString() + "," +
                            currentBarCloseDateTime.ToString("yyyy-MM-dd HH:mm:ss") + "," +
                            currentOpen.ToString()};

                        using (StreamWriter outputFile2 = new StreamWriter(hourlyPricesPath, append: true))
                        {
                            foreach (string line in ohlcLinesToWriteNoHeader)
                                outputFile2.WriteLine(line);
                        }
                    }
                    else  // Else hourly prices file does not exist
                    {
                        string[] ohlcLinesToWriteWithHeader = {"CurrentDateTime,PreviousBarCloseDateTime,PreviousOpen,PreviousHigh,PreviousLow,PreviousClose,PreviousVolume,CurrentBarCloseDateTime,CurrentOpen",
                            DateTime.Now.ToString("yyyy-MM-dd HH:mm:ss") + "," +
                            previousBarCloseDateTime.ToString("yyyy-MM-dd HH:mm:ss") + "," +
                            previousOpen.ToString() + "," +
                            previousHigh.ToString() + "," +
                            previousLow.ToString() + "," +
                            previousClose.ToString() + "," +
                            previousVolume.ToString() + "," +
                            currentBarCloseDateTime.ToString("yyyy-MM-dd HH:mm:ss") + "," +
                            currentOpen.ToString()};

                        using (StreamWriter outputFile1 = new StreamWriter(hourlyPricesPath))
                        {
                            foreach (string line in ohlcLinesToWriteWithHeader)
                                outputFile1.WriteLine(line);
                        }
                    }  // End block if (File.Exists(hourlyPricesPath))
                }  // End block if (currentBarCloseDateTime != lastKnownBarCloseDateTime)
            }  // End block if (currentBarCloseHour <= latestTradeableBarCloseHour && currentBarCloseHour >= earliestTradableBarCloseHour)
        }  // End block OnBarUpdate
    }  // End block HourlyLongOrShortES : Strategy
}  // End block namespace NinjaTrader.NinjaScript.Strategies​

Here's the resulting CSV output file:

CurrentDateTime,PreviousBarCloseDateTime,PreviousOpen,PreviousHigh,PreviousLow,PreviousClose,PreviousVolume,CurrentBarCloseDateTime,CurrentOpen
2023-07-10 06:59:59,0001-01-01 00:00:00,0,0,0,0,0,2023-07-10 08:00:00,4431.75
2023-07-10 07:59:59,2023-07-10 08:00:00,4431.75,4442,4428.5,4439.25,179914,2023-07-10 09:00:00,4439
2023-07-10 08:59:58,2023-07-10 09:00:00,4439,4446.75,4431.75,4434.5,213488,2023-07-10 10:00:00,4434.5
2023-07-10 09:52:58,2023-07-10 09:00:00,4439,4446.75,4431.75,4434.5,213488,2023-07-10 10:00:00,4434.5
2023-07-10 09:59:58,2023-07-10 10:00:00,4434.5,4439.25,4428.25,4432.5,159376,2023-07-10 11:00:00,4432.75
2023-07-10 11:00:00,2023-07-10 11:00:00,4432.75,4438.25,4424,4437.25,141640,2023-07-10 12:00:00,4437.25
2023-07-10 11:59:59,2023-07-10 12:00:00,4437.25,4442.5,4436,4438.25,87339,2023-07-10 13:00:00,4438
2023-07-10 12:59:59,2023-07-10 13:00:00,4438,4442.75,4433.5,4441,87977,2023-07-10 14:00:00,4441.25
2023-07-10 13:59:59,2023-07-10 14:00:00,4441.25,4446,4434.75,4445.5,159376,2023-07-10 15:00:00,4445.5
2023-07-11 06:59:59,0001-01-01 00:00:00,0,0,0,0,0,2023-07-11 08:00:00,4456.25
2023-07-11 07:59:59,2023-07-11 08:00:00,4456.25,4458.75,4444.25,4451.75,188905,20 23-07-11 09:00:00,4451.75
2023-07-11 08:59:58,2023-07-11 09:00:00,4451.75,4456,4442,4454.25,190983,2023-07-11 10:00:00,4454.25
2023-07-11 09:59:58,2023-07-11 10:00:00,4454.25,4463,4451.75,4462.5,130729,2023-07-11 11:00:00,4462.75
2023-07-11 11:00:00,2023-07-11 11:00:00,4462.75,4465.25,4452.5,4459.5,126102,2023-07-11 12:00:00,4459.5
2023-07-11 12:00:00,2023-07-11 12:00:00,4459.5,4461.5,4453.25,4458.25,79293,2023-07-11 13:00:00,4458.25
2023-07-11 13:00:00,2023-07-11 13:00:00,4458.25,4462.5,4450.5,4462,115621,2023-07-11 14:00:00,4462
2023-07-11 13:59:59,2023-07-11 14:00:00,4462,4478.5,4459,4473.25,232300,2023-07-11 15:00:00,4473.25
2023-07-15 08:21:56,2023-07-12 15:00:00,4509.25,4512.25,4507.75,4509.5,73498,2023-07-13 08:00:00,4524.25
2023-07-15 08:22:02,2023-07-13 08:00:00,4524.25,4532.25,4521.25,4531.25,164336,20 23-07-13 09:00:00,4531.25
2023-07-15 08:22:11,2023-07-13 09:00:00,4531.25,4531.75,4525.25,4530.75,149448,20 23-07-13 10:00:00,4531
2023-07-15 08:22:15,2023-07-13 10:00:00,4531,4532.5,4525.75,4531.75,95727,2023-07-13 11:00:00,4531.75
2023-07-15 08:22:18,2023-07-13 11:00:00,4531.75,4536.5,4530.75,4533.5,85264,2023-07-13 12:00:00,4533.5
2023-07-15 08:22:22,2023-07-13 12:00:00,4533.5,4535.75,4528.75,4534.25,68331,2023-07-13 13:00:00,4534
2023-07-15 08:22:26,2023-07-13 13:00:00,4534,4540.25,4533.5,4540.25,84207,2023-07-13 14:00:00,4540.25
2023-07-15 08:22:31,2023-07-13 14:00:00,4540.25,4551.5,4539.25,4542.75,213039,202 3-07-13 15:00:00,4542.75

I want the first line of data written for each new trading session to contain the values from the previous session's final bar for the "Previous..." variables. The first two recorded sessions (2023-07-10 and 2023-07-11) were run realtime using a simulation account, and the last recorded session (2023-07-13) was run in playback mode. As you can see, the realtime results recorded zeros for each previous session's final bar, while the playback results recorded the correct values for the previous session's final bar.

My question is: Why are the previous session's final bar values being recorded as zeros when the strategy runs realtime?

[NinjaTrader_BrandonH]

Hello Red_70,

Thanks for your post.

The CSV file output you shared is showing that the CurrentDateTime is returning an output of 2023-07-11 06:59:59 and the PreviousBarCloseDateTime is returning an output of 0001-01-01 00:00:00.

The PreviousOpen, PreviousHigh, PreviousLow, PreviousClose, and PreviousVolume values are outputting a value of 0 because the PreviousBarCloseDateTime of 0001-01-01 00:00:00 is not a valid date/time that has instrument data.

Debugging steps should be taken to see exactly how the script is behaving and how PreviousbarCloseDateTime is returning 0001-01-01 00:00:00.

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