How to code MACD based on Open Prices in Ninjascript?

[unpronounceable1700]

I'm not sure how I would go about doing this, is it even possible? In the code there's only CalculateOnBarClose. And I'm not sure if I can specify for EMA to calculate based on Open.

Here is my code for reference.

macdLine[0] = EMA(12)[0] - EMA(26)[0];
signalLine[0] = EMA(9)[0] - macdLine[0];
macdHist[0] = macdLine[0] - signalLine[0];

[NinjaTrader_RyanS]

Hello,

it is possible to calculate the MACD based on the open prices instead of the close prices in NinjaScript. To achieve this, you will need to explicitly specify that the EMA should be calculated based on the open prices rather than the default close prices.

Here’s how you can modify your code to calculate the MACD based on the open prices:

1. Create a Custom EMA Calculation: Specify the input series as the open prices.
2. Calculate the MACD Line and Signal Line: Use the custom EMA calculations.
3. Calculate the MACD Histogram: Subtract the signal line from the MACD line.

Modified MACD Calculation Based on Open Prices


Below is a complete example of how to calculate the MACD based on open prices in NinjaScript:

#region Using declarations
using System;
using NinjaTrader.Cbi;
using NinjaTrader.Gui.Tools;
using NinjaTrader.NinjaScript;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript.Strategy;
using NinjaTrader.NinjaScript.Indicators;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
    public class MACDOpenPriceStrategy : Strategy
    {
        private Series<double> macdLine;
        private Series<double> signalLine;
        private Series<double> macdHist;
        private EMA ema12;
        private EMA ema26;
        private EMA ema9;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"MACD based on Open Prices.";
                Name = "MACDOpenPriceStrategy";
                Calculate = Calculate.OnEachTick;
                IsOverlay = false;
                IsExitOnSessionCloseStrategy = true;
                ExitOnSessionCloseSeconds = 30;
                EntriesPerDirection = 1;
                EntryHandling = EntryHandling.AllEntries;
                IsFillLimitOnTouch = false;
                MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
                OrderFillResolution = OrderFillResolution.Standard;
                Slippage = 1;
                StartBehavior = StartBehavior.WaitUntilFlat;
                TimeInForce = TimeInForce.Gtc;
                TraceOrders = false;
                RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade = 20;
                IsInstantiatedOnEachOptimizationIteration = true;
            }
            else if (State == State.Configure)
            {
                // Add the primary data series
                AddDataSeries(Data.BarsPeriodType.Minute, 1);
            }
            else if (State == State.DataLoaded)
            {
                macdLine = new Series<double>(this);
                signalLine = new Series<double>(this);
                macdHist = new Series<double>(this);

                // Initialize EMAs with Open prices
                ema12 = EMA(Open, 12);
                ema26 = EMA(Open, 26);
                ema9 = EMA(macdLine, 9);
            }
        }

        protected override void OnBarUpdate()
        {
            // Ensure we have enough bars
            if (CurrentBars[0] < Math.Max(ema12.Period, ema26.Period))
                return;

            // Calculate MACD Line
            macdLine[0] = ema12[0] - ema26[0];

            // Ensure we have enough bars for Signal Line
            if (CurrentBars[0] < ema26.Period + ema9.Period)
                return;

            // Calculate Signal Line
            signalLine[0] = ema9[0];

            // Calculate MACD Histogram
            macdHist[0] = macdLine[0] - signalLine[0];

            // Example trade logic based on MACD
            if (CrossAbove(macdLine, signalLine, 1))
            {
                EnterLong("MACDLong");
            }
            else if (CrossBelow(macdLine, signalLine, 1))
            {
                EnterShort("MACDShort");
            }
        }

        protected override void OnTermination()
        {
            // Cleanup
        }
    }
}
​

Explanation

1. State.SetDefaults:
   • Sets the default properties for the strategy.
2. State.Configure:
   • Adds the primary data series.
3. State.DataLoaded:
   • Initializes the Series<double> objects for the MACD line, signal line, and histogram.
   • Initializes the EMAs to use the open prices with ema12 = EMA(Open, 12); and ema26 = EMA(Open, 26);.
4. OnBarUpdate:
   • Checks if there are enough bars to calculate the EMAs.
   • Calculates the MACD line using the EMAs based on open prices.
   • Checks if there are enough bars to calculate the signal line.
   • Calculates the signal line using an EMA of the MACD line.
   • Calculates the MACD histogram.
   • Contains example trade logic that enters a long position if the MACD line crosses above the signal line, and enters a short position if the MACD line crosses below the signal line.

This approach ensures that the MACD calculation is based on the open prices rather than the default close prices, and that trades are placed based on this custom MACD calculation.

[unpronounceable1700]

Hello,

it is possible to calculate the MACD based on the open prices instead of the close prices in NinjaScript. To achieve this, you will need to explicitly specify that the EMA should be calculated based on the open prices rather than the default close prices.

Here’s how you can modify your code to calculate the MACD based on the open prices:

1. Create a Custom EMA Calculation: Specify the input series as the open prices.
2. Calculate the MACD Line and Signal Line: Use the custom EMA calculations.
3. Calculate the MACD Histogram: Subtract the signal line from the MACD line.

Modified MACD Calculation Based on Open Prices


Below is a complete example of how to calculate the MACD based on open prices in NinjaScript:

#region Using declarations
using System;
using NinjaTrader.Cbi;
using NinjaTrader.Gui.Tools;
using NinjaTrader.NinjaScript;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript.Strategy;
using NinjaTrader.NinjaScript.Indicators;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
public class MACDOpenPriceStrategy : Strategy
{
private Series<double> macdLine;
private Series<double> signalLine;
private Series<double> macdHist;
private EMA ema12;
private EMA ema26;
private EMA ema9;

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"MACD based on Open Prices.";
Name = "MACDOpenPriceStrategy";
Calculate = Calculate.OnEachTick;
IsOverlay = false;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 1;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
IsInstantiatedOnEachOptimizationIteration = true;
}
else if (State == State.Configure)
{
// Add the primary data series
AddDataSeries(Data.BarsPeriodType.Minute, 1);
}
else if (State == State.DataLoaded)
{
macdLine = new Series<double>(this);
signalLine = new Series<double>(this);
macdHist = new Series<double>(this);

// Initialize EMAs with Open prices
ema12 = EMA(Open, 12);
ema26 = EMA(Open, 26);
ema9 = EMA(macdLine, 9);
}
}

protected override void OnBarUpdate()
{
// Ensure we have enough bars
if (CurrentBars[0] < Math.Max(ema12.Period, ema26.Period))
return;

// Calculate MACD Line
macdLine[0] = ema12[0] - ema26[0];

// Ensure we have enough bars for Signal Line
if (CurrentBars[0] < ema26.Period + ema9.Period)
return;

// Calculate Signal Line
signalLine[0] = ema9[0];

// Calculate MACD Histogram
macdHist[0] = macdLine[0] - signalLine[0];

// Example trade logic based on MACD
if (CrossAbove(macdLine, signalLine, 1))
{
EnterLong("MACDLong");
}
else if (CrossBelow(macdLine, signalLine, 1))
{
EnterShort("MACDShort");
}
}

protected override void OnTermination()
{
// Cleanup
}
}
}
​

Explanation

1. State.SetDefaults:
   • Sets the default properties for the strategy.
2. State.Configure:
   • Adds the primary data series.
3. State.DataLoaded:
   • Initializes the Series<double> objects for the MACD line, signal line, and histogram.
   • Initializes the EMAs to use the open prices with ema12 = EMA(Open, 12); and ema26 = EMA(Open, 26);.
4. OnBarUpdate:
   • Checks if there are enough bars to calculate the EMAs.
   • Calculates the MACD line using the EMAs based on open prices.
   • Checks if there are enough bars to calculate the signal line.
   • Calculates the signal line using an EMA of the MACD line.
   • Calculates the MACD histogram.
   • Contains example trade logic that enters a long position if the MACD line crosses above the signal line, and enters a short position if the MACD line crosses below the signal line.

This approach ensures that the MACD calculation is based on the open prices rather than the default close prices, and that trades are placed based on this custom MACD calculation.

Thank you so much! Just added it to my code and it's working so far.