Problem with Multitimeframe Strategy

[PabloTrader]

Hi, im coding a multitimeframe strategy where my primary Dataseries is in 2 minutes and i have a second dataserie in 5 minutes.
I only calculate onbarclose but when i print time of my second Dataserie onBarUpdate with this filter

if (BarsInProgress == 1){
Print(Times[0][0].TimeOfDay);}

it prints for example this minutes : 10:04 - 10:10 - 10:14 - 10:20

Im missing something? the second dataserie must be multiple of the primary?
how can i process info of 5 minutes dataseries onbarclose working on 2 minutes primary dataserie?

Thanks for your help!

[MicroTrends]

BarsArray[0] = primary
BarsArray[1] = second

if (BarsInProgress > 0) return;

Print(Times[0][0].TimeOfDay);
Print(Times[1][0].TimeOfDay);

[bltdavid]

Also, every now and then, a 2min bar and a 5min bar will
close at the exact same time -- guess which bar close your
OnBarUpdate sees first?

It's the primary bar series. So, when a secondary 5min bar
closes with the same timestamp as a primary 2min bar, your
OnBarUpdate for the 2min bar cannot see that.

Required reading here.

Additional reading here and here.

[PabloTrader]

Thanks for the quick response! The reason I wanted to print time was because I am having a difference when executing the strategy historically and live. When printing time it returns a few milliseconds before the bar is closed
09:14:59.9520000
09:19:58.1880000
09:24:59.8720000
but I think this can be the diference between historic and live or replay (because in historic the close already happend but in live not)
Is this possible?
If that is the problem, I was thinking of doing it with IsFirstTick and instead of using onbarclose, use oneachtick

[NinjaTrader_Gaby]

Hello PabloTrader,

Both bltdavid and MicroTrends have provided good info. To further help clarify exactly which Bars objects is currently updated in OnBarUpdate, it may be helpful to also print the BarsInProgress along with the time of the bar.

Print("BarsInProgress: " + BarsInProgress + " " + Times[0][0].TimeOfDay);


It would be expected that a strategy performs differently in live vs. historically. Live orders are filled on an exchange with a trading partner on an agreed upon price based on market dynamics. Backtest orders are not using these market dynamics. Instead these are filled based on logical rules from processing historical data.

• When in historical data, only the Open, High, Low, and Close will be available and there will be no intra-bar data.
  • This means actions cannot happen intra-bar, fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the information that is known
  • Because of this, OnBarUpdate will only update 'On bar close' as it does not have the intra-bar information necessary for 'On price change' or 'On each tick' and the script will not have the intra-bar information to accurately fill an order at the exact price and time.

Intra-bar granularity adds a second data series such as a 1 tick series using AddDataSeries() so that the strategy or indicator has the individual ticks in the historical data in between the High and Low of the primary series.

• This allows for more accurate trades by supplying the correct price at the correct time for the order to fill with. The orders placed will need to use the BarsInProgress (BarsArray) index of that finer resolution series.
  • https://drive.google.com/file/d/12F6...C3TgPC3pA/view
  • Help guide link

In NinjaTrader 8, there have been two new enhancements so that programmers may not have to manually add this secondary series and code the script for high accuracy fills (Order Fill Resolution) or for intra-bar actions (TickReplay) depending on the needs of the script.
Note: bar types that are IsRemoveLastBarSupported cannot be used with TickReplay and generally cause inaccurate results when backtesting in historical data.
Note: High Order Fill Resolution allows for intra-bar order fills with historical processing, but is not compatible with Tick Replay.

Please see this support article for a detailed explanation:

https://support.ninjatrader.com/s/ar...ar-granularity

[PabloTrader]

Thank you very much for all the help. My problem was with Cumulative Delta that was not giving correct values in a a secondary serie but i find that i have to update first the indicator. I already fix it. Thanks!!!