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question on Tick updates
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question on Tick updates

  #1 (permalink)
Elite Member
Chicago, IL
 
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question on Tick updates

I'm new to both NT and futures.io (formerly BMT). I'm working on implementing a strategy that I've used on other systems, but I'm not sure how to access price updates tick-by-tick. I'd like to know how to address each incoming tick within the OnBarUpdate method. With "CalculateOnBarClose = true", I know how to use Open, High, Low, and Close in the OnBarUpdate method. But when I use "CalculateOnBarClose = false", I can't find any documentation on what gets updated in the OnBarUpdate method. Is it still the Close[0] value? Or are Open, High, Low, and Close all updated with the current price update?

Thanks in advance - JB

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  #2 (permalink)
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  #3 (permalink)
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NT, OnBarUpdate, OnMarketData



JohnnyB View Post
I'm new to both NT and futures.io (formerly BMT). I'm working on implementing a strategy that I've used on other systems, but I'm not sure how to access price updates tick-by-tick. I'd like to know how to address each incoming tick within the OnBarUpdate method. With "CalculateOnBarClose = true", I know how to use Open, High, Low, and Close in the OnBarUpdate method. But when I use "CalculateOnBarClose = false", I can't find any documentation on what gets updated in the OnBarUpdate method. Is it still the Close[0] value? Or are Open, High, Low, and Close all updated with the current price update?

Thanks in advance - JB

I guess it depends on what exactly you want to do with each incoming tick. One way you can use OnBarUpdate is to get the ask/bid values for the current bar update, with GetCurrentAsk() and GetCurrentBid(). If you want more than this, you may want to also look into OnMarketData, which allows you to collect more info on what happens at this tick level. The NT help is pretty descriptive and you have some keywords to play with now, but ask more if you cannot move forward with your code.

If you want to use Close[0] and get updated values for every change, you should keep CalculateOnBarClose = false. Then, Close[0] will always keep the price of the last trade, Open[0] will stay the same during the bar and contain the one value for the first tick of the bar, High[0]/Low[0] will keep being updated with the current high/low since the start of the bar.

Cheers!

Pajot


Last edited by Pajot; March 4th, 2012 at 10:10 AM. Reason: Details about what happens with Open, Close, High, Low
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  #4 (permalink)
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JohnnyB View Post
I'm new to both NT and futures.io (formerly BMT). I'm working on implementing a strategy that I've used on other systems, but I'm not sure how to access price updates tick-by-tick. I'd like to know how to address each incoming tick within the OnBarUpdate method. With "CalculateOnBarClose = true", I know how to use Open, High, Low, and Close in the OnBarUpdate method. But when I use "CalculateOnBarClose = false", I can't find any documentation on what gets updated in the OnBarUpdate method. Is it still the Close[0] value? Or are Open, High, Low, and Close all updated with the current price update?

Thanks in advance - JB

I am not sure you can get the Tick at that point with COBC=false. Try looking at the callback OnMarketData():
OnMarketData()

This will fire with each tick coming into NT7 so you can take action or set variables for next OnBarUpdate().

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-NJAMC [Generic Programmer]

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  #5 (permalink)
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Thanks for the info. I'm using Close now and it appears to be working. Thanks!

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  #6 (permalink)
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And FirstTickOfBar property is very useful when you otherwise use "CalculateOnBarClose = false".

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