Converting Indicator to Strategy help!

February 20th, 2010, 09:09 PM

Hi All,

I've updated my ExportChartData indicator in the downloads/Ninja/Misc section to add some new functionality. Based on some code I found from Mike and some comments from Sam, I'm now trying to convert that Indicator to a Strategy.

I'm getting an exception in the OnBarUpdate method, "Object reference not set to an instance of an object."

Below is the OnBarUpdate area of the Strategy code:

Code

                            
protected override void Initialize()
{
CalculateOnBarClose = true;
 
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
/* The try-catch block is used for error handling.
In this case it is used to ensure you only have one stream object operating on the same file at any given moment. */
string dest = path+filename;
string defname = path + @"\" +Instrument.FullName+BarsPeriod.Id+BarsPeriod.Value+".txt";
defname = defname.Replace(' ','_'); // Replaces non ISO file characters in Futures names
defname = defname.Replace('-','_'); // Replaces non ISO file characters in Futures names
 
 
 
// If file at 'path' doesn't exist it will create the file. If it does exist it will append the file.
 
if (CurrentBar == 0
&& useDefaultFilename == false)
{
sw = File.AppendText(dest);
Print(dest);
} 
if (CurrentBar == 0
&& useDefaultFilename == true)
{
sw = File.AppendText(defname);
Print(defname);
}
 
 
string sep = DataSeparator.ToString();// Cast required so the Date/Time separator and normal data separator are the same
 
// This is the output of all lines. The output format is as follows: DateTime Open High Low Close Volume
string data = (Time[0] + sep + Open[0] + sep + High[0] + sep + Low[0] + sep + Close[0] + sep + Volume[0]);
 
if (splitDateTime == true)
{//Replace the space in DateTime with the DataSeparator
data = data.Replace(' ',DataSeparator);
}
 
sw.WriteLine(data);
sw.Close(); 
 
 
}

And I've attached the zip file for both the Indicator ExportChartData (works fine) and Strategy ExportData (exception thrown). Any help on this would be greatly appreciated.

FWIW my next steps in the evolution of the code is to try an incorporate Enums for the output file types by playing some more with manipulating DateTime objects and strings, and look at ways to optionally export indicator data as well.

But I need it to work with the current features first!

Thanks for your time and input.

February 20th, 2010, 10:06 PM

Problem solved by removing condition CurrentBar == 0

We now return to our regularly scheduled programming...

February 21st, 2010, 12:50 AM

Interesting, looks like the compiler took 0 as null and assumed you were comparing CurrentBar to it. And CurrentBar being an int (I believe) and null being a reference ...

February 21st, 2010, 07:39 AM

MX, you should avoid putting your file stuff in the OnBarUpdate(), and put it in Initialize().
OnBarUpdate() is called every bar update (really

), so it have to be as light as possible, for performance aspects.
So, in your example, you'll just have to write in the file, not open/create it, and not closing it after each bar !!!

So:
- the creation/init of the file: in Initialize() (or OnStartUp() with NT7)
- the close of it in Dispose() (or OnTermination() with NT7).

February 21st, 2010, 07:42 AM

Thanks Sam,

Problem is Instrument.FullName+BarsPeriod.Id+BarsPeriod.Value can only be called in the OnBarUpdate()... I think.

February 21st, 2010, 09:14 AM

MXASJ

Thanks Sam,

Problem is Instrument.FullName+BarsPeriod.Id+BarsPeriod.Value can only be called in the OnBarUpdate()... I think.

Hmm, I'm not sure, and can't test it now.
But if it's the problem, you can:
- use a random, or whatever file name
- store your Instrument.FullName+BarsPeriod.Id+BarsPeriod.Value" in a public variable, inside OnBarUpdate()
- rename your file at the end ( File.Move(...)), in Dispose().

February 21st, 2010, 09:53 AM

Thanks Sam,

I'm not sure if it is an issue, but I'm always open to ways to code things better. I'm at C# 101 right now

. Feel free to make it better.

I just ran that 'strat against the S&P500 list that comes with Ninja and my own instrument list of all IShares ETFs (daily data, one year back), and all was fine (one bad ticker exception on the S&P list that I'll look at tomorrow). Personally I think that is pretty cool. I don't do equities but building an S&P500 correlation or covariance matrix using R and Ninja that updates daily would be a good demonstration tool of what can be done for free these days. A good reminder that "edge" is fleeting.

My next journey with this is the enum/DateTime one, neither of which I fully understand but using a non-production utility 'strat (like this) instead of a live trading 'strat takes some pressure off.

February 21st, 2010, 10:09 AM

MXASJ

Thanks Sam,

Problem is Instrument.FullName+BarsPeriod.Id+BarsPeriod.Value can only be called in the OnBarUpdate()... I think.

in NT7 you can put that in OnStartUp()

February 21st, 2010, 08:12 PM

Thanks bukkan and Sam,

The code below works fine with the OnStartUp() and OnTermination() methods. Is whats left in OnBarUpdate() OK? Thanks for taking the time to educate me in writing better code.

Code

                            
protected override void Initialize()/////////////////////////////////////////////////////////////////////////////////////////////////////////
{
CalculateOnBarClose = true;
 
}
 
protected override void OnStartUp()/////////////////////////////////////////////////////////////////////////////////////////////////////////
{
string dest = path+filename;
string defname = path + @"\" +Instrument.FullName+"_"+BarsPeriod.Value+"_"+BarsPeriod.Id+".txt";
defname = defname.Replace(' ','_'); // Replaces non-ISO file characters in Futures names
defname = defname.Replace('-','_'); // Replaces non-ISO file characters in Futures names
 
// If file at 'path' doesn't exist it will create the file. If it does exist it will append the file.
 
if (useDefaultFilename == false)
{
sw = File.AppendText(dest);
} 
else
{
sw = File.AppendText(defname);
}
}
 
protected override void OnBarUpdate()///////////////////////////////////////////////////////////////////////////////////////////////////////
{
 
string sep = DataSeparator.ToString();// Cast required so the Date/Time separator and normal data separator are the same
 
// This is the output of all lines. The output format is: DateTime Open High Low Close Volume
string data = (Time[0] + sep + Open[0] + sep + High[0] + sep + Low[0] + sep + Close[0] + sep + Volume[0]);
 
if (splitDateTime == true)
{//Replace the space in DateTime with the DataSeparator
data = data.Replace(' ',DataSeparator);
}
 
sw.WriteLine(data);
 
} 
 
protected override void OnTermination()//////////////////////////////////////////////////////////////////////////////////////////////////////
{
sw.Close();
}

Converting Indicator to Strategy help!

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Converting Indicator to Strategy help!