Different results single TF vs muti TF using Gom-based indicator - NinjaTrader Programming | futures io social day trading
futures io futures trading


Different results single TF vs muti TF using Gom-based indicator
Updated: Views / Replies:85 / 1
Created: by Silverm3170 Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Different results single TF vs muti TF using Gom-based indicator

  #1 (permalink)
Elite Member
Irvine + CA/USA
 
Futures Experience: Intermediate
Platform: Sierra Chart, NinjaTrader
Favorite Futures: ES, ZB, CL
 
Posts: 3 since Dec 2014
Thanks: 6 given, 1 received

Different results single TF vs muti TF using Gom-based indicator

Hello,

I'm trying to write a NT7 indicator that uses Gomi non-cumulative delta for multiple time frames. I'm getting a discrepancy in the results of the second time frame when it's added as a second bar series than when it's standalone as the primary time frame. e.g. in single time frame case, the bar type is an ES 10-tick range bar, and in the multi-time frame the primary bar is an ES 5-tick range bar and the second is ES 10-tick range. The discrepancy appears to be when the FirstTickOfBar event is issued. Here are some details from logging to illustrate. I'm just referencing the first couple of update events:

Single bar case:
- First GomOnBarUpdate::FirstTickOfBar before any GomOnMarketData
- Second GomOnBarUpdate::FirstTickOfBar at 8/2/2017 3:26:18AM : cumulative delta -1393 after 27843 iterations of GomOnMarketData

Multi bar case:
- First GomOnBarUpdate::FirstTickOfBar for BarsInProgress = 1 after 11 BarsInProgress = 0
- Timestamp is the same, 8/2/2017 3:26:18AM.
- Cumulative delta is -1649 after 27481 iterations of GomOnMarketData. This is the same value as the single bar case at its iteration 27481. But single bar didn't trigger the FirstTickOfBar update until after iteration 27843, by which the delta had become -1393.

I reset the delta in response to FirstTickOfBar after first saving the current accumulated value, so the -1649 would be considered the close of the previous bar. As a sanity test, by iteration 27843 of the multi-bar case, the delta post-reset, i.e. accumulating for the the next bar, is 256. So had it not reset, the delta at that point would have been -1649 + 256 = -1393. This is the same value as the single bar case at that iteration. So the data accumulation is not the issue. It's the syncing of when the FirstTickOfBar events are arriving. For the single bar case it's after 27843 iterations of onMarketData, for the multi-bar case it's after 27481 iterations, and yet both have the same timestamps. Due to this mismatch cuttoffs where the closing delta results are committed are different.

This behavior is the same regardless of the CalculateOnBarClose setting.

An additional note, I've modified the GomRecorderIndicator to allow calling GomOnUpdateDone for all BarsInProgress during this development, as it currently only calls it for BarsInProgress 0. However currently I'm committing the closing values during GomOnUpdate, so I don't think that change should have any bearing. But I haven't looked into this yet.

I posted this question at the Ninjatrader forum but the response I got was that this is a vendor-specific issue since it's based on the Gom framework. I'm hoping someone here might have some insight into this problem.

Is there any way to force the FirstTickOfBar for the second bar series to behave the same as the standalone single bar case?

Alternatively, is there a way to access indicator data from another chart? TradeThePlan.com for instance has an indicator reader, so I'm assuming this should be doable. However i don't know what kind of back door hacking that might have involved.

Thanks for any help,
silverm3170

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.


Reply



futures io > > > > > Different results single TF vs muti TF using Gom-based indicator

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Opening Breakouts and Reversals w/Al Brooks

Elite only
 

Introducing daytradr by Jigsaw, new stand-alone platform

Oct 19
 

RandBots: AutoTrading Bots to diversify your trading

Oct 24
 

TopstepTrader: Profiting Without Risking Your Own Money

Oct 26

Building Open Source Indicators for NT8 w/Fat Tails @ Lizard Indicators

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Formula for current direction of market on large TF for qualifier as entry small TF? Jayswiss NinjaTrader Programming 2 July 11th, 2016 10:57 PM
Indicator to group lower TF bars in a higher TF ? podski NinjaTrader 6 October 2nd, 2014 03:12 AM
CL, TF - To test a method for Consistent results for 2-3 months emini_Holy_Grail Traders Hideout 2 October 23rd, 2012 08:33 AM
The TF tderrick Emini Index Futures Trading 3 February 10th, 2011 03:45 PM
Add()... Muti-timeframe indicator... cs1502-1503 Al2010 NinjaTrader Programming 5 February 2nd, 2011 12:09 PM


All times are GMT -4. The time now is 06:22 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-10-17 in 0.08 seconds with 19 queries on phoenix via your IP 54.81.178.153