Time of day?

April 19th, 2012, 01:02 PM

I noticed that when you apply a template (i.e. excluding certain times of days; CME US Index RTH, etc.) to a chart or strategy, the gap wrecks allot of indicators (example attached).

Is it possible to enter directly into a strategy's code what time of day it should execute, so the default 24/7 template may be used to avoid gaps indicators?

April 19th, 2012, 02:15 PM

Update... I added

&& ToTime(Time[0]) >= ToTime(8, 0, 0)
&& ToTime(Time[0]) <= ToTime(12, 0, 0)

But it doesn't work...

April 19th, 2012, 05:01 PM

patbateman

Update... I added

&& ToTime(Time[0]) >= ToTime(8, 0, 0)
&& ToTime(Time[0]) <= ToTime(12, 0, 0)

But it doesn't work...

I think Time[0] yield something like a string. I think 8AM is 80000, so something like this may work (or get you close):

&& Time[0] >= 80000 && Time[0] <= 120000

I don't think they need to be strings but something along this line will work. I have it in a few indicators and will look when I get home if you still need it.

Try this if the above doesn't work:
&& Time[0] >= "080000" && Time[0] <= "120000"

Be sure to add the leading 0 on the single digit times.

April 19th, 2012, 05:15 PM

patbateman

I noticed that when you apply a template (i.e. excluding certain times of days; CME US Index RTH, etc.) to a chart or strategy, the gap wrecks allot of indicators (example attached).

Is it possible to enter directly into a strategy's code what time of day it should execute, so the default 24/7 template may be used to avoid gaps indicators?

Yes, it is possible. My strategies only trade during specific times of the day. For example, if you have a breakout strategy you may not want to trade the false breakouts in the early afternoon.

Best you define some TimeSpan variables for the start and end times during which you want to enter positions. Then serialize these variables to make them accessible. Code a flag to check whether your current bar is within one of those time intervals. If this is the case allow for order execution.

April 19th, 2012, 06:41 PM

Fat Tails

Yes, it is possible. My strategies only trade during specific times of the day. For example, if you have a breakout strategy you may not want to trade the false breakouts in the early afternoon.

Best you define some TimeSpan variables for the start and end times during which you want to enter positions. Then serialize these variables to make them accessible. Code a flag to check whether your current bar is within one of those time intervals. If this is the case allow for order execution.

I updated it to

Code

&& ToTime(Time[0]) > 02000
				&& ToTime(Time[0]) < 08000

yet still does not work... the session template works, but not the time code. Session template doesn't work for me because of price gaps leading indicators to give bad readings.

I made a thread on the NT board, and only had snide responses from the rep (Ryan). I wrote an example program that was an EMA/SMA cross, and he told me to go back and make it simpler. Obviously not even looking at what I wrote for him. Crap bugs in software are fine if you can work around them and make it better for everyone, but not idiot programmers who are as efficient as a steam engine with holes telling me yet again to look at myself so their managers won't bring the hammer down on them.

Oh well... thanks for the response ft and nj

April 19th, 2012, 06:43 PM

edit... regarding your suggestion, are you saying

if (ToTime xxxxxx )

{
if (strategy) { lxxx ong xxx }
}

April 19th, 2012, 07:03 PM

Also one quick update... to be clear, I'm trying to get the strategy to execute only during certain times of days. Maybe this function isn't what this is for...

April 19th, 2012, 07:33 PM

patbateman

Also one quick update... to be clear, I'm trying to get the strategy to execute only during certain times of days. Maybe this function isn't what this is for...

I did implement it a little complex and not sure how this will work in the wizard, but you might be able to round off to the Hour or something to make it simpler
m_Time=Time[0].Hour.ToString("D2")+Time[0].Minute.ToString("D2")+Time[0].Second.ToString("D2");
m_InTimeWindow=Filter_TimeWindow(m_Time,m_TimeStart1,m_TimeEnd1);

Here is the function Filter_TimeWindow():

Code

#region Filter_TimeWindow        
        // --------------------------------------------------
        //   Filter_TimeWindow(string m_Time,string m_StartWindow,string m_StopWindow)
        //    
        //        m_Time:         Time to test against window, 24H format HHMMSS
        //        m_StartWindow:     Start of window, 24H format HHMMSS
        //        m_StopWindow:     End of window, 24H format HHMMSS
        //
        //    NOTE: window assumed to be less than 24 hours, if Start>Stop spans over midnight
        //
        //   Returns true if m_Time is within window
        //   Returns false if m_Time is outside window
        // --------------------------------------------------
        
        private bool Filter_TimeWindow(string m_Time,string m_StartWindow,string m_StopWindow)
        {
            bool m_FilterReturn=false;

            if (Convert.ToInt64(m_StartWindow) < Convert.ToInt64(m_StopWindow)) 
            {        // Within the same day since Start<Stop
                if ((Convert.ToInt64(m_StartWindow)<=Convert.ToInt64(m_Time)) &&
                    (Convert.ToInt64(m_StopWindow)>=Convert.ToInt64(m_Time)))
                         m_FilterReturn=true;
            }
            else
            {        // Wraps over midnight, window start time to Midnight and then next morning to stop
                if ((Convert.ToInt64(m_StartWindow)<=Convert.ToInt64(m_Time)) ||
                    (Convert.ToInt64(m_StopWindow)>=Convert.ToInt64(m_Time)))
                         m_FilterReturn=true;
            }
            
            return m_FilterReturn;
        }
#endregion

You might be able to use the "Time[0].Hour" which returns an Int.

April 19th, 2012, 07:43 PM

patbateman

Also one quick update... to be clear, I'm trying to get the strategy to execute only during certain times of days. Maybe this function isn't what this is for...

From TN Help manual

// Only trade between 7:45 AM and 1:45 PM
if (ToTime(Time[0]) >= 74500 && ToTime(Time[0]) <= 134500)
{
// Strategy logic goes here
}

NinjaTrader · April 20th, 2012, 11:42 AM

patbateman

Crap bugs in software are fine if you can work around them and make it better for everyone, but not idiot programmers who are as efficient as a steam engine with holes telling me yet again to look at myself so their managers won't bring the hammer down on them.

As it currently stands, it seems that bug is not in NinjaTrader but in your code.

Your thread here - Time of day? - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

Time of day?

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Time of day?