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Project: Building a Calendar Spread BAR TYPE
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Created: by SodyTexas Attachments:3

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Project: Building a Calendar Spread BAR TYPE

  #1 (permalink)
Spread Trader
Austin TX
 
Futures Experience: Advanced
Platform: Ninjatrader, Python, & R
Broker/Data: RJO
Favorite Futures: Futures, Spreads
 
SodyTexas's Avatar
 
Posts: 313 since Sep 2013
Thanks: 96 given, 843 received

Project: Building a Calendar Spread BAR TYPE

Hey futures.io (formerly BMT),

I have a impossible goal! I would like to build a Calendar Spread Bar Type.

The concept is simple, take one price from a contract and subtract it from another. i.e. NG 03-15 minus NG 04-15 (the widow maker spread).

But what I do not want to do is build it as a indicator. Why, well those who know me, knows that I like Point and Figure charts which does not have time. I can not build a PnF based indicator because the Bars in progress will not match the PnF style of the spread.

How to get around this? Build my own Bar Type!

Any thoughts on where to start?

As I work on this project I will post my progress here.. Maybe if I can get some smarter people than myself working on this we can come up with a solution; but, maybe there is no solution in NT7.

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #2 (permalink)
Site Administrator
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If you accomplish this, I would suggest it is useful for more than just calendar spreads, but also synthetic spreads of any nature. BTW, Sierra Chart has this built-in, which means the source code is probably available in C++ in the source folder of SC.

Mike

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  #3 (permalink)
Spread Trader
Austin TX
 
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Posts: 313 since Sep 2013
Thanks: 96 given, 843 received



Big Mike View Post
If you accomplish this, I would suggest it is useful for more than just calendar spreads, but also synthetic spreads of any nature. BTW, Sierra Chart has this built-in, which means the source code is probably available in C++ in the source folder of SC.

Mike

Thanks Mike,

I don't have SC, if someone has the source files can you upload them here?

And yes once I figure out the calendar spread I think it would be wise to add functionality for other spreads.

Cheers,

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #4 (permalink)
Spread Trader
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Platform: Ninjatrader, Python, & R
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Posts: 313 since Sep 2013
Thanks: 96 given, 843 received

Where to start

I am going to start by trying to add a new masterinstrument to an existing custom bartype.

I choose SveRenko because of the simplicity of the code. you can download the code here:

https://futures.io/download/ninjatrader-7/indicators/1561-download.html?view

This will be the starting point!

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #5 (permalink)
Spread Trader
Austin TX
 
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Broker/Data: RJO
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Posts: 313 since Sep 2013
Thanks: 96 given, 843 received

Visual Studio

Also, I will be building this code in Visual Studio 2012.

It will be important to add intellisense to the project so we can easily build out the code; you can do this here:

https://futures.io/ninjatrader-programming/4781-ninjatrader-vs2010-dummies-2.html

When done correctly, you should have your VS looking like the attached image.

Cheers,

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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Project: Building a Calendar Spread BAR TYPE-vs2012.png  
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  #6 (permalink)
Spread Trader
Austin TX
 
Futures Experience: Advanced
Platform: Ninjatrader, Python, & R
Broker/Data: RJO
Favorite Futures: Futures, Spreads
 
SodyTexas's Avatar
 
Posts: 313 since Sep 2013
Thanks: 96 given, 843 received

You can see that the AddBar function is looking for double values.. See image attached.

What I need to do is find a way to call multiple instruments into the code. Any ideas?

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Attached Thumbnails
Project: Building a Calendar Spread BAR TYPE-vs2.png  
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  #7 (permalink)
Elite Member
Georgia
 
Futures Experience: Intermediate
Platform: Ninja
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fesx's Avatar
 
Posts: 114 since Jul 2009
Thanks: 604 given, 101 received

@SodyTexas, How is the spread bar type coming along? I have always been interested in spread charts.

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