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multi time frame indicator lags


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multi time frame indicator lags

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  #1 (permalink)
houston texas/us
 
 
Posts: 25 since Dec 2014
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I used xcMovAvg to draw EMA(20) under range 4. The line of the multi time frame seems to lag a little bit behind EMA(20) under range 4. What causes the lag?

Any solutions for this?

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The lag is a result of the way NinjaTrader processes bars internally (design flaw). For a multi-timeframe indicator NinjaTrader first processes the primary bars (the bars that can be seen on the chart). In a second step all secondary bar series (those loaded via the indicator) are processed.

Your chart shows the special case, where the primary bars and the secondary bars are identical (4 range bars). In that case when the primary bars are processed, the indicator value is calculated from the last available value from the secondary bar series. This is the prior bar, as the current bar of the secondary bar series has not yet been processed. Therefore the multi-timeframe indicator is lagging by 1 bars.


There are some workarounds possible

-> For historical bars you can access the current bar of the secondary bar series as the value is already known, it is possible to eliminate the lag for historical bars. The chart below shows the VisualEMA which has no lag when compared to the regular EMA.

-> For real-time bars you may paint back (override) the lagging value after the current bar of the secondary bar series has been processed. I have integrated this feature with my multi-timeframe indicator and called it "one-tick correction". "One-tick correction" should be avoided when calling the indicator via a strategy. Therefore the indicator comes with a strategy mode (1 bar lag with real-time data) and the "One-tick correction" mode, which repaints 1-tick back and shows no lag.


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houston texas/us
 
 
Posts: 25 since Dec 2014
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If we call the visualEMA from a strategy, will the indicator lag? How much does it lag, one tick or one bar?

Or should we not call visualEMA from any strategy?

No strategy that can use MTF indicator without lag?


Fat Tails View Post
"One-tick correction" should be avoided when calling the indicator via a strategy. Therefore the indicator comes with a strategy mode (1 bar lag with real-time data) and the "One-tick correction" mode, which repaints 1-tick back and shows no lag.



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Fat Tails View Post
The lag is a result of the way NinjaTrader processes bars internally (design flaw).

@Fat Tails do you know if this is resolved with NT8? I assume you are one of the beta testers.

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Market Wizard
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Big Mike View Post
@Fat Tails do you know if this is resolved with NT8? I assume you are one of the beta testers.

Mike

I have not checked it so far.

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