NT8 - Multi Instrument Indicators

wuileng · (login for full post details)

Has anyone tried writing a multi instrument/spread indicator in NT8?

I was wondering if there was a way to add a secondary series which takes on the BarsPeriodType and BarsPeriod of the primary series without having to hardcode.

Used to be able to do this in NT7 using something like:

Code

Add("XYZ", BarsPeriods[0].Id, BarsPeriods[0].Value);

But in NT8, the following just gives me errors:

Code

AddDataSeries("XYZ", BarsPeriods[0].BarsPeriodType, BarsPeriods[0].Value);

Does anyone know of a better way?

choke35 · (login for full post details)

Your syntax is incorrect.

For the correct syntax see:
NinjaTrader 8

wuileng · (login for full post details)

choke35

Your syntax is incorrect.

For the correct syntax see:
NinjaTrader 8

Thanks for your response. I don't think the syntax is incorrect as I have already made the code-breaking adjustments required from NT7 to NT8 and it compiles fine.

The problem is that the primary bars have not been loaded yet by State.Configure (where you are supposed to add additional data series) so you can't really reference them by means of BarsPeriods[0].BarsPeriodType and BarsPeriods[0].Value. In NT7 I used to be able to do this within Initialize().

For an indicator which I'd like to have work on both a daily and minute bar strategy, it's quite annoying having to hard code two separate versions (even more needed if you use different minute bars and you'd like both minute data series the same).

choke35 · (login for full post details)

wuileng

Thanks for your response. I don't think the syntax is incorrect as I have already made the code-breaking adjustments required from NT7 to NT8 and it compiles fine.

The problem is that the primary bars have not been loaded yet by State.Configure (where you are supposed to add additional data series) so you can't really reference them by means of BarsPeriods[0].BarsPeriodType and BarsPeriods[0].Value. In NT7 I used to be able to do this within Initialize().

For an indicator which I'd like to have work on both a daily and minute bar strategy, it's quite annoying having to hard code two separate versions (even more needed if you use different minute bars and you'd like both minute data series the same).

No hardcoding needed; think you didn't get different syntax options right ...

Esp for spreads try (within State.Configure)

AddDataSeries(secondInstrument, BarsPeriod.BarsPeriodType, barValue, Data.MarketDataType.Last);

where barValue is
barValue = Math.Max(1, base.BarsPeriod.Value);

wuileng · (login for full post details)

choke35

No hardcoding needed; think you didn't get different syntax options right ...

Esp for spreads try (within State.Configure)

AddDataSeries(secondInstrument, BarsPeriod.BarsPeriodType, barValue, Data.MarketDataType.Last);

where barValue is
barValue = Math.Max(1, base.BarsPeriod.Value);

Thanks again for your help.

I just tried your syntax, and am getting the same error I was getting using my syntax:

Quoting

Indicator 'MyIndicator': Error on calling 'OnStateChange' method: Object reference not set to an instance of an object.

When I do not reference anything to do with BarsPeriod or BarsPeriods though (and hardcode), it works fine. Have you tried it on the latest version of the beta?

choke35 · (login for full post details)

wuileng

Thanks again for your help.

I just tried your syntax, and am getting the same error I was getting using my syntax:

When I do not reference anything to do with BarsPeriod or BarsPeriods though (and hardcode), it works fine. Have you tried it on the latest version of the beta?

I use exactly the above snippet for spreads in the latest NT8 version.
Please post your State.Configure.

wuileng · (login for full post details)

choke35

I use exactly the above snippet for spreads in the latest NT8 version.
Please post your State.Configure.

Code

else if (State == State.Configure)
{
	int barValue = Math.Max(1, base.BarsPeriod.Value);
	AddDataSeries(RefInstrument, base.BarsPeriod.BarsPeriodType, barValue, Data.MarketDataType.Last);
	//AddDataSeries(RefInstrument, BarsPeriods[0].BarsPeriodType, BarsPeriods[0].Value);
	//AddDataSeries(RefInstrument, BarsPeriodType.Minute, 5);
	
	Calculate			= Calculate.OnBarClose;
	IsOverlay			= false;
	DrawOnPricePanel    = true;
	DisplayInDataBox    = true;
	IsAutoScale			= true;
}

The commented lines are what I use normally (the first one doesn't work for me though which is why I'm having this problem). RefInstrument is defined earlier in State.SetDefaults too.

One last thing if you don't mind, perhaps you could try my syntax out as well? I'm starting to think this is a problem specific to my system, so perhaps I'll try installing on another machine over the weekend before I waste any more of your time.

Thanks again!

choke35 · (login for full post details)

wuileng

Code

else if (State == State.Configure)
{
	int barValue = Math.Max(1, base.BarsPeriod.Value);
	AddDataSeries(RefInstrument, base.BarsPeriod.BarsPeriodType, barValue, Data.MarketDataType.Last);
	//AddDataSeries(RefInstrument, BarsPeriods[0].BarsPeriodType, BarsPeriods[0].Value);
	//AddDataSeries(RefInstrument, BarsPeriodType.Minute, 5);
	
	Calculate			= Calculate.OnBarClose;
	IsOverlay			= false;
	DrawOnPricePanel    = true;
	DisplayInDataBox    = true;
	IsAutoScale			= true;
}

The commented lines are what I use normally (the first one doesn't work for me though which is why I'm having this problem). RefInstrument is defined earlier in State.SetDefaults too.

One last thing if you don't mind, perhaps you could try my syntax out as well? I'm starting to think this is a problem specific to my system, so perhaps I'll try installing on another machine over the weekend before I waste any more of your time.

Thanks again!

The [0] line is evidently faulty. Line 1 and 3 are "supposed to work" ... strange.
Just to make sure that the error isn't caused by your RefInstrument the snippet I use for setting the second instrument of my spreads from Properties:

[Description("Second instrument")]
[NinjaScriptProperty]
[Display(Name="2nd Instrument", Order=1, GroupName="Parameters")]
public string secondInstrument
{
get { return secondInstrument; }
set { secondInstrument= value; }
}

wuileng · (login for full post details)

choke35

The [0] line is evidently faulty. Line 1 and 3 are "supposed to work" ... strange.
Just to make sure that the error isn't caused by your RefInstrument the snippet I use for setting the second instrument of my spreads from Properties:

[Description("Second instrument")]
[NinjaScriptProperty]
[Display(Name="2nd Instrument", Order=1, GroupName="Parameters")]
public string secondInstrument
{
get { return secondInstrument; }
set { secondInstrument= value; }
}

Okay, I just tried several things out. All three lines work when applying the indicator to a chart.

However, when calling the indicator from a strategy, only the third (the hardcode) works. Sorry for not being specific earlier that I was trying to get it to work in the context of a strategy.

choke35 · (login for full post details)

wuileng

However, when calling the indicator from a strategy, only the third (the hardcode) works. Sorry for not being specific earlier that I was trying to get it to work in the context of a strategy.

ad 1.)
Pardon, but the first sentence doesn't make sense.
Indicators are supposed to be called by strategies.
So - if called correctly - why should a call deliver less than the indicator can do?

ad 2.)
From a performance point of view:
Why would one pack x time series into a strategy that uses indicators that hold these time series anyway?

wuileng · (login for full post details)

choke35

ad 1.)
Pardon, but the first sentence doesn't make sense.
Indicators are supposed to be called by strategies.
So - if called correctly - why should a call deliver less than the indicator can do?

ad 2.)
From a performance point of view:
Why would one pack x time series into a strategy that uses indicators that hold these time series anyway?

What I meant is that when I try to use my indicator from within a strategy (via AddChartIndicator), the strategy fails to run because the indicator is referencing BarsPeriod. However, this does not cause problems when the indicator is just added to a chart (for visual purposes only).

choke35 · (login for full post details)

wuileng

What I meant is that when I try to use my indicator from within a strategy (via AddChartIndicator), the strategy fails to run because the indicator is referencing BarsPeriod. However, this does not cause problems when the indicator is just added to a chart (for visual purposes only).

Ok, so the problem was more basic

AddChartIndicator is nothing but a visual representation without any flexibility concerning calculations.
But that is also made clear in the manual ...

wuileng · (login for full post details)

choke35

Ok, so the problem was more basic

AddChartIndicator is nothing but a visual representation without any flexibility concerning calculations.
But that is also made clear in the manual ...

I've played around with it a bit more. It seems a workaround for this problem would be to not define my indicator in State.Configure, but instead wait till OnBarUpdate to do so (of course with logic implemented so this code snippet is only called once). It's working fine now, tested with all three lines of AddDataSeries.

I guess the only drawback is that since it's not defined in State.Configure, I can't AddChartIndicator, so I don't have the visual representation but I can live with that. It would be nice to have though, and am surprised this took a step back since it worked fine in NT7.

Thanks again for your help!

NT8 - Multi Instrument Indicators

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NT8 - Multi Instrument Indicators

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