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Coding Multi Time Frame (MTF) Indicators with NinjaTrader
I find the concept very interesting and I would implement it on the indicators I use within that scenario.
I do need faster loading, calculation and robustness
Would you share an indicator example that uses this technique you've implemented?
In the end, don't you feel like NT is lacking a public read collection access similar to workspaces(n).charts(i).indicators(j).values(k)?
Examples where needed:
- suppose we have a 5min chart with other ones where we want the 5min 20ema replicated. Would only be calculated once on the 5m chart and then accessed from other charts just to plot that value, not needing to recalculate it.
- or for Value Area and Poc computation avoided on more than one chart
I'd like if you could also point me out the instructions or thread where explains how to debug indicators one by one with VS2005 or similar so as to compare performances.
What a great idea! I wonder if there is a way to implement this now by some type of workaround. Maybe using a special namespace. Or calculating values outside of Ninjatrader and making them available from an outside file like a GomRecorder file, or a database.
Sorry I did not answer earlier, simply forgot it. The point is that the bar series which is calculated may use a different session template than the bar series shown on another chart, in this case, the other values cannot be used. Although your idea is great from a point of view of CPU performance, it would create additional interdependencies, which in the end may pose additional problems. So I am a bit sceptical. But then I do not have the profound knowledge of the internal architecture of NinjaTrader to really be able to appreciate your suggestion.
Here is another experiment with a multi-timeframe Stochastics indicator.
The indicator creates higher time-frame bars by using the primary bar series, no loading of a secondary bar series is necessary. The chart again shows various approaches
Panel 2: Exact replication of the higher time-frame indicator
Panel 3: Raw Stochastics calculated from a rolling higher time-frame
Panel 4: Smoothed Raw Stochastics
Panel 5: Step function, as shown by conventional MTF indicators
This is still work in progress. The indicators in panel 2 and panel 4 are useful as higher timeframe stochastics. The panel 4 indicator (smoothed raw rolling) does not repaint, the panel 2 indicator repaints within the unstable period of the higher timeframe, so it should not be used for running strategies.
For Range and Renko Bars, there is a difficulty to calculate the higher timeframe bars from the primary bars, which can be easily understood. Let us take the example of a time frame factor 5:
a 5-minute bar -> can be built from five 1-minute bars
a 5000-volume bar -> can be built from five 1000-volume bars
a 500-tick bar -> can be built from five 100-tick bars
a 5 range bar -> can not be built from five 1-range bars
It is known that in general volatility is proportianal to the square root of time. Using this relation ship you can build
a 5 range bar by regrouping twenty five 1-range bars. This does not give an exact replication of the higher time frame but a reasonable approximation. The same reasoning applies to Renko bars. The result is shown below.
The VisualSMAX2 was an experimental pre-version. Please uninstall any VisualSMA files via File -> Utilities -> Remove NinjaScript Assemblies first. Then import the latest VisualSMA from the Download section of this forum.
Just curious (given that Perry's new system now includes VisualSMAX) whether you've given any thought to porting any of your MTF indicators to MC7? I bit the bullet and decided to go the MultiCharts route vs. Ninja (i.e. bought a lifetime license but could only afford one or the other), so I've been converting indicators as necessary given that futures.io (formerly BMT) is predominantly NT-centric (though MC, Sierra and others are increasing in number).
Alas these are protected (otherwise I wouldn't be asking ).
The code is specificly adapted to the architecture of NinjaTrader and will possibly not run on MultiCharts. Some of the key points are the session management and the way NinjaTrader handles non-equidistant spacing. I think that the logic of this needs to modified for MultiCharts, so I cannot be of a great help.
).