null bars

[AnotherTrader]

I am programming (for NT 6.5) a 1-min bar NinjaScript strategy for an instrument that is quite likely to have less than 1 tick per minute during the time period of interest.

Say that in a 10-minute period there a three 1-min periods in which no tick occurs.

In relation to the above situation, if I reference Close[10] in my code will this refer to the close of the bar approx 10 minutes ago, or to the close of the bar approx 13 minutes ago (as there were three 1-min bars that had no OHLC, since no ticks occurred during the minute)?

[NinjaTrader_Bertrand]

AnotherTrader, NinjaTrader is event not time based, as such if there's no bar there's no Close price for you to 'grab' at that point - it would give you the close price of the bar 13 mins ago then.

[AnotherTrader]

OK, thanks.
So, when needing to know how many bars ago correspond with a particular point in time (e.g. say it’s now 13h00 EST, and I want know which bar corresponds to the bar which closed at 12h00 EST), it is not enough to make use of say Close[59] for the closing price of that bar; I guess I’ll need to do something like start a counter at 12h00 EST that updates on each OnBarUpdate, and then use Close[counter] for the bar that closed at 12h00 EST.
Is that what you would recommend?

[NinjaTrader_Bertrand]

You can use the GetBar() method for this task -

http://www.ninjatrader-support.com/H...V6/GetBar.html

[AnotherTrader]

OK, thanks.

If the timestamp specifies a time after the first bar and before the last bar, but refers to a time at which no bar exists (for the reason previous, i.e. there were no ticks during that timeframe) what does GetBar() return?

[NinjaTrader_Bertrand]

It would then return the next bar satisfying it - for example I try getting todays 9:02 bar which would not exist in cash session on ES running on EST - so GetBar() returns then the 9:35 bar (on 5 min chart).

[AnotherTrader]

Originally Posted by NinjaTrader_Bertrand

You can use the GetBar() method for this task -

http://www.ninjatrader-support.com/H...V6/GetBar.html

The above link references the following example:

 
// Check that its past 9:45 AM 
if (ToTime(Time[0]) >= ToTime(9, 45, 00)) 
{ 
// Calculate the bars ago value for the 9 AM bar for the current day 
int barsAgo = GetBar(new DateTime(2006, 12, 18, 9, 0, 0)); 

// Print out the 9 AM bar closing price 
Print("The close price on the 9 AM bar was: " + Close[barsAgo].ToString());

I need to modify the above to calculate the bars ago value of the prior day's 9AM bar, and to do this on a rolling basis. How would I modify the above?

Thanks.

[NinjaTrader_Bertrand]

You would for example use DateTime.Today.AddDays(-1) for yesterdays date, but you would need to introduce custom logic to cover weekends here.

[AnotherTrader]

How is DateTime.Today.AddDays(-1) inserted into the following in the simplest case (ie ignoring weekends and holidays)?

 
// Check that its past 9:45 AM 
if (ToTime(Time[0]) >= ToTime(9, 45, 00)) 
{ 
// Calculate the bars ago value for the 9 AM bar for the current day 
int barsAgo = GetBar(new DateTime(2006, 12, 18, 9, 0, 0)); 
 
// Print out the 9 AM bar closing price 
Print("The close price on the 9 AM bar was: " + Close[barsAgo].ToString());