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]

Originally Posted by 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.

... and I guess market holidays, too.

Many thanks!

[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());

[NinjaTrader_RyanM]

Hello AnotherTrader,


If you want that for yesterday using your PC clock as reference:

int barsAgo = GetBar(DateTime.Today.AddDays(-1));

DateTime.Today is your computer clock date/time so this works for the most current session. If you want it to work historically, then you would use instead Time[0] which is the bar's time stamp.


int barsAgo = GetBar(Time[0].AddDays(-1));

[AnotherTrader]

Originally Posted by NinjaTrader_RyanM

.... If you want it to work historically, then you would use instead Time[0] which is the bar's time stamp.

int barsAgo = GetBar(Time[0].AddDays(-1));

But how would I specify 09h00 am EST on the previous day?

The following doesn't seem to work...

int barsAgo = GetBar(Time[0].AddDays(-1), 9, 0, 0);

Thanks for the help.

[NinjaTrader_Bertrand]

AnotherTrader, I would give something like this a try :

int myYear  = DateTime.Today.AddDays(-1).Year;
int myMonth = DateTime.Today.AddDays(-1).Month;
int myDay   = DateTime.Today.AddDays(-1).Day;
				
int barsAgo = GetBar(new DateTime(myYear, myMonth, myDay, 9, 0, 0));

[AnotherTrader]

Thanks.

And to be able to backtest, would this be modified to something as follows?

int myYear  = Time[0].AddDays(1).Year;
int myMonth = Time[0].AddDays(1).Month;
int myDay   = Time[0].AddDays(1).Day;
 
int barsAgo = GetBar(new DateTime(myYear, myMonth, myDay, 9, 0, 0));

[NinjaTrader_Bertrand]

Correct, you would need to work with the historical bar timestamp property then for backtesting.

Note: I just changed to AddDays(-1) in my posted previous snippet, as you would want to subtract a day, not really add.