Multi-time frame strategy

[laparker]

I am running into a bit of trouble with using a second time frame in my strategy. I've used Add to get the 2nd time frame included and seem to be ok accessing Close[n] price from Closes[1][n]. Problem comes up when I use ATR(BarsArray[1], 13)[1]. I don't get the right value returned and I get an error in the log:
5/24/2009 4:48:07 PM Strategy Error on calling 'OnBarUpdate' method for strategy 'LPSuperTrend1': You must use the overload that has a 'BarsInProgress' parameter when calling the BarsSinceEntry() method in the context of a multi-time frame and instrument strategy.

Can you give me any pointers to track this down?
Thanks

[ctrlbrk]

BarsSinceExit() and BarsSinceEntry() need the time frame, ie

BarsSinceExit(1, "long", 1)

for time frame 1 (barsinprogress=1), signal "long".

Mike

[laparker]

Mike
Thanks for your reply but I have not explicitly used BarsSinceEntry() nor BarsSinceExit() in my script.

The piece of code I'm using:

if (BarsInProgress == 1)
return;
Print ("Close[1]: " + Closes[1][1] + " Close[14]: " + Closes[1][14]);
Print (Time[0].ToString() + " ATR(13): " + ATR(BarsArray[1], 13)[1].ToString("0.000000") + " Volatility: " + volatility.ToString("0.0000"));

The Close values are ok but not the ATR values.


Edit!!! - on inspection, looks like I have! I will investigate further....

[roonius]

Mike
Thanks for your reply but I have not explicitly used BarsSinceEntry() nor BarsSinceExit() in my script.

The piece of code I'm using:

if (BarsInProgress == 1)
return;
Print ("Close[1]: " + Closes[1][1] + " Close[14]: " + Closes[1][14]);
Print (Time[0].ToString() + " ATR(13): " + ATR(BarsArray[1], 13)[1].ToString("0.000000") + " Volatility: " + volatility.ToString("0.0000"));

The Close values are ok but not the ATR values.


Edit!!! - on inspection, looks like I have! I will investigate further....

Did you try to omit BarsArray[1]? and just use ATR(13)[1]?

[laparker]

Hi Roonius
I tried taking out BarsArray[1] and just going with ATR(13)[1] but I get this gives the ATR from the first time series, index 0, 1 bar back. I want the ATR(13) for the second time series, index 1. The first time series is 5mins and second, 1 day.

The problem I'm getting is that the ATR that ATR(BarsArray[1], 13)[1] returns is not the same as displayed using a single series day chart nor with a script using a single day series. It looks like when it returns the value from the 1st or second bar, it's off by about 4%. This difference gets smaller with each new day bar, reducing to about 0.01% 100 bars in and then a few bars after the difference disappearing. Obviously it would be nice to have no difference from the start! What do you reckon?

Thanks