ReferencesCommon

AddDataSeries()

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Definition

Adds a Bars object for developing a multi-series (multi-time frame or multi-instrument) NinjaScript.

Method/PropertyDescription
AddHeikenAshi()This method adds a Heiken Ashi Bars object for multi-series NinjaScript.
AddKagi()This method adds a Kagi Bars object for multi-series NinjaScript.
AddLineBreak()This method adds a Line Break Bars object for multi-series NinjaScript.
AddPointAndFigure()This method adds a Point-and-Figure Bars object for multi-series NinjaScript.
AddRenko()This method adds a Renko Bars object for multi-series NinjaScript.
AddVolumetric()This method adds a Order Flow Volumetric Bars object for multi-series NinjaScript.
BarsArrayAn array holding Bars objects that are added via the AddDataSeries() method.
BarsInProgressAn index value of the current Bars object that has called the OnBarUpdate() method.
BarsPeriodsHolds an array of BarsPeriod objects synchronized to the number of unique Bars objects held within the parent NinjaScript object.
CurrentBarsHolds an array of int values representing the number of the current bar in a Bars object.

Syntax

The following syntax will add another Bars object for the primary instrument of the script.

AddDataSeries(BarsPeriod barsPeriod)

AddDataSeries(BarsPeriodType periodType, int period)

The following syntax allows you to add another Bars object for a different instrument to the script:

AddDataSeries(string instrumentName, BarsPeriodType periodType, int period)

AddDataSeries(string instrumentName, BarsPeriodType periodType, int period, MarketDataType marketDataType)

AddDataSeries(string instrumentName, BarsPeriod barsPeriod)

AddDataSeries(string instrumentName, BarsPeriod barsPeriod, string tradingHoursName)

AddDataSeries(string instrumentName, BarsPeriod barsPeriod, string tradingHoursName, bool? isResetOnNewTradingDay)

AddDataSeries(string instrumentName, BarsPeriod barsPeriod, int barsToLoad, string tradingHoursName, bool? isResetOnNewTradingDay)

AddDataSeries(string instrumentName) //only for R15 and higher

  • This method should ONLY be called from the OnStateChange() method during State.Configure.
  • Should your script be the host for other scripts that are creating indicators and series dependent resources in State.DataLoaded, please make sure that the host is doing the same AddDataSeries() calls as those hosted scripts would. For further reference, please also review the 2nd example below and the ‘Adding additional Bars Objects to NinjaScript’ section in Multi-Time Frame & Instruments.
  • Arguments supplied to AddDataSeries() should be hardcoded and NOT dependent on run-time variables which cannot be reliably obtained during State.Configure (e.g., Instrument, Bars, or user input). Attempting to add a data series dynamically is NOT guaranteed and therefore should be avoided. Trying to load bars dynamically may result in an error similar to: Unable to load bars series. Your NinjaScript may be trying to use an additional data series dynamically in an unsupported manner.
  • When adding multiple Data Series of the same instrument and the same Bar Type, the ‘barsToLoad’ property will only be effective on the first added series. Subsequent series with a different barsToLoad setting will not load a different number of bars than the first series.
  • The AddDataSeries(string instrumentName) overload allows loading a different instrument yet using the same BarsPeriod. This could not be supported for Strategy Analyzer use with the ‘Optimize Data Series’ option enabled, doing so may result in an error similar to: Unable to load bars series. Your NinjaScript may be trying to use an additional data series dynamically in an unsupported manner.
  • If your NinjaScript object is using AddDataSeries() allowing to specify a tradingHoursName, please keep in mind that: An indicator / strategy with multiple DataSeries of the same instrument will only process realtime OnBarUpdate() calls when a tick occurs in session of the trading hour template of all added series. Any ticks not processed will be queued and processed as a tick comes in for all subsequent DataSeries.
  • When instantiating indicators in a Multi-Series script in OnStateChange, the input any hosted indicator is running on should be explicitly stated.

Parameters

ParameterDescription
instrumentNameA string determining instrument name such as “MSFT”
barsPeriodThe BarsPeriod object (period type and interval)
periodTypeThe BarsType used for the bars period. Possible values are: BarsPeriodType.Tick, BarsPeriodType.Volume, BarsPeriodType.Range, BarsPeriodType.Second, BarsPeriodType.Minute, BarsPeriodType.Day, BarsPeriodType.Week, BarsPeriodType.Month, BarsPeriodType.Year
periodAn int determining the period interval such as “3” for 3 minute bars
marketDataTypeThe MarketDataType used for the bars object (last, bid, ask). Possible values are: MarketDataType.Ask, MarketDataType.Bid, MarketDataType.Last. Note: Please see the article here on using Bid/Ask series.
tradingHoursNameA string determining the trading hours template for the instrument
isResetOnNewTradingDayA nullable bool determining if the Bars object should Break at EOD. Will accept true, false or null as the input. If null is used, the data series will use the settings of the primary data series.
barsToLoadAn int determining the number of historical bars to load
  1. You can optionally add the exchange name as a suffix to the symbol name. This is only advised if the instrument has multiple possible exchanges that it can trade on and it is configured within the Instruments window. For example: AddDataSeries(“MSFT Arca”, BarsPeriodType.Minute, 5);
  2. You can add a custom BarsType which is installed on your system by casting the registered enum value for that BarsPeriodType. For example: AddDataSeries((BarsPeriodType)14, 10);
  3. You can specify optional BarsPeriod values (such as Value2) of a custom BarsType in the BarsPeriod object initializer. For example: AddDataSeries(new BarsPeriod() { BarsPeriodType = (BarsPeriodType)14, Value = 10, Value2 = 20 });
  4. For the instrument name parameter null could be passed in, resulting in the primary data series instrument being used.

Examples

1protected override void OnStateChange()
2{
3    if (State == State.Configure)
4    {
5        // Add a 5 minute Bars object - BarsInProgress index = 1 
6        AddDataSeries(BarsPeriodType.Minute, 5);
7
8        // Add a 100 tick Bars object for the ES 09-16 contract - BarsInProgress index = 2 
9        AddDataSeries("ES 09-16", BarsPeriodType.Tick, 100); 
10    }
11} 
12
13protected override void OnBarUpdate() 
14{ 
15    // Ignore bar update events for the supplementary - Bars object added above 
16    if (BarsInProgress == 1 || BarsInProgress == 2)
17        return; 
18
19    // Go long if we have three up bars on all bars objects 
20    if (Close[0] > Open[0] && Closes[1][0] > Opens[1][0] && Closes[2][0] > Opens[2][0]) 
21        EnterLong();
22}
1protected override void OnStateChange()
2{
3    if (State == State.Configure)
4    {
5        // Our hosting script needs to have the AddDataSeries call included as well, which the Pivots indicator we call in the 2nd statement below 
6        // also has per default in it's own State.Configure method. This is required since our Pivots indicator below is created in State.DataLoaded
7        // (which is happening after State.Configure and it depends on the AddDataSeries call to have the bars available to properly calculate in 
8        // daily bars mode.
9        AddDataSeries(BarsPeriodType.Day, 1);
10    }
11    else if (State == State.DataLoaded)
12    {
13        //In this state, we pass the 1 day series to the Pivots indicator (as BarsArray[1]) and create its instance 
14        pivots = Pivots(BarsArray[1], PivotRange.Weekly, HLCCalculationMode.DailyBars, 0, 0, 0, 20);
15    }
16}