ninjatrader/indicators/PivotPoints.cs

#region Using declarations
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Windows.Media;
using System.Xml.Serialization;
#endregion

namespace NinjaTrader.NinjaScript.Indicators
{
    public class PivotPoint
    {
        public bool IsPivotHigh { get; set; }
        public bool IsPivotLow { get; set; }
        public double Level { get; set; }
        public int StartBarIndex { get; set; }
        public int EndBarIndex { get; set; }
    }

    public class PivotPoints : Indicator
    {
        [XmlIgnore]
        public Series<PivotPoint> Pivot;

        private List<PivotPoint> pivots = new List<PivotPoint>();

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Pivot Point (a.k.a. Swing High / Low) Indicator";
                Name = "Pivot Points";
                Calculate = Calculate.OnPriceChange;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = true;

                RollingWindow = 10;
                PivotHighStroke = new Stroke(Brushes.LimeGreen, 3);
                PivotLowStroke = new Stroke(Brushes.Red, 3);
                UseClosePrice = false;

                // For use during backtesting in order to limit the number of pivots processed.
                MaxPivots = 0;
            }
            if (State == State.DataLoaded)
            {
                Pivot = new Series<PivotPoint>(this, MaximumBarsLookBack.Infinite);
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < RollingWindow)
                return;

            if (!IsFirstTickOfBar)
                return;

            foreach (var pivot in pivots)
            {
                if (pivot.EndBarIndex == 0)
                {
                    if (pivot.IsPivotHigh && Close[1] > pivot.Level)
                        pivot.EndBarIndex = CurrentBar - 1;
                    else if (pivot.IsPivotLow && Close[1] < pivot.Level)
                        pivot.EndBarIndex = CurrentBar - 1;
                }
            }

            bool isPivotHigh = true;
            bool isPivotLow = true;

            int centerBarIndex = (int)Math.Ceiling(RollingWindow / 2.0);

            for (int i = 1; i <= RollingWindow; i++)
            {
                if (i == centerBarIndex) continue;  // The center bar is the potential pivot, skip it.

                if (GetHigh(centerBarIndex) < GetHigh(i)) isPivotHigh = false;
                if (GetLow(centerBarIndex) > GetLow(i)) isPivotLow = false;
            }

            // Check if there's any pivot high without an end bar index and at the same price level as the current potential pivot high.
            bool existsConflictingPivotHigh = pivots.Any(p => p.IsPivotHigh && p.EndBarIndex == 0 && p.Level == GetHigh(centerBarIndex));

            // Check if there's any pivot low without an end bar index and at the same price level as the current potential pivot low.
            bool existsConflictingPivotLow = pivots.Any(p => p.IsPivotLow && p.EndBarIndex == 0 && p.Level == GetLow(centerBarIndex));

            if (isPivotHigh && !existsConflictingPivotHigh)
            {
                PivotPoint pivot = new PivotPoint { IsPivotHigh = true, Level = GetHigh(centerBarIndex), StartBarIndex = CurrentBar - centerBarIndex };
                pivots.Add(pivot);
                Pivot[0] = pivot;
            }

            if (isPivotLow && !existsConflictingPivotLow)
            {
                PivotPoint pivot = new PivotPoint { IsPivotLow = true, Level = GetLow(centerBarIndex), StartBarIndex = CurrentBar - centerBarIndex };
                pivots.Add(pivot);
                Pivot[0] = pivot;
            }

            if (MaxPivots > 0 && pivots.Count > MaxPivots)
                pivots.RemoveAt(0);
        }

        private double GetHigh(int barsAgo)
        {
            return UseClosePrice ? Close[barsAgo] : High[barsAgo];
        }

        private double GetLow(int barsAgo)
        {
            return UseClosePrice ? Close[barsAgo] : Low[barsAgo];
        }

        protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
        {
            base.OnRender(chartControl, chartScale);

            foreach (var pivot in pivots.ToArray())
            {
                int startX = chartControl.GetXByBarIndex(ChartBars, pivot.StartBarIndex);
                int endX = pivot.EndBarIndex == 0 ? ChartPanel.X + ChartPanel.W : chartControl.GetXByBarIndex(ChartBars, pivot.EndBarIndex);

                var stroke = pivot.IsPivotHigh ? PivotHighStroke : pivot.IsPivotLow ? PivotLowStroke : new Stroke(Brushes.Gray);
                DrawHorizontalLine(startX, endX, chartScale.GetYByValue(pivot.Level), stroke);
            }
        }

        private void DrawHorizontalLine(int startX, int endX, int y, Stroke stroke)
        {
            SharpDX.Direct2D1.Brush dxBrush = stroke.Brush.ToDxBrush(RenderTarget);
            RenderTarget.DrawLine(
                new SharpDX.Vector2(startX, y),
                new SharpDX.Vector2(endX, y),
                dxBrush, stroke.Width, stroke.StrokeStyle
            );
            dxBrush.Dispose();
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Rolling Window", Description = "Number of bars to use when checking for pivots", Order = 1, GroupName = "Pivot")]
        public int RollingWindow
        { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Use Close Price", Order = 2, GroupName = "Pivot")]
        public bool UseClosePrice
        { get; set; }

        [Display(Name = "Pivot High Stroke", Order = 3, GroupName = "Pivot")]
        public Stroke PivotHighStroke { get; set; }

        [Display(Name = "Pivot Low Stroke", Order = 4, GroupName = "Pivot")]
        public Stroke PivotLowStroke { get; set; }

        [Browsable(false)]
        public int MaxPivots { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private PivotPoints[] cachePivotPoints;
        public PivotPoints PivotPoints(int rollingWindow, bool useClosePrice)
        {
            return PivotPoints(Input, rollingWindow, useClosePrice);
        }

        public PivotPoints PivotPoints(ISeries<double> input, int rollingWindow, bool useClosePrice)
        {
            if (cachePivotPoints != null)
                for (int idx = 0; idx < cachePivotPoints.Length; idx++)
                    if (cachePivotPoints[idx] != null && cachePivotPoints[idx].RollingWindow == rollingWindow && cachePivotPoints[idx].UseClosePrice == useClosePrice && cachePivotPoints[idx].EqualsInput(input))
                        return cachePivotPoints[idx];
            return CacheIndicator<PivotPoints>(new PivotPoints(){ RollingWindow = rollingWindow, UseClosePrice = useClosePrice }, input, ref cachePivotPoints);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.PivotPoints PivotPoints(int rollingWindow, bool useClosePrice)
        {
            return indicator.PivotPoints(Input, rollingWindow, useClosePrice);
        }

        public Indicators.PivotPoints PivotPoints(ISeries<double> input , int rollingWindow, bool useClosePrice)
        {
            return indicator.PivotPoints(input, rollingWindow, useClosePrice);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.PivotPoints PivotPoints(int rollingWindow, bool useClosePrice)
        {
            return indicator.PivotPoints(Input, rollingWindow, useClosePrice);
        }

        public Indicators.PivotPoints PivotPoints(ISeries<double> input , int rollingWindow, bool useClosePrice)
        {
            return indicator.PivotPoints(input, rollingWindow, useClosePrice);
        }
    }
}

#endregion