270 lines
12 KiB
C#
270 lines
12 KiB
C#
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#region Using declarations
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using System;
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using System.Collections.Generic;
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using System.ComponentModel;
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using System.ComponentModel.DataAnnotations;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using System.Windows;
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using System.Windows.Input;
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using System.Windows.Media;
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using System.Xml.Serialization;
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using NinjaTrader.Cbi;
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using NinjaTrader.Gui;
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using NinjaTrader.Gui.Chart;
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using NinjaTrader.Gui.SuperDom;
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using NinjaTrader.Gui.Tools;
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using NinjaTrader.Data;
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using NinjaTrader.NinjaScript;
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using NinjaTrader.Core.FloatingPoint;
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using NinjaTrader.NinjaScript.DrawingTools;
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using SharpDX.DirectWrite;
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#endregion
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//This namespace holds Indicators in this folder and is required. Do not change it.
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namespace NinjaTrader.NinjaScript.Indicators
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{
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[CategoryOrder("Order Display", 1)]
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[CategoryOrder("Order Colors", 2)]
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[CategoryOrder("Text Formatting", 3)]
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public class Tape : Indicator
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{
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private const int DefaultOrderFilter = 1; // By default, all orders are shown.
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private const int DefaultMaxOrders = 50;
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private const int DefaultDisplayOffset = 225;
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private static readonly Brush DefaultBuyOrderColor = Brushes.LimeGreen;
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private static readonly Brush DefaultSellOrderColor = Brushes.Red;
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private const string DefaultTimestampFormat = "HH:mm:ss.fff";
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private static readonly SimpleFont DefaultFontFamily = new SimpleFont("Arial", 12);
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private class OrderData
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{
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public DateTime Time { get; set; }
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public double Price { get; set; }
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public long Volume { get; set; }
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public double Ask { get; set; }
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public double Bid { get; set; }
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}
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private List<OrderData> recentOrders = new List<OrderData>();
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protected override void OnStateChange()
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{
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if (State == State.SetDefaults)
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{
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Description = @"Displays the tape on the chart rather than in a separate window";
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Name = "Tape";
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Calculate = Calculate.OnEachTick;
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IsOverlay = true;
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DisplayInDataBox = true;
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DrawOnPricePanel = true;
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DrawHorizontalGridLines = true;
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DrawVerticalGridLines = true;
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PaintPriceMarkers = true;
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ScaleJustification = ScaleJustification.Right;
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IsSuspendedWhileInactive = false;
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OrderFilter = DefaultOrderFilter;
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CombineOrders = false;
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MaxDisplayOrders = DefaultMaxOrders;
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DisplayOrdersOffset = DefaultDisplayOffset;
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BuyOrderColor = DefaultBuyOrderColor;
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SellOrderColor = DefaultSellOrderColor;
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TimestampFormat = DefaultTimestampFormat;
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TextFontFamily = DefaultFontFamily;
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}
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else if (State == State.Configure)
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{
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}
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else if (State == State.Historical)
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{
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SetZOrder(-1); // Display behind bars on chart.
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}
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}
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protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
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{
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if (marketDataUpdate.MarketDataType == MarketDataType.Last && marketDataUpdate.Volume >= OrderFilter)
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{
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if (CombineOrders && recentOrders.Any(o => o.Time == marketDataUpdate.Time && o.Price == marketDataUpdate.Price))
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{
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var existingOrder = recentOrders.First(o => o.Time == marketDataUpdate.Time && o.Price == marketDataUpdate.Price);
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existingOrder.Volume += marketDataUpdate.Volume;
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}
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else
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{
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if (recentOrders.Count >= MaxDisplayOrders)
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recentOrders.RemoveAt(0); // Remove the oldest order.
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recentOrders.Add(new OrderData
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{
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Time = marketDataUpdate.Time,
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Price = marketDataUpdate.Price,
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Volume = marketDataUpdate.Volume,
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Ask = marketDataUpdate.Ask,
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Bid = marketDataUpdate.Bid
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});
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}
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}
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}
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protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
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{
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base.OnRender(chartControl, chartScale);
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if (recentOrders.Count == 0)
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return; // No values to render
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int startY = ChartPanel.Y;
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int spaceBetween = 15;
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int currentY = startY;
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for (int i = recentOrders.Count - 1; i >= 0; i--)
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{
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var order = recentOrders[i];
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string text = string.Format("{0:" + TimestampFormat + "} Price: {1:F2} Volume: {2}", order.Time, order.Price, order.Volume);
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SharpDX.Direct2D1.Brush brush;
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if (order.Price >= order.Ask)
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brush = BuyOrderColor.ToDxBrush(RenderTarget);
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else if (order.Price <= order.Bid)
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brush = SellOrderColor.ToDxBrush(RenderTarget);
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else
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brush = Brushes.White.ToDxBrush(RenderTarget);
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TextFormat format = TextFontFamily.ToDirectWriteTextFormat();
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TextLayout layout = new TextLayout(Core.Globals.DirectWriteFactory, text, format, 500, format.FontSize);
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SharpDX.Vector2 textOrigin = new SharpDX.Vector2(
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ChartPanel.W - DisplayOrdersOffset,
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currentY
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);
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RenderTarget.DrawTextLayout(textOrigin, layout, brush, SharpDX.Direct2D1.DrawTextOptions.NoSnap);
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currentY += (int)layout.Metrics.Height + spaceBetween;
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layout.Dispose();
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format.Dispose();
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brush.Dispose();
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}
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}
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protected override void OnBarUpdate() {}
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public override string DisplayName
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{
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get { return Name; }
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}
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Order Filter", Order = 1, GroupName = "Order Display")]
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public int OrderFilter { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Combine Orders", Order = 2, GroupName = "Order Display")]
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public bool CombineOrders { get; set; }
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Max Orders", Order = 3, GroupName = "Order Display")]
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public int MaxDisplayOrders { get; set; }
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Display Offset", Order = 4, GroupName = "Order Display")]
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public int DisplayOrdersOffset { get; set; }
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[NinjaScriptProperty]
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[XmlIgnore]
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[Display(Name = "Buy Order Color", Order = 1, GroupName = "Order Colors")]
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public Brush BuyOrderColor { get; set; }
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[Browsable(false)]
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public string BuyOrderColorSerialization
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{
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get { return Serialize.BrushToString(BuyOrderColor); }
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set { BuyOrderColor = Serialize.StringToBrush(value); }
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}
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[NinjaScriptProperty]
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[XmlIgnore]
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[Display(Name = "Sell Order Color", Order = 2, GroupName = "Order Colors")]
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public Brush SellOrderColor { get; set; }
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[Browsable(false)]
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public string SellOrderColorSerialization
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{
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get { return Serialize.BrushToString(SellOrderColor); }
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set { SellOrderColor = Serialize.StringToBrush(value); }
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}
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[NinjaScriptProperty]
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[Display(Name = "Timestamp Format", Order = 1, GroupName = "Text Formatting")]
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public string TimestampFormat { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Font Family", Order = 2, GroupName = "Text Formatting")]
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public SimpleFont TextFontFamily { get; set; }
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}
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}
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#region NinjaScript generated code. Neither change nor remove.
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namespace NinjaTrader.NinjaScript.Indicators
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{
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public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
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{
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private Tape[] cacheTape;
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public Tape Tape(int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily)
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{
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return Tape(Input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily);
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}
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public Tape Tape(ISeries<double> input, int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily)
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{
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if (cacheTape != null)
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for (int idx = 0; idx < cacheTape.Length; idx++)
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if (cacheTape[idx] != null && cacheTape[idx].OrderFilter == orderFilter && cacheTape[idx].CombineOrders == combineOrders && cacheTape[idx].MaxDisplayOrders == maxDisplayOrders && cacheTape[idx].DisplayOrdersOffset == displayOrdersOffset && cacheTape[idx].BuyOrderColor == buyOrderColor && cacheTape[idx].SellOrderColor == sellOrderColor && cacheTape[idx].TimestampFormat == timestampFormat && cacheTape[idx].TextFontFamily == textFontFamily && cacheTape[idx].EqualsInput(input))
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return cacheTape[idx];
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return CacheIndicator<Tape>(new Tape(){ OrderFilter = orderFilter, CombineOrders = combineOrders, MaxDisplayOrders = maxDisplayOrders, DisplayOrdersOffset = displayOrdersOffset, BuyOrderColor = buyOrderColor, SellOrderColor = sellOrderColor, TimestampFormat = timestampFormat, TextFontFamily = textFontFamily }, input, ref cacheTape);
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}
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}
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}
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namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
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{
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public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
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{
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public Indicators.Tape Tape(int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily)
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{
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return indicator.Tape(Input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily);
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}
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public Indicators.Tape Tape(ISeries<double> input , int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily)
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{
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return indicator.Tape(input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily);
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}
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}
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}
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
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{
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public Indicators.Tape Tape(int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily)
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{
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return indicator.Tape(Input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily);
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}
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public Indicators.Tape Tape(ISeries<double> input , int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily)
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{
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return indicator.Tape(input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily);
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}
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}
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}
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#endregion
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