ninjatrader/indicators/VIXRatio.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.Globalization;
using System.Windows.Media;
using System.Xml.Serialization;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    [CategoryOrder("VIX Ratio", 1)]
    [CategoryOrder("Plots", 2)]
    public class VIXRatio : Indicator
    {
        private const int NumeratorBars = 1;
        private const int DenominatorBars = 2;
        
        private EMA fastEMA;
        private EMA slowEMA;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Only works with a data feed that provides the relevant VIX indices";
                Name = "VIX Ratio";
                Calculate = Calculate.OnBarClose;
                BarsRequiredToPlot = 1;
                IsOverlay = false;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                PaintPriceMarkers = false;
                ScaleJustification = ScaleJustification.Right;
                Numerator = VIXIndex.VIX;
                Denominator = VIXIndex.VIX3M;
                FastEMAPeriod = 7;
                SlowEMAPeriod = 12;
                AddPlot(new Stroke(Brushes.Yellow, 3), PlotStyle.Line, "VIX Ratio");
                AddPlot(new Stroke(Brushes.Green, 3), PlotStyle.Line, "Fast EMA");
                AddPlot(new Stroke(Brushes.Red, 3), PlotStyle.Line, "Slow EMA");
            }
            else if (State == State.Configure)
            {
                AddDataSeries(Numerator.ToSymbol());
                AddDataSeries(Denominator.ToSymbol());
            }
            else if (State == State.DataLoaded)
            {
                fastEMA = EMA(Ratio, FastEMAPeriod);
                slowEMA = EMA(Ratio, SlowEMAPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBars[NumeratorBars] < 1 || CurrentBars[DenominatorBars] < 1)
                return;

            // Denominator bars should be processed last according to NT documentation on bar processing order.
            if (BarsInProgress == DenominatorBars)
            {
                Ratio[0] = Closes[NumeratorBars][0] / Closes[DenominatorBars][0];

                if (CurrentBar >= Math.Max(FastEMAPeriod, SlowEMAPeriod))
                {
                    FastEMA[0] = fastEMA[0];
                    SlowEMA[0] = slowEMA[0];
                }
            }
        }

        public override string DisplayName
        {
            get { return Numerator.ToString() + " / " + Denominator.ToString(); }
        }

        [NinjaScriptProperty]
        [PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
        [TypeConverter(typeof(VIXIndexConverter))]
        [Display(Name = "Numerator", Order = 1, GroupName = "VIX Ratio")]
        public VIXIndex Numerator { get; set; }

        [NinjaScriptProperty]
        [PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
        [TypeConverter(typeof(VIXIndexConverter))]
        [Display(Name = "Denominator", Order = 2, GroupName = "VIX Ratio")]
        public VIXIndex Denominator { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Fast EMA Period", Order = 3, GroupName = "VIX Ratio")]
        public int FastEMAPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Slow EMA Period", Order = 4, GroupName = "VIX Ratio")]
        public int SlowEMAPeriod { get; set; }

        [Browsable(false)]
        [XmlIgnore]
        public Series<double> Ratio
        {
            get { return Values[0]; }
        }

        [Browsable(false)]
        [XmlIgnore]
        public Series<double> FastEMA
        {
            get { return Values[1]; }
        }

        [Browsable(false)]
        [XmlIgnore]
        public Series<double> SlowEMA
        {
            get { return Values[2]; }
        }
    }
}

public enum VIXIndex
{
    VIX1D,
    VIX9D,
    VIX,
    VIX3M,
    VIX6M,
    VIX1Y
}

public static class VIXIndexExtensions
{
    public static string ToSymbol(this VIXIndex value)
    {
        switch (value)
        {
            case VIXIndex.VIX1D:
                return "^VIX1D";
            case VIXIndex.VIX9D:
                return "^VIX9D";
            case VIXIndex.VIX3M:
                return "^VIX3M";
            case VIXIndex.VIX6M:
                return "^VIX6M";
            case VIXIndex.VIX1Y:
                return "^VIX1Y";
            default:
                return "^VIX";
        }
    }
}

public class VIXIndexConverter : TypeConverter
{
    private const string VIX1D = "VIX1D";
    private const string VIX9D = "VIX9D";
    private const string VIX = "VIX";
    private const string VIX3M = "VIX3M";
    private const string VIX6M = "VIX6M";
    private const string VIX1Y = "VIX1Y";

    public override StandardValuesCollection GetStandardValues(ITypeDescriptorContext context)
    {
        return new StandardValuesCollection(new List<string> { VIX1D, VIX9D, VIX, VIX3M, VIX6M, VIX1Y });
    }

    public override object ConvertFrom(ITypeDescriptorContext context, CultureInfo culture, object value)
    {
        switch (value.ToString())
        {
            case VIX1D:
                return VIXIndex.VIX1D;
            case VIX9D:
                return VIXIndex.VIX9D;
            case VIX3M:
                return VIXIndex.VIX3M;
            case VIX6M:
                return VIXIndex.VIX6M;
            case VIX1Y:
                return VIXIndex.VIX1Y;
            default:
                return VIXIndex.VIX;
        }
    }

    public override object ConvertTo(ITypeDescriptorContext context, CultureInfo culture, object value, Type destinationType)
    {
        VIXIndex enumValue = (VIXIndex)Enum.Parse(typeof(VIXIndex), value.ToString());
        switch (enumValue)
        {
            case VIXIndex.VIX1D:
                return VIX1D;
            case VIXIndex.VIX9D:
                return VIX9D;
            case VIXIndex.VIX3M:
                return VIX3M;
            case VIXIndex.VIX6M:
                return VIX6M;
            case VIXIndex.VIX1Y:
                return VIX1Y;
            default:
                return VIX;
        }
    }

    public override bool CanConvertFrom(ITypeDescriptorContext context, Type sourceType)
    { return true; }

    public override bool CanConvertTo(ITypeDescriptorContext context, Type destinationType)
    { return true; }

    public override bool GetStandardValuesExclusive(ITypeDescriptorContext context)
    { return true; }

    public override bool GetStandardValuesSupported(ITypeDescriptorContext context)
    { return true; }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private VIXRatio[] cacheVIXRatio;
        public VIXRatio VIXRatio(VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
        {
            return VIXRatio(Input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
        }

        public VIXRatio VIXRatio(ISeries<double> input, VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
        {
            if (cacheVIXRatio != null)
                for (int idx = 0; idx < cacheVIXRatio.Length; idx++)
                    if (cacheVIXRatio[idx] != null && cacheVIXRatio[idx].Numerator == numerator && cacheVIXRatio[idx].Denominator == denominator && cacheVIXRatio[idx].FastEMAPeriod == fastEMAPeriod && cacheVIXRatio[idx].SlowEMAPeriod == slowEMAPeriod && cacheVIXRatio[idx].EqualsInput(input))
                        return cacheVIXRatio[idx];
            return CacheIndicator<VIXRatio>(new VIXRatio(){ Numerator = numerator, Denominator = denominator, FastEMAPeriod = fastEMAPeriod, SlowEMAPeriod = slowEMAPeriod }, input, ref cacheVIXRatio);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.VIXRatio VIXRatio(VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
        {
            return indicator.VIXRatio(Input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
        }

        public Indicators.VIXRatio VIXRatio(ISeries<double> input , VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
        {
            return indicator.VIXRatio(input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.VIXRatio VIXRatio(VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
        {
            return indicator.VIXRatio(Input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
        }

        public Indicators.VIXRatio VIXRatio(ISeries<double> input , VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
        {
            return indicator.VIXRatio(input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
        }
    }
}

#endregion