ninjatrader/indicators/MarketDepth.cs

293 lines
10 KiB
C#
Raw Normal View History

#region Using declarations
using System;
using System.Collections.Concurrent;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Net.Sockets;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
using NinjaTrader.Core;
#endregion
//This namespace holds Indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators
{
class MarketDepthProcessor
{
public static ConcurrentDictionary<float, int> Asks = new ConcurrentDictionary<float, int>();
public static ConcurrentDictionary<float, int> Bids = new ConcurrentDictionary<float, int>();
static string symbol = "@NQM24";
public static async Task StreamMarketDepth()
{
using (TcpClient client = new TcpClient("127.0.0.1", 9200))
using (NetworkStream stream = client.GetStream())
{
StringBuilder data = new StringBuilder();
while (true)
{
byte[] buffer = new byte[4096];
int bytesRead = await stream.ReadAsync(buffer, 0, buffer.Length);
data.Append(Encoding.UTF8.GetString(buffer, 0, bytesRead));
string[] messages = data.ToString().Split('\n');
if (data.ToString().EndsWith("\n"))
{
data.Clear();
}
else
{
data.Clear();
data.Append(messages[messages.Length - 1]);
Array.Resize(ref messages, messages.Length - 1);
}
foreach (var message in messages)
{
if (string.IsNullOrWhiteSpace(message))
{
continue;
}
if (message.Contains("S,SERVER CONNECTED"))
{
await SendCommand(stream, "S,SET PROTOCOL,6.2");
await SendCommand(stream, "WPL," + symbol + ",200");
continue;
}
ProcessMarketDepthMessage(message.Trim());
}
}
}
}
static async Task SendCommand(NetworkStream stream, string command)
{
byte[] commandBytes = Encoding.UTF8.GetBytes(command + "\r\n");
await stream.WriteAsync(commandBytes, 0, commandBytes.Length);
}
static void ProcessMarketDepthMessage(string message)
{
string[] fields = message.Split(',');
if (fields[0] == "7" || fields[0] == "8")
{ // Price Update and Price Summary Messages
string symbol = fields[1];
string side = fields[2];
float price = float.Parse(fields[3]);
int levelSize = int.Parse(fields[4]);
if (side.ToUpper() == "B")
{
Bids.AddOrUpdate(price, levelSize, (p, oldValue) => levelSize);
}
else if (side.ToUpper() == "A")
{
Asks.AddOrUpdate(price, levelSize, (p, oldValue) => levelSize);
}
}
else if (fields[0] == "9")
{ // Price Delete Messages
string side = fields[2];
float price = float.Parse(fields[3]);
if (side.ToUpper() == "B")
{
int levelSize;
Bids.TryRemove(price, out levelSize);
}
else if (side.ToUpper() == "A")
{
int levelSize;
Asks.TryRemove(price, out levelSize);
}
}
}
}
public class MarketDepth : Indicator
{
private const int MaxDepth = 10;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"";
Name = "Market Depth";
Calculate = Calculate.OnEachTick;
IsOverlay = true;
DisplayInDataBox = true;
DrawOnPricePanel = true;
DrawHorizontalGridLines = false;
DrawVerticalGridLines = false;
PaintPriceMarkers = false;
ScaleJustification = ScaleJustification.Right;
IsSuspendedWhileInactive = true;
}
else if (State == State.Configure)
{
}
else if (State == State.DataLoaded)
{
Task.Run(() => MarketDepthProcessor.StreamMarketDepth());
}
else if (State == State.Historical)
{
SetZOrder(-1); // Display behind bars on chart.
}
}
protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
{
base.OnRender(chartControl, chartScale);
/*if (Instrument.MarketDepth.Asks.Take(MaxDepth).IsNullOrEmpty() || Instrument.MarketDepth.Bids.Take(MaxDepth).IsNullOrEmpty())
return;*/
if (MarketDepthProcessor.Asks.Count() <= 0 || MarketDepthProcessor.Bids.Count() <= 0)
return;
// Find the max volume for scaling
//long maxVolume = Math.Max(Instrument.MarketDepth.Asks.Take(MaxDepth).Max(a => a.Volume), Instrument.MarketDepth.Bids.Take(MaxDepth).Max(b => b.Volume));
long maxVolume = Math.Max(MarketDepthProcessor.Asks.Values.ToList().DefaultIfEmpty(0).Max(),
MarketDepthProcessor.Bids.Values.ToList().DefaultIfEmpty(0).Max());
foreach (var Ask in MarketDepthProcessor.Asks.ToArray())
{
float price = Ask.Key;
int volume = Ask.Value;
int length = (int)((double)volume / maxVolume * 500);
int y = chartScale.GetYByValue(price);
DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.Red, DashStyleHelper.Solid, 3));
}
foreach (var Bid in MarketDepthProcessor.Bids.ToArray())
{
float price = Bid.Key;
int volume = Bid.Value;
int length = (int)((double)volume / maxVolume * 500);
int y = chartScale.GetYByValue(price);
DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3));
}
/*for (int i = 0; i < MaxDepth; i++)
{
var ask = Instrument.MarketDepth.Asks[i];
int length = (int)((double)ask.Volume / maxVolume * 300);
// Assuming we're drawing from left to right
int y = chartScale.GetYByValue(ask.Price);
DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.Red, DashStyleHelper.Solid, 2));
}
for (int i = 0; i < MaxDepth; i++)
{
var bid = Instrument.MarketDepth.Bids[i];
int length = (int)((double)bid.Volume / maxVolume * 300);
// Assuming we're drawing from left to right
int y = chartScale.GetYByValue(bid.Price);
DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 2));
}*/
}
protected override void OnBarUpdate() {}
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; }
}
}
}
#region NinjaScript generated code. Neither change nor remove.
namespace NinjaTrader.NinjaScript.Indicators
{
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private MarketDepth[] cacheMarketDepth;
public MarketDepth MarketDepth()
{
return MarketDepth(Input);
}
public MarketDepth MarketDepth(ISeries<double> input)
{
if (cacheMarketDepth != null)
for (int idx = 0; idx < cacheMarketDepth.Length; idx++)
if (cacheMarketDepth[idx] != null && cacheMarketDepth[idx].EqualsInput(input))
return cacheMarketDepth[idx];
return CacheIndicator<MarketDepth>(new MarketDepth(), input, ref cacheMarketDepth);
}
}
}
namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.MarketDepth MarketDepth()
{
return indicator.MarketDepth(Input);
}
public Indicators.MarketDepth MarketDepth(ISeries<double> input )
{
return indicator.MarketDepth(input);
}
}
}
namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.MarketDepth MarketDepth()
{
return indicator.MarketDepth(Input);
}
public Indicators.MarketDepth MarketDepth(ISeries<double> input )
{
return indicator.MarketDepth(input);
}
}
}
#endregion