ninjatrader/indicators/ADR.cs

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
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.Data;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.NinjaScript;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    public class DailyRange
    {
        public int StartBarIndex { get; set; }
        public int EndBarIndex { get; set; }
        public double UpperLevel { get; set; }
        public double LowerLevel { get; set; }
    }

    public class ADR : Indicator
    {
        private const int PrimaryBars = 0;

        private double CurrentDailyHigh = double.MinValue;
        private double CurrentDailyLow = double.MaxValue;

        private List<double> DailyHighs = new List<double>();
        private List<double> DailyLows = new List<double>();

        private List<DailyRange> DailyRanges = new List<DailyRange>();

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Average Daily Range (ADR)";
                Name = "ADR";
                Calculate = Calculate.OnPriceChange;
                IsOverlay = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = false;

                RangePeriod = 5;
                ADRHighStroke = new Stroke(Brushes.Yellow, 3);
                ADRLowStroke = new Stroke(Brushes.Yellow, 3);
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {
            if (PrimaryBars != BarsInProgress)
                return;
            
            if (Bars.IsFirstBarOfSession && IsFirstTickOfBar)
            {   
                if (CurrentDailyHigh > double.MinValue)
                {
                    DailyHighs.Add(CurrentDailyHigh);
                    DailyLows.Add(CurrentDailyLow);
                }

                if (DailyHighs.Count < RangePeriod)
                    return;

                if (DailyRanges.Count > 0)
                    DailyRanges[DailyRanges.Count - 1].EndBarIndex = CurrentBar - 1;

                double totalRange = 0;
                for (int i = (DailyHighs.Count - 1); i >= (DailyHighs.Count - RangePeriod); i--)
                    totalRange += DailyHighs[i] - DailyLows[i];
                double averageRange = totalRange / RangePeriod;

                DailyRanges.Add(new DailyRange
                {
                    StartBarIndex = CurrentBar,
                    UpperLevel = Close[1] + (averageRange / 2),
                    LowerLevel = Close[1] - (averageRange / 2),
                });

                CurrentDailyHigh = High[0];
                CurrentDailyLow = Low[0];
            }
            else
            {
                if (High[0] > CurrentDailyHigh)
                    CurrentDailyHigh = High[0];

                if (Low[0] < CurrentDailyLow)
                    CurrentDailyLow = Low[0];
            }
        }

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

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

                DrawHorizontalLine(startX, endX, chartScale.GetYByValue(Range.UpperLevel), ADRHighStroke);
                DrawHorizontalLine(startX, endX, chartScale.GetYByValue(Range.LowerLevel), ADRLowStroke);
            }
        }

        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 = "Range Period", GroupName = "Average Daily Range", Order = 1)]
        public int RangePeriod
        { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "ADR High", Order = 2, GroupName = "Average Daily Range")]
        public Stroke ADRHighStroke { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "ADR Low", Order = 3, GroupName = "Average Daily Range")]
        public Stroke ADRLowStroke { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private ADR[] cacheADR;
        public ADR ADR(int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return ADR(Input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }

        public ADR ADR(ISeries<double> input, int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            if (cacheADR != null)
                for (int idx = 0; idx < cacheADR.Length; idx++)
                    if (cacheADR[idx] != null && cacheADR[idx].RangePeriod == rangePeriod && cacheADR[idx].ADRHighStroke == aDRHighStroke && cacheADR[idx].ADRLowStroke == aDRLowStroke && cacheADR[idx].EqualsInput(input))
                        return cacheADR[idx];
            return CacheIndicator<ADR>(new ADR(){ RangePeriod = rangePeriod, ADRHighStroke = aDRHighStroke, ADRLowStroke = aDRLowStroke }, input, ref cacheADR);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.ADR ADR(int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return indicator.ADR(Input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }

        public Indicators.ADR ADR(ISeries<double> input , int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return indicator.ADR(input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.ADR ADR(int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return indicator.ADR(Input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }

        public Indicators.ADR ADR(ISeries<double> input , int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return indicator.ADR(input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }
    }
}

#endregion