ninjatrader/indicators/IndexTopN.cs

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Net.Http;
using System.Text.RegularExpressions;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    [CategoryOrder("Index Top N", 1)]
    [CategoryOrder("Plots", 2)]
    public class IndexTopN : Indicator
    {
        private const int PrimaryBars = 0;
        private const int RegularTradingHoursBars = 1;
        private const int ComponentBarsStartIndex = 2;

        private TimeSpan RegularTradingHoursOpen;
        private TimeSpan RegularTradingHoursClose;

        private const string UserAgent = "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/58.0.3029.110 Safari/537.3";

        // Regular expression to match the Slickcharts table row containing the components' symbols and index weightings.
        private const string ComponentRegex = @"<tr>\s*<td>\d+</td>\s*<td><a href=""/symbol/[A-Z.]+?"">(.+?)</a></td>\s*<td><a href=""/symbol/[A-Z.]+?"">([A-Z.]+?)</a></td>\s*<td>(.+?)%</td>";

        private List<string> Components = new List<string>();
        private Dictionary<string, double> ComponentWeightings = new Dictionary<string, double>();

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Plots the top N components (weighted by market cap) of the specified index.";
                Name = "Index Top N";
                Calculate = Calculate.OnPriceChange;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                ScaleJustification = ScaleJustification.Overlay;
                IsSuspendedWhileInactive = false;

                TrackingIndex = MarketIndex.SP500;
                NumComponents = 10;

                AddPlot(new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3), PlotStyle.Line, "Top N Index");
            }
            else if (State == State.Configure)
            {
                // For determining when RTH begins and ends.
                AddDataSeries(Instrument.FullName,
                    new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 }, "US Equities RTH");

                RetrieveComponentData();
                foreach (var component in Components)
                {
                    //Replace "." with "_" in component name to avoid issues with NinjaTrader's naming conventions and "BRK.B".
                    AddDataSeries(component.Replace(".", "_"));
                }
            }
            else if (State == State.DataLoaded)
            {
                SessionIterator regularTradingHoursSession = new SessionIterator(BarsArray[RegularTradingHoursBars]);
                RegularTradingHoursOpen = regularTradingHoursSession
                    .GetTradingDayBeginLocal(regularTradingHoursSession.ActualTradingDayExchange).TimeOfDay;
                RegularTradingHoursClose = regularTradingHoursSession
                    .GetTradingDayEndLocal(regularTradingHoursSession.ActualTradingDayExchange).TimeOfDay;
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress == PrimaryBars && IsRegularTradingHours())
            {
                double indexValue = 0;
                for (int i = ComponentBarsStartIndex; i < BarsArray.Length; i++)
                {
                    string component = Components[i - ComponentBarsStartIndex];
                    int bar = BarsArray[i].GetBar(Time[0]);
                    indexValue += BarsArray[i].GetClose(bar) * ComponentWeightings[component];
                }

                if (indexValue > 0)
                    Index[0] = indexValue;
            }
        }

        private bool IsRegularTradingHours()
        {
            return Time[0].TimeOfDay > RegularTradingHoursOpen && Time[0].TimeOfDay <= RegularTradingHoursClose;
        }

        private void RetrieveComponentData()
        {
            string url = "https://www.slickcharts.com/sp500";
            if (TrackingIndex == MarketIndex.NASDAQ)
                url = "https://www.slickcharts.com/nasdaq100";

            var httpClient = new HttpClient();
            httpClient.DefaultRequestHeaders.Add("User-Agent", UserAgent);
            var htmlContent = httpClient.GetStringAsync(url).Result;

            int count = 0;
            var matches = Regex.Matches(htmlContent, ComponentRegex);
            foreach (Match match in matches)
            {
                if (count++ >= NumComponents) break;

                var symbol = match.Groups[2].Value;
                var percentage = match.Groups[3].Value;

                Components.Add(symbol);
                ComponentWeightings.Add(symbol, double.Parse(percentage));
            }

            // Normalize the component weightings to add up to 1.
            double totalWeighting = ComponentWeightings.Values.Sum();
            foreach (var component in Components)
            {
                ComponentWeightings[component] /= totalWeighting;
            }
        }

        public override string DisplayName
        {
            get { 
                string indexName = (TrackingIndex == MarketIndex.NASDAQ) ? "NASDAQ" : "S&P 500";
                return indexName + " Top " + NumComponents; 
            }
        }

        #region Plots
        [Browsable(false)]
        [XmlIgnore]
        public Series<double> Index
        {
            get { return Values[0]; }
        }
        #endregion

        #region Properties
        [NinjaScriptProperty]
        [Display(Name = "Tracking Index", GroupName = "Index Top N", Order = 1)]
        public MarketIndex TrackingIndex
        { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Number of Components", GroupName = "Index Top N", Order = 2)]
        public int NumComponents { get; set; }
        #endregion
    }
}

public enum MarketIndex
{
    NASDAQ,
    SP500
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private IndexTopN[] cacheIndexTopN;
        public IndexTopN IndexTopN(MarketIndex trackingIndex, int numComponents)
        {
            return IndexTopN(Input, trackingIndex, numComponents);
        }

        public IndexTopN IndexTopN(ISeries<double> input, MarketIndex trackingIndex, int numComponents)
        {
            if (cacheIndexTopN != null)
                for (int idx = 0; idx < cacheIndexTopN.Length; idx++)
                    if (cacheIndexTopN[idx] != null && cacheIndexTopN[idx].TrackingIndex == trackingIndex && cacheIndexTopN[idx].NumComponents == numComponents && cacheIndexTopN[idx].EqualsInput(input))
                        return cacheIndexTopN[idx];
            return CacheIndicator<IndexTopN>(new IndexTopN(){ TrackingIndex = trackingIndex, NumComponents = numComponents }, input, ref cacheIndexTopN);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.IndexTopN IndexTopN(MarketIndex trackingIndex, int numComponents)
        {
            return indicator.IndexTopN(Input, trackingIndex, numComponents);
        }

        public Indicators.IndexTopN IndexTopN(ISeries<double> input , MarketIndex trackingIndex, int numComponents)
        {
            return indicator.IndexTopN(input, trackingIndex, numComponents);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.IndexTopN IndexTopN(MarketIndex trackingIndex, int numComponents)
        {
            return indicator.IndexTopN(Input, trackingIndex, numComponents);
        }

        public Indicators.IndexTopN IndexTopN(ISeries<double> input , MarketIndex trackingIndex, int numComponents)
        {
            return indicator.IndexTopN(input, trackingIndex, numComponents);
        }
    }
}

#endregion