ninjatrader/indicators/LVN.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.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;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    public class LVN : Indicator
    {
        private const int TickBars = 1;

        // TODO: Utilize the existing VP indicator rather than duplicating it here.
        private Dictionary<double, long> volumeProfile = new Dictionary<double, long>();

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"LVNs (Low Volume Nodes)";
                Name = "LVN";
                Calculate = Calculate.OnEachTick;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = false;
                SurroundingLevels = 25;
                LVNStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 2);
                MaxPixelWidth = 500;
                Opacity = 100;
            }
            else if (State == State.Configure)
            {
                AddDataSeries(Instrument.FullName, new BarsPeriod {
                    BarsPeriodType = BarsPeriodType.Tick, Value = 1 }, Bars.TradingHours.Name);
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {
            if (TickBars == BarsInProgress)
            {
                if (Bars.IsFirstBarOfSession)
                    volumeProfile.Clear(); // Reset the volume profile for the new session.

                double lastPrice = Closes[TickBars][0];
                if (!volumeProfile.ContainsKey(lastPrice))
                    volumeProfile[lastPrice] = 0;

                volumeProfile[lastPrice] += (long)Volumes[TickBars][0];
            }
        }

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

            // TODO: Rather than just rendering the LVNs, make them accessible to other indicators / strategies.
            var sortedPrices = volumeProfile.Keys.ToList();
            sortedPrices.Sort();

            for (int i = 0; i < sortedPrices.Count; i++)
            {
                double price = sortedPrices[i];
                long volumeAtPrice = volumeProfile[price];
                bool isLVN = true;

                // Do not go out of bounds.
                int rangeStart = Math.Max(i - SurroundingLevels, 0);
                int rangeEnd = Math.Min(i + SurroundingLevels, sortedPrices.Count - 1);

                for (int j = rangeStart; j <= rangeEnd; j++)
                {
                    if (j == i) continue;

                    double surroundingPrice = sortedPrices[j];
                    long surroundingVolume = volumeProfile[surroundingPrice];

                    if (volumeAtPrice >= surroundingVolume)
                    {
                        isLVN = false;
                        break;
                    }
                }

                if (isLVN)
                {
                    int y = chartScale.GetYByValue(price);
                    DrawHorizontalLine(ChartPanel.X + ChartPanel.W - MaxPixelWidth, ChartPanel.X + ChartPanel.W, y, LVNStroke);
                }
            }
        }

        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 = "Window Size", Description = "Number of profile levels to compare to in either direction", GroupName = "LVN", Order = 1)]
        public int SurroundingLevels { get; set; }

        [NinjaScriptProperty]
        [XmlIgnore]
        [Display(Name = "LVN", Description = "Stroke for LVNs drawn on chart", GroupName = "LVN", Order = 2)]
        public Stroke LVNStroke { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Max Width (Pixels)", Description = "Maximum pixel width for LVN levels", Order = 3, GroupName = "LVN")]
        public int MaxPixelWidth { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Opacity (%)", Description = "Opacity of LVN level", Order = 4, GroupName = "LVN")]
        public int Opacity
        { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private LVN[] cacheLVN;
        public LVN LVN(int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
        {
            return LVN(Input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
        }

        public LVN LVN(ISeries<double> input, int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
        {
            if (cacheLVN != null)
                for (int idx = 0; idx < cacheLVN.Length; idx++)
                    if (cacheLVN[idx] != null && cacheLVN[idx].SurroundingLevels == surroundingLevels && cacheLVN[idx].LVNStroke == lVNStroke && cacheLVN[idx].MaxPixelWidth == maxPixelWidth && cacheLVN[idx].Opacity == opacity && cacheLVN[idx].EqualsInput(input))
                        return cacheLVN[idx];
            return CacheIndicator<LVN>(new LVN(){ SurroundingLevels = surroundingLevels, LVNStroke = lVNStroke, MaxPixelWidth = maxPixelWidth, Opacity = opacity }, input, ref cacheLVN);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.LVN LVN(int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
        {
            return indicator.LVN(Input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
        }

        public Indicators.LVN LVN(ISeries<double> input , int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
        {
            return indicator.LVN(input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.LVN LVN(int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
        {
            return indicator.LVN(Input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
        }

        public Indicators.LVN LVN(ISeries<double> input , int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
        {
            return indicator.LVN(input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
        }
    }
}

#endregion