ninjatrader/indicators/VPOC.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;
using NinjaTrader.NinjaScript.BarsTypes;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    public class VPOC : Indicator
    {
        private class POC
        {
            public double Level { get; set; }
            public int StartBarIndex { get; set; }
            public int EndBarIndex { get; set; }
        }

        private List<POC> DetectedPOCs = new List<POC>();

        // Represents the current day's volume profile.
        private Dictionary<double, long> VP = new Dictionary<double, long>();

        private const int PrimaryBars = 0;
        private const int TickBars = 1;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "VPOC";
                Description = @"Virgin (Volume) Point of Control";
                Calculate = Calculate.OnEachTick;
                IsOverlay = true;
                DrawOnPricePanel = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = false;
                VPOCStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3);
            }
            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()
        {
            // Assuming primary bars are processed first each session.
            if (PrimaryBars == BarsInProgress && IsFirstTickOfBar)
            {
                if (Bars.IsFirstBarOfSession && CurrentBar > 1)
                {
                    double pointOfControl = VP.OrderByDescending(p => p.Value).First().Key;
                    DetectedPOCs.Add(new POC
                    {
                        Level = pointOfControl,
                        StartBarIndex = CurrentBar
                    });

                    VP.Clear(); // Reset the volume profile for the new session.
                }

                foreach (POC poc in DetectedPOCs)
                {
                    if (poc.EndBarIndex == 0 &&
                        (CrossAbove(Close, poc.Level, 1) || CrossBelow(Close, poc.Level, 1)))
                    {
                        poc.EndBarIndex = CurrentBar;
                    }
                }
            }

            if (TickBars == BarsInProgress)
            {
                double lastPrice = Closes[TickBars][0];
                if (!VP.ContainsKey(lastPrice))
                    VP[lastPrice] = 0;

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

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

            foreach (POC poc in DetectedPOCs)
            {
                int startX = chartControl.GetXByBarIndex(ChartBars, poc.StartBarIndex);
                int endX = poc.EndBarIndex == 0 ? ChartPanel.X + ChartPanel.W : 
                    chartControl.GetXByBarIndex(ChartBars, poc.EndBarIndex);
                DrawHorizontalLine(startX, endX, chartScale.GetYByValue(poc.Level), VPOCStroke);
            }
        }

        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]
        [Display(Name = "VPOC", Description = "VPOC line drawn on chart", Order = 1, GroupName = "VPOC")]
        public Stroke VPOCStroke
        { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private VPOC[] cacheVPOC;
        public VPOC VPOC(Stroke vPOCStroke)
        {
            return VPOC(Input, vPOCStroke);
        }

        public VPOC VPOC(ISeries<double> input, Stroke vPOCStroke)
        {
            if (cacheVPOC != null)
                for (int idx = 0; idx < cacheVPOC.Length; idx++)
                    if (cacheVPOC[idx] != null && cacheVPOC[idx].VPOCStroke == vPOCStroke && cacheVPOC[idx].EqualsInput(input))
                        return cacheVPOC[idx];
            return CacheIndicator<VPOC>(new VPOC(){ VPOCStroke = vPOCStroke }, input, ref cacheVPOC);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.VPOC VPOC(Stroke vPOCStroke)
        {
            return indicator.VPOC(Input, vPOCStroke);
        }

        public Indicators.VPOC VPOC(ISeries<double> input , Stroke vPOCStroke)
        {
            return indicator.VPOC(input, vPOCStroke);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.VPOC VPOC(Stroke vPOCStroke)
        {
            return indicator.VPOC(Input, vPOCStroke);
        }

        public Indicators.VPOC VPOC(ISeries<double> input , Stroke vPOCStroke)
        {
            return indicator.VPOC(input, vPOCStroke);
        }
    }
}

#endregion