ninjatrader/indicators/VolatilityRegime.cs

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

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    public class VolatilityRegime : Indicator
    {
        private const int VIXBars = 1;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"";
                Name = "Volatility Regime";
                Calculate = Calculate.OnBarClose;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = true;

                RankPeriod = 252; // Approximately 1 year in trading days.
            }
            else if (State == State.Configure)
            {
                // TODO: Base number of days to request on a configurable date range.
                AddDataSeries("^VIX", new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 },
                    2000, "US Equities RTH", Bars.IsResetOnNewTradingDay);
            }
            else if (State == State.DataLoaded)
            {
                PercentRank = new Series<double>(this);
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {
            if (VIXBars != BarsInProgress)
                return;

            // Calculate percent rank of VIX closing prices over lookback period.
            if (CurrentBar >= RankPeriod)
            {
                List<double> vixCloses = new List<double>();
                for (int i = RankPeriod; i > 0; i--)
                    vixCloses.Add(Closes[VIXBars][i]);

                double currentVixClose = Closes[VIXBars][0];
                int rank = vixCloses.Count(x => x <= currentVixClose); // # of closes <= current price.
                PercentRank[0] = (double)rank / RankPeriod;
            }
            else
            {
                PercentRank[0] = 0; // Insufficient data.
            }
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        [Browsable(false)]
        [XmlIgnore]
        public Series<double> PercentRank { get; set; }

        #region Properties
        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Rank Period", Description = "Period for the percent rank lookback", Order = 1, GroupName = "Volatility Regime")]
        public int RankPeriod { get; set; }
        #endregion
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private VolatilityRegime[] cacheVolatilityRegime;
        public VolatilityRegime VolatilityRegime(int rankPeriod)
        {
            return VolatilityRegime(Input, rankPeriod);
        }

        public VolatilityRegime VolatilityRegime(ISeries<double> input, int rankPeriod)
        {
            if (cacheVolatilityRegime != null)
                for (int idx = 0; idx < cacheVolatilityRegime.Length; idx++)
                    if (cacheVolatilityRegime[idx] != null && cacheVolatilityRegime[idx].RankPeriod == rankPeriod && cacheVolatilityRegime[idx].EqualsInput(input))
                        return cacheVolatilityRegime[idx];
            return CacheIndicator<VolatilityRegime>(new VolatilityRegime(){ RankPeriod = rankPeriod }, input, ref cacheVolatilityRegime);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.VolatilityRegime VolatilityRegime(int rankPeriod)
        {
            return indicator.VolatilityRegime(Input, rankPeriod);
        }

        public Indicators.VolatilityRegime VolatilityRegime(ISeries<double> input , int rankPeriod)
        {
            return indicator.VolatilityRegime(input, rankPeriod);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.VolatilityRegime VolatilityRegime(int rankPeriod)
        {
            return indicator.VolatilityRegime(Input, rankPeriod);
        }

        public Indicators.VolatilityRegime VolatilityRegime(ISeries<double> input , int rankPeriod)
        {
            return indicator.VolatilityRegime(input, rankPeriod);
        }
    }
}

#endregion