ninjatrader/indicators/MarketDepth.cs

#region Using declarations
using System;
using System.Collections.Concurrent;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Net.Sockets;
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.Core;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    class MarketDepthProcessor
    {
        public static ConcurrentDictionary<float, int> Asks = new ConcurrentDictionary<float, int>();
        public static ConcurrentDictionary<float, int> Bids = new ConcurrentDictionary<float, int>();

        static Dictionary<string, string> MonthCodes = new Dictionary<string, string>
        {
            {"01", "F"},
            {"02", "G"},
            {"03", "H"},
            {"04", "J"},
            {"05", "K"},
            {"06", "M"},
            {"07", "N"},
            {"08", "Q"},
            {"09", "U"},
            {"10", "V"},
            {"11", "X"},
            {"12", "Z"}
        };

        public static async Task StreamMarketDepth(Instrument instrument, int maxLevels, string host, int port)
        {
            Asks.Clear();
            Bids.Clear();
            
            string symbol = GetIQFeedSymbol(instrument);

            using (TcpClient client = new TcpClient(host, port))
            using (NetworkStream stream = client.GetStream())
            {
                StringBuilder data = new StringBuilder();

                while (true)
                {
                    byte[] buffer = new byte[4096];
                    int bytesRead = await stream.ReadAsync(buffer, 0, buffer.Length);
                    data.Append(Encoding.UTF8.GetString(buffer, 0, bytesRead));

                    string[] messages = data.ToString().Split('\n');

                    if (data.ToString().EndsWith("\n"))
                    {
                        data.Clear();
                    }
                    else
                    {
                        data.Clear();
                        data.Append(messages[messages.Length - 1]);
                        Array.Resize(ref messages, messages.Length - 1);
                    }

                    foreach (var message in messages)
                    {
                        if (string.IsNullOrWhiteSpace(message))
                        {
                            continue;
                        }

                        if (message.Contains("S,SERVER CONNECTED"))
                        {
                            await SendCommand(stream, "S,SET PROTOCOL,6.2");
                            string command = "WPL," + symbol + ",";
                            if (maxLevels > 0)
                                command += maxLevels.ToString();
                            await SendCommand(stream, command);
                            continue;
                        }

                        ProcessMarketDepthMessage(message.Trim());
                        TrimMarketDepth(maxLevels);
                    }
                }
            }
        }

        static string GetIQFeedSymbol(Instrument instrument)
        {
            // Example: ES 06-24
            string masterInstrument = instrument.MasterInstrument.Name;
            string monthYear = instrument.FullName.Split(' ')[1];

            string month = monthYear.Substring(0, 2);
            string year = monthYear.Substring(3, 2);

            string monthCode = MonthCodes[month];

            return "@" + masterInstrument + monthCode + year;
        }

        static async Task SendCommand(NetworkStream stream, string command)
        {
            byte[] commandBytes = Encoding.UTF8.GetBytes(command + "\r\n");
            await stream.WriteAsync(commandBytes, 0, commandBytes.Length);
        }

        static void ProcessMarketDepthMessage(string message)
        {
            string[] fields = message.Split(',');

            if (fields[0] == "7" || fields[0] == "8")
            { // Price Update and Price Summary Messages
                string symbol = fields[1];
                string side = fields[2];
                float price = float.Parse(fields[3]);
                int levelSize = int.Parse(fields[4]);

                if (side.ToUpper() == "B")
                {
                    Bids.AddOrUpdate(price, levelSize, (p, oldValue) => levelSize);
                }
                else if (side.ToUpper() == "A")
                {
                    Asks.AddOrUpdate(price, levelSize, (p, oldValue) => levelSize);
                }
            }
            else if (fields[0] == "9")
            { // Price Delete Messages
                string side = fields[2];
                float price = float.Parse(fields[3]);
                if (side.ToUpper() == "B")
                {
                    int levelSize;
                    Bids.TryRemove(price, out levelSize);
                }
                else if (side.ToUpper() == "A")
                {
                    int levelSize;
                    Asks.TryRemove(price, out levelSize);
                }
            }
        }

        static void TrimMarketDepth(int maxLevels)
        {
            if (maxLevels <= 0)
                return;
            
            if (Asks.Count > maxLevels)
            {
                var sortedLevels = Asks.Keys.OrderBy(x => x).ToList();
                if (sortedLevels.Count > maxLevels)
                {
                    // Remove the highest asks.
                    var levelsToRemove = sortedLevels.Skip(maxLevels).ToList();
                    foreach (var level in levelsToRemove)
                    {
                        int value;
                        Asks.TryRemove(level, out value);
                    }
                }
            }

            if (Bids.Count > maxLevels)
            {
                var sortedLevels = Bids.Keys.OrderBy(x => x).ToList();
                if (sortedLevels.Count > maxLevels)
                {
                    // Remove the lowest bids.
                    var levelsToRemove = sortedLevels.Take(sortedLevels.Count - maxLevels).ToList();
                    foreach (var level in levelsToRemove)
                    {
                        int value;
                        Bids.TryRemove(level, out value);
                    }
                }
            }
        }
    }

    public class MarketDepth : Indicator
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"";
                Name = "Market Depth";
                Calculate = Calculate.OnEachTick;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = false;
                DrawVerticalGridLines = false;
                PaintPriceMarkers = false;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = false;
                MaxLevels = 0;
                MaxWidth = 500;
                Host = "127.0.0.1";
                Port = 9200;
            }
            else if (State == State.Configure)
            {
            }
            else if (State == State.DataLoaded)
            {
                Task.Run(() => MarketDepthProcessor.StreamMarketDepth(Instrument, MaxLevels, Host, Port));
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

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

            if (MarketDepthProcessor.Asks.Count() <= 0 || MarketDepthProcessor.Bids.Count() <= 0)
                return;

            // Find the max volume for visually scaling the indicator.
            long maxVolume = Math.Max(MarketDepthProcessor.Asks.Values.ToList().DefaultIfEmpty(0).Max(),
                MarketDepthProcessor.Bids.Values.ToList().DefaultIfEmpty(0).Max());

            foreach (var Ask in MarketDepthProcessor.Asks.ToArray())
            {
                float price = Ask.Key;
                int volume = Ask.Value;

                int length = (int)((double)volume / maxVolume * MaxWidth);

                int y = chartScale.GetYByValue(price);
                DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.Red, DashStyleHelper.Solid, 3));
            }

            foreach (var Bid in MarketDepthProcessor.Bids.ToArray())
            {
                float price = Bid.Key;
                int volume = Bid.Value;

                int length = (int)((double)volume / maxVolume * MaxWidth);

                int y = chartScale.GetYByValue(price);
                DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3));
            }
        }

        protected override void OnBarUpdate() {}

        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 = "Max Levels", Description = "The maximum number of levels to display (0 for unlimited)", Order = 1, GroupName = "Market Depth")]
        public int MaxLevels { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Max Width", Description = "The maximum width of the market depth levels in pixels", Order = 2, GroupName = "Market Depth")]
        public int MaxWidth
        { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "IQFeed Host", Description = "The host on which the IQFeed connection is running", Order = 3, GroupName = "Market Depth")]
        public string Host { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "IQFeed Port", Description = "The port on which the IQFeed connection is listening", Order = 4, GroupName = "Market Depth")]
        public int Port { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private MarketDepth[] cacheMarketDepth;
        public MarketDepth MarketDepth(int maxLevels, int maxWidth, string host, int port)
        {
            return MarketDepth(Input, maxLevels, maxWidth, host, port);
        }

        public MarketDepth MarketDepth(ISeries<double> input, int maxLevels, int maxWidth, string host, int port)
        {
            if (cacheMarketDepth != null)
                for (int idx = 0; idx < cacheMarketDepth.Length; idx++)
                    if (cacheMarketDepth[idx] != null && cacheMarketDepth[idx].MaxLevels == maxLevels && cacheMarketDepth[idx].MaxWidth == maxWidth && cacheMarketDepth[idx].Host == host && cacheMarketDepth[idx].Port == port && cacheMarketDepth[idx].EqualsInput(input))
                        return cacheMarketDepth[idx];
            return CacheIndicator<MarketDepth>(new MarketDepth(){ MaxLevels = maxLevels, MaxWidth = maxWidth, Host = host, Port = port }, input, ref cacheMarketDepth);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.MarketDepth MarketDepth(int maxLevels, int maxWidth, string host, int port)
        {
            return indicator.MarketDepth(Input, maxLevels, maxWidth, host, port);
        }

        public Indicators.MarketDepth MarketDepth(ISeries<double> input , int maxLevels, int maxWidth, string host, int port)
        {
            return indicator.MarketDepth(input, maxLevels, maxWidth, host, port);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.MarketDepth MarketDepth(int maxLevels, int maxWidth, string host, int port)
        {
            return indicator.MarketDepth(Input, maxLevels, maxWidth, host, port);
        }

        public Indicators.MarketDepth MarketDepth(ISeries<double> input , int maxLevels, int maxWidth, string host, int port)
        {
            return indicator.MarketDepth(input, maxLevels, maxWidth, host, port);
        }
    }
}

#endregion