ninjatrader/indicators/ADR.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.Gui.PropertiesTest;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    public class DailyRange
    {
        public DateTime Date { get; set; }
        public double UpperLevel { get; set; }
        public double LowerLevel { get; set; }
    }

    public class ADR : Indicator
    {
        private const int PrimaryBars = 0;
        private const int DailyBars = 1;

        private TimeSpan SessionOpen;
        private TimeSpan SessionClose;

        private List<DailyRange> DailyRanges = new List<DailyRange>();

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Average Daily Range (ADR)";
                Name = "ADR";
                Calculate = Calculate.OnBarClose;
                IsOverlay = true;
                DrawOnPricePanel = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = false;

                RangePeriod = 5;
                ADRHighStroke = new Stroke(Brushes.Yellow, 3);
                ADRLowStroke = new Stroke(Brushes.Yellow, 3);
            }
            else if (State == State.Configure)
            {
                AddDataSeries(Instrument.FullName, new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 },
                    RangePeriod + 5, Bars.TradingHours.Name, Bars.IsResetOnNewTradingDay);
            }
            else if (State == State.DataLoaded)
            {
                SessionIterator chartSession = new SessionIterator(BarsArray[PrimaryBars]);
                SessionOpen = chartSession.GetTradingDayBeginLocal(chartSession.ActualTradingDayExchange).TimeOfDay;
                SessionClose = chartSession.GetTradingDayEndLocal(chartSession.ActualTradingDayExchange).TimeOfDay;
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {
            if (DailyBars != BarsInProgress || CurrentBar < RangePeriod)
                return;

            double totalRange = 0;
            for (int i = 0; i < RangePeriod; i++)
            {
                totalRange += Highs[DailyBars][i] - Lows[DailyBars][i];
            }
            double averageRange = totalRange / RangePeriod;

            DailyRanges.Add(new DailyRange
            {
                Date = Time[0].Date.AddDays(1),
                UpperLevel = Closes[DailyBars][0] + (averageRange / 2),
                LowerLevel = Closes[DailyBars][0] - (averageRange / 2),
            });
        }

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

            foreach (var Range in DailyRanges)
            {
                int startX = ChartControl.GetXByTime(Range.Date.AddDays(-1).Add(SessionOpen));
                int endX = ChartControl.GetXByTime(Range.Date.Add(SessionClose));

                DrawHorizontalLine(startX, endX, chartScale.GetYByValue(Range.UpperLevel), ADRHighStroke);
                DrawHorizontalLine(startX, endX, chartScale.GetYByValue(Range.LowerLevel), ADRLowStroke);
            }
        }

        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 = "Range Period", GroupName = "Average Daily Range", Order = 1)]
        public int RangePeriod
        { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "ADR High", Order = 2, GroupName = "Average Daily Range")]
        public Stroke ADRHighStroke { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "ADR Low", Order = 3, GroupName = "Average Daily Range")]
        public Stroke ADRLowStroke { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private ADR[] cacheADR;
        public ADR ADR(int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return ADR(Input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }

        public ADR ADR(ISeries<double> input, int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            if (cacheADR != null)
                for (int idx = 0; idx < cacheADR.Length; idx++)
                    if (cacheADR[idx] != null && cacheADR[idx].RangePeriod == rangePeriod && cacheADR[idx].ADRHighStroke == aDRHighStroke && cacheADR[idx].ADRLowStroke == aDRLowStroke && cacheADR[idx].EqualsInput(input))
                        return cacheADR[idx];
            return CacheIndicator<ADR>(new ADR(){ RangePeriod = rangePeriod, ADRHighStroke = aDRHighStroke, ADRLowStroke = aDRLowStroke }, input, ref cacheADR);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.ADR ADR(int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return indicator.ADR(Input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }

        public Indicators.ADR ADR(ISeries<double> input , int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return indicator.ADR(input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.ADR ADR(int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return indicator.ADR(Input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }

        public Indicators.ADR ADR(ISeries<double> input , int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
        {
            return indicator.ADR(input, rangePeriod, aDRHighStroke, aDRLowStroke);
        }
    }
}

#endregion