ninjatrader/indicators/OpeningRange.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

public enum TimeFrame
{
    Seconds,
    Minutes,
    Hours
}

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    public class OpeningRange : Indicator
    {
        private static int MINUTES_IN_HOUR = 60;
        private static string REGULAR_TRADING_HOURS = "US Equities RTH";

        private double OpeningRangeHigh;
        private double OpeningRangeLow;
        private double OpeningRangeMid;

        private DateTime OpeningRangeDate;
        private DateTime OpeningRangeStartTime;

        private SessionIterator Session;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Plots the user-defined opening range";
                Name = "Opening Range";
                Calculate = Calculate.OnPriceChange;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right;
                //Disable this property if your indicator requires custom values that cumulate with each new market data event. 
                //See Help Guide for additional information.
                IsSuspendedWhileInactive = true;
                ArePlotsConfigurable = false;
                OpeningRangeLength = 30;
                OpeningRangeTimeFrame = TimeFrame.Minutes;
                OpeningRangeHighStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3);
                OpeningRangeLowStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3);
                OpeningRangeMidStroke = new Stroke(Brushes.Gray, DashStyleHelper.Dash, 3);
                AddPlot(Brushes.Transparent, "ORH");
                AddPlot(Brushes.Transparent, "ORL");
                AddPlot(Brushes.Transparent, "ORM");
            }
            else if (State == State.Configure)
            {
                OpeningRangeHigh = 0.0;
                OpeningRangeLow = 0.0;
                OpeningRangeMid = 0.0;
                OpeningRangeDate = DateTime.MinValue;
                OpeningRangeStartTime = DateTime.MinValue;

                if (OpeningRangeTimeFrame == TimeFrame.Seconds)
                {
                    AddDataSeries(Instrument.FullName, new BarsPeriod { 
                        BarsPeriodType = BarsPeriodType.Second, Value = OpeningRangeLength }, REGULAR_TRADING_HOURS);
                }
                else if (OpeningRangeTimeFrame == TimeFrame.Hours)
                {
                    AddDataSeries(Instrument.FullName, new BarsPeriod { 
                        BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangeLength * MINUTES_IN_HOUR }, REGULAR_TRADING_HOURS);
                }
                else
                {
                    AddDataSeries(Instrument.FullName, new BarsPeriod { 
                        BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangeLength }, REGULAR_TRADING_HOURS);
                }
            }
            else if (State == State.DataLoaded)
            {
                Session = new SessionIterator(BarsArray[1]);
            }
        }

        protected override void OnBarUpdate()
        {
            DateTime now = Times[BarsInProgress][0];
            DateTime marketOpen = now.Date + Session.GetTradingDayBeginLocal(Session.ActualTradingDayExchange).TimeOfDay;
            DateTime marketClose = now.Date + Session.GetTradingDayEndLocal(Session.ActualTradingDayExchange).TimeOfDay;

            if (BarsInProgress == 0)
            {
                ORH[0] = OpeningRangeHigh;
                ORL[0] = OpeningRangeLow;

                OpeningRangeMid = (OpeningRangeLow + OpeningRangeHigh) / 2.0;
                ORM[0] = OpeningRangeMid;

                if (now > marketOpen && now.Date != OpeningRangeDate)
                {
                    OpeningRangeStartTime = now;
                    OpeningRangeDate = now.Date;
                }

                if (OpeningRangeHigh > 0.0 && OpeningRangeLow > 0.0)
                {
                    Draw.Line(this, "ORH@" + OpeningRangeHigh, true, OpeningRangeStartTime, OpeningRangeHigh, marketClose, OpeningRangeHigh,
                            OpeningRangeHighStroke.Brush, OpeningRangeHighStroke.DashStyleHelper, (int)OpeningRangeHighStroke.Width);
                    Draw.Line(this, "ORL@" + OpeningRangeLow, true, OpeningRangeStartTime, OpeningRangeLow, marketClose, OpeningRangeLow,
                            OpeningRangeLowStroke.Brush, OpeningRangeLowStroke.DashStyleHelper, (int)OpeningRangeLowStroke.Width);
                    Draw.Line(this, "ORM@" + OpeningRangeMid, true, OpeningRangeStartTime, OpeningRangeMid, marketClose, OpeningRangeMid,
                            OpeningRangeMidStroke.Brush, OpeningRangeMidStroke.DashStyleHelper, (int)OpeningRangeMidStroke.Width);
                }

                if (now >= marketClose)
                {
                    OpeningRangeHigh = 0.0;
                    OpeningRangeLow = 0.0;
                    OpeningRangeMid = 0.0;
                }

                return;
            }

            if (Bars.IsFirstBarOfSession)
            {
                if (Highs[BarsInProgress][0] > OpeningRangeHigh || OpeningRangeHigh == 0.0)
                {
                    RemoveDrawObject("ORH@" + OpeningRangeHigh);
                    RemoveDrawObject("ORM@" + OpeningRangeMid);
                    OpeningRangeHigh = Highs[BarsInProgress][0];
                }

                if (Lows[BarsInProgress][0] < OpeningRangeLow || OpeningRangeLow == 0.0)
                {
                    RemoveDrawObject("ORL@" + OpeningRangeLow);
                    RemoveDrawObject("ORM@" + OpeningRangeMid);
                    OpeningRangeLow = Lows[BarsInProgress][0];
                }
            }
        }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Length", Description = "Length of opening range", Order = 1, GroupName = "Parameters")]
        public int OpeningRangeLength
        { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Time Frame", Description = "Time frame on which opening range is being calculated", Order = 2, GroupName = "Parameters")]
        public TimeFrame OpeningRangeTimeFrame
        { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Opening Range High", Description = "Opening range high line drawn on chart", Order = 3, GroupName = "Parameters")]
        public Stroke OpeningRangeHighStroke
        { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Opening Range Low", Description = "Opening range low line drawn on chart", Order = 4, GroupName = "Parameters")]
        public Stroke OpeningRangeLowStroke
        { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Opening Range Mid", Description = "Opening range mid line drawn on chart", Order = 5, GroupName = "Parameters")]
        public Stroke OpeningRangeMidStroke
        { get; set; }

        [Browsable(false)]
        [XmlIgnore]
        public Series<double> ORH
        {
            get { return Values[0]; }
        }

        [Browsable(false)]
        [XmlIgnore]
        public Series<double> ORL
        {
            get { return Values[1]; }
        }

        [Browsable(false)]
        [XmlIgnore]
        public Series<double> ORM
        {
            get { return Values[2]; }
        }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private OpeningRange[] cacheOpeningRange;
        public OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
        {
            return OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
        }

        public OpeningRange OpeningRange(ISeries<double> input, int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
        {
            if (cacheOpeningRange != null)
                for (int idx = 0; idx < cacheOpeningRange.Length; idx++)
                    if (cacheOpeningRange[idx] != null && cacheOpeningRange[idx].OpeningRangeLength == openingRangeLength && cacheOpeningRange[idx].OpeningRangeTimeFrame == openingRangeTimeFrame && cacheOpeningRange[idx].OpeningRangeHighStroke == openingRangeHighStroke && cacheOpeningRange[idx].OpeningRangeLowStroke == openingRangeLowStroke && cacheOpeningRange[idx].OpeningRangeMidStroke == openingRangeMidStroke && cacheOpeningRange[idx].EqualsInput(input))
                        return cacheOpeningRange[idx];
            return CacheIndicator<OpeningRange>(new OpeningRange(){ OpeningRangeLength = openingRangeLength, OpeningRangeTimeFrame = openingRangeTimeFrame, OpeningRangeHighStroke = openingRangeHighStroke, OpeningRangeLowStroke = openingRangeLowStroke, OpeningRangeMidStroke = openingRangeMidStroke }, input, ref cacheOpeningRange);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
        {
            return indicator.OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
        }

        public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
        {
            return indicator.OpeningRange(input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
        {
            return indicator.OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
        }

        public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
        {
            return indicator.OpeningRange(input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
        }
    }
}

#endregion