ninjatrader/indicators/vwap/VWAP.cs

#region Using declarations
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui;
using NinjaTrader.NinjaScript.MarketAnalyzerColumns;
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Globalization;
using System.Windows.Media;
#endregion

namespace NinjaTrader.NinjaScript.Indicators
{
    public class VWAP : Indicator
    {
        private static int CHART_BARS = 0;
        private static int TICK_BARS = 1;

        private double TotalVolume;
        private double VolumeWeightedPrice;
        private double VolumeWeightedSquaredPrice;

        private double TotalVolumeTick;
        private double VolumeWeightedPriceTick;
        private double VolumeWeightedSquaredPriceTick;

        private DateTime MostRecentDate = DateTime.MinValue;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = "Volume Weighted Average Price (VWAP)";
                Name = "VWAP";
                Calculate = Calculate.OnBarClose;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                ScaleJustification = Gui.Chart.ScaleJustification.Right;
                IsSuspendedWhileInactive = true;
                BarsRequiredToPlot = 0;

                Precision = VWAPPrecision.Chart;
                Price = VWAPPrice.OHLC;
                StdDevMultiplier = 1.0;

                AddPlot(new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3), PlotStyle.Line, "VWAP");
                AddPlot(new Stroke(Brushes.Transparent, DashStyleHelper.Solid, 3), PlotStyle.Line, "Upper Standard Deviation");
                AddPlot(new Stroke(Brushes.Transparent, DashStyleHelper.Solid, 3), PlotStyle.Line, "Lower Standard Deviation");
            }
            else if (State == State.Configure)
            {
                ClearOutputWindow();

                if (Precision == VWAPPrecision.Tick)
                {
                    AddDataSeries(Instrument.FullName, new BarsPeriod
                    {
                        BarsPeriodType = BarsPeriodType.Tick,
                        Value = 1
                    }, Bars.TradingHours.Name);
                }
            }
            else if (State == State.DataLoaded)
            {
                ResetVWAP();
            }
        }

        private double GetPrice(int bars, int index = 0)
        {
            switch (Price)
            {
                case VWAPPrice.Open:
                    return Opens[bars][index];
                case VWAPPrice.High:
                    return Highs[bars][index];
                case VWAPPrice.Low:
                    return Lows[bars][index];
                case VWAPPrice.Close:
                    return Closes[bars][index];
                case VWAPPrice.HL:
                    return (Highs[bars][index] + Lows[bars][index]) / 2;
                case VWAPPrice.HLC:
                    return (Highs[bars][index] + Lows[bars][index] + Closes[bars][index]) / 3;
                case VWAPPrice.OHLC:
                default:
                    return (Opens[bars][index] + Highs[bars][index] + Lows[bars][index] + Closes[bars][index]) / 4;
            }
        }

        private void ResetVWAP()
        {
            TotalVolume = 0;
            VolumeWeightedPrice = 0;
            VolumeWeightedSquaredPrice = 0;

            TotalVolumeTick = 0;
            VolumeWeightedPriceTick = 0;
            VolumeWeightedSquaredPriceTick = 0;
        }

        protected override void OnBarUpdate()
        {
            if (Bars.IsFirstBarOfSession && IsFirstTickOfBar)
            {
                DateTime currentDate = Time[0].Date;
                if (MostRecentDate != currentDate)
                    ResetVWAP();

                if (CHART_BARS == BarsInProgress)
                {
                    // Prevent visible jumps in VWAP when a new session begins.
                    PlotBrushes[0][0] = Brushes.Transparent;
                    PlotBrushes[1][0] = Brushes.Transparent;
                    PlotBrushes[2][0] = Brushes.Transparent;
                }

                MostRecentDate = currentDate;
            }

            if (CHART_BARS == BarsInProgress)
            {
                double price = GetPrice(CHART_BARS);
                double vwap;
                double variance;

                double volumeWeightedPrice;
                double volumeWeightedSquaredPrice;
                double totalVolume;

                if (Precision == VWAPPrecision.Tick)
                {
                    volumeWeightedPrice = VolumeWeightedPriceTick;
                    volumeWeightedSquaredPrice = VolumeWeightedSquaredPriceTick;
                    totalVolume = TotalVolumeTick;
                }
                else if (Calculate == Calculate.OnBarClose)
                {
                    VolumeWeightedPrice += Volume[0] * price;
                    VolumeWeightedSquaredPrice += Volume[0] * Math.Pow(price, 2);
                    TotalVolume += Volume[0];

                    volumeWeightedPrice = VolumeWeightedPrice;
                    volumeWeightedSquaredPrice = VolumeWeightedSquaredPrice;
                    totalVolume = TotalVolume;
                }
                else
                {
                    if (IsFirstTickOfBar && !Bars.IsFirstBarOfSession)
                    {
                        int previousBar = 1;
                        double previousPrice = GetPrice(CHART_BARS, previousBar);

                        VolumeWeightedPrice += Volume[previousBar] * previousPrice;
                        VolumeWeightedSquaredPrice += Volume[previousBar] * Math.Pow(previousPrice, 2);
                        TotalVolume += Volume[previousBar];
                    }
                    
                    volumeWeightedPrice = VolumeWeightedPrice + (Volume[0] * price);
                    volumeWeightedSquaredPrice = VolumeWeightedSquaredPrice + (Volume[0] * Math.Pow(price, 2));
                    totalVolume = TotalVolume + Volume[0];
                }

                vwap = volumeWeightedPrice / totalVolume;

                variance = (volumeWeightedSquaredPrice / totalVolume) - Math.Pow(vwap, 2);
                double stdDev = Math.Sqrt(variance);

                Value[0] = vwap;
                Values[1][0] = vwap + (StdDevMultiplier * stdDev);
                Values[2][0] = vwap - (StdDevMultiplier * stdDev);
            }
            else if (TICK_BARS == BarsInProgress)
            {
                double price = GetPrice(TICK_BARS);
                TotalVolumeTick += Volumes[TICK_BARS][0];
                VolumeWeightedPriceTick += Volumes[TICK_BARS][0] * price;
                VolumeWeightedSquaredPriceTick += Volumes[TICK_BARS][0] * Math.Pow(price, 2);
            }
        }

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

        #region Properties
        [TypeConverter(typeof(VWAPPrecisionConverter))]
        [PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
        [Display(Name = "Precision", Description = "Precision with which VWAP is calculated", Order = 1, GroupName = "VWAP")]
        public VWAPPrecision Precision
        { get; set; }

        [TypeConverter(typeof(VWAPPriceConverter))]
        [PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
        [Display(Name = "Average Price", Description = "How the average price of the bar is calculated", Order = 2, GroupName = "VWAP")]
        public VWAPPrice Price
        { get; set; }

        [Range(0.1, double.MaxValue)]
        [Display(Name = "Standard Deviation Multiplier", Description = "Multiplier for standard deviation bands", Order = 3, GroupName = "VWAP")]
        public double StdDevMultiplier
        { get; set; }
        #endregion
    }
}

public enum VWAPPrecision
{
    Chart,
    Tick
}

public enum VWAPPrice
{
    Open,
    High,
    Low,
    Close,
    HL,
    HLC,
    OHLC
}

public class VWAPPrecisionConverter : TypeConverter
{
    private const string CHART = "Chart Period";
    private const string TICK = "Tick";

    public override StandardValuesCollection GetStandardValues(ITypeDescriptorContext context)
    {
        List<string> values = new List<string>() { CHART, TICK };
        return new StandardValuesCollection(values);
    }

    public override object ConvertFrom(ITypeDescriptorContext context, CultureInfo culture, object value)
    {
        switch (value.ToString())
        {
            case CHART:
                return VWAPPrecision.Chart;
            case TICK:
                return VWAPPrecision.Tick;
        }
        return VWAPPrecision.Chart;
    }

    public override object ConvertTo(ITypeDescriptorContext context, CultureInfo culture, object value, Type destinationType)
    {
        VWAPPrecision enumValue = (VWAPPrecision)Enum.Parse(typeof(VWAPPrecision), value.ToString());
        switch (enumValue)
        {
            case VWAPPrecision.Chart:
                return CHART;
            case VWAPPrecision.Tick:
                return TICK;
        }
        return CHART;
    }

    public override bool CanConvertFrom(ITypeDescriptorContext context, Type sourceType)
    { return true; }

    public override bool CanConvertTo(ITypeDescriptorContext context, Type destinationType)
    { return true; }

    public override bool GetStandardValuesExclusive(ITypeDescriptorContext context)
    { return true; }

    public override bool GetStandardValuesSupported(ITypeDescriptorContext context)
    { return true; }
}

public class VWAPPriceConverter : TypeConverter
{
    private const string OPEN = "Open";
    private const string HIGH = "High";
    private const string LOW = "Low";
    private const string CLOSE = "Close";
    private const string HIGH_LOW = "(High + Low) / 2";
    private const string HIGH_LOW_CLOSE = "(High + Low + Close) / 3";
    private const string OPEN_HIGH_LOW_CLOSE = "(Open + High + Low + Close) / 4";

    public override StandardValuesCollection GetStandardValues(ITypeDescriptorContext context)
    {
        List<string> values = new List<string>() { OPEN, HIGH, LOW, CLOSE, HIGH_LOW, HIGH_LOW_CLOSE, OPEN_HIGH_LOW_CLOSE };
        return new StandardValuesCollection(values);
    }

    public override object ConvertFrom(ITypeDescriptorContext context, CultureInfo culture, object value)
    {
        switch (value.ToString())
        {
            case OPEN:
                return VWAPPrice.Open;
            case HIGH:
                return VWAPPrice.High;
            case LOW:
                return VWAPPrice.Low;
            case CLOSE:
                return VWAPPrice.Close;
            case HIGH_LOW:
                return VWAPPrice.HL;
            case HIGH_LOW_CLOSE:
                return VWAPPrice.HLC;
            case OPEN_HIGH_LOW_CLOSE:
                return VWAPPrice.OHLC;
        }
        return VWAPPrice.OHLC;
    }

    public override object ConvertTo(ITypeDescriptorContext context, CultureInfo culture, object value, Type destinationType)
    {
        VWAPPrice enumValue = (VWAPPrice)Enum.Parse(typeof(VWAPPrice), value.ToString());
        switch (enumValue)
        {
            case VWAPPrice.Open:
                return OPEN;
            case VWAPPrice.High:
                return HIGH;
            case VWAPPrice.Low:
                return LOW;
            case VWAPPrice.Close:
                return CLOSE;
            case VWAPPrice.HL:
                return HIGH_LOW;
            case VWAPPrice.HLC:
                return HIGH_LOW_CLOSE;
            case VWAPPrice.OHLC:
                return OPEN_HIGH_LOW_CLOSE;
        }
        return OPEN_HIGH_LOW_CLOSE;
    }

    public override bool CanConvertFrom(ITypeDescriptorContext context, Type sourceType)
    { return true; }

    public override bool CanConvertTo(ITypeDescriptorContext context, Type destinationType)
    { return true; }

    public override bool GetStandardValuesExclusive(ITypeDescriptorContext context)
    { return true; }

    public override bool GetStandardValuesSupported(ITypeDescriptorContext context)
    { return true; }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private VWAP[] cacheVWAP;
        public VWAP VWAP()
        {
            return VWAP(Input);
        }

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

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

        public Indicators.VWAP VWAP(ISeries<double> input )
        {
            return indicator.VWAP(input);
        }
    }
}

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

        public Indicators.VWAP VWAP(ISeries<double> input )
        {
            return indicator.VWAP(input);
        }
    }
}

#endregion