ninjatrader/indicators/VP.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

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    public class VP : Indicator
    {
        private const int TickBars = 1;

        private Dictionary<double, long> volumeProfile = new Dictionary<double, long>();

        private int maxPixelWidth = 500;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Volume Profile";
                Name = "Volume Profile";
                Calculate = Calculate.OnEachTick;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = false;
                ProfileColor = Brushes.DimGray;
                Opacity = 25;
            }
            else if (State == State.Configure)
            {
                AddDataSeries(Instrument.FullName, new BarsPeriod { 
                    BarsPeriodType = BarsPeriodType.Tick, Value = 1 }, Bars.TradingHours.Name);
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {
            if (TickBars == BarsInProgress)
            {
                if (Bars.IsFirstBarOfSession)
                    volumeProfile.Clear(); // Reset the volume profile for the new session.

                double lastPrice = Closes[TickBars][0];
                if (!volumeProfile.ContainsKey(lastPrice))
                    volumeProfile[lastPrice] = 0;

                volumeProfile[lastPrice] += (long)Volumes[TickBars][0];
            }
        }

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

            Brush profileColorWithTransparency = new SolidColorBrush(
                Color.FromArgb((byte)(255 * (Opacity / 100.0)), 
                    ((SolidColorBrush)ProfileColor).Color.R, 
                    ((SolidColorBrush)ProfileColor).Color.G, 
                    ((SolidColorBrush)ProfileColor).Color.B)
            );
            SharpDX.Direct2D1.Brush profileBrush = profileColorWithTransparency.ToDxBrush(RenderTarget);

            long maxVolume = volumeProfile.Values.Max();
            double tickSize = Bars.Instrument.MasterInstrument.TickSize;
            foreach (var entry in volumeProfile)
            {
                double priceLevel = entry.Key;
                long volumeAtPrice = entry.Value;

                int yLower = chartScale.GetYByValue(priceLevel - tickSize / 2);
                int yUpper = chartScale.GetYByValue(priceLevel + tickSize / 2);
                int height = Math.Abs(yUpper - yLower);
                int barWidth = (int)((volumeAtPrice / (double)maxVolume) * maxPixelWidth);

                int startX = ChartPanel.X + ChartPanel.W - barWidth;
                RenderTarget.FillRectangle(new SharpDX.RectangleF(startX, yUpper, barWidth, height), profileBrush);
            }

            profileBrush.Dispose();
        }

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

        [NinjaScriptProperty]
        [Display(Name = "Profile Color", Description = "Color of the volume profile", Order = 1, GroupName = "Volume Profile")]
        public Brush ProfileColor
        { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Max Width (Pixels)", Description = "Maximum pixel width for volume bars", Order = 2, GroupName = "Volume Profile")]
        public int MaxPixelWidth
        {
            get { return maxPixelWidth; }
            set { maxPixelWidth = value; }
        }

        [NinjaScriptProperty]
        [Display(Name = "Opacity (%)", Description = "Opacity of volume profile", Order = 3, GroupName = "Volume Profile")]
        public int Opacity
        { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private VP[] cacheVP;
        public VP VP(Brush profileColor, int maxPixelWidth, int opacity)
        {
            return VP(Input, profileColor, maxPixelWidth, opacity);
        }

        public VP VP(ISeries<double> input, Brush profileColor, int maxPixelWidth, int opacity)
        {
            if (cacheVP != null)
                for (int idx = 0; idx < cacheVP.Length; idx++)
                    if (cacheVP[idx] != null && cacheVP[idx].ProfileColor == profileColor && cacheVP[idx].MaxPixelWidth == maxPixelWidth && cacheVP[idx].Opacity == opacity && cacheVP[idx].EqualsInput(input))
                        return cacheVP[idx];
            return CacheIndicator<VP>(new VP(){ ProfileColor = profileColor, MaxPixelWidth = maxPixelWidth, Opacity = opacity }, input, ref cacheVP);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.VP VP(Brush profileColor, int maxPixelWidth, int opacity)
        {
            return indicator.VP(Input, profileColor, maxPixelWidth, opacity);
        }

        public Indicators.VP VP(ISeries<double> input , Brush profileColor, int maxPixelWidth, int opacity)
        {
            return indicator.VP(input, profileColor, maxPixelWidth, opacity);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.VP VP(Brush profileColor, int maxPixelWidth, int opacity)
        {
            return indicator.VP(Input, profileColor, maxPixelWidth, opacity);
        }

        public Indicators.VP VP(ISeries<double> input , Brush profileColor, int maxPixelWidth, int opacity)
        {
            return indicator.VP(input, profileColor, maxPixelWidth, opacity);
        }
    }
}

#endregion