Add indicator for displaying LVNs (Low Volume Nodes)
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indicators/LVN.cs
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212
indicators/LVN.cs
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#region Using declarations
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using System;
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using System.Collections.Generic;
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using System.ComponentModel;
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using System.ComponentModel.DataAnnotations;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using System.Windows;
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using System.Windows.Input;
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using System.Windows.Media;
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using System.Xml.Serialization;
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using NinjaTrader.Cbi;
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using NinjaTrader.Gui;
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using NinjaTrader.Gui.Chart;
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using NinjaTrader.Gui.SuperDom;
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using NinjaTrader.Gui.Tools;
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using NinjaTrader.Data;
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using NinjaTrader.NinjaScript;
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using NinjaTrader.Core.FloatingPoint;
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using NinjaTrader.NinjaScript.DrawingTools;
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#endregion
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//This namespace holds Indicators in this folder and is required. Do not change it.
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namespace NinjaTrader.NinjaScript.Indicators
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{
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public class LVN : Indicator
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{
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private const int TickBars = 1;
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// TODO: Utilize the existing VP indicator rather than duplicating it here.
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private Dictionary<double, long> volumeProfile = new Dictionary<double, long>();
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protected override void OnStateChange()
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{
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if (State == State.SetDefaults)
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{
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Description = @"LVNs (Low Volume Nodes)";
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Name = "LVN";
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Calculate = Calculate.OnEachTick;
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IsOverlay = true;
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DisplayInDataBox = true;
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DrawOnPricePanel = true;
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DrawHorizontalGridLines = true;
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DrawVerticalGridLines = true;
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PaintPriceMarkers = true;
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ScaleJustification = ScaleJustification.Right;
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IsSuspendedWhileInactive = false;
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SurroundingLevels = 25;
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LVNStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 2);
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MaxPixelWidth = 500;
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Opacity = 100;
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}
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else if (State == State.Configure)
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{
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Tick, Value = 1 }, Bars.TradingHours.Name);
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}
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else if (State == State.Historical)
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{
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SetZOrder(-1); // Display behind bars on chart.
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}
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}
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protected override void OnBarUpdate()
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{
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if (TickBars == BarsInProgress)
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{
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if (Bars.IsFirstBarOfSession)
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volumeProfile.Clear(); // Reset the volume profile for the new session.
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double lastPrice = Closes[TickBars][0];
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if (!volumeProfile.ContainsKey(lastPrice))
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volumeProfile[lastPrice] = 0;
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volumeProfile[lastPrice] += (long)Volumes[TickBars][0];
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}
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}
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protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
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{
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base.OnRender(chartControl, chartScale);
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// TODO: Rather than just rendering the LVNs, make them accessible to other indicators / strategies.
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var sortedPrices = volumeProfile.Keys.ToList();
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sortedPrices.Sort();
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for (int i = 0; i < sortedPrices.Count; i++)
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{
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double price = sortedPrices[i];
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long volumeAtPrice = volumeProfile[price];
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bool isLVN = true;
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// Do not go out of bounds.
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int rangeStart = Math.Max(i - SurroundingLevels, 0);
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int rangeEnd = Math.Min(i + SurroundingLevels, sortedPrices.Count - 1);
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for (int j = rangeStart; j <= rangeEnd; j++)
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{
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if (j == i) continue;
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double surroundingPrice = sortedPrices[j];
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long surroundingVolume = volumeProfile[surroundingPrice];
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if (volumeAtPrice >= surroundingVolume)
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{
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isLVN = false;
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break;
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}
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}
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if (isLVN)
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{
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int y = chartScale.GetYByValue(price);
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DrawHorizontalLine(ChartPanel.X + ChartPanel.W - MaxPixelWidth, ChartPanel.X + ChartPanel.W, y, LVNStroke);
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}
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}
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}
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private void DrawHorizontalLine(int startX, int endX, int y, Stroke stroke)
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{
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SharpDX.Direct2D1.Brush dxBrush = stroke.Brush.ToDxBrush(RenderTarget);
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RenderTarget.DrawLine(
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new SharpDX.Vector2(startX, y),
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new SharpDX.Vector2(endX, y),
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dxBrush, stroke.Width, stroke.StrokeStyle
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);
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dxBrush.Dispose();
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}
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public override string DisplayName
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{
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get { return Name; }
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}
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Window Size", Description = "Number of profile levels to compare to in either direction", GroupName = "LVN", Order = 1)]
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public int SurroundingLevels { get; set; }
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[NinjaScriptProperty]
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[XmlIgnore]
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[Display(Name = "LVN", Description = "Stroke for LVNs drawn on chart", GroupName = "LVN", Order = 2)]
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public Stroke LVNStroke { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Max Width (Pixels)", Description = "Maximum pixel width for LVN levels", Order = 3, GroupName = "LVN")]
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public int MaxPixelWidth { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Opacity (%)", Description = "Opacity of LVN level", Order = 4, GroupName = "LVN")]
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public int Opacity
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{ get; set; }
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}
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}
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#region NinjaScript generated code. Neither change nor remove.
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namespace NinjaTrader.NinjaScript.Indicators
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{
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public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
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{
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private LVN[] cacheLVN;
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public LVN LVN(int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
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{
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return LVN(Input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
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}
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public LVN LVN(ISeries<double> input, int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
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{
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if (cacheLVN != null)
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for (int idx = 0; idx < cacheLVN.Length; idx++)
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if (cacheLVN[idx] != null && cacheLVN[idx].SurroundingLevels == surroundingLevels && cacheLVN[idx].LVNStroke == lVNStroke && cacheLVN[idx].MaxPixelWidth == maxPixelWidth && cacheLVN[idx].Opacity == opacity && cacheLVN[idx].EqualsInput(input))
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return cacheLVN[idx];
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return CacheIndicator<LVN>(new LVN(){ SurroundingLevels = surroundingLevels, LVNStroke = lVNStroke, MaxPixelWidth = maxPixelWidth, Opacity = opacity }, input, ref cacheLVN);
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}
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}
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}
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namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
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{
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public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
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{
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public Indicators.LVN LVN(int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
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{
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return indicator.LVN(Input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
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}
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public Indicators.LVN LVN(ISeries<double> input , int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
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{
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return indicator.LVN(input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
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}
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}
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}
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
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{
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public Indicators.LVN LVN(int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
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{
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return indicator.LVN(Input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
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}
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public Indicators.LVN LVN(ISeries<double> input , int surroundingLevels, Stroke lVNStroke, int maxPixelWidth, int opacity)
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{
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return indicator.LVN(input, surroundingLevels, lVNStroke, maxPixelWidth, opacity);
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}
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}
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}
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#endregion
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