Add ATR Regime indicator

indicators/ATRRegime.cs

@@ -0,0 +1,145 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.Gui;
+using NinjaTrader.Gui.Chart;
+using NinjaTrader.Data;
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.ComponentModel.DataAnnotations;
+using System.Linq;
+using System.Windows.Media;
+using System.Xml.Serialization;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public class ATRRegime : Indicator
+    {
+        private const int PrimaryBars = 0;
+        private const int ADRBars = 1;
+
+        private ATR atr;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"";
+                Name = "ATR Regime";
+                Calculate = Calculate.OnBarClose;
+                IsOverlay = false;
+                DisplayInDataBox = true;
+                DrawOnPricePanel = true;
+                DrawHorizontalGridLines = true;
+                DrawVerticalGridLines = true;
+                PaintPriceMarkers = true;
+                ScaleJustification = ScaleJustification.Right;
+                IsSuspendedWhileInactive = true;
+
+                RankPeriod = 252; // Approximately 1 year in trading days.
+
+                AddPlot(new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3), PlotStyle.Line, "ATR Regime");
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries(Instrument.FullName, new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 },
+                    RankPeriod * 2, Instrument.MasterInstrument.TradingHours.Name, Bars.IsResetOnNewTradingDay);
+            }
+            else if (State == State.DataLoaded)
+            {
+                atr = ATR(BarsArray[ADRBars], 5);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            
+            if (PrimaryBars != BarsInProgress)
+                return;
+
+            if (CurrentBars[ADRBars] < 0 || CurrentBars[ADRBars] < RankPeriod)
+                return;
+
+            List<double> atrValues = new List<double>();
+            for (int i = RankPeriod; i > 0; i--)
+                atrValues.Add(atr[i]);
+
+            double currentAtrValue = atr[0];
+            int rank = atrValues.Count(x => x <= currentAtrValue);
+            PercentRank[0] = (double)rank / RankPeriod;
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [Browsable(false)]
+        [XmlIgnore]
+        public Series<double> PercentRank { 
+            get { return Values[0]; } 
+        }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Rank Period", Description = "Period for the percent rank lookback", Order = 1, GroupName = "ADR Regime")]
+        public int RankPeriod { get; set; }
+    }
+}
+
+#region NinjaScript generated code. Neither change nor remove.
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
+    {
+        private ATRRegime[] cacheATRRegime;
+        public ATRRegime ATRRegime(int rankPeriod)
+        {
+            return ATRRegime(Input, rankPeriod);
+        }
+
+        public ATRRegime ATRRegime(ISeries<double> input, int rankPeriod)
+        {
+            if (cacheATRRegime != null)
+                for (int idx = 0; idx < cacheATRRegime.Length; idx++)
+                    if (cacheATRRegime[idx] != null && cacheATRRegime[idx].RankPeriod == rankPeriod && cacheATRRegime[idx].EqualsInput(input))
+                        return cacheATRRegime[idx];
+            return CacheIndicator<ATRRegime>(new ATRRegime(){ RankPeriod = rankPeriod }, input, ref cacheATRRegime);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
+{
+    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
+    {
+        public Indicators.ATRRegime ATRRegime(int rankPeriod)
+        {
+            return indicator.ATRRegime(Input, rankPeriod);
+        }
+
+        public Indicators.ATRRegime ATRRegime(ISeries<double> input , int rankPeriod)
+        {
+            return indicator.ATRRegime(input, rankPeriod);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
+    {
+        public Indicators.ATRRegime ATRRegime(int rankPeriod)
+        {
+            return indicator.ATRRegime(Input, rankPeriod);
+        }
+
+        public Indicators.ATRRegime ATRRegime(ISeries<double> input , int rankPeriod)
+        {
+            return indicator.ATRRegime(input, rankPeriod);
+        }
+    }
+}
+
+#endregion