Initial commit of Market Depth indicator
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indicators/MarketDepth.cs
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292
indicators/MarketDepth.cs
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#region Using declarations
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using System;
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using System.Collections.Concurrent;
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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.Net.Sockets;
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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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using NinjaTrader.Core;
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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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class MarketDepthProcessor
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{
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public static ConcurrentDictionary<float, int> Asks = new ConcurrentDictionary<float, int>();
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public static ConcurrentDictionary<float, int> Bids = new ConcurrentDictionary<float, int>();
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static string symbol = "@NQM24";
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public static async Task StreamMarketDepth()
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{
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using (TcpClient client = new TcpClient("127.0.0.1", 9200))
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using (NetworkStream stream = client.GetStream())
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{
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StringBuilder data = new StringBuilder();
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while (true)
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{
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byte[] buffer = new byte[4096];
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int bytesRead = await stream.ReadAsync(buffer, 0, buffer.Length);
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data.Append(Encoding.UTF8.GetString(buffer, 0, bytesRead));
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string[] messages = data.ToString().Split('\n');
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if (data.ToString().EndsWith("\n"))
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{
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data.Clear();
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}
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else
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{
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data.Clear();
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data.Append(messages[messages.Length - 1]);
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Array.Resize(ref messages, messages.Length - 1);
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}
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foreach (var message in messages)
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{
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if (string.IsNullOrWhiteSpace(message))
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{
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continue;
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}
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if (message.Contains("S,SERVER CONNECTED"))
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{
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await SendCommand(stream, "S,SET PROTOCOL,6.2");
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await SendCommand(stream, "WPL," + symbol + ",200");
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continue;
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}
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ProcessMarketDepthMessage(message.Trim());
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}
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}
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}
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}
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static async Task SendCommand(NetworkStream stream, string command)
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{
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byte[] commandBytes = Encoding.UTF8.GetBytes(command + "\r\n");
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await stream.WriteAsync(commandBytes, 0, commandBytes.Length);
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}
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static void ProcessMarketDepthMessage(string message)
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{
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string[] fields = message.Split(',');
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if (fields[0] == "7" || fields[0] == "8")
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{ // Price Update and Price Summary Messages
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string symbol = fields[1];
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string side = fields[2];
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float price = float.Parse(fields[3]);
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int levelSize = int.Parse(fields[4]);
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if (side.ToUpper() == "B")
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{
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Bids.AddOrUpdate(price, levelSize, (p, oldValue) => levelSize);
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}
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else if (side.ToUpper() == "A")
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{
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Asks.AddOrUpdate(price, levelSize, (p, oldValue) => levelSize);
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}
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}
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else if (fields[0] == "9")
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{ // Price Delete Messages
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string side = fields[2];
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float price = float.Parse(fields[3]);
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if (side.ToUpper() == "B")
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{
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int levelSize;
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Bids.TryRemove(price, out levelSize);
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}
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else if (side.ToUpper() == "A")
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{
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int levelSize;
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Asks.TryRemove(price, out levelSize);
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}
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}
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}
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}
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public class MarketDepth : Indicator
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{
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private const int MaxDepth = 10;
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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 = @"";
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Name = "Market Depth";
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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 = false;
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DrawVerticalGridLines = false;
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PaintPriceMarkers = false;
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ScaleJustification = ScaleJustification.Right;
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IsSuspendedWhileInactive = true;
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}
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else if (State == State.Configure)
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{
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}
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else if (State == State.DataLoaded)
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{
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Task.Run(() => MarketDepthProcessor.StreamMarketDepth());
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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 OnRender(ChartControl chartControl, ChartScale chartScale)
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{
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base.OnRender(chartControl, chartScale);
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/*if (Instrument.MarketDepth.Asks.Take(MaxDepth).IsNullOrEmpty() || Instrument.MarketDepth.Bids.Take(MaxDepth).IsNullOrEmpty())
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return;*/
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if (MarketDepthProcessor.Asks.Count() <= 0 || MarketDepthProcessor.Bids.Count() <= 0)
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return;
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// Find the max volume for scaling
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//long maxVolume = Math.Max(Instrument.MarketDepth.Asks.Take(MaxDepth).Max(a => a.Volume), Instrument.MarketDepth.Bids.Take(MaxDepth).Max(b => b.Volume));
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long maxVolume = Math.Max(MarketDepthProcessor.Asks.Values.ToList().DefaultIfEmpty(0).Max(),
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MarketDepthProcessor.Bids.Values.ToList().DefaultIfEmpty(0).Max());
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foreach (var Ask in MarketDepthProcessor.Asks.ToArray())
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{
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float price = Ask.Key;
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int volume = Ask.Value;
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int length = (int)((double)volume / maxVolume * 500);
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int y = chartScale.GetYByValue(price);
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DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.Red, DashStyleHelper.Solid, 3));
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}
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foreach (var Bid in MarketDepthProcessor.Bids.ToArray())
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{
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float price = Bid.Key;
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int volume = Bid.Value;
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int length = (int)((double)volume / maxVolume * 500);
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int y = chartScale.GetYByValue(price);
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DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3));
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}
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/*for (int i = 0; i < MaxDepth; i++)
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{
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var ask = Instrument.MarketDepth.Asks[i];
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int length = (int)((double)ask.Volume / maxVolume * 300);
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// Assuming we're drawing from left to right
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int y = chartScale.GetYByValue(ask.Price);
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DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.Red, DashStyleHelper.Solid, 2));
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}
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for (int i = 0; i < MaxDepth; i++)
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{
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var bid = Instrument.MarketDepth.Bids[i];
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int length = (int)((double)bid.Volume / maxVolume * 300);
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// Assuming we're drawing from left to right
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int y = chartScale.GetYByValue(bid.Price);
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DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 2));
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}*/
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}
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protected override void OnBarUpdate() {}
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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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}
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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 MarketDepth[] cacheMarketDepth;
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public MarketDepth MarketDepth()
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{
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return MarketDepth(Input);
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}
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public MarketDepth MarketDepth(ISeries<double> input)
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{
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if (cacheMarketDepth != null)
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for (int idx = 0; idx < cacheMarketDepth.Length; idx++)
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if (cacheMarketDepth[idx] != null && cacheMarketDepth[idx].EqualsInput(input))
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return cacheMarketDepth[idx];
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return CacheIndicator<MarketDepth>(new MarketDepth(), input, ref cacheMarketDepth);
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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.MarketDepth MarketDepth()
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{
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return indicator.MarketDepth(Input);
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}
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public Indicators.MarketDepth MarketDepth(ISeries<double> input )
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{
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return indicator.MarketDepth(input);
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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.MarketDepth MarketDepth()
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{
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return indicator.MarketDepth(Input);
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}
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public Indicators.MarketDepth MarketDepth(ISeries<double> input )
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{
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return indicator.MarketDepth(input);
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}
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}
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}
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#endregion
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