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Add Average Daily Range (ADR) indicator

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moshferatu 2024-03-10 04:52:41 -07:00
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commit 409d51b988
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#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;
using NinjaTrader.Gui.PropertiesTest;
#endregion
//This namespace holds Indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators
{
public class DailyRange
{
public DateTime Date { get; set; }
public double UpperLevel { get; set; }
public double LowerLevel { get; set; }
}
public class ADR : Indicator
{
private const int PrimaryBars = 0;
private const int DailyBars = 1;
private TimeSpan SessionOpen;
private TimeSpan SessionClose;
private List<DailyRange> DailyRanges = new List<DailyRange>();
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Average Daily Range (ADR)";
Name = "ADR";
Calculate = Calculate.OnBarClose;
IsOverlay = true;
DrawOnPricePanel = true;
ScaleJustification = ScaleJustification.Right;
IsSuspendedWhileInactive = false;
RangePeriod = 5;
ADRHighStroke = new Stroke(Brushes.Yellow, 3);
ADRLowStroke = new Stroke(Brushes.Yellow, 3);
}
else if (State == State.Configure)
{
AddDataSeries(Instrument.FullName, new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 },
RangePeriod + 5, Bars.TradingHours.Name, Bars.IsResetOnNewTradingDay);
}
else if (State == State.DataLoaded)
{
SessionIterator chartSession = new SessionIterator(BarsArray[PrimaryBars]);
SessionOpen = chartSession.GetTradingDayBeginLocal(chartSession.ActualTradingDayExchange).TimeOfDay;
SessionClose = chartSession.GetTradingDayEndLocal(chartSession.ActualTradingDayExchange).TimeOfDay;
}
else if (State == State.Historical)
{
SetZOrder(-1); // Display behind bars on chart.
}
}
protected override void OnBarUpdate()
{
if (DailyBars != BarsInProgress || CurrentBar < RangePeriod)
return;
double totalRange = 0;
for (int i = 0; i < RangePeriod; i++)
{
totalRange += Highs[DailyBars][i] - Lows[DailyBars][i];
}
double averageRange = totalRange / RangePeriod;
DailyRanges.Add(new DailyRange
{
Date = Time[0].Date.AddDays(1),
UpperLevel = Closes[DailyBars][0] + (averageRange / 2),
LowerLevel = Closes[DailyBars][0] - (averageRange / 2),
});
}
protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
{
base.OnRender(chartControl, chartScale);
foreach (var Range in DailyRanges)
{
int startX = ChartControl.GetXByTime(Range.Date.AddDays(-1).Add(SessionOpen));
int endX = ChartControl.GetXByTime(Range.Date.Add(SessionClose));
DrawHorizontalLine(startX, endX, chartScale.GetYByValue(Range.UpperLevel), ADRHighStroke);
DrawHorizontalLine(startX, endX, chartScale.GetYByValue(Range.LowerLevel), ADRLowStroke);
}
}
private void DrawHorizontalLine(int startX, int endX, int y, Stroke stroke)
{
SharpDX.Direct2D1.Brush dxBrush = stroke.Brush.ToDxBrush(RenderTarget);
RenderTarget.DrawLine(
new SharpDX.Vector2(startX, y),
new SharpDX.Vector2(endX, y),
dxBrush, stroke.Width, stroke.StrokeStyle
);
dxBrush.Dispose();
}
public override string DisplayName
{
get { return Name; }
}
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name = "Range Period", GroupName = "Average Daily Range", Order = 1)]
public int RangePeriod
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "ADR High", Order = 2, GroupName = "Average Daily Range")]
public Stroke ADRHighStroke { get; set; }
[NinjaScriptProperty]
[Display(Name = "ADR Low", Order = 3, GroupName = "Average Daily Range")]
public Stroke ADRLowStroke { get; set; }
}
}
#region NinjaScript generated code. Neither change nor remove.
namespace NinjaTrader.NinjaScript.Indicators
{
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private ADR[] cacheADR;
public ADR ADR(int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
{
return ADR(Input, rangePeriod, aDRHighStroke, aDRLowStroke);
}
public ADR ADR(ISeries<double> input, int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
{
if (cacheADR != null)
for (int idx = 0; idx < cacheADR.Length; idx++)
if (cacheADR[idx] != null && cacheADR[idx].RangePeriod == rangePeriod && cacheADR[idx].ADRHighStroke == aDRHighStroke && cacheADR[idx].ADRLowStroke == aDRLowStroke && cacheADR[idx].EqualsInput(input))
return cacheADR[idx];
return CacheIndicator<ADR>(new ADR(){ RangePeriod = rangePeriod, ADRHighStroke = aDRHighStroke, ADRLowStroke = aDRLowStroke }, input, ref cacheADR);
}
}
}
namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.ADR ADR(int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
{
return indicator.ADR(Input, rangePeriod, aDRHighStroke, aDRLowStroke);
}
public Indicators.ADR ADR(ISeries<double> input , int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
{
return indicator.ADR(input, rangePeriod, aDRHighStroke, aDRLowStroke);
}
}
}
namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.ADR ADR(int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
{
return indicator.ADR(Input, rangePeriod, aDRHighStroke, aDRLowStroke);
}
public Indicators.ADR ADR(ISeries<double> input , int rangePeriod, Stroke aDRHighStroke, Stroke aDRLowStroke)
{
return indicator.ADR(input, rangePeriod, aDRHighStroke, aDRLowStroke);
}
}
}
#endregion