From 45311e06c0ff94df2f1874336e044bd948062c53 Mon Sep 17 00:00:00 2001 From: moshferatu Date: Mon, 6 Nov 2023 05:51:39 -0800 Subject: [PATCH] Add indicator for displaying the tape (a.k.a. time and sales) on the chart rather than in a separate window --- indicators/Tape.cs | 269 +++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 269 insertions(+) create mode 100644 indicators/Tape.cs diff --git a/indicators/Tape.cs b/indicators/Tape.cs new file mode 100644 index 0000000..77c12ba --- /dev/null +++ b/indicators/Tape.cs @@ -0,0 +1,269 @@ +#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 SharpDX.DirectWrite; +#endregion + +//This namespace holds Indicators in this folder and is required. Do not change it. +namespace NinjaTrader.NinjaScript.Indicators +{ + [CategoryOrder("Order Display", 1)] + [CategoryOrder("Order Colors", 2)] + [CategoryOrder("Text Formatting", 3)] + public class Tape : Indicator + { + private const int DefaultOrderFilter = 1; // By default, all orders are shown. + private const int DefaultMaxOrders = 50; + private const int DefaultDisplayOffset = 225; + private static readonly Brush DefaultBuyOrderColor = Brushes.LimeGreen; + private static readonly Brush DefaultSellOrderColor = Brushes.Red; + private const string DefaultTimestampFormat = "HH:mm:ss.fff"; + private static readonly SimpleFont DefaultFontFamily = new SimpleFont("Arial", 12); + + private class OrderData + { + public DateTime Time { get; set; } + public double Price { get; set; } + public long Volume { get; set; } + public double Ask { get; set; } + public double Bid { get; set; } + } + + private List recentOrders = new List(); + + protected override void OnStateChange() + { + if (State == State.SetDefaults) + { + Description = @"Displays the tape on the chart rather than in a separate window"; + Name = "Tape"; + Calculate = Calculate.OnEachTick; + IsOverlay = true; + DisplayInDataBox = true; + DrawOnPricePanel = true; + DrawHorizontalGridLines = true; + DrawVerticalGridLines = true; + PaintPriceMarkers = true; + ScaleJustification = ScaleJustification.Right; + IsSuspendedWhileInactive = false; + OrderFilter = DefaultOrderFilter; + CombineOrders = false; + MaxDisplayOrders = DefaultMaxOrders; + DisplayOrdersOffset = DefaultDisplayOffset; + BuyOrderColor = DefaultBuyOrderColor; + SellOrderColor = DefaultSellOrderColor; + TimestampFormat = DefaultTimestampFormat; + TextFontFamily = DefaultFontFamily; + } + else if (State == State.Configure) + { + } + else if (State == State.Historical) + { + SetZOrder(-1); // Display behind bars on chart. + } + } + + protected override void OnMarketData(MarketDataEventArgs marketDataUpdate) + { + if (marketDataUpdate.MarketDataType == MarketDataType.Last && marketDataUpdate.Volume >= OrderFilter) + { + if (CombineOrders && recentOrders.Any(o => o.Time == marketDataUpdate.Time && o.Price == marketDataUpdate.Price)) + { + var existingOrder = recentOrders.First(o => o.Time == marketDataUpdate.Time && o.Price == marketDataUpdate.Price); + existingOrder.Volume += marketDataUpdate.Volume; + } + else + { + if (recentOrders.Count >= MaxDisplayOrders) + recentOrders.RemoveAt(0); // Remove the oldest order. + + recentOrders.Add(new OrderData + { + Time = marketDataUpdate.Time, + Price = marketDataUpdate.Price, + Volume = marketDataUpdate.Volume, + Ask = marketDataUpdate.Ask, + Bid = marketDataUpdate.Bid + }); + } + } + } + + protected override void OnRender(ChartControl chartControl, ChartScale chartScale) + { + base.OnRender(chartControl, chartScale); + + if (recentOrders.Count == 0) + return; // No values to render + + int startY = ChartPanel.Y; + int spaceBetween = 15; + int currentY = startY; + + for (int i = recentOrders.Count - 1; i >= 0; i--) + { + var order = recentOrders[i]; + string text = string.Format("{0:" + TimestampFormat + "} Price: {1:F2} Volume: {2}", order.Time, order.Price, order.Volume); + + SharpDX.Direct2D1.Brush brush; + if (order.Price >= order.Ask) + brush = BuyOrderColor.ToDxBrush(RenderTarget); + else if (order.Price <= order.Bid) + brush = SellOrderColor.ToDxBrush(RenderTarget); + else + brush = Brushes.White.ToDxBrush(RenderTarget); + + TextFormat format = TextFontFamily.ToDirectWriteTextFormat(); + TextLayout layout = new TextLayout(Core.Globals.DirectWriteFactory, text, format, 500, format.FontSize); + + SharpDX.Vector2 textOrigin = new SharpDX.Vector2( + ChartPanel.W - DisplayOrdersOffset, + currentY + ); + + RenderTarget.DrawTextLayout(textOrigin, layout, brush, SharpDX.Direct2D1.DrawTextOptions.NoSnap); + + currentY += (int)layout.Metrics.Height + spaceBetween; + + layout.Dispose(); + format.Dispose(); + brush.Dispose(); + } + } + + protected override void OnBarUpdate() {} + + public override string DisplayName + { + get { return Name; } + } + + [NinjaScriptProperty] + [Range(1, int.MaxValue)] + [Display(Name = "Order Filter", Order = 1, GroupName = "Order Display")] + public int OrderFilter { get; set; } + + [NinjaScriptProperty] + [Display(Name = "Combine Orders", Order = 2, GroupName = "Order Display")] + public bool CombineOrders { get; set; } + + [NinjaScriptProperty] + [Range(1, int.MaxValue)] + [Display(Name = "Max Orders", Order = 3, GroupName = "Order Display")] + public int MaxDisplayOrders { get; set; } + + [NinjaScriptProperty] + [Range(1, int.MaxValue)] + [Display(Name = "Display Offset", Order = 4, GroupName = "Order Display")] + public int DisplayOrdersOffset { get; set; } + + [NinjaScriptProperty] + [XmlIgnore] + [Display(Name = "Buy Order Color", Order = 1, GroupName = "Order Colors")] + public Brush BuyOrderColor { get; set; } + + [Browsable(false)] + public string BuyOrderColorSerialization + { + get { return Serialize.BrushToString(BuyOrderColor); } + set { BuyOrderColor = Serialize.StringToBrush(value); } + } + + [NinjaScriptProperty] + [XmlIgnore] + [Display(Name = "Sell Order Color", Order = 2, GroupName = "Order Colors")] + public Brush SellOrderColor { get; set; } + + [Browsable(false)] + public string SellOrderColorSerialization + { + get { return Serialize.BrushToString(SellOrderColor); } + set { SellOrderColor = Serialize.StringToBrush(value); } + } + + [NinjaScriptProperty] + [Display(Name = "Timestamp Format", Order = 1, GroupName = "Text Formatting")] + public string TimestampFormat { get; set; } + + [NinjaScriptProperty] + [Display(Name = "Font Family", Order = 2, GroupName = "Text Formatting")] + public SimpleFont TextFontFamily { get; set; } + + } +} + +#region NinjaScript generated code. Neither change nor remove. + +namespace NinjaTrader.NinjaScript.Indicators +{ + public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase + { + private Tape[] cacheTape; + public Tape Tape(int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily) + { + return Tape(Input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily); + } + + public Tape Tape(ISeries input, int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily) + { + if (cacheTape != null) + for (int idx = 0; idx < cacheTape.Length; idx++) + if (cacheTape[idx] != null && cacheTape[idx].OrderFilter == orderFilter && cacheTape[idx].CombineOrders == combineOrders && cacheTape[idx].MaxDisplayOrders == maxDisplayOrders && cacheTape[idx].DisplayOrdersOffset == displayOrdersOffset && cacheTape[idx].BuyOrderColor == buyOrderColor && cacheTape[idx].SellOrderColor == sellOrderColor && cacheTape[idx].TimestampFormat == timestampFormat && cacheTape[idx].TextFontFamily == textFontFamily && cacheTape[idx].EqualsInput(input)) + return cacheTape[idx]; + return CacheIndicator(new Tape(){ OrderFilter = orderFilter, CombineOrders = combineOrders, MaxDisplayOrders = maxDisplayOrders, DisplayOrdersOffset = displayOrdersOffset, BuyOrderColor = buyOrderColor, SellOrderColor = sellOrderColor, TimestampFormat = timestampFormat, TextFontFamily = textFontFamily }, input, ref cacheTape); + } + } +} + +namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns +{ + public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase + { + public Indicators.Tape Tape(int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily) + { + return indicator.Tape(Input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily); + } + + public Indicators.Tape Tape(ISeries input , int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily) + { + return indicator.Tape(input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily); + } + } +} + +namespace NinjaTrader.NinjaScript.Strategies +{ + public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase + { + public Indicators.Tape Tape(int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily) + { + return indicator.Tape(Input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily); + } + + public Indicators.Tape Tape(ISeries input , int orderFilter, bool combineOrders, int maxDisplayOrders, int displayOrdersOffset, Brush buyOrderColor, Brush sellOrderColor, string timestampFormat, SimpleFont textFontFamily) + { + return indicator.Tape(input, orderFilter, combineOrders, maxDisplayOrders, displayOrdersOffset, buyOrderColor, sellOrderColor, timestampFormat, textFontFamily); + } + } +} + +#endregion