Add Fair Value Gap (FVG) indicator
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indicators/FairValueGap.cs
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453
indicators/FairValueGap.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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using System.Globalization;
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using NinjaTrader.NinjaScript.Indicators;
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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 FairValueGap
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{
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public DateTime StartTime { get; set; }
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public DateTime EndTime { get; set; }
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public double StartPrice { get; set; }
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public double EndPrice { get; set; }
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}
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[TypeConverter("NinjaTrader.NinjaScript.Indicators.FairValueGapsPropertyConverter")]
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public class FairValueGaps : Indicator
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{
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public const int CHART_BARS = 0;
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public const int OTHER_BARS = 1;
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private List<FairValueGap> fairValueGaps;
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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 = @"ICT Fair Value Gap (FVG)";
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Name = "Fair Value Gaps";
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Calculate = Calculate.OnPriceChange;
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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 = true;
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MinimumGap = 1.0;
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GapBars = CHART_BARS;
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BarType = BarsPeriodType.Minute;
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Period = 1;
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GapUpColor = Brushes.LimeGreen;
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GapUpOpacity = 25;
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GapDownColor = Brushes.Red;
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GapDownOpacity = 25;
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}
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else if (State == State.Configure)
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{
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fairValueGaps = new List<FairValueGap>();
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if (GapBars != CHART_BARS)
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{
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarType, Value = Period }, Bars.TradingHours.Name);
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}
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}
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else if (State == State.Historical)
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{
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SetZOrder(-1);
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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 (CurrentBar < 4)
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return;
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if (GapBars == BarsInProgress && IsFirstTickOfBar)
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{
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double downGap = Lows[GapBars][3] - Highs[GapBars][1];
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if (downGap > MinimumGap)
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{
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fairValueGaps.Add(new FairValueGap
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{
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StartTime = Times[GapBars][3],
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StartPrice = Lows[GapBars][3],
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EndPrice = Highs[GapBars][1]
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});
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}
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double upGap = Lows[GapBars][1] - Highs[GapBars][3];
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if (upGap > MinimumGap)
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{
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fairValueGaps.Add(new FairValueGap
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{
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StartTime = Times[GapBars][3],
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StartPrice = Highs[GapBars][3],
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EndPrice = Lows[GapBars][1]
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});
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}
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}
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var unfilledGaps = from fairValueGap in fairValueGaps
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where fairValueGap.EndTime == default(DateTime)
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select fairValueGap;
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foreach (FairValueGap unfilledGap in unfilledGaps)
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{
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if (unfilledGap.EndPrice < unfilledGap.StartPrice && Highs[BarsInProgress][0] >= unfilledGap.StartPrice)
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unfilledGap.EndTime = Times[BarsInProgress][0];
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else if (unfilledGap.EndPrice > unfilledGap.StartPrice && Lows[BarsInProgress][0] <= unfilledGap.StartPrice)
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unfilledGap.EndTime = Times[BarsInProgress][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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SharpDX.Direct2D1.Brush fairValueGapUpBrush = GapUpColor.ToDxBrush(RenderTarget);
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fairValueGapUpBrush.Opacity = GapUpOpacity / 100f;
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SharpDX.Direct2D1.Brush fairValueGapDownBrush = GapDownColor.ToDxBrush(RenderTarget);
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fairValueGapDownBrush.Opacity = GapDownOpacity / 100f;
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// TODO: Only render gaps that would actually be visible on the screen.
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foreach (FairValueGap fairValueGap in fairValueGaps)
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{
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int fairValueGapStartX = chartControl.GetXByTime(fairValueGap.StartTime);
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int fairValueGapEndX;
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if (fairValueGap.EndTime != default(DateTime))
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fairValueGapEndX = chartControl.GetXByTime(fairValueGap.EndTime);
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else
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fairValueGapEndX = ChartPanel.X + ChartPanel.W;
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int fairValueGapStartY = chartScale.GetYByValue(Math.Max(fairValueGap.StartPrice, fairValueGap.EndPrice));
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int fairValueGapEndY = chartScale.GetYByValue(Math.Min(fairValueGap.StartPrice, fairValueGap.EndPrice));
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SharpDX.RectangleF fairValueGapRectangle = new SharpDX.RectangleF(fairValueGapStartX, fairValueGapStartY,
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fairValueGapEndX - fairValueGapStartX, fairValueGapEndY - fairValueGapStartY);
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RenderTarget.FillRectangle(fairValueGapRectangle,
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fairValueGap.EndPrice > fairValueGap.StartPrice ? fairValueGapUpBrush : fairValueGapDownBrush);
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}
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fairValueGapUpBrush.Dispose();
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fairValueGapDownBrush.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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#region Properties
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[NinjaScriptProperty]
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[Range(1, double.MaxValue)]
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[Display(Name = "Minimum Gap Size", Description = "Minimum size of gaps to consider (in points)", Order = 1, GroupName = "Fair Value Gaps")]
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public double MinimumGap
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{ get; set; }
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[TypeConverter(typeof(GapBarsConverter))]
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[PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
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[RefreshProperties(RefreshProperties.All)]
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[Display(Name = "Detect Gaps On", Description = "The bars used to detect gaps", Order = 2, GroupName = "Fair Value Gaps")]
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public int GapBars
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{ get; set; }
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[TypeConverter(typeof(BarsPeriodTypeConverter))]
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[PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
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[Display(Name = "Bar Type", Description = "Type of bars on which to detect gaps", Order = 3, GroupName = "Fair Value Gaps")]
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public BarsPeriodType BarType
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{ get; set; }
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Period", Description = "Period of the bars used to detect gaps", Order = 4, GroupName = "Fair Value Gaps")]
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public int Period
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{ get; set; }
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[XmlIgnore]
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[NinjaScriptProperty]
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[Display(Name = "Gap Up", Description = "Color of the area of upward gaps", Order = 5, GroupName = "Fair Value Gaps")]
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public Brush GapUpColor
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{ get; set; }
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[Browsable(false)]
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public string GapUpColorSerialization
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{
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get { return Serialize.BrushToString(GapUpColor); }
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set { GapUpColor = Serialize.StringToBrush(value); }
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}
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[NinjaScriptProperty]
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[Range(0, 100)]
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[Display(Name = "Gap Up Opacity (%)", Description = "Opacity of the area of upward gaps", Order = 6, GroupName = "Fair Value Gaps")]
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public int GapUpOpacity
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{ get; set; }
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[XmlIgnore]
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[NinjaScriptProperty]
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[Display(Name = "Gap Down", Description = "Color of the area of downward gaps", Order = 7, GroupName = "Fair Value Gaps")]
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public Brush GapDownColor
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{ get; set; }
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[Browsable(false)]
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public string GapDownColorSerialization
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{
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get { return Serialize.BrushToString(GapDownColor); }
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set { GapDownColor = Serialize.StringToBrush(value); }
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}
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[NinjaScriptProperty]
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[Range(0, 100)]
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[Display(Name = "Gap Down Opacity (%)", Description = "Opacity of the area of downward gaps", Order = 8, GroupName = "Fair Value Gaps")]
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public int GapDownOpacity
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{ get; set; }
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#endregion
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}
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public class FairValueGapsPropertyConverter : IndicatorBaseConverter
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{
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public override PropertyDescriptorCollection GetProperties(ITypeDescriptorContext context, object component, Attribute[] attrs)
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{
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FairValueGaps indicator = component as FairValueGaps;
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PropertyDescriptorCollection properties = base.GetPropertiesSupported(context) ?
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base.GetProperties(context, component, attrs) : TypeDescriptor.GetProperties(component, attrs);
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if (indicator == null || properties == null)
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return properties;
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PropertyDescriptor barType = properties["BarType"];
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PropertyDescriptor period = properties["Period"];
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properties.Remove(barType);
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properties.Remove(period);
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if (indicator.GapBars == FairValueGaps.OTHER_BARS)
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{
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properties.Add(barType);
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properties.Add(period);
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}
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return properties;
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}
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public override bool GetPropertiesSupported(ITypeDescriptorContext context)
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{ return true; }
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}
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}
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public class GapBarsConverter : TypeConverter
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{
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private const string CHART = "Chart Bars";
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private const string OTHER = "Other";
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public override StandardValuesCollection GetStandardValues(ITypeDescriptorContext context)
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{
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List<string> values = new List<string>() { CHART, OTHER };
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return new StandardValuesCollection(values);
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}
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public override object ConvertFrom(ITypeDescriptorContext context, CultureInfo culture, object value)
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{
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switch (value.ToString())
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{
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case CHART:
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return FairValueGaps.CHART_BARS;
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case OTHER:
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return FairValueGaps.OTHER_BARS;
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}
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return FairValueGaps.CHART_BARS;
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}
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public override object ConvertTo(ITypeDescriptorContext context, CultureInfo culture, object value, Type destinationType)
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{
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switch ((int)value)
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{
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case FairValueGaps.CHART_BARS:
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return CHART;
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case FairValueGaps.OTHER_BARS:
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return OTHER;
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}
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return CHART;
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}
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public override bool CanConvertFrom(ITypeDescriptorContext context, Type sourceType)
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{ return true; }
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public override bool CanConvertTo(ITypeDescriptorContext context, Type destinationType)
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{ return true; }
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public override bool GetStandardValuesExclusive(ITypeDescriptorContext context)
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{ return true; }
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public override bool GetStandardValuesSupported(ITypeDescriptorContext context)
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{ return true; }
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}
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public class BarsPeriodTypeConverter : TypeConverter
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{
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private const string MINUTE = "Minute";
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private const string SECOND = "Second";
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private const string DAY = "Day";
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private const string WEEK = "Week";
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private const string MONTH = "Month";
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private const string YEAR = "Year";
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private const string RANGE = "Range";
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private const string TICK = "Tick";
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private const string VOLUME = "Volume";
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public override StandardValuesCollection GetStandardValues(ITypeDescriptorContext context)
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{
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List<string> values = new List<string>() { MINUTE, SECOND, DAY, WEEK, MONTH, YEAR, RANGE, TICK, VOLUME };
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return new StandardValuesCollection(values);
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}
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public override object ConvertFrom(ITypeDescriptorContext context, CultureInfo culture, object value)
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{
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switch (value.ToString())
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{
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case MINUTE:
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return BarsPeriodType.Minute;
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case SECOND:
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return BarsPeriodType.Second;
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case DAY:
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return BarsPeriodType.Day;
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case WEEK:
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return BarsPeriodType.Week;
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case MONTH:
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return BarsPeriodType.Month;
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case YEAR:
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return BarsPeriodType.Year;
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case RANGE:
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return BarsPeriodType.Range;
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case TICK:
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return BarsPeriodType.Tick;
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case VOLUME:
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return BarsPeriodType.Volume;
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}
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return BarsPeriodType.Minute;
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}
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public override object ConvertTo(ITypeDescriptorContext context, CultureInfo culture, object value, Type destinationType)
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{
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BarsPeriodType enumValue = (BarsPeriodType)Enum.Parse(typeof(BarsPeriodType), value.ToString());
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switch (enumValue)
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{
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case BarsPeriodType.Minute:
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return MINUTE;
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case BarsPeriodType.Second:
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return SECOND;
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case BarsPeriodType.Day:
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return DAY;
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case BarsPeriodType.Week:
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return WEEK;
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case BarsPeriodType.Month:
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return MONTH;
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case BarsPeriodType.Year:
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return YEAR;
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case BarsPeriodType.Range:
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return RANGE;
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case BarsPeriodType.Tick:
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return TICK;
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case BarsPeriodType.Volume:
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return VOLUME;
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}
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return MINUTE;
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}
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public override bool CanConvertFrom(ITypeDescriptorContext context, Type sourceType)
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{ return true; }
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public override bool CanConvertTo(ITypeDescriptorContext context, Type destinationType)
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{ return true; }
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public override bool GetStandardValuesExclusive(ITypeDescriptorContext context)
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{ return true; }
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public override bool GetStandardValuesSupported(ITypeDescriptorContext context)
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{ return true; }
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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 FairValueGaps[] cacheFairValueGaps;
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public FairValueGaps FairValueGaps(double minimumGap, int period, Brush gapUpColor, int gapUpOpacity, Brush gapDownColor, int gapDownOpacity)
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{
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return FairValueGaps(Input, minimumGap, period, gapUpColor, gapUpOpacity, gapDownColor, gapDownOpacity);
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}
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public FairValueGaps FairValueGaps(ISeries<double> input, double minimumGap, int period, Brush gapUpColor, int gapUpOpacity, Brush gapDownColor, int gapDownOpacity)
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{
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if (cacheFairValueGaps != null)
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for (int idx = 0; idx < cacheFairValueGaps.Length; idx++)
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if (cacheFairValueGaps[idx] != null && cacheFairValueGaps[idx].MinimumGap == minimumGap && cacheFairValueGaps[idx].Period == period && cacheFairValueGaps[idx].GapUpColor == gapUpColor && cacheFairValueGaps[idx].GapUpOpacity == gapUpOpacity && cacheFairValueGaps[idx].GapDownColor == gapDownColor && cacheFairValueGaps[idx].GapDownOpacity == gapDownOpacity && cacheFairValueGaps[idx].EqualsInput(input))
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return cacheFairValueGaps[idx];
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return CacheIndicator<FairValueGaps>(new FairValueGaps(){ MinimumGap = minimumGap, Period = period, GapUpColor = gapUpColor, GapUpOpacity = gapUpOpacity, GapDownColor = gapDownColor, GapDownOpacity = gapDownOpacity }, input, ref cacheFairValueGaps);
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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.FairValueGaps FairValueGaps(double minimumGap, int period, Brush gapUpColor, int gapUpOpacity, Brush gapDownColor, int gapDownOpacity)
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{
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return indicator.FairValueGaps(Input, minimumGap, period, gapUpColor, gapUpOpacity, gapDownColor, gapDownOpacity);
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}
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public Indicators.FairValueGaps FairValueGaps(ISeries<double> input , double minimumGap, int period, Brush gapUpColor, int gapUpOpacity, Brush gapDownColor, int gapDownOpacity)
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{
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return indicator.FairValueGaps(input, minimumGap, period, gapUpColor, gapUpOpacity, gapDownColor, gapDownOpacity);
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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.FairValueGaps FairValueGaps(double minimumGap, int period, Brush gapUpColor, int gapUpOpacity, Brush gapDownColor, int gapDownOpacity)
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{
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return indicator.FairValueGaps(Input, minimumGap, period, gapUpColor, gapUpOpacity, gapDownColor, gapDownOpacity);
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}
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public Indicators.FairValueGaps FairValueGaps(ISeries<double> input , double minimumGap, int period, Brush gapUpColor, int gapUpOpacity, Brush gapDownColor, int gapDownOpacity)
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{
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return indicator.FairValueGaps(input, minimumGap, period, gapUpColor, gapUpOpacity, gapDownColor, gapDownOpacity);
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}
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}
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}
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#endregion
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