Add an indicator for viewing the performance of the top n components of the index

indicators/IndexTopN.cs

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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.Net.Http;
+using System.Text;
+using System.Text.RegularExpressions;
+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;
+#endregion
+
+//This namespace holds Indicators in this folder and is required. Do not change it. 
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    [CategoryOrder("Index Top N", 1)]
+    [CategoryOrder("Plots", 2)]
+    public class IndexTopN : Indicator
+    {
+        private const int PrimaryBars = 0;
+        
+        private const string UserAgent = "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/58.0.3029.110 Safari/537.3";
+
+        // Regular expression to match the Slickcharts table row containing the components' symbols and index weightings.
+        private const string ComponentRegex = @"<tr>\s*<td>\d+</td>\s*<td><a href=""/symbol/[A-Z.]+?"">(.+?)</a></td>\s*<td><a href=""/symbol/[A-Z.]+?"">([A-Z.]+?)</a></td>\s*<td>(.+?)%</td>";
+
+        private List<string> Components = new List<string>();
+        private Dictionary<string, double> ComponentPrices = new Dictionary<string, double>();
+        private Dictionary<string, double> ComponentWeightings = new Dictionary<string, double>();
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Plots the top N components (weighted by market cap) of the specified index.";
+                Name = "Index Top N";
+                Calculate = Calculate.OnPriceChange;
+                IsOverlay = false;
+                DisplayInDataBox = true;
+                DrawOnPricePanel = true;
+                ScaleJustification = ScaleJustification.Overlay;
+                IsSuspendedWhileInactive = false;
+
+                NumComponents = 10;
+
+                AddPlot(new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3), PlotStyle.Line, "Top N Index");
+            }
+            else if (State == State.Configure)
+            {
+                RetrieveComponentData();
+
+                foreach (var component in Components)
+                {
+                    //Replace "." with "_" in component name to avoid issues with NinjaTrader's naming conventions and "BRK.B".
+                    AddDataSeries(component.Replace(".", "_"));
+                }
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress == PrimaryBars)
+            {
+                double indexValue = 0;
+                foreach (var component in Components)
+                {
+                    if (ComponentPrices.ContainsKey(component) && ComponentWeightings.ContainsKey(component))
+                        indexValue += ComponentPrices[component] * ComponentWeightings[component];
+                }
+                
+                if (indexValue > 0)
+                    Index[0] = indexValue;
+            }
+            else
+            {
+                string component = Components[BarsInProgress - 1];
+                ComponentPrices[component] = Closes[BarsInProgress][0];
+            }
+        }
+
+        private void RetrieveComponentData()
+        {
+            const string url = "https://www.slickcharts.com/sp500";
+            var httpClient = new HttpClient();
+            httpClient.DefaultRequestHeaders.Add("User-Agent", UserAgent);
+            var htmlContent = httpClient.GetStringAsync(url).Result;
+
+            int count = 0;
+            var matches = Regex.Matches(htmlContent, ComponentRegex);
+            foreach (Match match in matches)
+            {
+                if (count++ >= NumComponents) break;
+
+                var symbol = match.Groups[2].Value;
+                var percentage = match.Groups[3].Value;
+
+                Components.Add(symbol);
+                ComponentWeightings.Add(symbol, double.Parse(percentage));
+            }
+        }
+
+        public override string DisplayName
+        {
+            get { return "Index Top " + NumComponents; }
+        }
+
+        #region Plots
+        [Browsable(false)]
+        [XmlIgnore]
+        public Series<double> Index
+        {
+            get { return Values[0]; }
+        }
+        #endregion
+
+        #region Properties
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Number of Components", GroupName = "Index Top N", Order = 1)]
+        public int NumComponents { get; set; }
+        #endregion
+    }
+}
+
+#region NinjaScript generated code. Neither change nor remove.
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
+    {
+        private IndexTopN[] cacheIndexTopN;
+        public IndexTopN IndexTopN(int numComponents)
+        {
+            return IndexTopN(Input, numComponents);
+        }
+
+        public IndexTopN IndexTopN(ISeries<double> input, int numComponents)
+        {
+            if (cacheIndexTopN != null)
+                for (int idx = 0; idx < cacheIndexTopN.Length; idx++)
+                    if (cacheIndexTopN[idx] != null && cacheIndexTopN[idx].NumComponents == numComponents && cacheIndexTopN[idx].EqualsInput(input))
+                        return cacheIndexTopN[idx];
+            return CacheIndicator<IndexTopN>(new IndexTopN(){ NumComponents = numComponents }, input, ref cacheIndexTopN);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
+{
+    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
+    {
+        public Indicators.IndexTopN IndexTopN(int numComponents)
+        {
+            return indicator.IndexTopN(Input, numComponents);
+        }
+
+        public Indicators.IndexTopN IndexTopN(ISeries<double> input , int numComponents)
+        {
+            return indicator.IndexTopN(input, numComponents);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
+    {
+        public Indicators.IndexTopN IndexTopN(int numComponents)
+        {
+            return indicator.IndexTopN(Input, numComponents);
+        }
+
+        public Indicators.IndexTopN IndexTopN(ISeries<double> input , int numComponents)
+        {
+            return indicator.IndexTopN(input, numComponents);
+        }
+    }
+}
+
+#endregion