Initial commit of Volatility Regime indicator

indicators/VolatilityRegime.cs

@@ -0,0 +1,144 @@
+#region Using declarations
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.ComponentModel.DataAnnotations;
+using System.Linq;
+using System.Xml.Serialization;
+using NinjaTrader.Gui.Chart;
+using NinjaTrader.Data;
+#endregion
+
+//This namespace holds Indicators in this folder and is required. Do not change it. 
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public class VolatilityRegime : Indicator
+    {
+        private const int VIXBars = 1;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"";
+                Name = "Volatility Regime";
+                Calculate = Calculate.OnBarClose;
+                IsOverlay = true;
+                DisplayInDataBox = true;
+                DrawOnPricePanel = true;
+                ScaleJustification = ScaleJustification.Right;
+                IsSuspendedWhileInactive = true;
+
+                RankPeriod = 252; // Approximately 1 year in trading days.
+            }
+            else if (State == State.Configure)
+            {
+                // TODO: Base number of days to request on a configurable date range.
+                AddDataSeries("^VIX", new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 },
+                    2000, "US Equities RTH", Bars.IsResetOnNewTradingDay);
+            }
+            else if (State == State.DataLoaded)
+            {
+                PercentRank = new Series<double>(this);
+            }
+            else if (State == State.Historical)
+            {
+                SetZOrder(-1); // Display behind bars on chart.
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (VIXBars != BarsInProgress)
+                return;
+
+            // Calculate percent rank of VIX closing prices over lookback period.
+            if (CurrentBar >= RankPeriod)
+            {
+                List<double> vixCloses = new List<double>();
+                for (int i = RankPeriod; i > 0; i--)
+                    vixCloses.Add(Closes[VIXBars][i]);
+
+                double currentVixClose = Closes[VIXBars][0];
+                int rank = vixCloses.Count(x => x <= currentVixClose); // # of closes <= current price.
+                PercentRank[0] = (double)rank / RankPeriod;
+            }
+            else
+            {
+                PercentRank[0] = 0; // Insufficient data.
+            }
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [Browsable(false)]
+        [XmlIgnore]
+        public Series<double> PercentRank { get; set; }
+
+        #region Properties
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Rank Period", Description = "Period for the percent rank lookback", Order = 1, GroupName = "Volatility Regime")]
+        public int RankPeriod { get; set; }
+        #endregion
+    }
+}
+
+#region NinjaScript generated code. Neither change nor remove.
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
+    {
+        private VolatilityRegime[] cacheVolatilityRegime;
+        public VolatilityRegime VolatilityRegime(int rankPeriod)
+        {
+            return VolatilityRegime(Input, rankPeriod);
+        }
+
+        public VolatilityRegime VolatilityRegime(ISeries<double> input, int rankPeriod)
+        {
+            if (cacheVolatilityRegime != null)
+                for (int idx = 0; idx < cacheVolatilityRegime.Length; idx++)
+                    if (cacheVolatilityRegime[idx] != null && cacheVolatilityRegime[idx].RankPeriod == rankPeriod && cacheVolatilityRegime[idx].EqualsInput(input))
+                        return cacheVolatilityRegime[idx];
+            return CacheIndicator<VolatilityRegime>(new VolatilityRegime(){ RankPeriod = rankPeriod }, input, ref cacheVolatilityRegime);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
+{
+    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
+    {
+        public Indicators.VolatilityRegime VolatilityRegime(int rankPeriod)
+        {
+            return indicator.VolatilityRegime(Input, rankPeriod);
+        }
+
+        public Indicators.VolatilityRegime VolatilityRegime(ISeries<double> input , int rankPeriod)
+        {
+            return indicator.VolatilityRegime(input, rankPeriod);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
+    {
+        public Indicators.VolatilityRegime VolatilityRegime(int rankPeriod)
+        {
+            return indicator.VolatilityRegime(Input, rankPeriod);
+        }
+
+        public Indicators.VolatilityRegime VolatilityRegime(ISeries<double> input , int rankPeriod)
+        {
+            return indicator.VolatilityRegime(input, rankPeriod);
+        }
+    }
+}
+
+#endregion