Add custom VWAP indicator
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indicators/VWAP.cs
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331
indicators/VWAP.cs
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#region Using declarations
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using NinjaTrader.Cbi;
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using NinjaTrader.Data;
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using NinjaTrader.Gui;
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using NinjaTrader.NinjaScript.MarketAnalyzerColumns;
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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.Globalization;
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using System.Windows.Media;
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#endregion
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namespace NinjaTrader.NinjaScript.Indicators
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{
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public class VWAP : Indicator
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{
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private static int CHART_BARS = 0;
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private static int TICK_BARS = 1;
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private double TotalVolume;
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private double VolumeWeightedPrice;
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private double TotalVolumeTick;
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private double VolumeWeightedPriceTick;
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private double VWAPTick;
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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 = "Volume Weighted Average Price (VWAP)";
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Name = "VWAP";
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Calculate = Calculate.OnBarClose;
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IsOverlay = true;
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DisplayInDataBox = true;
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DrawOnPricePanel = true;
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ScaleJustification = Gui.Chart.ScaleJustification.Right;
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IsSuspendedWhileInactive = true;
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BarsRequiredToPlot = 0;
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Precision = VWAPPrecision.Chart;
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Price = VWAPPrice.OHLC;
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AddPlot(new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3), PlotStyle.Line, "VWAP");
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}
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else if (State == State.Configure)
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{
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ClearOutputWindow();
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if (Precision == VWAPPrecision.Tick)
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{
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Tick, Value = 1 }, Bars.TradingHours.Name);
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}
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}
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else if (State == State.DataLoaded)
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{
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TotalVolume = 0;
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VolumeWeightedPrice = 0;
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TotalVolumeTick = 0;
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VolumeWeightedPriceTick = 0;
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VWAPTick = 0;
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}
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}
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private double GetPrice(int bars)
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{
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switch (Price)
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{
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case VWAPPrice.Open:
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return Opens[bars][0];
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case VWAPPrice.High:
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return Highs[bars][0];
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case VWAPPrice.Low:
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return Lows[bars][0];
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case VWAPPrice.Close:
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return Closes[bars][0];
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case VWAPPrice.HL:
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return (Highs[bars][0] + Lows[bars][0]) / 2;
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case VWAPPrice.HLC:
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return (Highs[bars][0] + Lows[bars][0] + Closes[bars][0]) / 3;
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case VWAPPrice.OHLC:
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default:
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return (Opens[bars][0] + Highs[bars][0] + Lows[bars][0] + Closes[bars][0]) / 4;
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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 (CHART_BARS == BarsInProgress)
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{
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if (Precision == VWAPPrecision.Tick)
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{
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Value[0] = VWAPTick;
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}
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else if (Calculate == Calculate.OnBarClose || IsFirstTickOfBar)
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{
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TotalVolume += Volume[0];
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VolumeWeightedPrice += Volume[0] * GetPrice(CHART_BARS);
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Value[0] = VolumeWeightedPrice / TotalVolume;
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}
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else
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{
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Value[0] = (VolumeWeightedPrice + (Volume[0] * GetPrice(CHART_BARS))) / (TotalVolume + Volume[0]);
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}
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}
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else if (TICK_BARS == BarsInProgress)
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{
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TotalVolumeTick += Volumes[TICK_BARS][0];
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VolumeWeightedPriceTick += Volumes[TICK_BARS][0] * GetPrice(TICK_BARS);
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VWAPTick = VolumeWeightedPriceTick / TotalVolumeTick;
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}
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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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[TypeConverter(typeof(VWAPPrecisionConverter))]
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[PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
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[Display(Name = "Precision", Description = "Precision with which VWAP is calculated", Order = 1, GroupName = "VWAP")]
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public VWAPPrecision Precision
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{ get; set; }
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[TypeConverter(typeof(VWAPPriceConverter))]
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[PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
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[Display(Name = "Average Price", Description = "How the average price of the bar is calculated", Order = 2, GroupName = "VWAP")]
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public VWAPPrice Price
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{ get; set; }
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#endregion
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}
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}
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public enum VWAPPrecision
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{
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Chart,
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Tick
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}
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public enum VWAPPrice
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{
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Open,
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High,
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Low,
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Close,
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HL,
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HLC,
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OHLC
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}
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public class VWAPPrecisionConverter : TypeConverter
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{
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private const string CHART = "Chart Period";
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private const string TICK = "Tick";
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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, TICK };
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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 VWAPPrecision.Chart;
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case TICK:
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return VWAPPrecision.Tick;
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}
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return VWAPPrecision.Chart;
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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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VWAPPrecision enumValue = (VWAPPrecision)Enum.Parse(typeof(VWAPPrecision), value.ToString());
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switch (enumValue)
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{
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case VWAPPrecision.Chart:
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return CHART;
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case VWAPPrecision.Tick:
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return TICK;
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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 VWAPPriceConverter : TypeConverter
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{
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private const string OPEN = "Open";
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private const string HIGH = "High";
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private const string LOW = "Low";
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private const string CLOSE = "Close";
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private const string HIGH_LOW = "(High + Low) / 2";
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private const string HIGH_LOW_CLOSE = "(High + Low + Close) / 3";
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private const string OPEN_HIGH_LOW_CLOSE = "(Open + High + Low + Close) / 4";
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public override StandardValuesCollection GetStandardValues(ITypeDescriptorContext context)
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{
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List<string> values = new List<string>() { OPEN, HIGH, LOW, CLOSE, HIGH_LOW, HIGH_LOW_CLOSE, OPEN_HIGH_LOW_CLOSE };
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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 OPEN:
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return VWAPPrice.Open;
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case HIGH:
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return VWAPPrice.High;
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case LOW:
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return VWAPPrice.Low;
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case CLOSE:
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return VWAPPrice.Close;
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case HIGH_LOW:
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return VWAPPrice.HL;
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case HIGH_LOW_CLOSE:
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return VWAPPrice.HLC;
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case OPEN_HIGH_LOW_CLOSE:
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return VWAPPrice.OHLC;
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}
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return VWAPPrice.OHLC;
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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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VWAPPrice enumValue = (VWAPPrice)Enum.Parse(typeof(VWAPPrice), value.ToString());
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switch (enumValue)
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{
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case VWAPPrice.Open:
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return OPEN;
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case VWAPPrice.High:
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return HIGH;
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case VWAPPrice.Low:
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return LOW;
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case VWAPPrice.Close:
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return CLOSE;
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case VWAPPrice.HL:
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return HIGH_LOW;
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case VWAPPrice.HLC:
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return HIGH_LOW_CLOSE;
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case VWAPPrice.OHLC:
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return OPEN_HIGH_LOW_CLOSE;
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}
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return OPEN_HIGH_LOW_CLOSE;
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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 VWAP[] cacheVWAPIndicator;
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public VWAP VWAPIndicator()
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{
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return VWAPIndicator(Input);
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}
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public VWAP VWAPIndicator(ISeries<double> input)
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{
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if (cacheVWAPIndicator != null)
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for (int idx = 0; idx < cacheVWAPIndicator.Length; idx++)
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if (cacheVWAPIndicator[idx] != null && cacheVWAPIndicator[idx].EqualsInput(input))
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return cacheVWAPIndicator[idx];
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return CacheIndicator<VWAP>(new VWAP(), input, ref cacheVWAPIndicator);
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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.VWAP VWAPIndicator()
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{
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return indicator.VWAPIndicator(Input);
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}
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public Indicators.VWAP VWAPIndicator(ISeries<double> input )
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{
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return indicator.VWAPIndicator(input);
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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.VWAP VWAPIndicator()
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{
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return indicator.VWAPIndicator(Input);
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}
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public Indicators.VWAP VWAPIndicator(ISeries<double> input )
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{
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return indicator.VWAPIndicator(input);
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}
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}
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}
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#endregion
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