Add OR mid line and resolve issues around non-time based charts and daylight savings time
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@ -33,9 +33,17 @@ namespace NinjaTrader.NinjaScript.Indicators
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{
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public class OpeningRange : Indicator
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{
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private static int MINUTES_IN_HOUR = 60;
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private static string REGULAR_TRADING_HOURS = "US Equities RTH";
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private double OpeningRangeHigh;
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private double OpeningRangeLow;
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private int OpeningRangeInSeconds;
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private double OpeningRangeMid;
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private DateTime OpeningRangeDate;
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private DateTime OpeningRangeStartTime;
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private SessionIterator Session;
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protected override void OnStateChange()
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{
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@ -54,85 +62,112 @@ namespace NinjaTrader.NinjaScript.Indicators
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//Disable this property if your indicator requires custom values that cumulate with each new market data event.
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//See Help Guide for additional information.
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IsSuspendedWhileInactive = true;
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ArePlotsConfigurable = false;
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OpeningRangeLength = 30;
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OpeningRangeTimeFrame = TimeFrame.Minutes;
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OpeningRangeHighStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3);
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OpeningRangeLowStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3);
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OpeningRangeMidStroke = new Stroke(Brushes.Gray, DashStyleHelper.Dash, 3);
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AddPlot(Brushes.Transparent, "ORH");
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AddPlot(Brushes.Transparent, "ORL");
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AddPlot(Brushes.Transparent, "ORM");
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}
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else if (State == State.Configure)
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{
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OpeningRangeHigh = 0.0;
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OpeningRangeLow = 0.0;
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OpeningRangeMid = 0.0;
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OpeningRangeDate = DateTime.MinValue;
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OpeningRangeStartTime = DateTime.MinValue;
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if (OpeningRangeTimeFrame == TimeFrame.Seconds)
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{
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AddDataSeries(Data.BarsPeriodType.Second, 1);
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OpeningRangeInSeconds = OpeningRangeLength;
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Second, Value = OpeningRangeLength }, REGULAR_TRADING_HOURS);
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}
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else if (OpeningRangeTimeFrame == TimeFrame.Hours)
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{
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AddDataSeries(Data.BarsPeriodType.Minute, 30);
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OpeningRangeInSeconds = OpeningRangeLength * 60 * 60;
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangeLength * MINUTES_IN_HOUR }, REGULAR_TRADING_HOURS);
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}
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else
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{
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AddDataSeries(Data.BarsPeriodType.Minute, 1);
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OpeningRangeInSeconds = OpeningRangeLength * 60;
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangeLength }, REGULAR_TRADING_HOURS);
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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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Session = new SessionIterator(BarsArray[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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// Converting time to UTC in order to simplify opening range calculation.
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DateTime now = Times[BarsInProgress][0].ToUniversalTime();
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DateTime marketOpen = now.Date.AddHours(14).AddMinutes(30);
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DateTime marketClose = now.Date.AddHours(21);
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DateTime now = Times[BarsInProgress][0];
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DateTime marketOpen = now.Date + Session.GetTradingDayBeginLocal(Session.ActualTradingDayExchange).TimeOfDay;
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DateTime marketClose = now.Date + Session.GetTradingDayEndLocal(Session.ActualTradingDayExchange).TimeOfDay;
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if (now > marketClose)
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if (Bars.IsFirstBarOfSession && IsFirstTickOfBar)
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{
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OpeningRangeHigh = 0.0;
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OpeningRangeLow = 0.0;
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OpeningRangeMid = 0.0;
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}
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if (BarsInProgress == 0)
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{
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ORH[0] = OpeningRangeHigh;
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ORL[0] = OpeningRangeLow;
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OpeningRangeMid = (OpeningRangeLow + OpeningRangeHigh) / 2.0;
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ORM[0] = OpeningRangeMid;
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if (now > marketOpen && now.Date != OpeningRangeDate)
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{
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OpeningRangeStartTime = now;
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OpeningRangeDate = now.Date;
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}
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if (OpeningRangeHigh > 0.0 && OpeningRangeLow > 0.0)
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{
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Draw.Line(this, "ORH@" + OpeningRangeHigh, true, OpeningRangeStartTime, OpeningRangeHigh, marketClose, OpeningRangeHigh,
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OpeningRangeHighStroke.Brush, OpeningRangeHighStroke.DashStyleHelper, (int)OpeningRangeHighStroke.Width);
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Draw.Line(this, "ORL@" + OpeningRangeLow, true, OpeningRangeStartTime, OpeningRangeLow, marketClose, OpeningRangeLow,
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OpeningRangeLowStroke.Brush, OpeningRangeLowStroke.DashStyleHelper, (int)OpeningRangeLowStroke.Width);
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Draw.Line(this, "ORM@" + OpeningRangeMid, true, OpeningRangeStartTime, OpeningRangeMid, marketClose, OpeningRangeMid,
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OpeningRangeMidStroke.Brush, OpeningRangeMidStroke.DashStyleHelper, (int)OpeningRangeMidStroke.Width);
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}
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return;
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}
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if (now > marketOpen && now <= marketOpen.AddSeconds(OpeningRangeInSeconds))
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if (Bars.IsFirstBarOfSession)
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{
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// TODO: The OR would ideally start on the first candle of the market session.
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// As it is, the OR begins plotting on the candle just prior to open.
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if (Highs[1][0] > OpeningRangeHigh || OpeningRangeHigh == 0.0)
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if (Highs[BarsInProgress][0] > OpeningRangeHigh || OpeningRangeHigh == 0.0)
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{
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RemoveDrawObject("ORH@" + OpeningRangeHigh);
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OpeningRangeHigh = Highs[1][0];
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Draw.Line(this, "ORH@" + OpeningRangeHigh, true, marketOpen.ToLocalTime(), OpeningRangeHigh, marketClose.ToLocalTime(), OpeningRangeHigh,
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OpeningRangeHighStroke.Brush, OpeningRangeHighStroke.DashStyleHelper, (int)OpeningRangeHighStroke.Width);
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RemoveDrawObject("ORM@" + OpeningRangeMid);
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OpeningRangeHigh = Highs[BarsInProgress][0];
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}
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if (Lows[1][0] < OpeningRangeLow || OpeningRangeLow == 0.0)
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if (Lows[BarsInProgress][0] < OpeningRangeLow || OpeningRangeLow == 0.0)
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{
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RemoveDrawObject("ORL@" + OpeningRangeLow);
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OpeningRangeLow = Lows[1][0];
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Draw.Line(this, "ORL@" + OpeningRangeLow, true, marketOpen.ToLocalTime(), OpeningRangeLow, marketClose.ToLocalTime(), OpeningRangeLow,
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OpeningRangeLowStroke.Brush, OpeningRangeLowStroke.DashStyleHelper, (int)OpeningRangeLowStroke.Width);
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RemoveDrawObject("ORM@" + OpeningRangeMid);
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OpeningRangeLow = Lows[BarsInProgress][0];
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}
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}
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}
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name="Length", Description="Length of opening range", Order=1, GroupName="Parameters")]
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[Display(Name = "Length", Description = "Length of opening range", Order = 1, GroupName = "Parameters")]
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public int OpeningRangeLength
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name="Time Frame", Description="Time frame on which opening range is being calculated", Order=2, GroupName="Parameters")]
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[Display(Name = "Time Frame", Description = "Time frame on which opening range is being calculated", Order = 2, GroupName = "Parameters")]
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public TimeFrame OpeningRangeTimeFrame
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{ get; set; }
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@ -146,6 +181,11 @@ namespace NinjaTrader.NinjaScript.Indicators
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public Stroke OpeningRangeLowStroke
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Opening Range Mid", Description = "Opening range mid line drawn on chart", Order = 5, GroupName = "Parameters")]
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public Stroke OpeningRangeMidStroke
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{ get; set; }
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[Browsable(false)]
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[XmlIgnore]
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public Series<double> ORH
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@ -159,6 +199,13 @@ namespace NinjaTrader.NinjaScript.Indicators
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{
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get { return Values[1]; }
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}
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[Browsable(false)]
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[XmlIgnore]
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public Series<double> ORM
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{
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get { return Values[2]; }
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}
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}
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}
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@ -169,18 +216,18 @@ namespace NinjaTrader.NinjaScript.Indicators
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public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
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{
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private OpeningRange[] cacheOpeningRange;
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public OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke)
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public OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke);
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return OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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}
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public OpeningRange OpeningRange(ISeries<double> input, int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke)
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public OpeningRange OpeningRange(ISeries<double> input, int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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if (cacheOpeningRange != null)
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for (int idx = 0; idx < cacheOpeningRange.Length; idx++)
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if (cacheOpeningRange[idx] != null && cacheOpeningRange[idx].OpeningRangeLength == openingRangeLength && cacheOpeningRange[idx].OpeningRangeTimeFrame == openingRangeTimeFrame && cacheOpeningRange[idx].OpeningRangeHighStroke == openingRangeHighStroke && cacheOpeningRange[idx].OpeningRangeLowStroke == openingRangeLowStroke && cacheOpeningRange[idx].EqualsInput(input))
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if (cacheOpeningRange[idx] != null && cacheOpeningRange[idx].OpeningRangeLength == openingRangeLength && cacheOpeningRange[idx].OpeningRangeTimeFrame == openingRangeTimeFrame && cacheOpeningRange[idx].OpeningRangeHighStroke == openingRangeHighStroke && cacheOpeningRange[idx].OpeningRangeLowStroke == openingRangeLowStroke && cacheOpeningRange[idx].OpeningRangeMidStroke == openingRangeMidStroke && cacheOpeningRange[idx].EqualsInput(input))
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return cacheOpeningRange[idx];
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return CacheIndicator<OpeningRange>(new OpeningRange(){ OpeningRangeLength = openingRangeLength, OpeningRangeTimeFrame = openingRangeTimeFrame, OpeningRangeHighStroke = openingRangeHighStroke, OpeningRangeLowStroke = openingRangeLowStroke }, input, ref cacheOpeningRange);
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return CacheIndicator<OpeningRange>(new OpeningRange(){ OpeningRangeLength = openingRangeLength, OpeningRangeTimeFrame = openingRangeTimeFrame, OpeningRangeHighStroke = openingRangeHighStroke, OpeningRangeLowStroke = openingRangeLowStroke, OpeningRangeMidStroke = openingRangeMidStroke }, input, ref cacheOpeningRange);
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}
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}
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}
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@ -189,14 +236,14 @@ 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.OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke)
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public Indicators.OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return indicator.OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke);
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return indicator.OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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}
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public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke)
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public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return indicator.OpeningRange(input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke);
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return indicator.OpeningRange(input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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}
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}
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}
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@ -205,14 +252,14 @@ 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.OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke)
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public Indicators.OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return indicator.OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke);
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return indicator.OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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}
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public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke)
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public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return indicator.OpeningRange(input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke);
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return indicator.OpeningRange(input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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}
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}
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}
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