Add Order Flow Oscillator indicator
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indicators/OrderFlowOscillator.cs
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208
indicators/OrderFlowOscillator.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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#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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[CategoryOrder("Order Flow Oscillator", 1)]
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[CategoryOrder("Plots", 2)]
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public class OrderFlowOscillator : Indicator
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{
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private double TradesAtBid = 0;
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private double TradesAtAsk = 0;
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private Series<double> AverageGain;
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private Series<double> AverageLoss;
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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 = @"Credit to @jamestsliu for the idea, though the result is different.";
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Name = "Order Flow Oscillator";
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Calculate = Calculate.OnEachTick;
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IsOverlay = false;
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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 = false;
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Period = 14;
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UpperLevel = 70.0;
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LowerLevel = 30.0;
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UpperLevelStroke = new Stroke(Brushes.Red, 3);
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LowerLevelStroke = new Stroke(Brushes.LimeGreen, 3);
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AddPlot(new Stroke(Brushes.Yellow, 2), PlotStyle.Line, "Order Flow Oscillator");
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}
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else if (State == State.Configure)
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{
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AddLine(UpperLevelStroke, UpperLevel, "Upper Level");
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AddLine(LowerLevelStroke, LowerLevel, "Lower Level");
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}
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else if (State == State.DataLoaded)
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{
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AverageGain = new Series<double>(this);
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AverageLoss = new Series<double>(this);
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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 < 2)
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return;
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// Order Flow Imbalance
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double OFI = TradesAtAsk - TradesAtBid;
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if (CurrentBar < Period)
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{
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AverageGain[0] = (AverageGain[1] * (CurrentBar - 1) + (OFI > 0 ? OFI : 0)) / CurrentBar;
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AverageLoss[0] = (AverageLoss[1] * (CurrentBar - 1) + (OFI < 0 ? -OFI : 0)) / CurrentBar;
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}
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else
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{
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AverageGain[0] = ((AverageGain[1] * (Period - 1)) + (OFI > 0 ? OFI : 0)) / Period;
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AverageLoss[0] = ((AverageLoss[1] * (Period - 1)) + (OFI < 0 ? -OFI : 0)) / Period;
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}
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// Relative Strength
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double RS = AverageLoss.Equals(0) ? 0 : AverageGain[0] / AverageLoss[0];
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double OFI_RSI = 100 - (100 / (1 + RS));
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Oscillator[0] = OFI_RSI;
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}
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protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
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{
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if (IsFirstTickOfBar)
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{
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TradesAtBid = 0;
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TradesAtAsk = 0;
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}
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if (marketDataUpdate.MarketDataType == MarketDataType.Last)
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{
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if (marketDataUpdate.Price <= marketDataUpdate.Bid)
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TradesAtBid += 1;
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else if (marketDataUpdate.Price >= marketDataUpdate.Ask)
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TradesAtAsk += 1;
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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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[Browsable(false)]
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[XmlIgnore]
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public Series<double> Oscillator
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{
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get { return Values[0]; }
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}
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Period", Order = 1, GroupName = "Order Flow Oscillator")]
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public int Period { get; set; }
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[NinjaScriptProperty]
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[Range(double.MinValue, double.MaxValue)]
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[Display(Name = "Upper Level", Order = 2, GroupName = "Plots")]
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public double UpperLevel { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Upper Level Style", Order = 3, GroupName = "Plots")]
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public Stroke UpperLevelStroke { get; set; }
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[NinjaScriptProperty]
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[Range(double.MinValue, double.MaxValue)]
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[Display(Name = "Lower Level", Order = 4, GroupName = "Plots")]
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public double LowerLevel { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Lower Level Style", Order = 5, GroupName = "Plots")]
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public Stroke LowerLevelStroke { get; set; }
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#endregion
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}
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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 OrderFlowOscillator[] cacheOrderFlowOscillator;
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public OrderFlowOscillator OrderFlowOscillator(int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
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{
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return OrderFlowOscillator(Input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
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}
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public OrderFlowOscillator OrderFlowOscillator(ISeries<double> input, int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
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{
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if (cacheOrderFlowOscillator != null)
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for (int idx = 0; idx < cacheOrderFlowOscillator.Length; idx++)
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if (cacheOrderFlowOscillator[idx] != null && cacheOrderFlowOscillator[idx].Period == period && cacheOrderFlowOscillator[idx].UpperLevel == upperLevel && cacheOrderFlowOscillator[idx].UpperLevelStroke == upperLevelStroke && cacheOrderFlowOscillator[idx].LowerLevel == lowerLevel && cacheOrderFlowOscillator[idx].LowerLevelStroke == lowerLevelStroke && cacheOrderFlowOscillator[idx].EqualsInput(input))
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return cacheOrderFlowOscillator[idx];
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return CacheIndicator<OrderFlowOscillator>(new OrderFlowOscillator(){ Period = period, UpperLevel = upperLevel, UpperLevelStroke = upperLevelStroke, LowerLevel = lowerLevel, LowerLevelStroke = lowerLevelStroke }, input, ref cacheOrderFlowOscillator);
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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.OrderFlowOscillator OrderFlowOscillator(int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
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{
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return indicator.OrderFlowOscillator(Input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
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}
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public Indicators.OrderFlowOscillator OrderFlowOscillator(ISeries<double> input , int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
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{
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return indicator.OrderFlowOscillator(input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
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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.OrderFlowOscillator OrderFlowOscillator(int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
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{
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return indicator.OrderFlowOscillator(Input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
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}
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public Indicators.OrderFlowOscillator OrderFlowOscillator(ISeries<double> input , int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
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{
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return indicator.OrderFlowOscillator(input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
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}
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}
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}
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#endregion
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