Calculate ADR on chart bars in order to resolve inaccuracies with daily bars
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@ -11,15 +11,10 @@ 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.Data;
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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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using NinjaTrader.Gui.PropertiesTest;
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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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@ -27,7 +22,8 @@ namespace NinjaTrader.NinjaScript.Indicators
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{
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public class DailyRange
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{
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public DateTime Date { get; set; }
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public int StartBarIndex { get; set; }
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public int EndBarIndex { get; set; }
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public double UpperLevel { get; set; }
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public double LowerLevel { get; set; }
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}
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@ -35,10 +31,12 @@ namespace NinjaTrader.NinjaScript.Indicators
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public class ADR : Indicator
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{
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private const int PrimaryBars = 0;
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private const int DailyBars = 1;
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private TimeSpan SessionOpen;
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private TimeSpan SessionClose;
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private double CurrentDailyHigh = double.MinValue;
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private double CurrentDailyLow = double.MaxValue;
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private List<double> DailyHighs = new List<double>();
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private List<double> DailyLows = new List<double>();
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private List<DailyRange> DailyRanges = new List<DailyRange>();
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@ -48,9 +46,8 @@ namespace NinjaTrader.NinjaScript.Indicators
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{
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Description = @"Average Daily Range (ADR)";
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Name = "ADR";
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Calculate = Calculate.OnBarClose;
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Calculate = Calculate.OnPriceChange;
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IsOverlay = true;
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DrawOnPricePanel = true;
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ScaleJustification = ScaleJustification.Right;
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IsSuspendedWhileInactive = false;
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@ -58,17 +55,6 @@ namespace NinjaTrader.NinjaScript.Indicators
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ADRHighStroke = new Stroke(Brushes.Yellow, 3);
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ADRLowStroke = new Stroke(Brushes.Yellow, 3);
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}
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else if (State == State.Configure)
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{
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AddDataSeries(Instrument.FullName, new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 },
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RangePeriod + 5, Bars.TradingHours.Name, Bars.IsResetOnNewTradingDay);
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}
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else if (State == State.DataLoaded)
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{
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SessionIterator chartSession = new SessionIterator(BarsArray[PrimaryBars]);
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SessionOpen = chartSession.GetTradingDayBeginLocal(chartSession.ActualTradingDayExchange).TimeOfDay;
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SessionClose = chartSession.GetTradingDayEndLocal(chartSession.ActualTradingDayExchange).TimeOfDay;
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}
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else if (State == State.Historical)
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{
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SetZOrder(-1); // Display behind bars on chart.
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@ -77,22 +63,46 @@ namespace NinjaTrader.NinjaScript.Indicators
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protected override void OnBarUpdate()
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{
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if (DailyBars != BarsInProgress || CurrentBar < RangePeriod)
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if (PrimaryBars != BarsInProgress)
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return;
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double totalRange = 0;
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for (int i = 0; i < RangePeriod; i++)
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if (Bars.IsFirstBarOfSession && IsFirstTickOfBar)
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{
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totalRange += Highs[DailyBars][i] - Lows[DailyBars][i];
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if (CurrentDailyHigh > double.MinValue)
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{
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DailyHighs.Add(CurrentDailyHigh);
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DailyLows.Add(CurrentDailyLow);
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}
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if (DailyHighs.Count < RangePeriod)
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return;
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if (DailyRanges.Count > 0)
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DailyRanges[DailyRanges.Count - 1].EndBarIndex = CurrentBar - 1;
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double totalRange = 0;
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for (int i = (DailyHighs.Count - 1); i >= (DailyHighs.Count - RangePeriod); i--)
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totalRange += DailyHighs[i] - DailyLows[i];
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double averageRange = totalRange / RangePeriod;
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DailyRanges.Add(new DailyRange
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{
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Date = Time[0].Date.AddDays(1),
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UpperLevel = Closes[DailyBars][0] + (averageRange / 2),
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LowerLevel = Closes[DailyBars][0] - (averageRange / 2),
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StartBarIndex = CurrentBar,
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UpperLevel = Close[1] + (averageRange / 2),
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LowerLevel = Close[1] - (averageRange / 2),
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});
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CurrentDailyHigh = High[0];
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CurrentDailyLow = Low[0];
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}
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else
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{
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if (High[0] > CurrentDailyHigh)
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CurrentDailyHigh = High[0];
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if (Low[0] < CurrentDailyLow)
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CurrentDailyLow = Low[0];
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}
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}
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protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
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@ -101,8 +111,8 @@ namespace NinjaTrader.NinjaScript.Indicators
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foreach (var Range in DailyRanges)
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{
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int startX = ChartControl.GetXByTime(Range.Date.AddDays(-1).Add(SessionOpen));
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int endX = ChartControl.GetXByTime(Range.Date.Add(SessionClose));
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int startX = chartControl.GetXByBarIndex(ChartBars, Range.StartBarIndex);
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int endX = Range.EndBarIndex == 0 ? ChartPanel.X + ChartPanel.W : chartControl.GetXByBarIndex(ChartBars, Range.EndBarIndex);
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DrawHorizontalLine(startX, endX, chartScale.GetYByValue(Range.UpperLevel), ADRHighStroke);
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DrawHorizontalLine(startX, endX, chartScale.GetYByValue(Range.LowerLevel), ADRLowStroke);
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