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Add indicator for detecting pivots occurring at candles with above average volume

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moshferatu 2024-01-06 06:26:19 -08:00
parent 5671615967
commit cd20c466dd
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indicators/VolumeSpikePivots.cs Normal file
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#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
//This namespace holds Indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators
{
public class VolumeSpikePivotInfo
{
public bool IsPivotHigh { get; set; }
public bool IsPivotLow { get; set; }
public double Level { get; set; }
public int StartBarIndex { get; set; }
public int EndBarIndex { get; set; }
}
public class VolumeSpikePivots : Indicator
{
public Series<VolumeSpikePivotInfo> DetectedPivot;
private List<VolumeSpikePivotInfo> detectedPivots = new List<VolumeSpikePivotInfo>();
private Series<bool> wasPivotHighBreachedLast;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Detects pivots which occurred on candles with above average volume";
Name = "Volume Spike Pivots";
Calculate = Calculate.OnPriceChange;
IsOverlay = true;
DisplayInDataBox = true;
DrawOnPricePanel = true;
DrawHorizontalGridLines = true;
DrawVerticalGridLines = true;
PaintPriceMarkers = true;
ScaleJustification = ScaleJustification.Right;
IsSuspendedWhileInactive = true;
BarsToCheck = 5;
VolumeAveragePeriod = 20;
VolumeMultiple = 1.5;
PivotHighStroke = new Stroke(Brushes.LimeGreen, 3);
PivotLowStroke = new Stroke(Brushes.Red, 3);
}
if (State == State.DataLoaded)
{
wasPivotHighBreachedLast = new Series<bool>(this, MaximumBarsLookBack.Infinite);
DetectedPivot = new Series<VolumeSpikePivotInfo>(this, MaximumBarsLookBack.Infinite);
}
else if (State == State.Historical)
{
SetZOrder(-1); // Display behind bars on chart.
}
}
protected override void OnBarUpdate()
{
if (CurrentBar < BarsToCheck || CurrentBar < VolumeAveragePeriod)
return;
if (!IsFirstTickOfBar)
return;
wasPivotHighBreachedLast[0] = wasPivotHighBreachedLast[1];
foreach (var pivot in detectedPivots)
{
if (pivot.EndBarIndex == 0)
{
if (pivot.IsPivotHigh && Close[1] > pivot.Level)
{
pivot.EndBarIndex = CurrentBar - 1;
wasPivotHighBreachedLast[0] = true;
}
else if (pivot.IsPivotLow && Close[1] < pivot.Level)
{
pivot.EndBarIndex = CurrentBar - 1;
wasPivotHighBreachedLast[0] = false;
}
}
}
bool isPivotHigh = true;
bool isPivotLow = true;
int centerBarIndex = (int)Math.Ceiling(BarsToCheck / 2.0);
for (int i = 1; i <= BarsToCheck; i++)
{
if (i == centerBarIndex) continue;
if (High[centerBarIndex] < High[i]) isPivotHigh = false;
if (Low[centerBarIndex] > Low[i]) isPivotLow = false;
}
bool existsPivotHighWithoutEndAtSamePrice = detectedPivots.Any(
p => p.IsPivotHigh && p.EndBarIndex == 0 && p.Level == High[centerBarIndex]);
bool existsPivotLowWithoutEndAtSamePrice = detectedPivots.Any(
p => p.IsPivotLow && p.EndBarIndex == 0 && p.Level == Low[centerBarIndex]);
double averageVolume = 0;
for (int i = 0; i < VolumeAveragePeriod; i++)
{
averageVolume += Volume[i];
}
averageVolume /= VolumeAveragePeriod;
if (isPivotHigh && !existsPivotHighWithoutEndAtSamePrice && Volume[centerBarIndex] > averageVolume * VolumeMultiple)
{
VolumeSpikePivotInfo detectedPivot = new VolumeSpikePivotInfo {
IsPivotHigh = true, Level = High[centerBarIndex], StartBarIndex = CurrentBar - centerBarIndex };
detectedPivots.Add(detectedPivot);
DetectedPivot[0] = detectedPivot;
}
if (isPivotLow && !existsPivotLowWithoutEndAtSamePrice && Volume[centerBarIndex] > averageVolume * VolumeMultiple)
{
VolumeSpikePivotInfo detectedPivot = new VolumeSpikePivotInfo {
IsPivotLow = true, Level = Low[centerBarIndex], StartBarIndex = CurrentBar - centerBarIndex };
detectedPivots.Add(detectedPivot);
DetectedPivot[0] = detectedPivot;
}
}
protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
{
base.OnRender(chartControl, chartScale);
foreach (var pivot in detectedPivots)
{
int startX = chartControl.GetXByBarIndex(ChartBars, pivot.StartBarIndex);
int endX = pivot.EndBarIndex == 0 ? ChartPanel.X + ChartPanel.W : chartControl.GetXByBarIndex(ChartBars, pivot.EndBarIndex);
var stroke = pivot.IsPivotHigh ? PivotHighStroke : pivot.IsPivotLow ? PivotLowStroke : new Stroke(Brushes.Gray);
DrawHorizontalLine(startX, endX, chartScale.GetYByValue(pivot.Level), stroke);
}
}
private void DrawHorizontalLine(int startX, int endX, int y, Stroke stroke)
{
SharpDX.Direct2D1.Brush dxBrush = stroke.Brush.ToDxBrush(RenderTarget);
RenderTarget.DrawLine(
new SharpDX.Vector2(startX, y),
new SharpDX.Vector2(endX, y),
dxBrush, stroke.Width, stroke.StrokeStyle
);
dxBrush.Dispose();
}
public override string DisplayName
{
get { return Name; }
}
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name = "Bars to Check", Order = 1, GroupName = "Volume Spike Pivots")]
public int BarsToCheck
{ get; set; }
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name = "Volume Average Period", Order = 2, GroupName = "Volume Spike Pivots")]
public int VolumeAveragePeriod { get; set; }
[NinjaScriptProperty]
[Range(1.0, double.MaxValue)]
[Display(Name = "Volume Multiple", Order = 3, GroupName = "Volume Spike Pivots")]
public double VolumeMultiple { get; set; }
[NinjaScriptProperty]
[Display(Name = "Pivot High Stroke", Order = 4, GroupName = "Volume Spike Pivots")]
public Stroke PivotHighStroke { get; set; }
[NinjaScriptProperty]
[Display(Name = "Pivot Low Stroke", Order = 5, GroupName = "Volume Spike Pivots")]
public Stroke PivotLowStroke { get; set; }
[Browsable(false)]
[XmlIgnore]
public Series<bool> WasPivotHighBreachedLast
{
get { return wasPivotHighBreachedLast; }
}
[Browsable(false)]
[XmlIgnore]
public Series<VolumeSpikePivotInfo> DetectedPivots
{
get { return DetectedPivot; }
}
}
}
#region NinjaScript generated code. Neither change nor remove.
namespace NinjaTrader.NinjaScript.Indicators
{
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private VolumeSpikePivots[] cacheVolumeSpikePivots;
public VolumeSpikePivots VolumeSpikePivots(int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
{
return VolumeSpikePivots(Input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
}
public VolumeSpikePivots VolumeSpikePivots(ISeries<double> input, int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
{
if (cacheVolumeSpikePivots != null)
for (int idx = 0; idx < cacheVolumeSpikePivots.Length; idx++)
if (cacheVolumeSpikePivots[idx] != null && cacheVolumeSpikePivots[idx].BarsToCheck == barsToCheck && cacheVolumeSpikePivots[idx].VolumeAveragePeriod == volumeAveragePeriod && cacheVolumeSpikePivots[idx].VolumeMultiple == volumeMultiple && cacheVolumeSpikePivots[idx].PivotHighStroke == pivotHighStroke && cacheVolumeSpikePivots[idx].PivotLowStroke == pivotLowStroke && cacheVolumeSpikePivots[idx].EqualsInput(input))
return cacheVolumeSpikePivots[idx];
return CacheIndicator<VolumeSpikePivots>(new VolumeSpikePivots(){ BarsToCheck = barsToCheck, VolumeAveragePeriod = volumeAveragePeriod, VolumeMultiple = volumeMultiple, PivotHighStroke = pivotHighStroke, PivotLowStroke = pivotLowStroke }, input, ref cacheVolumeSpikePivots);
}
}
}
namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.VolumeSpikePivots VolumeSpikePivots(int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
{
return indicator.VolumeSpikePivots(Input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
}
public Indicators.VolumeSpikePivots VolumeSpikePivots(ISeries<double> input , int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
{
return indicator.VolumeSpikePivots(input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
}
}
}
namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.VolumeSpikePivots VolumeSpikePivots(int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
{
return indicator.VolumeSpikePivots(Input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
}
public Indicators.VolumeSpikePivots VolumeSpikePivots(ISeries<double> input , int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
{
return indicator.VolumeSpikePivots(input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
}
}
}
#endregion