Add indicator for detecting pivots occurring at candles with above average volume
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indicators/VolumeSpikePivots.cs
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271
indicators/VolumeSpikePivots.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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public class VolumeSpikePivotInfo
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{
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public bool IsPivotHigh { get; set; }
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public bool IsPivotLow { get; set; }
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public double Level { get; set; }
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public int StartBarIndex { get; set; }
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public int EndBarIndex { get; set; }
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}
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public class VolumeSpikePivots : Indicator
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{
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public Series<VolumeSpikePivotInfo> DetectedPivot;
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private List<VolumeSpikePivotInfo> detectedPivots = new List<VolumeSpikePivotInfo>();
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private Series<bool> wasPivotHighBreachedLast;
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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 = @"Detects pivots which occurred on candles with above average volume";
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Name = "Volume Spike Pivots";
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Calculate = Calculate.OnPriceChange;
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IsOverlay = true;
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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 = true;
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BarsToCheck = 5;
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VolumeAveragePeriod = 20;
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VolumeMultiple = 1.5;
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PivotHighStroke = new Stroke(Brushes.LimeGreen, 3);
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PivotLowStroke = new Stroke(Brushes.Red, 3);
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}
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if (State == State.DataLoaded)
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{
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wasPivotHighBreachedLast = new Series<bool>(this, MaximumBarsLookBack.Infinite);
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DetectedPivot = new Series<VolumeSpikePivotInfo>(this, MaximumBarsLookBack.Infinite);
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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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}
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}
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protected override void OnBarUpdate()
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{
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if (CurrentBar < BarsToCheck || CurrentBar < VolumeAveragePeriod)
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return;
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if (!IsFirstTickOfBar)
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return;
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wasPivotHighBreachedLast[0] = wasPivotHighBreachedLast[1];
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foreach (var pivot in detectedPivots)
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{
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if (pivot.EndBarIndex == 0)
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{
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if (pivot.IsPivotHigh && Close[1] > pivot.Level)
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{
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pivot.EndBarIndex = CurrentBar - 1;
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wasPivotHighBreachedLast[0] = true;
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}
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else if (pivot.IsPivotLow && Close[1] < pivot.Level)
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{
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pivot.EndBarIndex = CurrentBar - 1;
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wasPivotHighBreachedLast[0] = false;
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}
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}
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}
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bool isPivotHigh = true;
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bool isPivotLow = true;
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int centerBarIndex = (int)Math.Ceiling(BarsToCheck / 2.0);
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for (int i = 1; i <= BarsToCheck; i++)
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{
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if (i == centerBarIndex) continue;
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if (High[centerBarIndex] < High[i]) isPivotHigh = false;
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if (Low[centerBarIndex] > Low[i]) isPivotLow = false;
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}
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bool existsPivotHighWithoutEndAtSamePrice = detectedPivots.Any(
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p => p.IsPivotHigh && p.EndBarIndex == 0 && p.Level == High[centerBarIndex]);
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bool existsPivotLowWithoutEndAtSamePrice = detectedPivots.Any(
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p => p.IsPivotLow && p.EndBarIndex == 0 && p.Level == Low[centerBarIndex]);
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double averageVolume = 0;
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for (int i = 0; i < VolumeAveragePeriod; i++)
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{
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averageVolume += Volume[i];
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}
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averageVolume /= VolumeAveragePeriod;
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if (isPivotHigh && !existsPivotHighWithoutEndAtSamePrice && Volume[centerBarIndex] > averageVolume * VolumeMultiple)
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{
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VolumeSpikePivotInfo detectedPivot = new VolumeSpikePivotInfo {
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IsPivotHigh = true, Level = High[centerBarIndex], StartBarIndex = CurrentBar - centerBarIndex };
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detectedPivots.Add(detectedPivot);
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DetectedPivot[0] = detectedPivot;
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}
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if (isPivotLow && !existsPivotLowWithoutEndAtSamePrice && Volume[centerBarIndex] > averageVolume * VolumeMultiple)
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{
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VolumeSpikePivotInfo detectedPivot = new VolumeSpikePivotInfo {
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IsPivotLow = true, Level = Low[centerBarIndex], StartBarIndex = CurrentBar - centerBarIndex };
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detectedPivots.Add(detectedPivot);
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DetectedPivot[0] = detectedPivot;
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}
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}
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protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
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{
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base.OnRender(chartControl, chartScale);
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foreach (var pivot in detectedPivots)
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{
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int startX = chartControl.GetXByBarIndex(ChartBars, pivot.StartBarIndex);
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int endX = pivot.EndBarIndex == 0 ? ChartPanel.X + ChartPanel.W : chartControl.GetXByBarIndex(ChartBars, pivot.EndBarIndex);
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var stroke = pivot.IsPivotHigh ? PivotHighStroke : pivot.IsPivotLow ? PivotLowStroke : new Stroke(Brushes.Gray);
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DrawHorizontalLine(startX, endX, chartScale.GetYByValue(pivot.Level), stroke);
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}
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}
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private void DrawHorizontalLine(int startX, int endX, int y, Stroke stroke)
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{
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SharpDX.Direct2D1.Brush dxBrush = stroke.Brush.ToDxBrush(RenderTarget);
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RenderTarget.DrawLine(
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new SharpDX.Vector2(startX, y),
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new SharpDX.Vector2(endX, y),
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dxBrush, stroke.Width, stroke.StrokeStyle
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);
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dxBrush.Dispose();
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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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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Bars to Check", Order = 1, GroupName = "Volume Spike Pivots")]
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public int BarsToCheck
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{ get; set; }
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Volume Average Period", Order = 2, GroupName = "Volume Spike Pivots")]
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public int VolumeAveragePeriod { get; set; }
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[NinjaScriptProperty]
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[Range(1.0, double.MaxValue)]
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[Display(Name = "Volume Multiple", Order = 3, GroupName = "Volume Spike Pivots")]
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public double VolumeMultiple { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Pivot High Stroke", Order = 4, GroupName = "Volume Spike Pivots")]
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public Stroke PivotHighStroke { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Pivot Low Stroke", Order = 5, GroupName = "Volume Spike Pivots")]
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public Stroke PivotLowStroke { get; set; }
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[Browsable(false)]
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[XmlIgnore]
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public Series<bool> WasPivotHighBreachedLast
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{
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get { return wasPivotHighBreachedLast; }
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}
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[Browsable(false)]
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[XmlIgnore]
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public Series<VolumeSpikePivotInfo> DetectedPivots
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{
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get { return DetectedPivot; }
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}
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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 VolumeSpikePivots[] cacheVolumeSpikePivots;
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public VolumeSpikePivots VolumeSpikePivots(int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
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{
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return VolumeSpikePivots(Input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
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}
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public VolumeSpikePivots VolumeSpikePivots(ISeries<double> input, int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
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{
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if (cacheVolumeSpikePivots != null)
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for (int idx = 0; idx < cacheVolumeSpikePivots.Length; idx++)
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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))
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return cacheVolumeSpikePivots[idx];
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return CacheIndicator<VolumeSpikePivots>(new VolumeSpikePivots(){ BarsToCheck = barsToCheck, VolumeAveragePeriod = volumeAveragePeriod, VolumeMultiple = volumeMultiple, PivotHighStroke = pivotHighStroke, PivotLowStroke = pivotLowStroke }, input, ref cacheVolumeSpikePivots);
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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.VolumeSpikePivots VolumeSpikePivots(int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
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{
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return indicator.VolumeSpikePivots(Input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
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}
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public Indicators.VolumeSpikePivots VolumeSpikePivots(ISeries<double> input , int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
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{
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return indicator.VolumeSpikePivots(input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
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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.VolumeSpikePivots VolumeSpikePivots(int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
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{
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return indicator.VolumeSpikePivots(Input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
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}
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public Indicators.VolumeSpikePivots VolumeSpikePivots(ISeries<double> input , int barsToCheck, int volumeAveragePeriod, double volumeMultiple, Stroke pivotHighStroke, Stroke pivotLowStroke)
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{
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return indicator.VolumeSpikePivots(input, barsToCheck, volumeAveragePeriod, volumeMultiple, pivotHighStroke, pivotLowStroke);
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}
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}
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}
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#endregion
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