moshferatu/ninjatrader
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Make the bid / ask levels configurable and resolve issues with previous streams not being cancelled

Browse Source
This commit is contained in:
moshferatu 2024-04-23 03:39:09 -07:00
parent 479bbfd791
commit d885175945
1 changed files with 62 additions and 39 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

101
indicators/MarketDepth.cs
View File

@ -7,6 +7,7 @@ using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Net.Sockets;
using System.Text;
using System.Threading;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
@ -27,12 +28,12 @@ using NinjaTrader.Core;
//This namespace holds Indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators
{
class MarketDepthProcessor
class MarketDepthStream
{
public static ConcurrentDictionary<float, int> Asks = new ConcurrentDictionary<float, int>();
public static ConcurrentDictionary<float, int> Bids = new ConcurrentDictionary<float, int>();
public ConcurrentDictionary<float, int> Asks { get; private set; }
public ConcurrentDictionary<float, int> Bids { get; private set; }
static Dictionary<string, string> MonthCodes = new Dictionary<string, string>
static readonly Dictionary<string, string> MonthCodes = new Dictionary<string, string>
{
{"01", "F"},
{"02", "G"},
@ -48,11 +49,11 @@ namespace NinjaTrader.NinjaScript.Indicators
{"12", "Z"}
};
public static async Task StreamMarketDepth(Instrument instrument, int maxLevels, string host, int port)
public async Task StreamMarketDepth(Instrument instrument, int maxLevels, string host, int port, CancellationToken cancellationToken)
{
Asks.Clear();
Bids.Clear();
Asks = new ConcurrentDictionary<float, int>();
Bids = new ConcurrentDictionary<float, int>();
string symbol = GetIQFeedSymbol(instrument);
using (TcpClient client = new TcpClient(host, port))
@ -60,7 +61,7 @@ namespace NinjaTrader.NinjaScript.Indicators
{
StringBuilder data = new StringBuilder();
while (true)
while (!cancellationToken.IsCancellationRequested)
{
byte[] buffer = new byte[4096];
int bytesRead = await stream.ReadAsync(buffer, 0, buffer.Length);
@ -103,7 +104,7 @@ namespace NinjaTrader.NinjaScript.Indicators
}
}
static string GetIQFeedSymbol(Instrument instrument)
private string GetIQFeedSymbol(Instrument instrument)
{
// Example: ES 06-24
string masterInstrument = instrument.MasterInstrument.Name;
@ -117,13 +118,13 @@ namespace NinjaTrader.NinjaScript.Indicators
return "@" + masterInstrument + monthCode + year;
}
static async Task SendCommand(NetworkStream stream, string command)
private async Task SendCommand(NetworkStream stream, string command)
{
byte[] commandBytes = Encoding.UTF8.GetBytes(command + "\r\n");
await stream.WriteAsync(commandBytes, 0, commandBytes.Length);
}
static void ProcessMarketDepthMessage(string message)
private void ProcessMarketDepthMessage(string message)
{
string[] fields = message.Split(',');
@ -160,7 +161,7 @@ namespace NinjaTrader.NinjaScript.Indicators
}
}
static void TrimMarketDepth(int maxLevels)
private void TrimMarketDepth(int maxLevels)
{
if (maxLevels <= 0)
return;
@ -199,6 +200,9 @@ namespace NinjaTrader.NinjaScript.Indicators
public class MarketDepth : Indicator
{
private MarketDepthStream Stream = new MarketDepthStream();
private CancellationTokenSource StreamCancellation;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
@ -216,34 +220,45 @@ namespace NinjaTrader.NinjaScript.Indicators
IsSuspendedWhileInactive = false;
MaxLevels = 0;
MaxWidth = 500;
BidStroke = new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3);
AskStroke = new Stroke(Brushes.Red, DashStyleHelper.Solid, 3);
Host = "127.0.0.1";
Port = 9200;
}
else if (State == State.Configure)
{
}
else if (State == State.DataLoaded)
{
Task.Run(() => MarketDepthProcessor.StreamMarketDepth(Instrument, MaxLevels, Host, Port));
StreamCancellation = new CancellationTokenSource();
Task.Run(() => Stream.StreamMarketDepth(Instrument, MaxLevels, Host, Port, StreamCancellation.Token));
}
else if (State == State.Historical)
{
SetZOrder(-1); // Display behind bars on chart.
}
else if (State == State.Terminated)
{
if (StreamCancellation != null)
{
StreamCancellation.Cancel();
StreamCancellation.Dispose();
}
}
}
protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
{
base.OnRender(chartControl, chartScale);
if (MarketDepthProcessor.Asks.Count() <= 0 || MarketDepthProcessor.Bids.Count() <= 0)
if (Stream.Asks == null || Stream.Bids == null)
return;
if (Stream.Asks.Count() <= 0 || Stream.Bids.Count() <= 0)
return;
// Find the max volume for visually scaling the indicator.
long maxVolume = Math.Max(MarketDepthProcessor.Asks.Values.ToList().DefaultIfEmpty(0).Max(),
MarketDepthProcessor.Bids.Values.ToList().DefaultIfEmpty(0).Max());
long maxVolume = Math.Max(Stream.Asks.Values.ToList().DefaultIfEmpty(0).Max(),
Stream.Bids.Values.ToList().DefaultIfEmpty(0).Max());
foreach (var Ask in MarketDepthProcessor.Asks.ToArray())
foreach (var Ask in Stream.Asks.ToArray())
{
float price = Ask.Key;
int volume = Ask.Value;
@ -251,10 +266,10 @@ namespace NinjaTrader.NinjaScript.Indicators
int length = (int)((double)volume / maxVolume * MaxWidth);
int y = chartScale.GetYByValue(price);
DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.Red, DashStyleHelper.Solid, 3));
DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, AskStroke);
}
foreach (var Bid in MarketDepthProcessor.Bids.ToArray())
foreach (var Bid in Stream.Bids.ToArray())
{
float price = Bid.Key;
int volume = Bid.Value;
@ -262,7 +277,7 @@ namespace NinjaTrader.NinjaScript.Indicators
int length = (int)((double)volume / maxVolume * MaxWidth);
int y = chartScale.GetYByValue(price);
DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3));
DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, BidStroke);
}
}
@ -294,11 +309,19 @@ namespace NinjaTrader.NinjaScript.Indicators
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "IQFeed Host", Description = "The host on which the IQFeed connection is running", Order = 3, GroupName = "Market Depth")]
[Display(Name = "Bid Level", Description = "Color and style of bid levels", Order = 3, GroupName = "Market Depth")]
public Stroke BidStroke { get; set; }
[NinjaScriptProperty]
[Display(Name = "Ask Level", Description = "Color and style of ask levels", Order = 4, GroupName = "Market Depth")]
public Stroke AskStroke { get; set; }
[NinjaScriptProperty]
[Display(Name = "IQFeed Host", Description = "The host on which the IQFeed connection is running", Order = 5, GroupName = "Market Depth")]
public string Host { get; set; }
[NinjaScriptProperty]
[Display(Name = "IQFeed Port", Description = "The port on which the IQFeed connection is listening", Order = 4, GroupName = "Market Depth")]
[Display(Name = "IQFeed Port", Description = "The port on which the IQFeed connection is listening", Order = 6, GroupName = "Market Depth")]
public int Port { get; set; }
}
}
@ -310,18 +333,18 @@ namespace NinjaTrader.NinjaScript.Indicators
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private MarketDepth[] cacheMarketDepth;
public MarketDepth MarketDepth(int maxLevels, int maxWidth, string host, int port)
public MarketDepth MarketDepth(int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
{
return MarketDepth(Input, maxLevels, maxWidth, host, port);
return MarketDepth(Input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
}
public MarketDepth MarketDepth(ISeries<double> input, int maxLevels, int maxWidth, string host, int port)
public MarketDepth MarketDepth(ISeries<double> input, int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
{
if (cacheMarketDepth != null)
for (int idx = 0; idx < cacheMarketDepth.Length; idx++)
if (cacheMarketDepth[idx] != null && cacheMarketDepth[idx].MaxLevels == maxLevels && cacheMarketDepth[idx].MaxWidth == maxWidth && cacheMarketDepth[idx].Host == host && cacheMarketDepth[idx].Port == port && cacheMarketDepth[idx].EqualsInput(input))
if (cacheMarketDepth[idx] != null && cacheMarketDepth[idx].MaxLevels == maxLevels && cacheMarketDepth[idx].MaxWidth == maxWidth && cacheMarketDepth[idx].BidStroke == bidStroke && cacheMarketDepth[idx].AskStroke == askStroke && cacheMarketDepth[idx].Host == host && cacheMarketDepth[idx].Port == port && cacheMarketDepth[idx].EqualsInput(input))
return cacheMarketDepth[idx];
return CacheIndicator<MarketDepth>(new MarketDepth(){ MaxLevels = maxLevels, MaxWidth = maxWidth, Host = host, Port = port }, input, ref cacheMarketDepth);
return CacheIndicator<MarketDepth>(new MarketDepth(){ MaxLevels = maxLevels, MaxWidth = maxWidth, BidStroke = bidStroke, AskStroke = askStroke, Host = host, Port = port }, input, ref cacheMarketDepth);
}
}
}
@ -330,14 +353,14 @@ namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.MarketDepth MarketDepth(int maxLevels, int maxWidth, string host, int port)
public Indicators.MarketDepth MarketDepth(int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
{
return indicator.MarketDepth(Input, maxLevels, maxWidth, host, port);
return indicator.MarketDepth(Input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
}
public Indicators.MarketDepth MarketDepth(ISeries<double> input , int maxLevels, int maxWidth, string host, int port)
public Indicators.MarketDepth MarketDepth(ISeries<double> input , int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
{
return indicator.MarketDepth(input, maxLevels, maxWidth, host, port);
return indicator.MarketDepth(input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
}
}
}
@ -346,14 +369,14 @@ namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.MarketDepth MarketDepth(int maxLevels, int maxWidth, string host, int port)
public Indicators.MarketDepth MarketDepth(int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
{
return indicator.MarketDepth(Input, maxLevels, maxWidth, host, port);
return indicator.MarketDepth(Input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
}
public Indicators.MarketDepth MarketDepth(ISeries<double> input , int maxLevels, int maxWidth, string host, int port)
public Indicators.MarketDepth MarketDepth(ISeries<double> input , int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
{
return indicator.MarketDepth(input, maxLevels, maxWidth, host, port);
return indicator.MarketDepth(input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
}
}
}