Add VIX Ratio (e.g., VIX / VIX3M) indicator
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indicators/VIXRatio.cs
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293
indicators/VIXRatio.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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using System.Globalization;
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using System.Windows.Data;
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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("VIX Ratio", 1)]
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[CategoryOrder("Plots", 2)]
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public class VIXRatio : Indicator
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{
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private const int NumeratorBars = 1;
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private const int DenominatorBars = 2;
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private EMA fastEMA;
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private EMA slowEMA;
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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 = @"Only works with a data feed that provides the relevant VIX indices";
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Name = "VIX Ratio";
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Calculate = Calculate.OnBarClose;
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BarsRequiredToPlot = 1;
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IsOverlay = false;
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DisplayInDataBox = true;
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DrawOnPricePanel = true;
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PaintPriceMarkers = false;
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ScaleJustification = ScaleJustification.Right;
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Numerator = VIXIndex.VIX;
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Denominator = VIXIndex.VIX3M;
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FastEMAPeriod = 7;
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SlowEMAPeriod = 12;
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AddPlot(new Stroke(Brushes.Yellow, 2), PlotStyle.Line, "VIX Ratio");
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AddPlot(new Stroke(Brushes.Green, 2), PlotStyle.Line, "Fast EMA");
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AddPlot(new Stroke(Brushes.Red, 2), PlotStyle.Line, "Slow EMA");
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}
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else if (State == State.Configure)
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{
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AddDataSeries(Numerator.ToSymbol());
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AddDataSeries(Denominator.ToSymbol());
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}
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else if (State == State.DataLoaded)
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{
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fastEMA = EMA(Ratio, FastEMAPeriod);
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slowEMA = EMA(Ratio, SlowEMAPeriod);
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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 (CurrentBars[NumeratorBars] < 1 || CurrentBars[DenominatorBars] < 1)
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return;
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// Denominator bars should be processed last according to NT documentation on bar processing order.
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if (BarsInProgress == DenominatorBars)
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{
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Ratio[0] = Closes[NumeratorBars][0] / Closes[DenominatorBars][0];
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if (CurrentBar >= Math.Max(FastEMAPeriod, SlowEMAPeriod))
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{
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FastEMA[0] = fastEMA[0];
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SlowEMA[0] = slowEMA[0];
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}
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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 Numerator.ToString() + " / " + Denominator.ToString(); }
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}
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[NinjaScriptProperty]
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[PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
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[TypeConverter(typeof(VIXIndexConverter))]
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[Display(Name = "Numerator", Order = 1, GroupName = "VIX Ratio")]
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public VIXIndex Numerator { get; set; }
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[NinjaScriptProperty]
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[PropertyEditor("NinjaTrader.Gui.Tools.StringStandardValuesEditorKey")]
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[TypeConverter(typeof(VIXIndexConverter))]
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[Display(Name = "Denominator", Order = 2, GroupName = "VIX Ratio")]
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public VIXIndex Denominator { get; set; }
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Fast EMA Period", Order = 3, GroupName = "VIX Ratio")]
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public int FastEMAPeriod { get; set; }
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Slow EMA Period", Order = 4, GroupName = "VIX Ratio")]
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public int SlowEMAPeriod { get; set; }
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[Browsable(false)]
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[XmlIgnore]
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public Series<double> Ratio
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{
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get { return Values[0]; }
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}
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[Browsable(false)]
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[XmlIgnore]
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public Series<double> FastEMA
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{
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get { return Values[1]; }
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}
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[Browsable(false)]
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[XmlIgnore]
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public Series<double> SlowEMA
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{
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get { return Values[2]; }
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}
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}
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}
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public enum VIXIndex
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{
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VIX1D,
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VIX9D,
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VIX,
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VIX3M,
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VIX6M,
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VIX1Y
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}
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public static class VIXIndexExtensions
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{
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public static string ToSymbol(this VIXIndex value)
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{
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switch (value)
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{
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case VIXIndex.VIX1D:
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return "^VIX1D";
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case VIXIndex.VIX9D:
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return "^VIX9D";
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case VIXIndex.VIX3M:
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return "^VIX3M";
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case VIXIndex.VIX6M:
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return "^VIX6M";
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case VIXIndex.VIX1Y:
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return "^VIX1Y";
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default:
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return "^VIX";
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}
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}
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}
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public class VIXIndexConverter : TypeConverter
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{
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private const string VIX1D = "VIX1D";
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private const string VIX9D = "VIX9D";
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private const string VIX = "VIX";
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private const string VIX3M = "VIX3M";
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private const string VIX6M = "VIX6M";
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private const string VIX1Y = "VIX1Y";
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public override StandardValuesCollection GetStandardValues(ITypeDescriptorContext context)
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{
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return new StandardValuesCollection(new List<string> { VIX1D, VIX9D, VIX, VIX3M, VIX6M, VIX1Y });
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}
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public override object ConvertFrom(ITypeDescriptorContext context, CultureInfo culture, object value)
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{
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switch (value.ToString())
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{
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case VIX1D:
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return VIXIndex.VIX1D;
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case VIX9D:
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return VIXIndex.VIX9D;
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case VIX3M:
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return VIXIndex.VIX3M;
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case VIX6M:
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return VIXIndex.VIX6M;
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case VIX1Y:
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return VIXIndex.VIX1Y;
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default:
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return VIXIndex.VIX;
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}
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}
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public override object ConvertTo(ITypeDescriptorContext context, CultureInfo culture, object value, Type destinationType)
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{
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VIXIndex enumValue = (VIXIndex)Enum.Parse(typeof(VIXIndex), value.ToString());
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switch (enumValue)
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{
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case VIXIndex.VIX1D:
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return VIX1D;
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case VIXIndex.VIX9D:
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return VIX9D;
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case VIXIndex.VIX3M:
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return VIX3M;
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case VIXIndex.VIX6M:
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return VIX6M;
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case VIXIndex.VIX1Y:
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return VIX1Y;
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default:
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return VIX;
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}
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}
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public override bool CanConvertFrom(ITypeDescriptorContext context, Type sourceType)
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{ return true; }
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public override bool CanConvertTo(ITypeDescriptorContext context, Type destinationType)
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{ return true; }
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public override bool GetStandardValuesExclusive(ITypeDescriptorContext context)
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{ return true; }
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public override bool GetStandardValuesSupported(ITypeDescriptorContext context)
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{ return true; }
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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 VIXRatio[] cacheVIXRatio;
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public VIXRatio VIXRatio(VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
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{
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return VIXRatio(Input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
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}
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public VIXRatio VIXRatio(ISeries<double> input, VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
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{
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if (cacheVIXRatio != null)
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for (int idx = 0; idx < cacheVIXRatio.Length; idx++)
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if (cacheVIXRatio[idx] != null && cacheVIXRatio[idx].Numerator == numerator && cacheVIXRatio[idx].Denominator == denominator && cacheVIXRatio[idx].FastEMAPeriod == fastEMAPeriod && cacheVIXRatio[idx].SlowEMAPeriod == slowEMAPeriod && cacheVIXRatio[idx].EqualsInput(input))
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return cacheVIXRatio[idx];
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return CacheIndicator<VIXRatio>(new VIXRatio(){ Numerator = numerator, Denominator = denominator, FastEMAPeriod = fastEMAPeriod, SlowEMAPeriod = slowEMAPeriod }, input, ref cacheVIXRatio);
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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.VIXRatio VIXRatio(VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
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{
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return indicator.VIXRatio(Input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
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}
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public Indicators.VIXRatio VIXRatio(ISeries<double> input , VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
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{
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return indicator.VIXRatio(input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
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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.VIXRatio VIXRatio(VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
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{
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return indicator.VIXRatio(Input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
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}
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public Indicators.VIXRatio VIXRatio(ISeries<double> input , VIXIndex numerator, VIXIndex denominator, int fastEMAPeriod, int slowEMAPeriod)
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{
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return indicator.VIXRatio(input, numerator, denominator, fastEMAPeriod, slowEMAPeriod);
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}
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}
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}
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#endregion
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