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Add support for opening ranges defined in terms of volume conducted

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This commit is contained in:
moshferatu 2023-03-07 05:33:10 -08:00
parent a4cfe65a4e
commit e6b54e392b
1 changed files with 33 additions and 27 deletions
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60
indicators/OpeningRange.cs
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@ -21,11 +21,12 @@ using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
public enum TimeFrame
public enum OpeningRangeBarType
{
Seconds,
Minutes,
Hours
Hours,
Volume
}
//This namespace holds Indicators in this folder and is required. Do not change it.
@ -63,8 +64,8 @@ namespace NinjaTrader.NinjaScript.Indicators
//See Help Guide for additional information.
IsSuspendedWhileInactive = true;
ArePlotsConfigurable = false;
OpeningRangeLength = 30;
OpeningRangeTimeFrame = TimeFrame.Minutes;
OpeningRangePeriod = 30;
OpeningRangeType = OpeningRangeBarType.Minutes;
OpeningRangeHighStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3);
OpeningRangeLowStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3);
OpeningRangeMidStroke = new Stroke(Brushes.Gray, DashStyleHelper.Dash, 3);
@ -80,20 +81,25 @@ namespace NinjaTrader.NinjaScript.Indicators
OpeningRangeDate = DateTime.MinValue;
OpeningRangeStartTime = DateTime.MinValue;
if (OpeningRangeTimeFrame == TimeFrame.Seconds)
if (OpeningRangeType == OpeningRangeBarType.Volume)
{
AddDataSeries(Instrument.FullName, new BarsPeriod {
BarsPeriodType = BarsPeriodType.Second, Value = OpeningRangeLength }, REGULAR_TRADING_HOURS);
AddDataSeries(Instrument.FullName, new BarsPeriod {
BarsPeriodType = BarsPeriodType.Volume, Value = OpeningRangePeriod }, REGULAR_TRADING_HOURS);
}
else if (OpeningRangeTimeFrame == TimeFrame.Hours)
else if (OpeningRangeType == OpeningRangeBarType.Seconds)
{
AddDataSeries(Instrument.FullName, new BarsPeriod {
BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangeLength * MINUTES_IN_HOUR }, REGULAR_TRADING_HOURS);
BarsPeriodType = BarsPeriodType.Second, Value = OpeningRangePeriod }, REGULAR_TRADING_HOURS);
}
else if (OpeningRangeType == OpeningRangeBarType.Hours)
{
AddDataSeries(Instrument.FullName, new BarsPeriod {
BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangePeriod * MINUTES_IN_HOUR }, REGULAR_TRADING_HOURS);
}
else
{
AddDataSeries(Instrument.FullName, new BarsPeriod {
BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangeLength }, REGULAR_TRADING_HOURS);
BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangePeriod }, REGULAR_TRADING_HOURS);
}
}
else if (State == State.DataLoaded)
@ -162,13 +168,13 @@ namespace NinjaTrader.NinjaScript.Indicators
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name = "Length", Description = "Length of opening range", Order = 1, GroupName = "Parameters")]
public int OpeningRangeLength
[Display(Name = "Period", Description = "Opening range period", Order = 1, GroupName = "Parameters")]
public int OpeningRangePeriod
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "Time Frame", Description = "Time frame on which opening range is being calculated", Order = 2, GroupName = "Parameters")]
public TimeFrame OpeningRangeTimeFrame
[Display(Name = "Type", Description = "Type of opening range being calculated", Order = 2, GroupName = "Parameters")]
public OpeningRangeBarType OpeningRangeType
{ get; set; }
[NinjaScriptProperty]
@ -216,18 +222,18 @@ namespace NinjaTrader.NinjaScript.Indicators
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private OpeningRange[] cacheOpeningRange;
public OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
public OpeningRange OpeningRange(int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
{
return OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
return OpeningRange(Input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
}
public OpeningRange OpeningRange(ISeries<double> input, int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
public OpeningRange OpeningRange(ISeries<double> input, int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
{
if (cacheOpeningRange != null)
for (int idx = 0; idx < cacheOpeningRange.Length; idx++)
if (cacheOpeningRange[idx] != null && cacheOpeningRange[idx].OpeningRangeLength == openingRangeLength && cacheOpeningRange[idx].OpeningRangeTimeFrame == openingRangeTimeFrame && cacheOpeningRange[idx].OpeningRangeHighStroke == openingRangeHighStroke && cacheOpeningRange[idx].OpeningRangeLowStroke == openingRangeLowStroke && cacheOpeningRange[idx].OpeningRangeMidStroke == openingRangeMidStroke && cacheOpeningRange[idx].EqualsInput(input))
if (cacheOpeningRange[idx] != null && cacheOpeningRange[idx].OpeningRangePeriod == openingRangePeriod && cacheOpeningRange[idx].OpeningRangeType == openingRangeType && cacheOpeningRange[idx].OpeningRangeHighStroke == openingRangeHighStroke && cacheOpeningRange[idx].OpeningRangeLowStroke == openingRangeLowStroke && cacheOpeningRange[idx].OpeningRangeMidStroke == openingRangeMidStroke && cacheOpeningRange[idx].EqualsInput(input))
return cacheOpeningRange[idx];
return CacheIndicator<OpeningRange>(new OpeningRange(){ OpeningRangeLength = openingRangeLength, OpeningRangeTimeFrame = openingRangeTimeFrame, OpeningRangeHighStroke = openingRangeHighStroke, OpeningRangeLowStroke = openingRangeLowStroke, OpeningRangeMidStroke = openingRangeMidStroke }, input, ref cacheOpeningRange);
return CacheIndicator<OpeningRange>(new OpeningRange(){ OpeningRangePeriod = openingRangePeriod, OpeningRangeType = openingRangeType, OpeningRangeHighStroke = openingRangeHighStroke, OpeningRangeLowStroke = openingRangeLowStroke, OpeningRangeMidStroke = openingRangeMidStroke }, input, ref cacheOpeningRange);
}
}
}
@ -236,14 +242,14 @@ namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
public Indicators.OpeningRange OpeningRange(int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
{
return indicator.OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
return indicator.OpeningRange(Input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
}
public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
{
return indicator.OpeningRange(input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
return indicator.OpeningRange(input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
}
}
}
@ -252,14 +258,14 @@ namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.OpeningRange OpeningRange(int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
public Indicators.OpeningRange OpeningRange(int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
{
return indicator.OpeningRange(Input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
return indicator.OpeningRange(Input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
}
public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangeLength, TimeFrame openingRangeTimeFrame, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
{
return indicator.OpeningRange(input, openingRangeLength, openingRangeTimeFrame, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
return indicator.OpeningRange(input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
}
}
}