385 lines
14 KiB
C#
385 lines
14 KiB
C#
#region Using declarations
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using System;
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using System.Collections.Concurrent;
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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.Net.Sockets;
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using System.Text;
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using System.Threading;
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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 NinjaTrader.Core;
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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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class MarketDepthStream
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{
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public ConcurrentDictionary<float, int> Asks { get; private set; }
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public ConcurrentDictionary<float, int> Bids { get; private set; }
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static readonly Dictionary<string, string> MonthCodes = new Dictionary<string, string>
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{
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{"01", "F"},
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{"02", "G"},
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{"03", "H"},
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{"04", "J"},
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{"05", "K"},
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{"06", "M"},
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{"07", "N"},
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{"08", "Q"},
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{"09", "U"},
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{"10", "V"},
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{"11", "X"},
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{"12", "Z"}
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};
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public async Task StreamMarketDepth(Instrument instrument, int maxLevels, string host, int port, CancellationToken cancellationToken)
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{
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Asks = new ConcurrentDictionary<float, int>();
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Bids = new ConcurrentDictionary<float, int>();
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string symbol = GetIQFeedSymbol(instrument);
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using (TcpClient client = new TcpClient(host, port))
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using (NetworkStream stream = client.GetStream())
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{
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StringBuilder data = new StringBuilder();
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while (!cancellationToken.IsCancellationRequested)
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{
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byte[] buffer = new byte[4096];
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int bytesRead = await stream.ReadAsync(buffer, 0, buffer.Length);
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data.Append(Encoding.UTF8.GetString(buffer, 0, bytesRead));
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string[] messages = data.ToString().Split('\n');
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if (data.ToString().EndsWith("\n"))
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{
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data.Clear();
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}
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else
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{
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data.Clear();
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data.Append(messages[messages.Length - 1]);
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Array.Resize(ref messages, messages.Length - 1);
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}
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foreach (var message in messages)
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{
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if (string.IsNullOrWhiteSpace(message))
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{
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continue;
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}
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if (message.Contains("S,SERVER CONNECTED"))
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{
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await SendCommand(stream, "S,SET PROTOCOL,6.2");
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string command = "WPL," + symbol + ",";
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if (maxLevels > 0)
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command += maxLevels.ToString();
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await SendCommand(stream, command);
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continue;
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}
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ProcessMarketDepthMessage(message.Trim());
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TrimMarketDepth(maxLevels);
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}
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}
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}
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}
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private string GetIQFeedSymbol(Instrument instrument)
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{
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// Example: ES 06-24
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string masterInstrument = instrument.MasterInstrument.Name;
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string monthYear = instrument.FullName.Split(' ')[1];
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string month = monthYear.Substring(0, 2);
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string year = monthYear.Substring(3, 2);
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string monthCode = MonthCodes[month];
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return "@" + masterInstrument + monthCode + year;
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}
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private async Task SendCommand(NetworkStream stream, string command)
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{
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byte[] commandBytes = Encoding.UTF8.GetBytes(command + "\r\n");
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await stream.WriteAsync(commandBytes, 0, commandBytes.Length);
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}
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private void ProcessMarketDepthMessage(string message)
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{
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string[] fields = message.Split(',');
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if (fields[0] == "7" || fields[0] == "8")
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{ // Price Update and Price Summary Messages
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string symbol = fields[1];
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string side = fields[2];
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float price = float.Parse(fields[3]);
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int levelSize = int.Parse(fields[4]);
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if (side.ToUpper() == "B")
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{
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Bids.AddOrUpdate(price, levelSize, (p, oldValue) => levelSize);
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}
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else if (side.ToUpper() == "A")
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{
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Asks.AddOrUpdate(price, levelSize, (p, oldValue) => levelSize);
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}
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}
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else if (fields[0] == "9")
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{ // Price Delete Messages
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string side = fields[2];
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float price = float.Parse(fields[3]);
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if (side.ToUpper() == "B")
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{
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int levelSize;
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Bids.TryRemove(price, out levelSize);
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}
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else if (side.ToUpper() == "A")
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{
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int levelSize;
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Asks.TryRemove(price, out levelSize);
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}
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}
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}
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private void TrimMarketDepth(int maxLevels)
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{
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if (maxLevels <= 0)
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return;
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if (Asks.Count > maxLevels)
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{
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var sortedLevels = Asks.Keys.OrderBy(x => x).ToList();
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if (sortedLevels.Count > maxLevels)
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{
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// Remove the highest asks.
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var levelsToRemove = sortedLevels.Skip(maxLevels).ToList();
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foreach (var level in levelsToRemove)
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{
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int value;
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Asks.TryRemove(level, out value);
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}
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}
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}
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if (Bids.Count > maxLevels)
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{
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var sortedLevels = Bids.Keys.OrderBy(x => x).ToList();
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if (sortedLevels.Count > maxLevels)
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{
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// Remove the lowest bids.
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var levelsToRemove = sortedLevels.Take(sortedLevels.Count - maxLevels).ToList();
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foreach (var level in levelsToRemove)
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{
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int value;
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Bids.TryRemove(level, out value);
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}
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}
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}
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}
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}
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public class MarketDepth : Indicator
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{
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private MarketDepthStream Stream = new MarketDepthStream();
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private CancellationTokenSource StreamCancellation;
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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 = @"";
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Name = "Market Depth";
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Calculate = Calculate.OnEachTick;
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IsOverlay = true;
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DisplayInDataBox = true;
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DrawOnPricePanel = true;
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DrawHorizontalGridLines = false;
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DrawVerticalGridLines = false;
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PaintPriceMarkers = false;
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ScaleJustification = ScaleJustification.Right;
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IsSuspendedWhileInactive = false;
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MaxLevels = 0;
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MaxWidth = 500;
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BidStroke = new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3);
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AskStroke = new Stroke(Brushes.Red, DashStyleHelper.Solid, 3);
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Host = "127.0.0.1";
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Port = 9200;
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}
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else if (State == State.DataLoaded)
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{
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StreamCancellation = new CancellationTokenSource();
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Task.Run(() => Stream.StreamMarketDepth(Instrument, MaxLevels, Host, Port, StreamCancellation.Token));
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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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else if (State == State.Terminated)
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{
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if (StreamCancellation != null)
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{
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StreamCancellation.Cancel();
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StreamCancellation.Dispose();
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}
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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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if (Stream.Asks == null || Stream.Bids == null)
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return;
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if (Stream.Asks.Count() <= 0 || Stream.Bids.Count() <= 0)
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return;
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// Find the max volume for visually scaling the indicator.
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long maxVolume = Math.Max(Stream.Asks.Values.ToList().DefaultIfEmpty(0).Max(),
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Stream.Bids.Values.ToList().DefaultIfEmpty(0).Max());
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foreach (var Ask in Stream.Asks.ToArray())
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{
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float price = Ask.Key;
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int volume = Ask.Value;
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int length = (int)((double)volume / maxVolume * MaxWidth);
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int y = chartScale.GetYByValue(price);
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DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, AskStroke);
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}
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foreach (var Bid in Stream.Bids.ToArray())
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{
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float price = Bid.Key;
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int volume = Bid.Value;
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int length = (int)((double)volume / maxVolume * MaxWidth);
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int y = chartScale.GetYByValue(price);
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DrawHorizontalLine((ChartPanel.X + ChartPanel.W) - length, ChartPanel.X + ChartPanel.W, y, BidStroke);
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}
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}
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protected override void OnBarUpdate() {}
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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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[Display(Name = "Max Levels", Description = "The maximum number of levels to display (0 for unlimited)", Order = 1, GroupName = "Market Depth")]
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public int MaxLevels { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Max Width", Description = "The maximum width of the market depth levels in pixels", Order = 2, GroupName = "Market Depth")]
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public int MaxWidth
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Bid Level", Description = "Color and style of bid levels", Order = 3, GroupName = "Market Depth")]
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public Stroke BidStroke { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Ask Level", Description = "Color and style of ask levels", Order = 4, GroupName = "Market Depth")]
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public Stroke AskStroke { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "IQFeed Host", Description = "The host on which the IQFeed connection is running", Order = 5, GroupName = "Market Depth")]
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public string Host { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "IQFeed Port", Description = "The port on which the IQFeed connection is listening", Order = 6, GroupName = "Market Depth")]
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public int Port { get; set; }
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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 MarketDepth[] cacheMarketDepth;
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public MarketDepth MarketDepth(int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
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{
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return MarketDepth(Input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
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}
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public MarketDepth MarketDepth(ISeries<double> input, int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
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{
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if (cacheMarketDepth != null)
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for (int idx = 0; idx < cacheMarketDepth.Length; idx++)
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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))
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return cacheMarketDepth[idx];
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return CacheIndicator<MarketDepth>(new MarketDepth(){ MaxLevels = maxLevels, MaxWidth = maxWidth, BidStroke = bidStroke, AskStroke = askStroke, Host = host, Port = port }, input, ref cacheMarketDepth);
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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.MarketDepth MarketDepth(int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
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{
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return indicator.MarketDepth(Input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
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}
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public Indicators.MarketDepth MarketDepth(ISeries<double> input , int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
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{
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return indicator.MarketDepth(input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
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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.MarketDepth MarketDepth(int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
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{
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return indicator.MarketDepth(Input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
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}
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public Indicators.MarketDepth MarketDepth(ISeries<double> input , int maxLevels, int maxWidth, Stroke bidStroke, Stroke askStroke, string host, int port)
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{
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return indicator.MarketDepth(input, maxLevels, maxWidth, bidStroke, askStroke, host, port);
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}
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}
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}
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#endregion
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