ninjatrader/indicators/OrderFlowOscillator.cs

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    [CategoryOrder("Order Flow Oscillator", 1)]
    [CategoryOrder("Plots", 2)]
    public class OrderFlowOscillator : Indicator
    {
        private const int PrimaryBars = 0;
        private const int TickBars = 1;
        
        private int Buys = 0;
        private int Sells = 0;

        private Series<double> AverageGain;
        private Series<double> AverageLoss;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Credit to @jamestsliu for the idea, though the result is different.";
                Name = "Order Flow Oscillator";
                Calculate = Calculate.OnBarClose;
                IsOverlay = false;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = false;
                Period = 14;
                UpperLevel = 70.0;
                LowerLevel = 30.0;
                UpperLevelStroke = new Stroke(Brushes.Red, 3);
                LowerLevelStroke = new Stroke(Brushes.LimeGreen, 3);
                AddPlot(new Stroke(Brushes.Yellow, 2), PlotStyle.Line, "Order Flow Oscillator");
            }
            else if (State == State.Configure)
            {
                AddLine(UpperLevelStroke, UpperLevel, "Upper Level");
                AddLine(LowerLevelStroke, LowerLevel, "Lower Level");

                AddDataSeries(Instrument.FullName, new BarsPeriod { 
                    BarsPeriodType = BarsPeriodType.Tick, Value = 1 }, Bars.TradingHours.Name);
            }
            else if (State == State.DataLoaded)
            {
                AverageGain = new Series<double>(this);
                AverageLoss = new Series<double>(this);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress == TickBars)
            {
                int currentBar = CurrentBars[1];
                if (BarsArray[1].GetClose(currentBar) <= BarsArray[1].GetBid(currentBar))
                    Sells += 1;
                else if (BarsArray[1].GetClose(currentBar) >= BarsArray[1].GetAsk(currentBar))
                    Buys += 1;
            }

            if (BarsInProgress != PrimaryBars)
                return;

            if (CurrentBar < 2)
                return;

            // Order Flow Imbalance
            double OFI = Buys - Sells;

            if (CurrentBar < Period)
            {
                AverageGain[0] = (AverageGain[1] * (CurrentBar - 1) + (OFI > 0 ? OFI : 0)) / CurrentBar;
                AverageLoss[0] = (AverageLoss[1] * (CurrentBar - 1) + (OFI < 0 ? -OFI : 0)) / CurrentBar;
            }
            else
            {
                AverageGain[0] = ((AverageGain[1] * (Period - 1)) + (OFI > 0 ? OFI : 0)) / Period;
                AverageLoss[0] = ((AverageLoss[1] * (Period - 1)) + (OFI < 0 ? -OFI : 0)) / Period;
            }

            // Relative Strength
            double RS = AverageLoss.Equals(0) ? 0 : AverageGain[0] / AverageLoss[0];
            double OFI_RSI = 100 - (100 / (1 + RS));

            Oscillator[0] = OFI_RSI;

            Sells = 0;
            Buys = 0;
        }

        /*  
            The following method only works with tick replay enabled on the data series:
            protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
            {
                if (IsFirstTickOfBar)
                {
                    Sells = 0;
                    Buys = 0;
                }

                if (marketDataUpdate.MarketDataType == MarketDataType.Last)
                {
                    if (marketDataUpdate.Price <= marketDataUpdate.Bid)
                        Sells += 1;
                    else if (marketDataUpdate.Price >= marketDataUpdate.Ask)
                        Buys += 1;
                }
            }
        */

        public override string DisplayName
        {
            get { return Name; }
        }

        #region Properties
        [Browsable(false)]
        [XmlIgnore]
        public Series<double> Oscillator
        {
            get { return Values[0]; }
        }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Period", Order = 1, GroupName = "Order Flow Oscillator")]
        public int Period { get; set; }

        [NinjaScriptProperty]
        [Range(double.MinValue, double.MaxValue)]
        [Display(Name = "Upper Level", Order = 2, GroupName = "Plots")]
        public double UpperLevel { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Upper Level Style", Order = 3, GroupName = "Plots")]
        public Stroke UpperLevelStroke { get; set; }

        [NinjaScriptProperty]
        [Range(double.MinValue, double.MaxValue)]
        [Display(Name = "Lower Level", Order = 4, GroupName = "Plots")]
        public double LowerLevel { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Lower Level Style", Order = 5, GroupName = "Plots")]
        public Stroke LowerLevelStroke { get; set; }
        #endregion
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private OrderFlowOscillator[] cacheOrderFlowOscillator;
        public OrderFlowOscillator OrderFlowOscillator(int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
        {
            return OrderFlowOscillator(Input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
        }

        public OrderFlowOscillator OrderFlowOscillator(ISeries<double> input, int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
        {
            if (cacheOrderFlowOscillator != null)
                for (int idx = 0; idx < cacheOrderFlowOscillator.Length; idx++)
                    if (cacheOrderFlowOscillator[idx] != null && cacheOrderFlowOscillator[idx].Period == period && cacheOrderFlowOscillator[idx].UpperLevel == upperLevel && cacheOrderFlowOscillator[idx].UpperLevelStroke == upperLevelStroke && cacheOrderFlowOscillator[idx].LowerLevel == lowerLevel && cacheOrderFlowOscillator[idx].LowerLevelStroke == lowerLevelStroke && cacheOrderFlowOscillator[idx].EqualsInput(input))
                        return cacheOrderFlowOscillator[idx];
            return CacheIndicator<OrderFlowOscillator>(new OrderFlowOscillator(){ Period = period, UpperLevel = upperLevel, UpperLevelStroke = upperLevelStroke, LowerLevel = lowerLevel, LowerLevelStroke = lowerLevelStroke }, input, ref cacheOrderFlowOscillator);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.OrderFlowOscillator OrderFlowOscillator(int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
        {
            return indicator.OrderFlowOscillator(Input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
        }

        public Indicators.OrderFlowOscillator OrderFlowOscillator(ISeries<double> input , int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
        {
            return indicator.OrderFlowOscillator(input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.OrderFlowOscillator OrderFlowOscillator(int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
        {
            return indicator.OrderFlowOscillator(Input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
        }

        public Indicators.OrderFlowOscillator OrderFlowOscillator(ISeries<double> input , int period, double upperLevel, Stroke upperLevelStroke, double lowerLevel, Stroke lowerLevelStroke)
        {
            return indicator.OrderFlowOscillator(input, period, upperLevel, upperLevelStroke, lowerLevel, lowerLevelStroke);
        }
    }
}

#endregion