ninjatrader/indicators/TwoB.cs

#region Using declarations
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Windows.Media;
using System.Xml.Serialization;
#endregion

namespace NinjaTrader.NinjaScript.Indicators
{
    public class TwoBPattern
    {
        public double Level { get; set; }
        public bool Is2BUp { get; set; }
        public bool Is2BDown { get; set; }
        public int StartBarIndex { get; set; }
        public int EndBarIndex { get; set; }
        public double PivotLevel { get; set; }
        public int PivotBarIndex { get; set; }
    }

    public class TwoB : Indicator
    {
        [XmlIgnore]
        public Series<TwoBPattern> CompletedPattern;

        private List<TwoBPattern> twoBs;
        
        private PivotPoints pivots;

        private double pivotHigh;
        private double pivotLow;
        private int pivotHighBarIndex;
        private int pivotLowBarIndex;

        private double mostRecentPivotHigh;
        private double mostRecentPivotLow;
        private int mostRecentPivotHighBarIndex;
        private int mostRecentPivotLowBarIndex;

        private double twoBUpLevel;
        private int twoBUpStartBarIndex;
        private int twoBUpEndBarIndex;

        private double twoBDownLevel;
        private int twoBDownStartBarIndex;
        private int twoBDownEndBarIndex;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Based on the 2B reversal pattern, credit to Victor Sperandeo";
                Name = "2B";
                Calculate = Calculate.OnBarClose;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = true;

                PivotPeriod = 10;
                TwoBUpStroke = new Stroke(Brushes.LimeGreen, 3);
                TwoBDownStroke = new Stroke(Brushes.Red, 3);
                PivotStroke = new Stroke(Brushes.Yellow, 3);

                // For use during backtesting in order to limit the number of patterns processed.
                MaxPatterns = 0;
            }
            else if (State == State.DataLoaded)
            {
                CompletedPattern = new Series<TwoBPattern>(this, MaximumBarsLookBack.Infinite);

                twoBs = new List<TwoBPattern>();

                pivots = PivotPoints(PivotPeriod, false);
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < PivotPeriod)
                return;

            PivotPoint pivot = pivots.Pivot[0];
            if (pivot != null)
            {
                if (pivot.IsPivotHigh)
                {
                    pivotHigh = pivot.Level;
                    pivotHighBarIndex = pivot.StartBarIndex;
                }
                else if (pivot.IsPivotLow)
                {
                    pivotLow = pivot.Level;
                    pivotLowBarIndex = pivot.StartBarIndex;
                }
            }

            if (Open[0] < pivotHigh && High[0] > pivotHigh && mostRecentPivotHigh != pivotHigh)
            {
                mostRecentPivotHigh = pivotHigh;
                mostRecentPivotHighBarIndex = pivotHighBarIndex;

                twoBDownLevel = Low[0];
                twoBDownStartBarIndex = CurrentBar;
            }
            else if (Open[0] > pivotLow && Low[0] < pivotLow && mostRecentPivotLow != pivotLow)
            {
                mostRecentPivotLow = pivotLow;
                mostRecentPivotLowBarIndex = pivotLowBarIndex;

                twoBUpLevel = High[0];
                twoBUpStartBarIndex = CurrentBar;
            }

            if (Close[0] > twoBUpLevel)
            {
                twoBUpEndBarIndex = CurrentBar;
                TwoBPattern twoBUp = new TwoBPattern
                {
                    Level = twoBUpLevel,
                    Is2BUp = true,
                    StartBarIndex = twoBUpStartBarIndex,
                    EndBarIndex = twoBUpEndBarIndex,
                    PivotBarIndex = mostRecentPivotLowBarIndex,
                    PivotLevel = mostRecentPivotLow,
                };
                twoBs.Add(twoBUp);
                CompletedPattern[0] = twoBUp;

                twoBUpLevel = double.MaxValue;
            }
            else if (Close[0] < twoBDownLevel)
            {
                twoBDownEndBarIndex = CurrentBar;

                TwoBPattern twoBDown = new TwoBPattern
                {
                    Level = twoBDownLevel,
                    Is2BDown = true,
                    StartBarIndex = twoBDownStartBarIndex,
                    EndBarIndex = twoBDownEndBarIndex,
                    PivotBarIndex = mostRecentPivotHighBarIndex,
                    PivotLevel = mostRecentPivotHigh,
                };
                twoBs.Add(twoBDown);
                CompletedPattern[0] = twoBDown;

                twoBDownLevel = double.MinValue;
            }

            if (MaxPatterns > 0 && twoBs.Count > MaxPatterns)
                twoBs.RemoveAt(0);
        }

        protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
        {
            base.OnRender(chartControl, chartScale);

            foreach (var twoB in twoBs.ToArray())
            {
                int startX = chartControl.GetXByBarIndex(ChartBars, twoB.StartBarIndex);
                int endX = twoB.EndBarIndex == 0 ? ChartPanel.X + ChartPanel.W : chartControl.GetXByBarIndex(ChartBars, twoB.EndBarIndex);

                var stroke = twoB.Is2BUp ? TwoBUpStroke : TwoBDownStroke;
                DrawHorizontalLine(startX, endX, chartScale.GetYByValue(twoB.Level), stroke);

                int pivotX = chartControl.GetXByBarIndex(ChartBars, twoB.PivotBarIndex);
                DrawHorizontalLine(pivotX, startX, chartScale.GetYByValue(twoB.PivotLevel), PivotStroke);
            }
        }

        private void DrawHorizontalLine(int startX, int endX, int y, Stroke stroke)
        {
            SharpDX.Direct2D1.Brush dxBrush = stroke.Brush.ToDxBrush(RenderTarget);
            RenderTarget.DrawLine(
                new SharpDX.Vector2(startX, y),
                new SharpDX.Vector2(endX, y),
                dxBrush, stroke.Width, stroke.StrokeStyle
            );
            dxBrush.Dispose();
        }

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

        [NinjaScriptProperty]
        [Range(1, int .MaxValue)]
        [Display(Name = "Pivot Period", GroupName = "2B", Order = 1)]
        public int PivotPeriod
        { get; set; }

        [Display(Name = "2B Up Stroke", GroupName = "2B", Order = 2)]
        public Stroke TwoBUpStroke { get; set; }

        [Display(Name = "2B Down Stroke", GroupName = "2B", Order = 3)]
        public Stroke TwoBDownStroke { get; set; }

        [Display(Name = "Pivot Stroke", GroupName = "2B", Order = 4)]
        public Stroke PivotStroke { get; set; }

        [Browsable(false)]
        public int MaxPatterns { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private TwoB[] cacheTwoB;
        public TwoB TwoB(int pivotPeriod)
        {
            return TwoB(Input, pivotPeriod);
        }

        public TwoB TwoB(ISeries<double> input, int pivotPeriod)
        {
            if (cacheTwoB != null)
                for (int idx = 0; idx < cacheTwoB.Length; idx++)
                    if (cacheTwoB[idx] != null && cacheTwoB[idx].PivotPeriod == pivotPeriod && cacheTwoB[idx].EqualsInput(input))
                        return cacheTwoB[idx];
            return CacheIndicator<TwoB>(new TwoB(){ PivotPeriod = pivotPeriod }, input, ref cacheTwoB);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.TwoB TwoB(int pivotPeriod)
        {
            return indicator.TwoB(Input, pivotPeriod);
        }

        public Indicators.TwoB TwoB(ISeries<double> input , int pivotPeriod)
        {
            return indicator.TwoB(input, pivotPeriod);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.TwoB TwoB(int pivotPeriod)
        {
            return indicator.TwoB(Input, pivotPeriod);
        }

        public Indicators.TwoB TwoB(ISeries<double> input , int pivotPeriod)
        {
            return indicator.TwoB(input, pivotPeriod);
        }
    }
}

#endregion