274 lines
12 KiB
C#
274 lines
12 KiB
C#
#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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#endregion
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public enum OpeningRangeBarType
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{
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Seconds,
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Minutes,
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Hours,
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Volume
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}
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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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public class OpeningRange : Indicator
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{
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private static int MINUTES_IN_HOUR = 60;
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private static string REGULAR_TRADING_HOURS = "US Equities RTH";
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private double OpeningRangeHigh;
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private double OpeningRangeLow;
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private double OpeningRangeMid;
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private DateTime OpeningRangeDate;
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private DateTime OpeningRangeStartTime;
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private SessionIterator Session;
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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 = @"Plots the user-defined opening range";
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Name = "Opening Range";
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Calculate = Calculate.OnPriceChange;
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IsOverlay = true;
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DisplayInDataBox = true;
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DrawOnPricePanel = true;
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DrawHorizontalGridLines = true;
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DrawVerticalGridLines = true;
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PaintPriceMarkers = true;
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ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right;
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//Disable this property if your indicator requires custom values that cumulate with each new market data event.
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//See Help Guide for additional information.
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IsSuspendedWhileInactive = true;
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ArePlotsConfigurable = false;
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OpeningRangePeriod = 30;
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OpeningRangeType = OpeningRangeBarType.Minutes;
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OpeningRangeHighStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3);
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OpeningRangeLowStroke = new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3);
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OpeningRangeMidStroke = new Stroke(Brushes.Gray, DashStyleHelper.Dash, 3);
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AddPlot(Brushes.Transparent, "ORH");
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AddPlot(Brushes.Transparent, "ORL");
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AddPlot(Brushes.Transparent, "ORM");
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}
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else if (State == State.Configure)
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{
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OpeningRangeHigh = 0.0;
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OpeningRangeLow = 0.0;
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OpeningRangeMid = 0.0;
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OpeningRangeDate = DateTime.MinValue;
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OpeningRangeStartTime = DateTime.MinValue;
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if (OpeningRangeType == OpeningRangeBarType.Volume)
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{
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Volume, Value = OpeningRangePeriod }, REGULAR_TRADING_HOURS);
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}
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else if (OpeningRangeType == OpeningRangeBarType.Seconds)
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{
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Second, Value = OpeningRangePeriod }, REGULAR_TRADING_HOURS);
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}
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else if (OpeningRangeType == OpeningRangeBarType.Hours)
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{
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangePeriod * MINUTES_IN_HOUR }, REGULAR_TRADING_HOURS);
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}
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else
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{
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Minute, Value = OpeningRangePeriod }, REGULAR_TRADING_HOURS);
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}
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}
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else if (State == State.DataLoaded)
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{
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Session = new SessionIterator(BarsArray[1]);
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}
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}
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protected override void OnBarUpdate()
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{
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DateTime now = Times[BarsInProgress][0];
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DateTime marketOpen = now.Date + Session.GetTradingDayBeginLocal(Session.ActualTradingDayExchange).TimeOfDay;
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DateTime marketClose = now.Date + Session.GetTradingDayEndLocal(Session.ActualTradingDayExchange).TimeOfDay;
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if (now.Date != OpeningRangeDate)
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{
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OpeningRangeHigh = 0.0;
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OpeningRangeLow = 0.0;
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OpeningRangeMid = 0.0;
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}
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if (BarsInProgress == 0)
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{
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ORH[0] = OpeningRangeHigh;
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ORL[0] = OpeningRangeLow;
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OpeningRangeMid = (OpeningRangeLow + OpeningRangeHigh) / 2.0;
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ORM[0] = OpeningRangeMid;
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if (now > marketOpen && now.Date != OpeningRangeDate)
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{
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OpeningRangeStartTime = now;
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OpeningRangeDate = now.Date;
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}
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if (OpeningRangeHigh > 0.0 && OpeningRangeLow > 0.0)
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{
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Draw.Line(this, "ORH@" + OpeningRangeHigh, true, OpeningRangeStartTime, OpeningRangeHigh, marketClose, OpeningRangeHigh,
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OpeningRangeHighStroke.Brush, OpeningRangeHighStroke.DashStyleHelper, (int)OpeningRangeHighStroke.Width);
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Draw.Line(this, "ORL@" + OpeningRangeLow, true, OpeningRangeStartTime, OpeningRangeLow, marketClose, OpeningRangeLow,
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OpeningRangeLowStroke.Brush, OpeningRangeLowStroke.DashStyleHelper, (int)OpeningRangeLowStroke.Width);
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Draw.Line(this, "ORM@" + OpeningRangeMid, true, OpeningRangeStartTime, OpeningRangeMid, marketClose, OpeningRangeMid,
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OpeningRangeMidStroke.Brush, OpeningRangeMidStroke.DashStyleHelper, (int)OpeningRangeMidStroke.Width);
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}
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return;
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}
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if (Bars.IsFirstBarOfSession)
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{
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if (Highs[BarsInProgress][0] > OpeningRangeHigh || OpeningRangeHigh == 0.0)
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{
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RemoveDrawObject("ORH@" + OpeningRangeHigh);
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RemoveDrawObject("ORM@" + OpeningRangeMid);
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OpeningRangeHigh = Highs[BarsInProgress][0];
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}
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if (Lows[BarsInProgress][0] < OpeningRangeLow || OpeningRangeLow == 0.0)
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{
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RemoveDrawObject("ORL@" + OpeningRangeLow);
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RemoveDrawObject("ORM@" + OpeningRangeMid);
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OpeningRangeLow = Lows[BarsInProgress][0];
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}
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}
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}
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Period", Description = "Opening range period", Order = 1, GroupName = "Parameters")]
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public int OpeningRangePeriod
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Type", Description = "Type of opening range being calculated", Order = 2, GroupName = "Parameters")]
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public OpeningRangeBarType OpeningRangeType
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Opening Range High", Description = "Opening range high line drawn on chart", Order = 3, GroupName = "Parameters")]
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public Stroke OpeningRangeHighStroke
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Opening Range Low", Description = "Opening range low line drawn on chart", Order = 4, GroupName = "Parameters")]
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public Stroke OpeningRangeLowStroke
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Opening Range Mid", Description = "Opening range mid line drawn on chart", Order = 5, GroupName = "Parameters")]
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public Stroke OpeningRangeMidStroke
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{ get; set; }
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[Browsable(false)]
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[XmlIgnore]
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public Series<double> ORH
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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> ORL
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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> ORM
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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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#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 OpeningRange[] cacheOpeningRange;
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public OpeningRange OpeningRange(int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return OpeningRange(Input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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}
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public OpeningRange OpeningRange(ISeries<double> input, int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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if (cacheOpeningRange != null)
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for (int idx = 0; idx < cacheOpeningRange.Length; idx++)
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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))
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return cacheOpeningRange[idx];
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return CacheIndicator<OpeningRange>(new OpeningRange(){ OpeningRangePeriod = openingRangePeriod, OpeningRangeType = openingRangeType, OpeningRangeHighStroke = openingRangeHighStroke, OpeningRangeLowStroke = openingRangeLowStroke, OpeningRangeMidStroke = openingRangeMidStroke }, input, ref cacheOpeningRange);
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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.OpeningRange OpeningRange(int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return indicator.OpeningRange(Input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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}
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public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return indicator.OpeningRange(input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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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.OpeningRange OpeningRange(int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return indicator.OpeningRange(Input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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}
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public Indicators.OpeningRange OpeningRange(ISeries<double> input , int openingRangePeriod, OpeningRangeBarType openingRangeType, Stroke openingRangeHighStroke, Stroke openingRangeLowStroke, Stroke openingRangeMidStroke)
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{
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return indicator.OpeningRange(input, openingRangePeriod, openingRangeType, openingRangeHighStroke, openingRangeLowStroke, openingRangeMidStroke);
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}
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}
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}
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#endregion
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