ninjatrader/drawing-tools/AnchoredVWAP.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 SharpDX.Direct2D1;

#endregion

//This namespace holds Drawing tools in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.DrawingTools
{
    public class AnchoredVWAP : DrawingTool
    {
        private const string ANCHOR_ICON = "\u2693";
        private const double MOUSE_PROXIMITY = 15;

        public ChartAnchor Anchor { get; set; }

        public override IEnumerable<ChartAnchor> Anchors
        {
            get { return new[] { Anchor }; }
        }

        private List<SharpDX.Vector2> VWAPVectors;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Anchors a VWAP to the specified bar on the chart";
                Name = "Anchored VWAP";
                DrawingState = DrawingState.Building;
                AnchorBar = 0;
                Stroke = new Stroke(Brushes.Yellow, 2f);

                if (Anchor == null)
                    Anchor = new ChartAnchor { 
                        DisplayName = "Anchored VWAP",
                        DrawingTool = this
                    };
            }
            else if (State == State.Terminated)
            {
                Dispose();
            }
        }

        public override object Icon { get { return ANCHOR_ICON; } }

        public override Cursor GetCursor(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, Point point)
        {
            switch (DrawingState)
            {
                case DrawingState.Building:
                    return Cursors.Pen;
                case DrawingState.Editing:
                    ChartAnchor closestAnchor = GetClosestAnchor(chartControl, chartPanel, chartScale, MOUSE_PROXIMITY, point);
                    return Anchor == closestAnchor ? Cursors.SizeWE : null;
                case DrawingState.Moving:
                    return Cursors.SizeWE;
                default:
                    return null;
            }
        }

        public override Point[] GetSelectionPoints(ChartControl chartControl, ChartScale chartScale)
        {
            ChartPanel chartPanel = chartControl.ChartPanels[chartScale.PanelIndex];
            return new[] { Anchor.GetPoint(chartControl, chartPanel, chartScale, false) };
        }

        public override void OnBarsChanged() { }

        public override void OnCalculateMinMax() { }

        public override void OnMouseDown(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, ChartAnchor dataPoint)
        {
            switch (DrawingState)
            {
                case DrawingState.Building:
                    AnchorBar = (int)dataPoint.SlotIndex;
                    DrawingState = DrawingState.Normal;
                    IsSelected = false;
                    break;
                case DrawingState.Editing:
                    Point point = dataPoint.GetPoint(chartControl, chartPanel, chartScale);
                    ChartAnchor closestAnchor = GetClosestAnchor(chartControl, chartPanel, chartScale, MOUSE_PROXIMITY, point);
                    if (Anchor == closestAnchor)
                        DrawingState = DrawingState.Moving;
                    else
                    {
                        DrawingState = DrawingState.Normal;
                        IsSelected = false;
                    }
                    break;
                case DrawingState.Normal:
                    DrawingState = DrawingState.Editing;
                    IsSelected = true;
                    break;
                default:
                    break;
            }
        }

        public override void OnMouseMove(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, ChartAnchor dataPoint)
        {
            switch (DrawingState)
            {
                case DrawingState.Moving:
                    AnchorBar = (int)dataPoint.SlotIndex;
                    break;
                default:
                    break;
            }
        }

        public override void OnMouseUp(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, ChartAnchor dataPoint) 
        {
            switch (DrawingState)
            {
                case DrawingState.Moving:
                    DrawingState = DrawingState.Editing;
                    break;
                default:
                    break;
            }
        }

        public override void OnRender(ChartControl chartControl, ChartScale chartScale)
        {
            UpdateVWAP(chartControl, chartScale);

            AntialiasMode originalAntialiasMode = RenderTarget.AntialiasMode;
            RenderTarget.AntialiasMode = AntialiasMode.PerPrimitive;

            SharpDX.Direct2D1.PathGeometry VWAPGeometry = new SharpDX.Direct2D1.PathGeometry(Core.Globals.D2DFactory);
            GeometrySink VWAPGeometrySink = VWAPGeometry.Open();
            VWAPGeometrySink.BeginFigure(VWAPVectors.First(), FigureBegin.Hollow);
            VWAPGeometrySink.AddLines(VWAPVectors.ToArray());
            VWAPGeometrySink.EndFigure(FigureEnd.Open);
            VWAPGeometrySink.Close();
            RenderTarget.DrawGeometry(VWAPGeometry, Stroke.Brush.ToDxBrush(RenderTarget), Stroke.Width);
            VWAPGeometry.Dispose();

            RenderTarget.AntialiasMode = originalAntialiasMode;
        }

        private void UpdateVWAP(ChartControl chartControl, ChartScale chartScale)
        {
            VWAPVectors = new List<SharpDX.Vector2>();

            Bars bars = chartControl.BarsArray[0].Bars;

            double totalVolume = 0;
            double volumeWeightedPrice = 0;

            for (int i = AnchorBar; i < bars.Count; i++)
            {
                double volume = bars.GetVolume(i);
                double price = (bars.GetOpen(i) + bars.GetHigh(i) + bars.GetLow(i) + bars.GetClose(i)) / 4;

                totalVolume += volume;
                volumeWeightedPrice += price * volume;

                int x = chartControl.GetXByBarIndex(chartControl.BarsArray[0], i);
                int y = chartScale.GetYByValue(volumeWeightedPrice / totalVolume);
                VWAPVectors.Add(new SharpDX.Vector2(x, y));

                if (i == AnchorBar)
                    Anchor = CreateAnchor(new Point(x, y), chartControl, chartScale);
            }
        }

        [Display(ResourceType = typeof(Custom.Resource), GroupName = "Anchored VWAP", Name = "Anchor Bar", Order = 1)]
        public int AnchorBar { get; set; }

        [Display(ResourceType = typeof(Custom.Resource), GroupName = "Anchored VWAP", Name = "AVWAP", Order = 2)]
        public Stroke Stroke { get; set; }

    }
}