protected override void OnBarUpdate()
{
if (BarsInProgress == 1)
{
avg1 = SMA(BarsArray[1], Period)[0];
return;
}
if (SessionIterator == null || CurrentBars[0] < Period || CurrentBars[1] < Period)
{
return;
}
if (Bars.BarsType.IsIntraday && !SessionIterator.IsInSession(Times[0][0], false, true))
{
return;
}
avg0 = SMA(BarsArray[0], Period)[0];
double nominator = 0;
double denominator1 = 0;
double denominator2 = 0;
for (int i = 0; i < Period; i++)
{
nominator += (avg0 - Inputs[0][i]) * (avg1 - Inputs[1][i]);
denominator1 += (avg0 - Inputs[0][i]) * (avg0 - Inputs[0][i]);
denominator2 += (avg1 - Inputs[1][i]) * (avg1 - Inputs[1][i]);
}
double denominator = Math.Sqrt(denominator1) * Math.Sqrt(denominator2);
Value[0] = denominator.ApproxCompare(0) == 0 ? 0 : nominator / denominator;
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = NinjaTrader.Custom.Resource.NinjaScriptIndicatorDescriptionBarTimer;
Name = NinjaTrader.Custom.Resource.NinjaScriptIndicatorNameBarTimer;
Calculate = Calculate.OnEachTick;
DrawOnPricePanel = false;
IsChartOnly = true;
IsOverlay = true;
DisplayInDataBox = false;
}
else if (State == State.Realtime)
{
if (timer == null)
{
if (Bars.BarsType.IsTimeBased && Bars.BarsType.IsIntraday)
{
lock (Connection.Connections)
{
if (Connection.Connections.ToList().FirstOrDefault(c => c.Status == ConnectionStatus.Connected && c.InstrumentTypes.Contains(Instrument.MasterInstrument.InstrumentType)) == null)
{
Draw.TextFixed(this, "NinjaScriptInfo", NinjaTrader.Custom.Resource.BarTimerDisconnectedError, TextPosition.BottomRight, ChartControl.Properties.ChartText, ChartControl.Properties.LabelFont, Brushes.Transparent, Brushes.Transparent, 0);
}
else
{
if (!SessionIterator.IsInSession(Now, false, true))
{
Draw.TextFixed(this, "NinjaScriptInfo", NinjaTrader.Custom.Resource.BarTimerSessionTimeError, TextPosition.BottomRight, ChartControl.Properties.ChartText, ChartControl.Properties.LabelFont, Brushes.Transparent, Brushes.Transparent, 0);
}
else
{
Draw.TextFixed(this, "NinjaScriptInfo", NinjaTrader.Custom.Resource.BarTimerWaitingOnDataError, TextPosition.BottomRight, ChartControl.Properties.ChartText, ChartControl.Properties.LabelFont, Brushes.Transparent, Brushes.Transparent, 0);
}
}
}
}
else
{
Draw.TextFixed(this, "NinjaScriptInfo", NinjaTrader.Custom.Resource.BarTimerTimeBasedError, TextPosition.BottomRight, ChartControl.Properties.ChartText, ChartControl.Properties.LabelFont, Brushes.Transparent, Brushes.Transparent, 0);
}
}
}
else if (State == State.Terminated)
{
if (timer == null)
{
return;
}
timer.IsEnabled = false;
timer = null;
}
}
protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
// Workaround for market replay backfilling all of replay sessions data(as historical data)
// Replay should only backfill history up to replay time, so make sure any historical ticks
// are before the current replay time.
if ((Connection.PlaybackConnection != null) &&
(State == State.Historical) &&
(marketDataUpdate.Time >= Connection.PlaybackConnection.Now))
{
if (PrintDebug)
{
Print("Filter Hit - MarketDataEvent Time :" + marketDataUpdate.Time.ToString() +
" Playback Time: " + Connection.PlaybackConnection.Now.ToString() +
" Event Type: " + marketDataUpdate.MarketDataType +
" State: " + State);
}
return;
}
// Reset for every session
if (sessionIterator.IsNewSession(marketDataUpdate.Time, false))
{
if (PrintDebug)
{
Print("NewSession: " + marketDataUpdate.Time.ToString());
}
totalShares = 0;
totalDollars = 0;
sessionIterator.GetNextSession(marketDataUpdate.Time, false);
}
// Check session time
if (!sessionIterator.IsInSession(marketDataUpdate.Time, false, true))
{
return;
}
// Is this a trade(not bid or ask)
if (marketDataUpdate.MarketDataType == MarketDataType.Last)
{
totalShares += marketDataUpdate.Volume;
totalDollars += marketDataUpdate.Volume * marketDataUpdate.Price;
Vwap[0] = totalDollars / totalShares;
if (PrintDebug)
{
Print(marketDataUpdate.Time.ToString() + " Session total shares: " + totalShares.ToString() + " " + State);
}
}
}
private void OnTimerTick(object sender, EventArgs e)
{
ForceRefresh();
if (DisplayTime())
{
if (timer != null && !timer.IsEnabled)
{
timer.IsEnabled = true;
}
if (connected)
{
if (SessionIterator.IsInSession(Now, false, true))
{
if (hasRealtimeData)
{
TimeSpan barTimeLeft = Bars.GetTime(Bars.Count - 1).Subtract(Now);
timeLeft = (barTimeLeft.Ticks < 0
? "00:00:00"
: barTimeLeft.Hours.ToString("00") + ":" + barTimeLeft.Minutes.ToString("00") + ":" + barTimeLeft.Seconds.ToString("00"));
Draw.TextFixed(this, "NinjaScriptInfo", NinjaTrader.Custom.Resource.BarTimerTimeRemaining + timeLeft, TextPosition.BottomRight, ChartControl.Properties.ChartText, ChartControl.Properties.LabelFont, Brushes.Transparent, Brushes.Transparent, 0);
}
else
{
Draw.TextFixed(this, "NinjaScriptInfo", NinjaTrader.Custom.Resource.BarTimerWaitingOnDataError, TextPosition.BottomRight, ChartControl.Properties.ChartText, ChartControl.Properties.LabelFont, Brushes.Transparent, Brushes.Transparent, 0);
}
}
else
{
Draw.TextFixed(this, "NinjaScriptInfo", NinjaTrader.Custom.Resource.BarTimerSessionTimeError, TextPosition.BottomRight, ChartControl.Properties.ChartText, ChartControl.Properties.LabelFont, Brushes.Transparent, Brushes.Transparent, 0);
}
}
else
{
Draw.TextFixed(this, "NinjaScriptInfo", NinjaTrader.Custom.Resource.BarTimerDisconnectedError, TextPosition.BottomRight, ChartControl.Properties.ChartText, ChartControl.Properties.LabelFont, Brushes.Transparent, Brushes.Transparent, 0);
if (timer != null)
{
timer.IsEnabled = false;
}
}
}
}
protected override void OnMarketData(MarketDataEventArgs e)
{
if (Bars.Count <= 0)
{
return;
}
double price;
long volume;
VolumeInfoItem volumeInfoItem;
DateTime lastBarTimeStamp = GetLastBarSessionDate(Time[0]);
if (lastBarTimeStamp != currentDate)
{
cacheDictionary = new Dictionary <double, VolumeInfoItem>();
sortedDicList.Add(cacheDictionary);
}
currentDate = lastBarTimeStamp;
if (Bars.IsTickReplay)
{
if (e.MarketDataType == MarketDataType.Last)
{
price = e.Price;
volume = e.Volume;
if (!cacheDictionary.ContainsKey(price))
{
cacheDictionary.Add(price, new VolumeInfoItem());
}
volumeInfoItem = cacheDictionary[price];
if (price >= e.Ask)
{
volumeInfoItem.up += volume;
}
else if (price <= e.Bid)
{
volumeInfoItem.down += volume;
}
else
{
volumeInfoItem.neutral += volume;
}
}
}
else
{
if (e.MarketDataType == MarketDataType.Ask)
{
askPrice = e.Price;
return;
}
if (e.MarketDataType == MarketDataType.Bid)
{
bidPrice = e.Price;
return;
}
if (e.MarketDataType != MarketDataType.Last || ChartControl == null || askPrice == 0 || bidPrice == 0)
{
return;
}
if (Bars != null && !SessionIterator.IsInSession(Core.Globals.Now, true, true))
{
return;
}
price = e.Price;
volume = e.Volume;
if (!cacheDictionary.ContainsKey(price))
{
cacheDictionary.Add(price, new VolumeInfoItem());
}
volumeInfoItem = cacheDictionary[price];
if (price >= askPrice)
{
volumeInfoItem.up += volume;
}
else if (price <= bidPrice)
{
volumeInfoItem.down += volume;
}
else
{
volumeInfoItem.neutral += volume;
}
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Name = "Num Touches";
Buys = new ConcurrentDictionary <double, long>();
BackColor = Brushes.Transparent;
BarColor = Application.Current.TryFindResource("brushVolumeColumnBackground") as Brush;
BuyColor = Brushes.Green;
DefaultWidth = 160;
PreviousWidth = -1;
DisplayText = true;
ForeColor = Application.Current.TryFindResource("brushVolumeColumnForeground") as Brush;
ImmutableBarColor = Application.Current.TryFindResource("immutableBrushVolumeColumnBackground") as Brush;
ImmutableForeColor = Application.Current.TryFindResource("immutableBrushVolumeColumnForeground") as Brush;
IsDataSeriesRequired = true;
LastVolumes = new ConcurrentDictionary <double, long>();
SellColor = Brushes.Red;
Sells = new ConcurrentDictionary <double, long>();
Bidask = VolumeSide.bid;
}
else if (State == State.Configure)
{
if (UiWrapper != null && PresentationSource.FromVisual(UiWrapper) != null)
{
Matrix m = PresentationSource.FromVisual(UiWrapper).CompositionTarget.TransformToDevice;
double dpiFactor = 1 / m.M11;
gridPen = new Pen(Application.Current.TryFindResource("BorderThinBrush") as Brush, 1 * dpiFactor);
halfPenWidth = gridPen.Thickness * 0.5;
}
if (SuperDom.Instrument != null && SuperDom.IsConnected)
{
BarsPeriod bp = new BarsPeriod
{
MarketDataType = MarketDataType.Last,
BarsPeriodType = BarsPeriodType.Tick,
Value = 1
};
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.SetLoadingString());
clearLoadingSent = false;
if (BarsRequest != null)
{
BarsRequest.Update -= OnBarsUpdate;
BarsRequest = null;
}
BarsRequest = new BarsRequest(SuperDom.Instrument,
Cbi.Connection.PlaybackConnection != null ? Cbi.Connection.PlaybackConnection.Now : Core.Globals.Now,
Cbi.Connection.PlaybackConnection != null ? Cbi.Connection.PlaybackConnection.Now : Core.Globals.Now);
BarsRequest.BarsPeriod = bp;
BarsRequest.TradingHours = (TradingHoursData == TradingHours.UseInstrumentSettings || TradingHours.Get(TradingHoursData) == null) ? SuperDom.Instrument.MasterInstrument.TradingHours : TradingHours.Get(TradingHoursData);
BarsRequest.Update += OnBarsUpdate;
BarsRequest.Request((request, errorCode, errorMessage) =>
{
// Make sure this isn't a bars callback from another column instance
if (request != BarsRequest)
{
return;
}
lastMaxIndex = 0;
maxVolume = 0;
totalBuyVolume = 0;
totalLastVolume = 0;
totalSellVolume = 0;
Sells.Clear();
Buys.Clear();
LastVolumes.Clear();
if (State >= NinjaTrader.NinjaScript.State.Terminated)
{
return;
}
if (errorCode == Cbi.ErrorCode.UserAbort)
{
if (State <= NinjaTrader.NinjaScript.State.Terminated)
{
if (SuperDom != null && !clearLoadingSent)
{
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.ClearLoadingString());
clearLoadingSent = true;
}
}
request.Update -= OnBarsUpdate;
request.Dispose();
request = null;
return;
}
if (errorCode != Cbi.ErrorCode.NoError)
{
request.Update -= OnBarsUpdate;
request.Dispose();
request = null;
if (SuperDom != null && !clearLoadingSent)
{
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.ClearLoadingString());
clearLoadingSent = true;
}
}
else if (errorCode == Cbi.ErrorCode.NoError)
{
SessionIterator superDomSessionIt = new SessionIterator(request.Bars);
bool isInclude60 = request.Bars.BarsType.IncludesEndTimeStamp(false);
if (superDomSessionIt.IsInSession(Core.Globals.Now, isInclude60, request.Bars.BarsType.IsIntraday))
{
for (int i = 0; i < request.Bars.Count; i++)
{
DateTime time = request.Bars.BarsSeries.GetTime(i);
if ((isInclude60 && time <= superDomSessionIt.ActualSessionBegin) || (!isInclude60 && time < superDomSessionIt.ActualSessionBegin))
{
continue;
}
double ask = request.Bars.BarsSeries.GetAsk(i);
double bid = request.Bars.BarsSeries.GetBid(i);
double close = request.Bars.BarsSeries.GetClose(i);
long volume = request.Bars.BarsSeries.GetVolume(i);
if (ask != double.MinValue && close >= ask)
{
Buys.AddOrUpdate(close, volume, (price, oldVolume) => oldVolume + volume);
totalBuyVolume += volume;
}
else if (bid != double.MinValue && close <= bid)
{
Sells.AddOrUpdate(close, volume, (price, oldVolume) => oldVolume + volume);
totalSellVolume += volume;
}
long newVolume;
LastVolumes.AddOrUpdate(close, newVolume = volume, (price, oldVolume) => newVolume = 0);
totalLastVolume += volume;
if (newVolume > maxVolume)
{
maxVolume = newVolume;
}
}
lastMaxIndex = request.Bars.Count - 1;
// Repaint the column on the SuperDOM
OnPropertyChanged();
}
if (SuperDom != null && !clearLoadingSent)
{
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.ClearLoadingString());
clearLoadingSent = true;
}
}
});
}
}
else if (State == State.Active)
{
if (!DisplayText)
{
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .AddHandler(UiWrapper, "MouseMove", OnMouseMove);
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .AddHandler(UiWrapper, "MouseEnter", OnMouseEnter);
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .AddHandler(UiWrapper, "MouseLeave", OnMouseLeave);
mouseEventsSubscribed = true;
}
}
else if (State == State.Terminated)
{
if (BarsRequest != null)
{
BarsRequest.Update -= OnBarsUpdate;
BarsRequest.Dispose();
}
BarsRequest = null;
if (SuperDom != null && !clearLoadingSent)
{
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.ClearLoadingString());
clearLoadingSent = true;
}
if (!DisplayText && mouseEventsSubscribed)
{
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .RemoveHandler(UiWrapper, "MouseMove", OnMouseMove);
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .RemoveHandler(UiWrapper, "MouseEnter", OnMouseEnter);
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .RemoveHandler(UiWrapper, "MouseLeave", OnMouseLeave);
mouseEventsSubscribed = false;
}
lastMaxIndex = 0;
maxVolume = 0;
totalBuyVolume = 0;
totalLastVolume = 0;
totalSellVolume = 0;
Sells.Clear();
Buys.Clear();
LastVolumes.Clear();
}
}
protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
// Workaround for market replay sending out all of replay sessions data(as historical data)
// Replay should only backfill history up to replay time, so make sure any historical ticks
// are before the current replay time.
// this code to OnBar and set for on price change notifications for better performance once
// this bug is resolved
if ((Connection.PlaybackConnection != null) &&
(State == State.Historical) &&
(marketDataUpdate.Time >= Connection.PlaybackConnection.Now))
{
return;
}
bool redrawHigh = false;
bool redrawLow = false;
// Reset for every session
if (sessionIterator.IsNewSession(marketDataUpdate.Time, true))
{
orHigh = Double.MinValue;
orLow = Double.MaxValue;
sessionIterator.GetNextSession(marketDataUpdate.Time, true);
renderEndTime = sessionIterator.ActualSessionEnd;
orCutoffTime = sessionIterator.ActualSessionBegin.AddSeconds(CutoffSeconds);
rendered = false;
orComplete = false;
}
if (orComplete)
{
return;
}
// Check session time
if (!sessionIterator.IsInSession(marketDataUpdate.Time, false, true))
{
return;
}
// keep track of high low
if (marketDataUpdate.MarketDataType == MarketDataType.Last)
{
if (!orComplete && (marketDataUpdate.Time <= orCutoffTime))
{
redrawHigh = false;
if (marketDataUpdate.Price > orHigh)
{
orHigh = marketDataUpdate.Price;
orHighDateTime = marketDataUpdate.Time;
redrawHigh = true;
Values[0][0] = orHigh;
}
redrawLow = false;
if (marketDataUpdate.Price < orLow)
{
orLow = marketDataUpdate.Price;
orLowDateTime = marketDataUpdate.Time;
redrawLow = true;
Values[1][0] = orLow;
}
if (redrawHigh)
{
RemoveDrawObject(marketDataUpdate.Time.Date.ToString() + "or_high");
Draw.Line(this, marketDataUpdate.Time.Date.ToString() + "or_high", true, orHighDateTime, orHigh, renderEndTime, orHigh, HighBrush, DashStyleHelper.Dot, HighBrushWidth);
}
if (redrawLow)
{
RemoveDrawObject(marketDataUpdate.Time.Date.ToString() + "or_low");
Draw.Line(this, marketDataUpdate.Time.Date.ToString() + "or_low", true, orLowDateTime, orLow, renderEndTime, orLow, LowBrush, DashStyleHelper.Dot, LowBrushWidth);
}
}
// On first tick past cutoff time mark opening range calc complete and
// draw the hi and low lines across the entire sesson.
if ((marketDataUpdate.Time > orCutoffTime) && !orComplete)
{
orComplete = true;
RemoveDrawObject(marketDataUpdate.Time.Date.ToString() + "or_high");
Draw.Line(this, marketDataUpdate.Time.Date.ToString() + "or_high", true, orHighDateTime, orHigh, renderEndTime, orHigh, HighBrush, DashStyleHelper.Solid, HighBrushWidth);
RemoveDrawObject(marketDataUpdate.Time.Date.ToString() + "or_low");
Draw.Line(this, marketDataUpdate.Time.Date.ToString() + "or_low", true, orLowDateTime, orLow, renderEndTime, orLow, LowBrush, DashStyleHelper.Solid, LowBrushWidth);
// Go back to first bar and Set all the high and low plot
// values for the day so databox works for indicator
for (int x = 0; x < Bars.BarsSinceNewTradingDay; x++)
{
Values[0][x] = orHigh;
Values[1][x] = orLow;
}
}
}
}
