// Override OnBarUpdate method
protected override void OnBarUpdate()
{
// Protect against too few bars
if (Bars == null)
{
return;
}
if (!Data.BarsType.GetInstance(Bars.Period.Id).IsIntraday)
{
return;
}
if (Bars.Period.Id == PeriodType.Minute && Bars.Period.Value > timeFrame / 2)
{
return;
}
if (!full && !apt)
{
apt = true;
periodBars = Data.Bars.GetBars(Bars.Instrument, new Period(PeriodType.Minute, timeFrame, MarketDataType.Last), Bars.From, Bars.To, (Session)Bars.Session.Clone(), Data.Bars.SplitAdjust, Data.Bars.DividendAdjust);
apt = false;
full = true;
}
// Remove calculation for first time span after open
IBar periodBar;
Bars.Session.GetNextBeginEnd(Time[0], out sessionBegin, out sessionEnd);
if (Time[0] >= sessionBegin && Time[0] <= sessionBegin.AddMinutes(timeFrame))
{
Pivot.Reset();
Resistance1.Reset();
Support1.Reset();
Resistance2.Reset();
Support2.Reset();
Resistance3.Reset();
Support3.Reset();
Resistance4.Reset();
Support4.Reset();
Resistance5.Reset();
Support5.Reset();
}
else
{
// Determine open, high, low, and close
DateTime intradayBarTime = Time[0].AddMinutes(-timeFrame);
periodBar = periodBars.Get(periodBars.GetBar(intradayBarTime));
double Open = periodBar.Open;
double High = periodBar.High;
double Low = periodBar.Low;
double Close = periodBar.Close;
double pivot = periodBar.Close;
// Switch central pivot calculation
switch (centralPivotCalculation)
{
// Standard calculation case
case CentralPivotCalculation.Standard:
{
pivot = (High + Low + Close) / 3;
break;
}
// Open included calculation case
case CentralPivotCalculation.OpenIncluded:
{
pivot = (Open + High + Low + Close) / 4;
break;
}
// Close weighted calculation case
case CentralPivotCalculation.CloseWeighted:
{
pivot = (High + Low + Close + Close) / 4;
break;
}
// High weighted calculation case
case CentralPivotCalculation.HighWeighted:
{
pivot = (High + High + Low + Close) / 4;
break;
}
// Low weighted calculation case
case CentralPivotCalculation.LowWeighted:
{
pivot = (High + Low + Low + Close) / 4;
break;
}
}
// Switch round to tick option
switch (roundToTick)
{
// Rounding case
case RoundToTick.Yes:
{
// Set all additional pivots, rounded
Pivot.Set(Instrument.MasterInstrument.Round2TickSize(pivot));
Resistance1.Set(Instrument.MasterInstrument.Round2TickSize(2 * Pivot[0] - Low));
Support1.Set(Instrument.MasterInstrument.Round2TickSize(2 * Pivot[0] - High));
Resistance2.Set(Instrument.MasterInstrument.Round2TickSize(Pivot[0] + (High - Low)));
Support2.Set(Instrument.MasterInstrument.Round2TickSize(Pivot[0] - (High - Low)));
Resistance3.Set(Instrument.MasterInstrument.Round2TickSize(High + 2 * (Pivot[0] - Low)));
Support3.Set(Instrument.MasterInstrument.Round2TickSize(Low - 2 * (High - Pivot[0])));
Resistance4.Set(Instrument.MasterInstrument.Round2TickSize(Pivot[0] + 2 * (High - Low)));
Support4.Set(Instrument.MasterInstrument.Round2TickSize(Pivot[0] - 2 * (High - Low)));
Resistance5.Set(Instrument.MasterInstrument.Round2TickSize(2 * (Pivot[0] + High) - 3 * Low));
Support5.Set(Instrument.MasterInstrument.Round2TickSize(2 * (Pivot[0] + Low) - 3 * High));
break;
}
// No rounding case
case RoundToTick.No:
{
// Set all additional pivots, not rounded
Pivot.Set(pivot);
Resistance1.Set(2 * Pivot[0] - Low);
Support1.Set(2 * Pivot[0] - High);
Resistance2.Set(Pivot[0] + (High - Low));
Support2.Set(Pivot[0] - (High - Low));
Resistance3.Set(High + 2 * (Pivot[0] - Low));
Support3.Set(Low - 2 * (High - Pivot[0]));
Resistance4.Set(Pivot[0] + 2 * (High - Low));
Support4.Set(Pivot[0] - 2 * (High - Low));
Resistance5.Set(2 * (Pivot[0] + High) - 3 * Low);
Support5.Set(2 * (Pivot[0] + Low) - 3 * High);
break;
}
}
}
}