private void SetOpenPrice()
{
if (BarsArray[BarsInProgress].IsFirstBarOfSession)
{
// CoVarHiLoSpreadMax = double.MinValue;
// CoVarHiLoSpreadMin = double.MaxValue;
if (BarsInProgress == BipIWM)
{
this.listRocHiLoMaxMin.Add(CoVarHiLoSpdMaxMin);
CoVarHiLoSpdMaxMin = new DailyMaxMin();
}
switch (BarsInProgress)
{
case BipSpy:
// OpenSpy = Opens[BarsInProgress][0];
break;
case BipQQQ:
// OpenQQQ = Opens[BarsInProgress][0];
break;
case BipIWM:
// OpenIWM = Opens[BarsInProgress][0];
break;
case BipSpyLn:
// OpenLnSpy = Opens[BarsInProgress][0];
break;
case BipSpySt:
// OpenStSpy = Opens[BarsInProgress][0];
break;
case BipQQQLn:
// OpenLnQQQ = Opens[BarsInProgress][0];
break;
case BipQQQSt:
// OpenStQQQ = Opens[BarsInProgress][0];
break;
case BipIWMLn:
// OpenLnIWM = Opens[BarsInProgress][0];
break;
case BipIWMSt:
// OpenStIWM = Opens[BarsInProgress][0];
break;
default:
break;
}
}
}
private void SetBasePrice()
{
if (BarsArray[BarsInProgress].IsFirstBarOfSession)
{
// RocHiLoSpreadMax = double.MinValue;
// RocHiLoSpreadMin = double.MaxValue;
if (BarsInProgress == BipIWM)
{
this.listRocHiLoMaxMin.Add(RocHiLoSpdMaxMin);
RocHiLoSpdMaxMin = new DailyMaxMin();
}
switch (BarsInProgress)
{
case BipSpy:
BaseSpy = BasePriceType == 1? Opens[BarsInProgress][0] : SmaSpy[0];
break;
case BipQQQ:
BaseQQQ = BasePriceType == 1? Opens[BarsInProgress][0] : SmaQQQ[0];
break;
case BipIWM:
BaseIWM = BasePriceType == 1? Opens[BarsInProgress][0] : SmaIWM[0];
break;
case BipSpyLn: //Can only use open for quantity calculation, so en=ex for quantity;
BaseLnSpy = Opens[BarsInProgress][0];
break;
case BipSpySt:
BaseStSpy = Opens[BarsInProgress][0];
break;
case BipQQQLn:
BaseLnQQQ = Opens[BarsInProgress][0];
break;
case BipQQQSt:
BaseStQQQ = Opens[BarsInProgress][0];
break;
case BipIWMLn:
BaseLnIWM = Opens[BarsInProgress][0];
break;
case BipIWMSt:
BaseStIWM = Opens[BarsInProgress][0];
break;
default:
break;
}
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"SPY, QQQ and IWM Pair scalper using CV as price";
Name = "GISQRCVSpd";
Calculate = Calculate.OnPriceChange;
IsOverlay = false;
DisplayInDataBox = true;
DrawOnPricePanel = false;
DrawHorizontalGridLines = true;
DrawVerticalGridLines = false;
PaintPriceMarkers = true;
ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right;
//Disable this property if your indicator requires custom values that cumulate with each new market data event.
//See Help Guide for additional information.
IsSuspendedWhileInactive = true;
CoVarPeriod = 5;
CoVarScale = 10000;
// CoVarHighBip = -1;
// CoVarMidBip = -1;
// CoVarLowBip = -1;
NumStdDevUp = 1.6;
NumStdDevDown = 2.6;
NumStdDevUpMin = 0.5;
NumStdDevDownMin = 0.5;
ChartMinutes = 4;
TM_OpenStartH = 11;
TM_OpenStartM = 15;
TM_OpenEndH = 12;
TM_OpenEndM = 45;
TM_ClosingH = 13;
TM_ClosingM = 15;
//PctChgMaxBip = -1;
//PctChgMinBip = -1;
BarsRequiredToPlot = 128;
MaximumBarsLookBack = MaximumBarsLookBack.Infinite;
QQQSymbol = "QQQ";
IWMSymbol = "IWM";
SpyLnSymbol = "SPXL";
SpyStSymbol = "SH";
QQQLnSymbol = "QLD";
QQQStSymbol = "SQQQ";
IWMLnSymbol = "TNA";
IWMStSymbol = "TZA";
SpyLnSymbolRatio = 3; //"SPXL";
SpyStSymbolRatio = 1; //"SH";
QQQLnSymbolRatio = 2; //"QLD";
QQQStSymbolRatio = 3; //"SQQQ";
IWMLnSymbolRatio = 3; //"TNA";
IWMStSymbolRatio = 3; //"TZA";
AddPlot(new Stroke(Brushes.Black), PlotStyle.Dot, "SPY");
AddPlot(new Stroke(Brushes.Orange), PlotStyle.Dot, "QQQ");
AddPlot(new Stroke(Brushes.LightSkyBlue), PlotStyle.Dot, "IWM");
AddPlot(new Stroke(Brushes.Magenta), PlotStyle.Dot, "MxMiSpread");
AddPlot(Brushes.Gray, "Mean");
AddPlot(Brushes.Red, "UpperBB");
AddPlot(Brushes.Green, "LowerBB");
//AddLine(Brushes.Blue, 0, "IWM");
}
else if (State == State.Configure)
{
//AddDataSeries("NQ 06-20", Data.BarsPeriodType.Minute, 13, Data.MarketDataType.Last);
//AddDataSeries("RTY 06-20", Data.BarsPeriodType.Minute, 13, Data.MarketDataType.Last);
//AddDataSeries("NRGU", Data.BarsPeriodType.Minute, 1, Data.MarketDataType.Last);
AddDataSeries(QQQSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(IWMSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(SpyLnSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(SpyStSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(QQQLnSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(QQQStSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(IWMLnSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(IWMStSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
CoVarHighBip = new Series <int>(this);
CoVarMidBip = new Series <int>(this);
CoVarLowBip = new Series <int>(this);
//bol = Bollinger(CoVarHiLoSpread, 1.6, CoVarPeriod);
}
else if (State == State.DataLoaded)
{
// RocChg = new Series<double>(this);
Print(String.Format("{0}: DataLoaded...BarsArray.Length={1}",
this.GetType().Name, BarsArray.Length));
SmaSpy = SMA(BarsArray[BipSpy], CoVarPeriod);
StdDevSpy = StdDev(BarsArray[BipSpy], CoVarPeriod);
//CoVarSpy = StdDevSpy/SmaSpy;
SmaQQQ = SMA(BarsArray[BipQQQ], CoVarPeriod);
StdDevQQQ = StdDev(BarsArray[BipQQQ], CoVarPeriod);
SmaIWM = SMA(BarsArray[BipIWM], CoVarPeriod);
StdDevIWM = StdDev(BarsArray[BipIWM], CoVarPeriod);
sma = SMA(CoVarHiLoSpread, CoVarPeriod);
stdDev = StdDev(CoVarHiLoSpread, CoVarPeriod);
CoVarHiLoSpdMaxMin = new DailyMaxMin();
listRocHiLoMaxMin = new List <DailyMaxMin>();
DailyCoVarHiLoMidCross = new DailyCross <int>();
// CoVarHiLoSpreadMax = double.MinValue;
// CoVarHiLoSpreadMin = double.MaxValue;
// smaClose1 = SMA(Closes[0], 5);
// smaClose2 = SMA(Closes[1], 5);
// smaPctChgRatio = SMA(RocChg, 50);
//stdDev = StdDev(PlotPctSpd, 7);
//AddChartIndicator(stdDev);
}
}
