/// <summary>
/// calculate bear/bull min/max
/// </summary>
void RangeInit()
{
// calulate bear/bull min/max if tickSize is set
if (tickSize > 0)
{
tickBearContValue = EmMath.MultiplyTwoDoubles((double)configBearContValue, tickSize);
tickBearInitValue = EmMath.MultiplyTwoDoubles((double)configBearInitValue, tickSize);
tickBearRangeMax = EmMath.MultiplyTwoDoubles((double)configBearRangeMax, tickSize);
tickBearRangeMin = EmMath.MultiplyTwoDoubles((double)configBearRangeMin, tickSize);
tickBullContValue = EmMath.MultiplyTwoDoubles((double)configBullContValue, tickSize);
tickBullInitValue = EmMath.MultiplyTwoDoubles((double)configBullInitValue, tickSize);
tickBullRangeMax = EmMath.MultiplyTwoDoubles((double)configBullRangeMax, tickSize);
tickBullRangeMin = EmMath.MultiplyTwoDoubles((double)configBullRangeMin, tickSize);
}
// swap bear min/max if entered incorrectly
if (tickBearRangeMin > tickBearRangeMax || tickBullRangeMin > tickBullRangeMax)
{
double tmpBear = tickBearRangeMax;
tickBearRangeMax = tickBearRangeMin;
tickBearRangeMin = tmpBear;
}
// swap bull min/max if entered incorrectly
if (tickBullRangeMin > tickBullRangeMax)
{
double tmpBull = tickBullRangeMax;
tickBullRangeMax = tickBullRangeMin;
tickBullRangeMin = tmpBull;
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
/// ensure bar has EmProps
if (props is IEmProps)
{
/// get EmProps for the specified bar, matching on OHLCVT
EmProps barProps = props.GetEmProps(Open[0], High[0], Low[0], Close[0], (long)Volume[0], Time[0]) as EmProps;
/// ensure EmProps exist for given bar (note: some historical data may not be available)
if (barProps == null)
{
return;
}
/// update plots
Surge.Set(barProps.Surge);
Tide.Set(barProps.Tide);
ErrorCount.Set(barProps.ErrorCount);
ErrorVolume.Set(barProps.ErrorVolume);
/// update average
TideAvg.Set(EmMath.EMA((double)barProps.Tide, CurrentBar, smooth, CurrentBar == 0 ? Tide[0] : TideAvg[1]));
}
else
{
/// generate log message one time
if (!invalid)
{
Log(String.Format("{0} does not implement interface IEmProps", Bars.BarsType.ToString()), LogLevel.Warning);
invalid = true;
}
}
}
/// <summary>
/// set thisOpen, thisCloseUp, thisCloseDown
/// </summary>
/// <param name="bars">bars array</param>
/// <param name="thisPrice">current value of thisClose</param>
/// <param name="tickPrice">real price used for next open for gap bars</param>
void AdjustOpenClose(Bars bars, double thisPrice, double tickPrice)
{
// local variables
double tmpRange = 0;
// update class fields
thisOpen = (OpenOption == EmOpens.NoGap) ? thisPrice : tickPrice;
if (thisBias == -1)
{
// counter-trend - use bull-init for thisCloseUp
switch (configBullInitType)
{
case 1:
tmpRange = tickBullRangeMax;
break;
case -1:
tmpRange = tickBullRangeMin;
break;
case 0:
default:
tmpRange = EmMath.RangeValidate(AddTwoDoubles(bars, tickRange, tickBullInitValue), tickBullRangeMax, tickBullRangeMin);
break;
}
thisCloseUp = AddTwoDoubles(bars, thisOpen, tmpRange);
// with-trend - use bear-cont for thisCloseDown
tickRange = EmMath.RangeValidate(AddTwoDoubles(bars, tickRange, tickBearContValue), tickBearRangeMax, tickBearRangeMin);
thisCloseDown = AddTwoDoubles(bars, thisOpen, -tickRange);
}
else
{
// counter-trend - use bear-init for thisCloseUp
switch (configBearInitType)
{
case 1:
tmpRange = tickBearRangeMax;
break;
case -1:
tmpRange = tickBearRangeMin;
break;
case 0:
default:
tmpRange = EmMath.RangeValidate(AddTwoDoubles(bars, tickRange, tickBearInitValue), tickBearRangeMax, tickBearRangeMin);
break;
}
thisCloseDown = AddTwoDoubles(bars, thisOpen, -tmpRange);
// with-trend - use bull-cont for thisCloseUp
tickRange = EmMath.RangeValidate(AddTwoDoubles(bars, tickRange, tickBullContValue), tickBullRangeMax, tickBullRangeMin);
thisCloseUp = AddTwoDoubles(bars, thisOpen, tickRange);
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if ((High[0] - Low[0]) == 0)
{ emBop.Set(0); }
else
{ emBop.Set((Close[0] - Open[0]) / (High[0] - Low[0])); }
EmBop1.Set(EmMath.SMA(ref emBop, CurrentBar, Smooth1, CurrentBar == 0 ? emBop[0] : EmBop1[1]));
EmBop2.Set(EmMath.SMA(ref emBop, CurrentBar, Smooth2, CurrentBar == 0 ? emBop[0] : EmBop2[1]));
if (EmBop1[0] > EmBop2[0])
{ DrawRegion("EmBoP_" + CurrentBar.ToString(), 1, 0, EmBop1, EmBop2, Color.Transparent, BullColor, BullOpacity); }
else if (EmBop2[0] > EmBop1[0])
{ DrawRegion("EmBoP_" + CurrentBar.ToString(), 1, 0, EmBop2, EmBop1, Color.Transparent, BearColor, BearOpacity); }
}
/// <summary>
/// set form values from xml
/// </summary>
void FormApplyXml(ConfigXml22 xml)
{
// flag isLoading
isLoading = true;
// set form values from config
bearContValue.Value = (decimal)EmMath.RangeValidate(xml.BearContValue, 100, -100);
bearInitValue.Value = (decimal)EmMath.RangeValidate(xml.BearInitValue, 100, -100);
bearRangeMax.Value = Math.Max(1, (int)xml.BearRangeMax);
bearRangeMin.Value = Math.Max(1, (int)xml.BearRangeMin);
switch (xml.BearInitType)
{
case 1:
// range max
bearInitMax.Checked = true;
bearInitMin.Checked = bearInitPrev.Checked = false;
break;
case -1:
// range min
bearInitMin.Checked = true;
bearInitMax.Checked = bearInitPrev.Checked = false;
break;
case 0:
default:
// prev range
bearInitPrev.Checked = true;
bearInitMin.Checked = bearInitMax.Checked = false;
break;
}
bullContValue.Value = (decimal)EmMath.RangeValidate(xml.BullContValue, 100, -100);
bullInitValue.Value = (decimal)EmMath.RangeValidate(xml.BullInitValue, 100, -100);
bullRangeMax.Value = Math.Max(1, (int)xml.BullRangeMax);
bullRangeMin.Value = Math.Max(1, (int)xml.BullRangeMin);
switch (xml.BullInitType)
{
case 1:
// range max
bullInitMax.Checked = true;
bullInitMin.Checked = bullInitPrev.Checked = false;
break;
case -1:
// range min
bullInitMin.Checked = true;
bullInitMax.Checked = bullInitPrev.Checked = false;
break;
case 0:
default:
// prev range
bullInitPrev.Checked = true;
bullInitMin.Checked = bullInitMax.Checked = false;
break;
}
cboCloseOption.SelectedItem = (EmCloses)cboCloseOption.FindString(xml.CloseOption);
cboOpenOption.SelectedItem = (EmOpens)cboOpenOption.FindString(xml.OpenOption);
// reset isLoading
isLoading = false;
}
/// <summary>
/// Called on each incoming tick
/// </summary>
void OnTick(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isRealtime)
{
// ensure xml config loaded
ConfigCheck();
// create initial bar on first tick and handle NT7 session-break issue (note: removing IsNewSession() creates invalid bars; remove if preferred)
if ((bars.Count == 0) || bars.IsNewSession(time, isRealtime))
{
// set class fields
tickSize = bars.Instrument.MasterInstrument.TickSize;
// calculate bear/bull min/max
RangeInit();
// update class fields
AdjustOpenClose(bars, close, close);
prevClose = close;
// add first bar
AddBar(bars, thisOpen, thisOpen, thisOpen, thisOpen, time, volume, isRealtime);
// add EmProps
AddEmProps(thisOpen, volume, thisCloseDown, thisCloseUp, time);
}
// continue all subsequent ticks/bars
else
{
// local variables
Bar bar = (Bar)bars.Get(bars.Count - 1);
int compareCloseUp = bars.Instrument.MasterInstrument.Compare(close, thisCloseUp);
int compareCloseDown = bars.Instrument.MasterInstrument.Compare(close, thisCloseDown);
// range exceeded; create new bar(s)
if (((compareCloseUp > 0 || compareCloseDown < 0) && CloseOption == EmCloses.TickThru) || ((compareCloseUp >= 0 || compareCloseDown <= 0) && CloseOption == EmCloses.OnTouch))
{
// local variables
bool newBar = true;
double thisClose = (compareCloseUp > 0) ? Math.Min(close, thisCloseUp) : (compareCloseDown < 0) ? Math.Max(close, thisCloseDown) : close;
// close current bar; volume included for on-touch only
// see this post for more info on volume calculation: http://www.ninjatrader.com/support/forum/showthread.php?p=302208#post302208
UpdateBar(bars, bar.Open, ((compareCloseUp > 0) ? thisClose : bar.High), ((compareCloseDown < 0) ? thisClose : bar.Low), thisClose, time, ((CloseOption == EmCloses.OnTouch) ? volume : 0), isRealtime);
barProps.Finalize(thisClose, prevClose, ((CloseOption == EmCloses.OnTouch) ? volume : 0), time, ((close > bar.Open) ? 1 : (close < bar.Open) ? -1 : 0));
// add next bar and loop phantom bars, if needed
do
{
// update class fields
thisBias = (close > bar.Open) ? 1 : (close < bar.Open) ? -1 : 0;
tickRange = EmMath.RangeValidate(Math.Abs(AddTwoDoubles(bars, bar.Open, -thisClose)), (thisBias == -1) ? tickBearRangeMax : tickBullRangeMax, (thisBias == -1) ? tickBearRangeMin : tickBullRangeMin);
AdjustOpenClose(bars, thisClose, close);
thisClose = (compareCloseUp > 0) ? Math.Min(close, thisCloseUp) : (compareCloseDown < 0) ? Math.Max(close, thisCloseDown) : close;
// add new bar; include volume once (except for on-touch), then create phantom bars
// see this post for more info on volume calculation: http://www.ninjatrader.com/support/forum/showthread.php?p=302208#post302208
AddBar(bars, thisOpen, ((compareCloseUp > 0) ? thisClose : thisOpen), ((compareCloseDown < 0) ? thisClose : thisOpen), thisClose, time, ((CloseOption == EmCloses.TickThru && newBar) ? volume : 0), isRealtime);
// add EmProps
AddEmProps(thisOpen, ((compareCloseUp > 0) ? thisClose : thisOpen), ((compareCloseDown < 0) ? thisClose : thisOpen), thisClose, ((CloseOption == EmCloses.TickThru && newBar) ? volume : 0), time, thisBias, thisCloseDown, thisCloseUp);
// update class fields
newBar = false;
compareCloseUp = bars.Instrument.MasterInstrument.Compare(close, thisCloseUp);
compareCloseDown = bars.Instrument.MasterInstrument.Compare(close, thisCloseDown);
}while (((compareCloseUp > 0 || compareCloseDown < 0) && CloseOption == EmCloses.TickThru) || ((compareCloseUp >= 0 || compareCloseDown <= 0) && CloseOption == EmCloses.OnTouch));
}
// range not exceeded; continue current bar
else
{
// update current bar
UpdateBar(bars, bar.Open, ((close > bar.High) ? close : bar.High), ((close < bar.Low) ? close : bar.Low), close, time, volume, isRealtime);
// update EmProps
barProps.Update(close, prevClose, volume, time);
}
}
// update prevClose and last price
bars.LastPrice = prevClose = close;
}
