/// <summary>
/// Calculate Open Range with all IBar and current IBar
/// </summary>
/// <param name="currentbar"></param>
/// <returns></returns>
public ORB_Result calculate(IBars bars, IBar currentbar)
{
//todo check if all data should be return via Result Object
//todo check if it allowed that we are going two times through the limit (two buys per day, could this happen?)
ORB_Result resultvalue = new ORB_Result();
//reset session day data
this.LongBreakout = null;
this.ShortBreakout = null;
this.LongTargetReached = null;
this.ShortTargetReached = null;
//draw the open range
resultvalue.Start = this.getOpenRangeStart(bars, currentbar.Time);
resultvalue.End = this.getOpenRangeEnd(resultvalue.Start);
//Select all data and find high & low.
IEnumerable <IBar> list = bars.Where(x => x.Time >= resultvalue.Start).Where(x => x.Time <= resultvalue.End);
//Check if there is data available
if (list == null || list.IsEmpty())
{
return(resultvalue);
}
//Check if data for open range is valid.
//we need to ignore the first day which is normally invalid.
if (list.First().Time != resultvalue.Start)
{
resultvalue.IsORBValid = false;
}
else
{
resultvalue.IsORBValid = true;
}
//Calculate range
this.RangeLow = list.Where(x => x.Low == list.Min(y => y.Low)).LastOrDefault().Low;
this.RangeHigh = list.Where(x => x.High == list.Max(y => y.High)).LastOrDefault().High;
//Calculate targets
this.TargetLong = this.RangeHigh + this.RangeHeight;
this.TargetShort = this.RangeLow - this.RangeHeight;
//tolreanz
double toleranz = 0; // this.RangeHeight / 5;
//load the data after the open range
list = bars.Where(x => x.Time >= resultvalue.End).Where(x => x.Time <= this.getEndOfTradingDay(bars, resultvalue.Start));
//find the first breakout to the long side
this.LongBreakout = list.Where(x => x.Close > this.RangeHigh + toleranz).FirstOrDefault();
//find the first breakout to the short side
this.ShortBreakout = list.Where(x => x.Close < this.RangeLow - toleranz).FirstOrDefault();
//find the first target to the long side
this.LongTargetReached = list.Where(x => x.Close > this.TargetLong).FirstOrDefault();
//find the first target to the short side
this.ShortTargetReached = list.Where(x => x.Close < this.TargetShort).FirstOrDefault();
//Everything was fine
resultvalue.IsCompleted = true;
return(resultvalue);
}
protected override void OnBarUpdate()
{
if (this.DatafeedPeriodicityIsValid(Bars))
{
//new day session is beginning so we need to calculate the open range breakout
//if we are calculation "older" trading days the whole day will be calculated because to enhance performance.
if (this.CurrentdayOfUpdate.Date < Bars[0].Time.Date)
{
ORB_Result resultvalue = calculate(this.Bars, this.Bars[0]);
//Draw if the calculate method was processed till the end
if (resultvalue.IsCompleted)
{
//Set Color for open range
Color openrangecolorvalidornot = this.Color_ORB;
if (!resultvalue.IsORBValid)
{
openrangecolorvalidornot = this.Color_ORB_invalid;
}
//Draw the Open Range
DrawRectangle("ORBRect" + resultvalue.StartDate.Ticks, true, resultvalue.Start, this.RangeLow, resultvalue.End, this.RangeHigh, openrangecolorvalidornot, openrangecolorvalidornot, this.Opacity);
DrawText("ORBRangeString" + resultvalue.StartDate.Ticks, true, Math.Round((this.RangeHeight), 2).ToString(), resultvalue.Start, this.RangeHigh, 9, Color.Black, new Font("Arial", 9), StringAlignment.Center, Color.Gray, openrangecolorvalidornot, this.Opacity);
//if we are live on the trading day
if (this.Bars.Last().Time.Date == resultvalue.StartDate)
{
DrawHorizontalLine("LowLine" + resultvalue.StartDate.Ticks, true, this.RangeLow, openrangecolorvalidornot, this.CurrentSessionLineStyle, this.CurrentSessionLineWidth);
DrawHorizontalLine("HighLine" + resultvalue.StartDate.Ticks, true, this.RangeHigh, openrangecolorvalidornot, this.CurrentSessionLineStyle, this.CurrentSessionLineWidth);
}
//Draw the target areas
DrawRectangle("TargetAreaLong" + resultvalue.StartDate.Ticks, true, this.getOpenRangeEnd(this.getOpenRangeStart(this.Bars, resultvalue.StartDate)), this.RangeHigh, this.getEndOfTradingDay(this.Bars, resultvalue.StartDate), this.TargetLong, this.Color_TargetAreaLong, this.Color_TargetAreaLong, this.Opacity);
DrawRectangle("TargetAreaShort" + resultvalue.StartDate.Ticks, true, this.getOpenRangeEnd(this.getOpenRangeStart(this.Bars, resultvalue.StartDate)), this.RangeLow, this.getEndOfTradingDay(this.Bars, resultvalue.StartDate), this.TargetShort, this.Color_TargetAreaShort, this.Color_TargetAreaShort, this.Opacity);
}
}
//Set the indicator value on each bar update, if the breakout is on the current bar
if (this.LongBreakout != null && this.LongBreakout.Time == Bars[0].Time)
{
BarColor = Color.Turquoise;
Value.Set(1);
DrawArrowUp("ArrowLong" + Bars[0].Time.Date.Ticks, true, this.LongBreakout.Time, this.LongBreakout.Low, Color.Green);
}
else if (this.ShortBreakout != null && this.ShortBreakout.Time == Bars[0].Time)
{
BarColor = Color.Purple;
Value.Set(-1);
DrawArrowDown("ArrowShort" + Bars[0].Time.Date.Ticks, true, this.ShortBreakout.Time, this.ShortBreakout.High, Color.Red);
}
else
{
Value.Set(0);
}
//todo statistic for timeout
//todo statistic for stops
//Draw the Long Target if this is necessary
if (this.LongTargetReached != null)
{
DrawArrowDown("ArrowTargetLong" + Bars[0].Time.Date.Ticks, true, this.LongTargetReached.Time, this.LongTargetReached.High, Color.Red);
//todo add statistic data
//this._StatisticContainer.Add();
}
//Draw the Short Target if this is necessary
if (this.ShortTargetReached != null)
{
DrawArrowUp("ArrowTargetShort" + Bars[0].Time.Date.Ticks, true, this.ShortTargetReached.Time, this.ShortTargetReached.Low, Color.Green);
//todo add statistic data
//this._StatisticContainer.Add();
}
//Set the color
PlotColors[0][0] = this.Plot1Color;
Plots[0].PenStyle = this.Dash0Style;
Plots[0].Pen.Width = this.Plot0Width;
//When finished set the last day variable
//If we are online during the day session we do not set this variable so we are redrawing and recalculating the current session again and again
if (GlobalUtilities.IsCurrentBarLastDayInBars(this.Bars, this.Bars[0]))
{
//the last session has started (current trading session, last day in Bars object, and so on)
}
else
{
this.CurrentdayOfUpdate = this.Bars[0].Time.Date;
}
}
else
{
//Data feed perodicity is not valid, print info in chart panel
if (IsCurrentBarLast)
{
DrawTextFixed("AlertText", Const.DefaultStringDatafeedPeriodicity, TextPosition.Center, Color.Red, new Font("Arial", 30), Color.Red, Color.Red, 20);
}
}
}