private double GetMoneyPit(double price)
{
//checks if the volume is less than one tick above
// and also less than one tick below
double nextlevelUp = price + TickSize;
double nextLevelDown = price - TickSize;
double testVolumeUp;
double testVolumeDown;
if (!VolumeDictionary.TryGetValue(nextlevelUp, out testVolumeUp) ||
!VolumeDictionary.TryGetValue(nextLevelDown, out testVolumeDown))
{
return(double.MaxValue); // default value
}
// valid money pit
try
{
if (VolumeDictionary[price] < testVolumeUp && VolumeDictionary[price] < testVolumeDown)
{
return(price);
}
}
catch
{
// ok, whatever
}
// otherwise remove if it exists (level has cleared)
if (MoneyPits.Contains(price))
{
MoneyPits.Remove(price);
}
// no match, return default value
return(double.MaxValue);
}
protected override void OnBarUpdate()
{
if (CurrentBars[1] < RangePeriod)
{
shouldColorTrueRange = false;
}
else
{
shouldColorTrueRange = true;
}
// just makes on bar stuff easier to read
barsUpdating = (BarsUpdating)BarsInProgress;
switch (barsUpdating)
{
case BarsUpdating.Primary:
{
maxVolume = GetMaxVolume(trueRangeMax, trueRangeMin);
// recacualte trading hours/session template data before accessing below
if (Bars.IsFirstBarOfSession) // cached for performance optimizations
{
renet.RecalculateSession(Time[0]);
}
// primary bars are in session
if (renet.IsRegularTradingHours(Time[0]))
{
// used to color the volume profile
openPrice = greenRanger.DayOpen[0];
trueRangeMax = greenRanger.RangeMax[0];
trueRangeMin = greenRanger.RangeMin[0];
trueRangeLow = greenRanger.RangeLow[0];
trueRangeHigh = greenRanger.RangeHigh[0];
double tmpPit = GetMoneyPit(Close[0]);
if (tmpPit < double.MaxValue)
{
MoneyPits.Add(tmpPit);
}
}
break;
}
case BarsUpdating.Tick:
{
// add tick volume at price for volume
AddToVolumeDictionary(Time[0], Close[0], Volume[0]);
break;
}
case BarsUpdating.Daily:
return;
default:
throw new Exception(string.Format("Unhandled BarsInProgress={0} ({1})", BarsInProgress,
BarsArray[BarsInProgress].ToChartString()));
}
}
