Hi, I am trying to develop a bar type that creates new bar when the height of a bar exceeds a value that comes from some calculation, e.g., 4 times the ATR value of period 10. It is technically a range bar that its range value changes. I came up with this code but does not seem to be correct. I appreciate if you could give me some hints as to what might be the problem. Thank you in advance.
Code:
namespace NinjaTrader.NinjaScript.BarsTypes
{
public class zATRbar : BarsType
{
// Define constants and variables at the class level
private const int atrPeriod = 4; // Number of bars to compute ATR
private List<double> trueRanges = new List<double>(); // List to store true ranges
private double atrValue = 0; // The computed ATR value
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Volatility bar";
Name = "zATRbar";
BarsPeriod = new BarsPeriod { BarsPeriodType = (BarsPeriodType)15, Value = 1 };
// BarsPeriod = new BarsPeriod { BarsPeriodType = BarsPeriodType.Minute, Value = 1 };
BuiltFrom = BarsPeriodType.Minute;
DaysToLoad = 5;
IsIntraday = true;
IsTimeBased = false;
}
else if (State == State.Configure)
{
Name = string.Format("zATRbar");
Properties.Remove(Properties.Find("BaseBarsPeriodType", true));
Properties.Remove(Properties.Find("BaseBarsPeriodValue", true));
Properties.Remove(Properties.Find("PointAndFigurePriceType", true));
Properties.Remove(Properties.Find("ReversalType", true));
Properties.Remove(Properties.Find("Value2", true));
}
}
public override int GetInitialLookBackDays(BarsPeriod barsPeriod, TradingHours tradingHours, int barsBack)
{
return 1;
}
protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
//if (trueRanges.Count < atrPeriod) return;
// Compute the True Range for the current tick
double trueRange;
if (bars.Count == 0) // First bar
{
trueRange = high - low;
}
else
{
trueRange = Math.Max(high - bars.GetClose(bars.Count - 1), Math.Max(bars.GetClose(bars.Count - 1) - low, high - low));
}
// Add the true range to the list and maintain the list's length
trueRanges.Add(trueRange);
if (trueRanges.Count > atrPeriod)
{
trueRanges.RemoveAt(0); // Remove the oldest value
}
// Compute the ATR
atrValue = trueRanges.Average();
Print(atrValue);
// Decide whether to add a new bar or update the current one
if ((high - low) >= atrValue * 1)
{
AddBar(bars, open, high, low, close, time, volume);
}
else
{
// If you don't add a new bar, you may want to update the current bar.
UpdateBar(bars, high, low, close, time, volume);
}
}
public override void ApplyDefaultBasePeriodValue(BarsPeriod period)
{
//replace with any default base period value logic
}
public override void ApplyDefaultValue(BarsPeriod period)
{
//replace with any default value logic
}
public override string ChartLabel(DateTime dateTime)
{
return dateTime.ToString();
}
public override double GetPercentComplete(Bars bars, DateTime now)
{
return 1.0d; // replace with your bar percent logic if needed
}
}
}
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