Hello, I would like to create an indicator for the VAH, VAL and the POC. However, nothing is displayed in the chart. Unfortunately, I don't know whether this is due to the calculation or the plotting. I would be grateful if someone could help me.
Code:
#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.IO;
using System.Reflection;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
using NinjaTrader.Gui.Tools;
#endregion
//This namespace holds Indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators
{
public class myIndicator : Indicator
{
//--- VAH, VAL, POC -----------------------------------------------------------------
private Dictionary<double, double> volumeByPrice = new Dictionary<double, double>();
private double pocPrice = 0;
private double vahPrice = 0;
private double valPrice = 0;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"";
Name = "VAH VAL POC";
Calculate = Calculate.OnBarClose;
IsOverlay = true;
DisplayInDataBox = true;
DrawOnPricePanel = true;
DrawHorizontalGridLines = true;
DrawVerticalGridLines = true;
PaintPriceMarkers = true;
IsAutoScale = false;
IsSuspendedWhileInactive = false;
ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right;
//---Plots für VAH, VAL, POC--------------------------------------------------------------------
AddPlot(Brushes.Orange, "POC");
AddPlot(Brushes.Blue, "VAH");
AddPlot(Brushes.Blue, "VAL");
//----------------------------------------------------------------------------------------------
}
else if (State == State.DataLoaded)
{
}
}
protected override void OnBarUpdate()
{
// Ignoriere historische Daten
if (Bars.IsFirstBarOfSession && CurrentBar > 0)
{
pocPrice = vahPrice = valPrice = 0;
volumeByPrice.Clear();
}
//DrawLines();
}
private void CalculateVolumeProfile()
{
Print("CalculateVolumeProfile aufgerufen für Bar: " + CurrentBar);
volumeByPrice.Clear();
double sessionHigh = double.MinValue;
double sessionLow = double.MaxValue;
// Annahme: Die Analyse erfolgt für die aktuelle Sitzung
for (int i = 0; i < BarsArray[0].Count; i++)
{
double highPrice = High[i];
double lowPrice = Low[i];
double volume = Volume[i];
sessionHigh = Math.Max(sessionHigh, highPrice);
sessionLow = Math.Min(sessionLow, lowPrice);
// Annahme: Verteilung des Volumens auf alle Preise zwischen High und Low der Bar
double priceRange = highPrice - lowPrice;
int priceLevels = (int)Math.Ceiling(priceRange / TickSize) + 1;
for (int level = 0; level < priceLevels; level++)
{
double price = lowPrice + level * TickSize;
double distributedVolume = volume / priceLevels;
if (volumeByPrice.ContainsKey(price))
{
volumeByPrice[price] += distributedVolume;
}
else
{
volumeByPrice.Add(price, distributedVolume);
}
}
}
// Analyse des Volumenprofils zur Bestimmung von POC, VAH, VAL
AnalyzeVolumeProfile();
}
private void AnalyzeVolumeProfile()
{
double totalVolume = 0;
double maxVolume = 0;
foreach (var pair in volumeByPrice)
{
totalVolume += pair.Value;
if (pair.Value > maxVolume)
{
maxVolume = pair.Value;
pocPrice = pair.Key;
}
}
// Bestimmen des Volumens, das 70% des Gesamtvolumens entspricht
double targetVolume = totalVolume * 0.7;
double cumulativeVolume = 0;
List<KeyValuePair<double, double>> sortedVolume = new List<KeyValuePair<double, double>>(volumeByPrice);
sortedVolume.Sort((a, b) => a.Key.CompareTo(b.Key));
// Sammle alle Preislevel, die innerhalb der Value Area fallen
List<double> pricesInValueArea = new List<double>();
foreach (var pair in sortedVolume)
{
cumulativeVolume += pair.Value;
pricesInValueArea.Add(pair.Key);
if (cumulativeVolume >= targetVolume) break;
}
// Bestimme VAH und VAL
vahPrice = pricesInValueArea.Max();
valPrice = pricesInValueArea.Min();
}
/*private void DrawLines()
{
// Löscht alte Zeichnungen nur, wenn eine neue Session beginnt
if (Bars.IsFirstBarOfSession && CurrentBar > 0)
{
RemoveDrawObjects();
}
// Zeichnen von VAH, VAL und POC nur, wenn sie Werte haben
if (pocPrice > 0 && vahPrice > 0 && valPrice > 0)
{
Draw.Line(this, "POCLine" + CurrentBar, false, 0, pocPrice, -100, pocPrice, Brushes.Orange, DashStyleHelper.Dash, 5);
Draw.Line(this, "VAHLine" + CurrentBar, false, 0, vahPrice, -100, vahPrice, Brushes.Blue, DashStyleHelper.Dash, 5);
Draw.Line(this, "VALLine" + CurrentBar, false, 0, valPrice, -100, valPrice, Brushes.Blue, DashStyleHelper.Dash, 5);
}
}*/
protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
{
base.OnRender(chartControl, chartScale);
// Stellen Sie sicher, dass die Preise aktualisiert wurden
if (pocPrice > 0 && vahPrice > 0 && valPrice > 0)
{
// Konvertieren der Preise in Y-Koordinaten
float pocY = chartScale.GetYByValue(pocPrice);
float vahY = chartScale.GetYByValue(vahPrice);
float valY = chartScale.GetYByValue(valPrice);
// Erstellen des DashStyle
var strokeStyleProperties = new SharpDX.Direct2D1.StrokeStyleProperties()
{
DashStyle = SharpDX.Direct2D1.DashStyle.Dash
};
using (var strokeStyle = new SharpDX.Direct2D1.StrokeStyle(RenderTarget.Factory , strokeStyleProperties))
{
// Erstellen von SharpDX-Pinseln für die Linien
using (var pocBrush = new SharpDX.Direct2D1.SolidColorBrush(RenderTarget, SharpDX.Color.DarkCyan))
using (var vahValBrush = new SharpDX.Direct2D1.SolidColorBrush(RenderTarget, SharpDX.Color.Orange))
{
// Zeichnen der Linien
RenderTarget.DrawLine(new SharpDX.Vector2(0, pocY), new SharpDX.Vector2(chartControl.CanvasRight, pocY), pocBrush, 5, strokeStyle);
RenderTarget.DrawLine(new SharpDX.Vector2(0, vahY), new SharpDX.Vector2(chartControl.CanvasRight, vahY), vahValBrush, 5, strokeStyle);
RenderTarget.DrawLine(new SharpDX.Vector2(0, valY), new SharpDX.Vector2(chartControl.CanvasRight, valY), vahValBrush, 5, strokeStyle);
}
}
}
}
Comment