I'm trying to create a new Relative volume indicator for barstypes that might not necessarily have a bar at the current date/time on the previous days. I programmed it how I believe it should work and I'm trying to test it, but it doesn't even show up on the list of indicators after a compile. I can't even export it as an indicator because it doesn't show up in the list. There are no errors in the log, or output. The code is below. I'd love some help figuring this out.
note: I do have an indicator folder named RadIndicators for my custom indicators.
note: I do have an indicator folder named RadIndicators for my custom indicators.
Code:
//
// Copyright (C) 2019, NinjaTrader LLC <www.ninjatrader.com>.
// NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release.
//
#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
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;
#endregion
// This namespace holds indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators.RadIndicators
{
/// <summary>
/// Plots the relative volume at the current time of day
/// To be used with bars that arent time based.
/// </summary>
public class RadRelativeVolume : Indicator
{
private DateTime sessionStartTime;
private double cumulativeVolume = 0;
private TimeSpan startTime = new TimeSpan(4, 0, 0); // Default start time at 4 AM
private double initialVolume = 100; // Default initial volume to avoid divide by zero
private int historicalDays = 5; // Default: look back 5 days
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Indicator for VPS with daily and historical average.";
Name = "CustomVPSIndicator";
Calculate = Calculate.OnEachTick; // Necessary for VPS calculation
IsOverlay = false; // This indicator does not overlay on the price chart
MaximumBarsLookBack = MaximumBarsLookBack.Infinite;
AddPlot(Brushes.DodgerBlue, "DailyVPS"); // Plot 1
AddPlot(Brushes.Coral, "AverageVPS"); // Plot 2
AddPlot(Brushes.Green, "RelativeVolume"); // Plot 2
}
else if (State == State.DataLoaded)
{
}
}
protected override void OnBarUpdate()
{
// Ensure the session start time and cumulative volume are correctly initialized
if (Bars.IsFirstBarOfSession || CurrentBar == 0)
{
sessionStartTime = Time[0].Date.Add(startTime);
cumulativeVolume = initialVolume;
}
cumulativeVolume += Volume[0];
// Update Daily VPS plot
TimeSpan elapsedSinceStart = Time[0] - sessionStartTime;
Values[0][0] = cumulativeVolume / Math.Max(elapsedSinceStart.TotalSeconds, 1); // Avoid division by zero
// Calculate and update Average VPS plot continuously
Values[1][0] = CalculateMonteCarloAverageVPS(Time[0]);
// Update the ratio plot only if averageVPS is not zero to avoid division by zero
if (Values[1][0] != 0)
Values[2][0] = Values[0][0] / Values[1][0];
}
// Placeholder for calculating average VPS from previous 5 days using Monte Carlo method
private double CalculateMonteCarloAverageVPS(DateTime currentTime)
{
// List to hold VPS values from the previous days for the same time
List<double> previousVPSValues = new List<double>();
// Assuming we're calculating for the current time each day
DateTime targetTime = Time[0];
// Calculate and store VPS for each of the historical days
for (int daysBack = 1; daysBack <= historicalDays; daysBack++)
{
DateTime historicalTime = targetTime.AddDays(-daysBack);
int barIndex = Bars.GetBar(historicalTime);
if (barIndex > 0 && barIndex < CurrentBar)
{
// Approximate the VPS for this historical day at the target time
double historicalVolume = Volume[barIndex]; // Simplified, consider using a better approximation
double vps = historicalVolume; // This is a simplification, adjust according to your actual VPS calculation logic
previousVPSValues.Add(vps);
}
}
// Now, apply the Monte Carlo method to the collected VPS values
// Sort the list to prepare for removing the highest and lowest values
previousVPSValues.Sort();
if (previousVPSValues.Count >= 5)
{
// Remove the highest and lowest VPS values to apply Monte Carlo smoothing
previousVPSValues.RemoveAt(0); // Remove the lowest
previousVPSValues.RemoveAt(previousVPSValues.Count - 1); // Remove the highest
}
// Calculate and return the average of the remaining VPS values
return previousVPSValues.Any() ? previousVPSValues.Average() : 0; // Ensure there's data to average
}
#region Properties
[Browsable(false)]
[XmlIgnore]
public Series<double> Daily_Total_Volume
{
get { return Values[0]; }
}
[Browsable(false)]
[XmlIgnore]
public Series<double> AverageVPS
{
get { return Values[1]; }
}
[Browsable(false)]
[XmlIgnore]
public Series<double> RelativeVolume
{
get { return Values[2]; }
}
[Range(1, int.MaxValue), NinjaScriptProperty]
public int HistoricalDays
{
get { return historicalDays; }
set { historicalDays = Math.Max(1, value); } // Ensure at least 1 day
}
#endregion
}
}
#region NinjaScript generated code. Neither change nor remove.
namespace NinjaTrader.NinjaScript.Indicators
{
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private RadIndicators.RadRelativeVolume[] cacheRadRelativeVolume;
public RadIndicators.RadRelativeVolume RadRelativeVolume(int historicalDays)
{
return RadRelativeVolume(Input, historicalDays);
}
public RadIndicators.RadRelativeVolume RadRelativeVolume(ISeries<double> input, int historicalDays)
{
if (cacheRadRelativeVolume != null)
for (int idx = 0; idx < cacheRadRelativeVolume.Length; idx++)
if (cacheRadRelativeVolume[idx] != null && cacheRadRelativeVolume[idx].HistoricalDays == historicalDays && cacheRadRelativeVolume[idx].EqualsInput(input))
return cacheRadRelativeVolume[idx];
return CacheIndicator<RadIndicators.RadRelativeVolume>(new RadIndicators.RadRelativeVolume(){ HistoricalDays = historicalDays }, input, ref cacheRadRelativeVolume);
}
}
}
namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.RadIndicators.RadRelativeVolume RadRelativeVolume(int historicalDays)
{
return indicator.RadRelativeVolume(Input, historicalDays);
}
public Indicators.RadIndicators.RadRelativeVolume RadRelativeVolume(ISeries<double> input , int historicalDays)
{
return indicator.RadRelativeVolume(input, historicalDays);
}
}
}
namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.RadIndicators.RadRelativeVolume RadRelativeVolume(int historicalDays)
{
return indicator.RadRelativeVolume(Input, historicalDays);
}
public Indicators.RadIndicators.RadRelativeVolume RadRelativeVolume(ISeries<double> input , int historicalDays)
{
return indicator.RadRelativeVolume(input, historicalDays);
}
}
}
#endregion
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