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Bookmap.cs
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Bookmap.cs
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#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.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
using NinjaTrader.NinjaScript.AddOns.SightEngine;
using NinjaTrader.NinjaScript.AddOns.WyckoffRenderUtils;
public static class _BookMapEnums
{
public enum LadderRange
{
Levels10,
Levels30,
Levels50,
Levels70
}
public enum MarketOrdersCalculation
{
Delta,
Total,
}
public enum MarketBarsCalculation
{
EachTick,
Cummulative,
}
public enum MarketCummulativeCalculation
{
BidAndAsk,
DeltaAndTotal
}
}
namespace NinjaTrader.NinjaScript.Indicators.WyckoffZen
{
public class Bookmap : Indicator
{
#region MAIN_CLASS
public int getLadderRange(_BookMapEnums.LadderRange ladderRange)
{
switch(ladderRange)
{
//case _BookMapEnums.LadderRange.Default10Levels:
//return 10;
case _BookMapEnums.LadderRange.Levels30:
return 30;
case _BookMapEnums.LadderRange.Levels50:
return 50;
case _BookMapEnums.LadderRange.Levels70:
return 70;
}
return 10;
}
public class WyckoffBookMap : WyckoffRenderControl
{
#region DEFS
private VolumeAnalysis.BookMap bookMap;
private VolumeAnalysis.WyckoffBars wyckoffBars;
private VolumeAnalysis.WyckoffBars.Bar currentBar;
private VolumeAnalysis.PriceLadder cummulativeMarketOrderLadder;
private VolumeAnalysis.OrderBookLadder cummulativeOrderBookLadder;
private VolumeAnalysis.MarketOrder maxMarketOL;
private VolumeAnalysis.MarketOrder minMarketOL;
private SharpDX.RectangleF ordersBookRect;
private SharpDX.RectangleF marketOrdersRect;
private SharpDX.RectangleF cummulativeBookRect;
private SharpDX.RectangleF backgroundRect;
private SharpDX.Vector2 background_StVerticalVec;
private SharpDX.Vector2 background_EndVerticalVec;
private SharpDX.Direct2D1.Ellipse marketOrdersCircle;
private SharpDX.RectangleF genRect;
private SharpDX.Color colorBidPendingOrdersColor;
private SharpDX.Color colorAskPendingOrdersColor;
private SharpDX.Color colorBidMarketOrdersColor;
private SharpDX.Color colorAskMarketOrdersColor;
private SharpDX.Color colorBidPendingOrdersTextColor;
private SharpDX.Color colorBidMarketOrdersTextColor;
private SharpDX.Color colorAskPendingOrdersTextColor;
private SharpDX.Color colorAskMarketOrdersTextColor;
private SharpDX.Color colorTotalMarketOrdersColor;
private SharpDX.Color colorTotalMarketOrdersFontColor;
private SharpDX.Color colorBigPendingOrdersColor;
private SharpDX.Color colorBidMarketCummulativeColor;
private SharpDX.Color colorAskMarketCummulativeColor;
private SharpDX.Color colorTotalMarketCummulativeColor;
private SharpDX.Color colorBidMarketCummulativeTextColor;
private SharpDX.Color colorAskMarketCummulativeTextColor;
private SharpDX.Color colorTotalMarketCummulativeTextColor;
private SharpDX.Color colorBidOrderBookColor;
private SharpDX.Color colorAskOrderBookColor;
private SharpDX.Color colorBidOrderBookTextColor;
private SharpDX.Color colorAskOrderBookTextColor;
private SharpDX.Color colorBackgroundColor;
private SharpDX.Color colorVerticalLinesColor;
private SharpDX.DirectWrite.TextFormat bookmapTextFormat, cummulativeTextFormat, orderbookTextFormat;
private Action<float, float, Brush, float, float, float> renderGeometry;
private Action<int, double, long> renderMarketOrder;
private Action<double, VolumeAnalysis.MarketOrder, long> renderCummulative;
private float filterPendingOrdersPer, filterTextPendingOrdersPer;
private long filterAggresiveMarketOrders;
private long filterBigPendingOrders;
private float bidPendingOrdersTextOpacity;
private float askPendingOrdersTextOpacity;
private float bidMarketOrdersTextOpacity;
private float askMarketOrdersTextOpacity;
private float totalMarketOrdersTextOpacity;
//private float askMarketOrdersOpacity;
//private float bidMarketOrdersOpacity;
private float bigPendingOrdersOpacity;
private float bidOrderBookOpacity;
private float askOrderBookOpacity;
private float bidOrderBookTextOpacity;
private float askOrderBookTextOpacity;
private float backgroundOpacity;
// private float verticalLinesOpacity;
private float bidMarketCummulativeTextOpacity;
private float askMarketCummulativeTextOpacity;
private float totalMarketCummulativeTextOpacity;
private float bookmapMinFontWidth;
private float bookmapMinFontHeight;
private float cummulativeBookMinFontWidth;
private float cummulativeBookMinFontHeight;
private float orderBookMinFontWidth;
private float orderBookMinFontHeight;
private float barX;
private float barY;
private double TickSize;
private int marginRight;
private bool showMarketOrdersText;
private bool isRealtime;
bool saveSession;
bool loadSession;
string sessionFilePath;
#endregion
public WyckoffBookMap()
{
this.genRect = new SharpDX.RectangleF();
this.ordersBookRect = new SharpDX.RectangleF();
this.marketOrdersRect= new SharpDX.RectangleF();
this.cummulativeBookRect = new SharpDX.RectangleF();
this.marketOrdersCircle = new SharpDX.Direct2D1.Ellipse();
this.background_StVerticalVec = new SharpDX.Vector2();
this.background_EndVerticalVec = new SharpDX.Vector2();
this.backgroundRect = new SharpDX.RectangleF();
this.maxMarketOL = new VolumeAnalysis.MarketOrder();
this.minMarketOL = new VolumeAnalysis.MarketOrder();
this.isRealtime = false;
}
#region BOOK_MAP_SETS
public void setBookMap(VolumeAnalysis.BookMap bookMap)
{
this.bookMap = bookMap;
}
public void setWyckoffBars(VolumeAnalysis.WyckoffBars wyckoffBars)
{
this.wyckoffBars = wyckoffBars;
this.TickSize = wyckoffBars.TickSize;
}
public void setCummulativeMarketOrdersLadder(VolumeAnalysis.PriceLadder cummulativeMarketOrderLadder)
{
this.cummulativeMarketOrderLadder= cummulativeMarketOrderLadder;
}
public void setOrderBookLadder(VolumeAnalysis.OrderBookLadder cummulativeOrderBookLadder)
{
this.cummulativeOrderBookLadder = cummulativeOrderBookLadder;
}
public void setDatabaseSession(bool saveSession, bool loadSession, string sessionFilePath)
{
this.saveSession= saveSession;
this.loadSession= loadSession;
this.sessionFilePath = sessionFilePath;
}
public void setBookmapFontStyle(SimpleFont font)
{
setFontStyle(font, out this.bookmapTextFormat);
}
public void setCummulativeBookFontStyle(SimpleFont font)
{
setFontStyle(font, out this.cummulativeTextFormat);
}
public void setOrderBookFontStyle(SimpleFont font)
{
setFontStyle(font, out this.orderbookTextFormat);
}
public void setBackgroundColor(Brush brushBackgroundColor, float opacity)
{
this.colorBackgroundColor = WyckoffRenderControl.BrushToColor(brushBackgroundColor);
this.backgroundOpacity = opacity / 100.0f;
}
public void setVerticalLinesColor(Brush brushVerticalLinesColor)//, float opacity)
{
this.colorVerticalLinesColor = WyckoffRenderControl.BrushToColor(brushVerticalLinesColor);
//this.verticalLinesOpacity = opacity;
}
public void setBidAskPendingOrdersColor(Brush brushBidPendingOrdersColor, Brush brushAskPendingOrdersColor)
{
this.colorBidPendingOrdersColor = WyckoffRenderControl.BrushToColor(brushBidPendingOrdersColor);
this.colorAskPendingOrdersColor = WyckoffRenderControl.BrushToColor(brushAskPendingOrdersColor);
}
public void setBidAskPendingOrdersFontColor(
Brush brushBidPendingOrdersTextColor, float bidOpacity,
Brush brushAskPendingOrdersTextColor, float askOpacity)
{
this.colorBidPendingOrdersTextColor = WyckoffRenderControl.BrushToColor(brushBidPendingOrdersTextColor);
this.bidPendingOrdersTextOpacity = bidOpacity / 100f;
this.colorAskPendingOrdersTextColor = WyckoffRenderControl.BrushToColor(brushAskPendingOrdersTextColor);
this.askPendingOrdersTextOpacity = askOpacity / 100f;
}
public void setBidAskMarketOrdersColor(Brush brushBidMarketOrdersColor, Brush brushAskMarketOrdersColor)
{
this.colorBidMarketOrdersColor = WyckoffRenderControl.BrushToColor(brushBidMarketOrdersColor);
this.colorAskMarketOrdersColor = WyckoffRenderControl.BrushToColor(brushAskMarketOrdersColor);
}
public void setBidAskMarketOrdersFontColor(
Brush brushBidMarketOrdersTextColor, float bidOpacity,
Brush brushAskMarketOrdersTextColor, float askOpacity)
{
this.colorBidMarketOrdersTextColor = WyckoffRenderControl.BrushToColor(brushBidMarketOrdersTextColor);
this.bidMarketOrdersTextOpacity = bidOpacity / 100f;
this.colorAskMarketOrdersTextColor = WyckoffRenderControl.BrushToColor(brushAskMarketOrdersTextColor);
this.askMarketOrdersTextOpacity = askOpacity / 100f;
}
public void setTotalMarketOrdersColor(Brush brushTotalMarketOrdersColor)
{
this.colorTotalMarketOrdersColor= WyckoffRenderControl.BrushToColor(brushTotalMarketOrdersColor);
}
public void setTotalMarketOrdersFontColor(Brush brushTotalMarketOrdersFontColor, float opacity)
{
this.colorTotalMarketOrdersFontColor = WyckoffRenderControl.BrushToColor(brushTotalMarketOrdersFontColor);
this.totalMarketOrdersTextOpacity = opacity / 100.0f;
}
public void setBigPendingOrdersColor(Brush brushBigPendingOrdersColor, float opacity)
{
this.colorBigPendingOrdersColor = WyckoffRenderControl.BrushToColor(brushBigPendingOrdersColor);
this.bigPendingOrdersOpacity = opacity / 100f;
}
public void setFilterPendingOrders(float filterPendingOrdersPer, float filterTextPendingOrdersPer)
{
this.filterPendingOrdersPer= filterPendingOrdersPer / 100f;
this.filterTextPendingOrdersPer= filterTextPendingOrdersPer / 100f;
}
public void setFilterBigPendingOrders(long filterBigPendingOrders)
{
this.filterBigPendingOrders = filterBigPendingOrders;
}
public void setFilterAggresiveMarketOrders(long filterAggresiveMarketOrders)
{
this.filterAggresiveMarketOrders= filterAggresiveMarketOrders;
}
public void setMarginRight(int marginRight)
{
this.marginRight = marginRight;
}
public void setBookmapMinSizeFont(float minFontWidth, float minFontHeight)
{
this.bookmapMinFontWidth = minFontWidth;
this.bookmapMinFontHeight = minFontHeight;
}
public void setOrderBookMinSizeFont(float minFontWidth, float minFontHeight)
{
this.orderBookMinFontWidth = minFontWidth;
this.orderBookMinFontHeight= minFontHeight;
}
public void setCummulativeBookMinSizeFont(float minFontWidth, float minFontHeight)
{
this.cummulativeBookMinFontWidth = minFontWidth;
this.cummulativeBookMinFontHeight= minFontHeight;
}
public void setShowMarketOrdersText(bool showText)
{
this.showMarketOrdersText = showText;
}
public void setRealtime(bool isRealtime)
{
this.isRealtime = isRealtime;
}
public bool IsRealtime
{
get{ return this.isRealtime; }
}
public void setMarketOrdersCalculation(
_BookMapEnums.MarketOrdersCalculation marketOrdersCalculation,
_BookMapEnums.MarketBarsCalculation marketBarsCalculation
)
{
switch(marketOrdersCalculation)
{
case _BookMapEnums.MarketOrdersCalculation.Delta:
{
switch( marketBarsCalculation ){
case _BookMapEnums.MarketBarsCalculation.EachTick:
{
this.renderMarketOrder = this.__renderDeltaMarketOrders;
break;
}
case _BookMapEnums.MarketBarsCalculation.Cummulative:
{
this.renderMarketOrder = this.__renderDeltaMarketOrder;
break;
}
}
break;
}
case _BookMapEnums.MarketOrdersCalculation.Total:
{
switch( marketBarsCalculation ){
case _BookMapEnums.MarketBarsCalculation.EachTick:
{
this.renderMarketOrder = __renderTotalMarketOrders;
break;
}
case _BookMapEnums.MarketBarsCalculation.Cummulative:
{
this.renderMarketOrder = __renderTotalMarketOrder;
break;
}
}
break;
}
}
}
#endregion
#region BOOK_CUMMULATIVE_STYLE_SETS
public void setBidAskMarketCummulativeColor(Brush brushBidMarketCummulativeColor, Brush brushAskMarketCummulativeColor)
{
this.colorBidMarketCummulativeColor = WyckoffRenderControl.BrushToColor(brushBidMarketCummulativeColor);
this.colorAskMarketCummulativeColor = WyckoffRenderControl.BrushToColor(brushAskMarketCummulativeColor);
}
public void setTotalMarketCummulativeColor(Brush brushTotalMarketCummulativeColor)
{
this.colorTotalMarketCummulativeColor = WyckoffRenderControl.BrushToColor(brushTotalMarketCummulativeColor);
}
public void setBidAskMarketCummulativeFontColor(
Brush brushBidMarketCummulativeTextColor, float bidOpacity,
Brush brushAskMarketCummulativeTextColor, float askOpacity,
Brush brushTotalMarketCummulativeTextColor, float totalOpacity)
{
this.colorBidMarketCummulativeTextColor = WyckoffRenderControl.BrushToColor(brushBidMarketCummulativeTextColor);
this.bidMarketCummulativeTextOpacity = bidOpacity / 100f;
this.colorAskMarketCummulativeTextColor = WyckoffRenderControl.BrushToColor(brushAskMarketCummulativeTextColor);
this.askMarketCummulativeTextOpacity = askOpacity / 100f;
this.colorTotalMarketCummulativeTextColor = WyckoffRenderControl.BrushToColor(brushTotalMarketCummulativeTextColor);
this.totalMarketCummulativeTextOpacity = totalOpacity / 100f;
}
#endregion
#region ORDER_BOOK_STYLE_SETS
public void setBidAskOrderBookColor(
Brush brushBidOrderBookColor, float bidOpacity,
Brush brushAskOrderBookColor, float askOpacity)
{
this.colorBidOrderBookColor = WyckoffRenderControl.BrushToColor(brushBidOrderBookColor);
this.bidOrderBookOpacity = bidOpacity / 100f;
this.colorAskOrderBookColor = WyckoffRenderControl.BrushToColor(brushAskOrderBookColor);
this.askOrderBookOpacity = askOpacity / 100f;
}
public void setBidAskOrderBookFontColor(
Brush brushBidOrderBookTextColor, float bidOpacity,
Brush brushAskOrderBookTextColor, float askOpacity)
{
this.colorBidOrderBookTextColor = WyckoffRenderControl.BrushToColor(brushBidOrderBookTextColor);
this.bidOrderBookTextOpacity = bidOpacity / 100f;
this.colorAskOrderBookTextColor = WyckoffRenderControl.BrushToColor(brushAskOrderBookTextColor);
this.askOrderBookTextOpacity = askOpacity / 100f;
}
#endregion
#region RENDER_MARKET_ORDERS
private void renderMarketBar(float X, float Y, SharpDX.Color color, long volume, float opacity)
{
if( volume >= this.filterAggresiveMarketOrders ){
marketOrdersCircle.Point.X = X;
marketOrdersCircle.Point.Y = Y;
marketOrdersCircle.RadiusX = this.W;
marketOrdersCircle.RadiusY = this.H;
// !- multiplicando*10 el filtro de volumen configurado por el usuario garantizamos
// que el porcentaje de opacidad parta de 100%(0,1f) en adelante para que el color sea maximo
// deberia alcanzar con esta formula el 1000%
float aggresivePer = (float)(Math2.Percent(this.filterAggresiveMarketOrders * 10, volume) / 100.0f);
//Target.DrawEllipse(marketOrdersCircle, brush.ToDxBrush(Target, aggresivePer), 2.0f);
//Target.FillEllipse(marketOrdersCircle, brush.ToDxBrush(Target, aggresivePer));
myDrawEllipse(ref marketOrdersCircle, color, aggresivePer, 2.0f);
myFillEllipse(ref marketOrdersCircle, color, aggresivePer);
//return;
// !- no dejamos que sobrepase el maximo para el rect
//volume = this.filterAggresiveMarketOrders;
return;
}
float per= (float)Math2.Percent(this.filterAggresiveMarketOrders, volume) / 100f;//volume / this.filterAggresiveMarketOrders;
// !- setup y renderizado de las ordenes agresivas
marketOrdersRect.X = X - (this.W / 2f) * per;
marketOrdersRect.Y = Y - (this.H / 2f);
marketOrdersRect.Width = this.W * per;
marketOrdersRect.Height = this.H;
myFillRectangle(ref marketOrdersRect, color, opacity);
myDrawRectangle(ref marketOrdersRect, color, 0.7f, 2.0f);
}
// private void __renderCummulativeText(string volumeText, Brush brushColor, float brushOpacity)
// {
// if( this.W >= this.cummulativeBookMinFontWidth && this.H >= this.cummulativeBookMinFontHeight ){
// Target.DrawText(volumeText,
// this.cummulativeTextFormat, this.genRect,
// brushColor.ToDxBrush(Target, brushOpacity));
// }
// }
private void renderDeltaVolume(double price, long D, long maxOrderVolume)
{
long vol = Math.Abs(D);
float priceOpacity = (float)Math2.Percent(maxOrderVolume, vol) / 100.0f;
float barY = CHART_SCALE.GetYByValue(price);
float h = this.H / 2f;
this.genRect.Y = barY - h;
if( D >= 0 ){
this.renderMarketBar(this.barX, barY, colorAskMarketOrdersColor, vol, priceOpacity);
if( this.showMarketOrdersText ){
if( vol != 0 )
this.myDrawText(vol.ToString(), ref this.genRect, colorAskMarketOrdersTextColor, bookmapMinFontWidth, bookmapMinFontHeight, bookmapTextFormat, askMarketOrdersTextOpacity);
}
}
else{
this.renderMarketBar(this.barX, barY, colorBidMarketOrdersColor, vol, priceOpacity);
if( this.showMarketOrdersText ){
if( vol != 0 )
this.myDrawText(vol.ToString(), ref this.genRect, colorBidMarketOrdersTextColor, bookmapMinFontWidth, bookmapMinFontHeight, bookmapTextFormat, bidMarketOrdersTextOpacity);
}
}
}
private void renderTotalVolume(double price, long T, long maxOrderVolume)
{
float priceOpacity = (float)Math2.Percent(maxOrderVolume, T) / 100.0f;
float barY = CHART_SCALE.GetYByValue(price);
this.renderMarketBar(this.barX, barY, colorTotalMarketOrdersColor, T, priceOpacity);
if( this.showMarketOrdersText ){
this.genRect.Y = barY - this.H / 2f;
this.myDrawText(T.ToString(), ref this.genRect, colorTotalMarketOrdersFontColor, bookmapMinFontWidth, bookmapMinFontHeight, bookmapTextFormat, totalMarketOrdersTextOpacity);
}
}
private void __renderDeltaMarketOrders(int barIndex, double marketPrice, long maxOrderVolume)
{
//long D = this.wyckoffBars[barIndex].Delta; //this.wyckoffBars[barIndex].AtPrice(marketPrice).Delta;
VolumeAnalysis.WyckoffBars.Bar wbar = this.wyckoffBars[barIndex];
foreach(var bar in wbar){
renderDeltaVolume(bar.Key, bar.Value.Delta, maxOrderVolume);
}
}
private void __renderDeltaMarketOrder(int barIndex, double marketPrice, long maxOrderVolume)
{
renderDeltaVolume(marketPrice, this.wyckoffBars[barIndex].Delta, maxOrderVolume);
}
private void __renderTotalMarketOrder(int barIndex, double marketPrice, long maxOrderVolume)
{
renderTotalVolume(marketPrice,this.wyckoffBars[barIndex].Total, maxOrderVolume);
}
private void __renderTotalMarketOrders(int barIndex, double marketPrice, long maxOrderVolume)
{
VolumeAnalysis.WyckoffBars.Bar wbar = this.wyckoffBars[barIndex];
foreach(var bar in wbar){
renderTotalVolume(bar.Key, bar.Value.Total, maxOrderVolume);
}
}
#endregion
#region RENDER_CUMMULATIVE
private void __renderCummulativeBidAndAsk(double price, VolumeAnalysis.MarketOrder marketOrderFlow, long maxMarketTotal)
{
long currBid = marketOrderFlow.Bid;
long currAsk = marketOrderFlow.Ask;
float maxVolumeTotalPercent = (float)Math2.Percent(maxMarketTotal, marketOrderFlow.Total) / 100f;
float maxVolumeBidPercent = (float)Math2.Percent(maxMarketTotal, currBid) / 100f;
float maxVolumeAskPercent = (float)Math2.Percent(maxMarketTotal, currAsk) / 100f;
float half_margin_right = this.marginRight / 2f;
// !- valores generales
this.cummulativeBookRect.X = this.PanelW - half_margin_right + (this.W / 2f);
this.cummulativeBookRect.Y = CHART_SCALE.GetYByValue(price) - (this.H / 2f);
this.cummulativeBookRect.Height = this.H;
this.genRect.Y = cummulativeBookRect.Y;
this.genRect.Height = this.H;
// !- render total
// this.cummulativeBookRect.Width = half_margin_right * maxVolumeTotalPercent;
// Target.FillRectangle(cummulativeBookRect, brushTotalMarketCummulativeColor.ToDxBrush(Target, maxVolumeTotalPercent));
// !- ordenes de capa de dibujo, evitamos que se tapen
// if( maxVolumeBidPercent >= maxVolumeAskPercent ){
// !- render Bid
this.cummulativeBookRect.Width = half_margin_right * maxVolumeBidPercent;
/*Target.FillRectangle(cummulativeBookRect,
colorBidMarketCummulativeColor.ToDxBrush(Target, maxVolumeBidPercent)
);*/
myFillRectangle(ref cummulativeBookRect, colorBidMarketCummulativeColor, maxVolumeBidPercent);
// !- render Ask
this.cummulativeBookRect.Width = half_margin_right * maxVolumeAskPercent;
myFillRectangle(ref cummulativeBookRect, colorAskMarketCummulativeColor, maxVolumeBidPercent);
if( this.W >= (half_margin_right - 45f) )
return;
/// !- render Bid text
this.genRect.X = this.PanelW - this.marginRight + (this.W / 2f) + 3f;
this.genRect.Width = this.marginRight + (this.W / 2f);
this.myDrawText(currBid.ToString(), ref this.genRect, colorBidMarketCummulativeTextColor,
this.cummulativeBookMinFontWidth, this.cummulativeBookMinFontHeight,
this.cummulativeTextFormat, bidMarketCummulativeTextOpacity
);
/// !- render Ask text
this.genRect.X = this.PanelW - this.marginRight + 50f;
this.genRect.Width = this.marginRight + 50f;
this.myDrawText(currAsk.ToString(), ref this.genRect, colorAskMarketCummulativeTextColor,
this.cummulativeBookMinFontWidth, this.cummulativeBookMinFontHeight,
this.cummulativeTextFormat, this.askMarketCummulativeTextOpacity
);
}
private void __renderCummulativeDeltaAndTotal(double price, VolumeAnalysis.MarketOrder marketOrderFlow, long maxMarketTotal)
{
long currDelta = marketOrderFlow.Delta;
long currTotal = marketOrderFlow.Total;
//maxVolumePercent = (float)Math2.Percent(Math.Abs(maxMarketOF.Delta), Math.Abs(delta)) / 100f;
float maxVolumeDeltaPercent = (float)Math2.Percent(maxMarketTotal, Math.Abs(currDelta)) / 100f;
float maxVolumeTotalPercent = (float)Math2.Percent(maxMarketTotal, currTotal) / 100f;
float half_margin_right = this.marginRight / 2f;
bool isMaxMargin = this.W < (half_margin_right - 45f);
// !- valores generales
this.cummulativeBookRect.X = this.PanelW - half_margin_right + (this.W / 2f);
this.cummulativeBookRect.Y = CHART_SCALE.GetYByValue(price) - (this.H / 2f);
this.cummulativeBookRect.Height = this.H;
this.genRect.Y = cummulativeBookRect.Y;
this.genRect.Height = this.H;
// !- render total
this.cummulativeBookRect.Width = half_margin_right * maxVolumeTotalPercent;
myFillRectangle(ref cummulativeBookRect, colorTotalMarketCummulativeColor, 0.5f);
// !- render delta
this.cummulativeBookRect.Width = half_margin_right * maxVolumeDeltaPercent;
this.genRect.X = this.PanelW - this.marginRight + (this.W / 2f) + 5f;
this.genRect.Width = this.marginRight + (this.W / 2f);
if( currDelta >= 0 ){
myFillRectangle(ref cummulativeBookRect, colorAskMarketCummulativeColor, 1.0f);
if( isMaxMargin ){
this.myDrawText(currDelta.ToString(), ref this.genRect, colorAskMarketCummulativeTextColor,
this.cummulativeBookMinFontWidth, this.cummulativeBookMinFontHeight,
this.cummulativeTextFormat, this.askMarketCummulativeTextOpacity
);
}
}
else{
myFillRectangle(ref cummulativeBookRect, colorBidMarketCummulativeColor, 1.0f);
if( isMaxMargin ){
this.myDrawText(currDelta.ToString(), ref this.genRect, colorBidMarketCummulativeTextColor,
this.cummulativeBookMinFontWidth, this.cummulativeBookMinFontHeight,
this.cummulativeTextFormat, bidMarketCummulativeTextOpacity
);
}
}
if( isMaxMargin ){
// !- render Total text
this.genRect.X = this.PanelW - this.marginRight + 50f;
this.genRect.Width = this.marginRight + 50f;
this.myDrawText(currTotal.ToString(), ref this.genRect, this.colorTotalMarketCummulativeTextColor,
this.cummulativeBookMinFontWidth, this.cummulativeBookMinFontHeight,
this.cummulativeTextFormat, this.totalMarketCummulativeTextOpacity
);
}
}
public void setMarketCummulativeCalculation(_BookMapEnums.MarketCummulativeCalculation marketCummulativeCalculation)
{
switch( marketCummulativeCalculation )
{
case _BookMapEnums.MarketCummulativeCalculation.BidAndAsk:
{
this.renderCummulative = this.__renderCummulativeBidAndAsk;
break;
}
case _BookMapEnums.MarketCummulativeCalculation.DeltaAndTotal:
{
this.renderCummulative = this.__renderCummulativeDeltaAndTotal;
break;
}
}
}
#endregion
private void renderPendingOrders(double price, long volume, VolumeAnalysis.OrderType orderType, float orderOpacity)
{
if( orderType == VolumeAnalysis.OrderType.Ask ){
if( this.filterBigPendingOrders != 0 && volume >= this.filterBigPendingOrders ){
//Target.FillRectangle(genRect, brushBigPendingOrdersColor.ToDxBrush(Target, (float)(Math2.Percent(this.filterBigPendingOrders*10, volume) / 100.0f)));
myFillRectangle(ref genRect, colorBigPendingOrdersColor, (float)((volume / this.filterBigPendingOrders)*bigPendingOrdersOpacity));
}
else{
myFillRectangle(ref genRect, colorAskPendingOrdersColor, orderOpacity);
}
// !- debemos saber el % para poder filtrar correctamente
if( orderOpacity > this.filterTextPendingOrdersPer ){
myDrawText(volume.ToString(), ref this.genRect, colorAskPendingOrdersTextColor, bookmapMinFontWidth, bookmapMinFontHeight, bookmapTextFormat, askPendingOrdersTextOpacity);
}
}
else if( orderType == VolumeAnalysis.OrderType.Bid ){
if( this.filterBigPendingOrders != 0 && volume >= this.filterBigPendingOrders ){
myFillRectangle(ref genRect, colorBigPendingOrdersColor, (float)((volume / this.filterBigPendingOrders)*bigPendingOrdersOpacity));
}
else{
myFillRectangle(ref genRect, colorBidPendingOrdersColor, orderOpacity);
}
// !- debemos saber el % para poder filtrar correctamente
if( orderOpacity > this.filterTextPendingOrdersPer ){
myDrawText(volume.ToString(), ref this.genRect, colorBidPendingOrdersTextColor, bookmapMinFontWidth, bookmapMinFontHeight, bookmapTextFormat, bidPendingOrdersTextOpacity);
}
}
}
public void renderOrdersLadder(int barIndex)
{
VolumeAnalysis.OrderBookLadder orderBookLadder = this.bookMap.getOrderBookLadder(barIndex);
if( orderBookLadder == null )
return;
long maxPendingOrderVolume = orderBookLadder.MaxOrderVolume;
this.barX = CHART_CONTROL.GetXByBarIndex(CHART_BARS, barIndex);
this.genRect.X = this.barX - (this.W / 2f);
this.genRect.Width = this.W;
this.genRect.Height = this.H;
VolumeAnalysis.OrderInfo orderInfo;
double price;
int bars = this.wyckoffBars.Count;
foreach(var order in orderBookLadder)
{
price = order.Key;
// !- no mostramos el nivel de la escalera de precios por donde el precio de mercado paso.
if( price == orderBookLadder.MarketPrice ){
// ! evitar error: The given key X was not present in the dictionary
if( bars > barIndex)//if( this.wyckoffBars.BarExists(barIndex) )
this.renderMarketOrder(barIndex, price, maxPendingOrderVolume);
continue;
}
long volume = order.Value.Volume;
float orderOpacity = (float)Math2.Percent(maxPendingOrderVolume, volume) / 100.0f;
if( orderOpacity >= this.filterPendingOrdersPer ){
this.genRect.Y = CHART_SCALE.GetYByValue(price) - this.H / 2f;
this.renderPendingOrders(order.Key, volume, order.Value.Type, orderOpacity);
}
}
}
/// !- Mostramos el libro de ordenes
public void renderOrderBookLadder()
{
if( cummulativeOrderBookLadder == null ){
return;
}
double price;
long maxOrder;
float maxOrderPercent;
VolumeAnalysis.OrderInfo orderInfo;
float half_margin_right = this.marginRight / 2f;
this.genRect.X = this.PanelW - this.marginRight + (this.W / 2f);
this.genRect.Width = half_margin_right;
this.genRect.Height = this.H;
this.ordersBookRect.X = this.PanelW - this.marginRight + (this.W / 2f);
this.ordersBookRect.Height = this.H;
maxOrder = cummulativeOrderBookLadder.MaxOrderVolume;
foreach(var order in cummulativeOrderBookLadder)
{
price = order.Key;
orderInfo = order.Value;
maxOrderPercent = (float)Math2.Percent(maxOrder, orderInfo.Volume) / 100f;
ordersBookRect.Y = CHART_SCALE.GetYByValue(price) - (this.H / 2f);
ordersBookRect.Width = half_margin_right * maxOrderPercent;
this.genRect.Y = CHART_SCALE.GetYByValue(price) - (this.H / 2f);
if(orderInfo.Type == VolumeAnalysis.OrderType.Ask ){
myFillRectangle(ref ordersBookRect, colorAskOrderBookColor, bidOrderBookOpacity);
myDrawRectangle(ref ordersBookRect, SharpDX.Color.Green, bidOrderBookOpacity, 1);
myDrawText(orderInfo.Volume.ToString(), ref this.genRect, colorAskOrderBookTextColor, this.orderBookMinFontWidth, this.orderBookMinFontHeight, orderbookTextFormat, askOrderBookTextOpacity);
}
else{
myFillRectangle(ref ordersBookRect, colorBidOrderBookColor, askOrderBookOpacity);
myDrawRectangle(ref ordersBookRect, SharpDX.Color.Red, askOrderBookOpacity, 1);
myDrawText(orderInfo.Volume.ToString(), ref this.genRect, colorBidOrderBookTextColor, this.orderBookMinFontWidth, this.orderBookMinFontHeight, orderbookTextFormat, bidOrderBookTextOpacity);
}
}
}
/// !- Mostramos el volume profile de la sesion
public void renderCummulativeMarketOrderLadder()
{
if( cummulativeMarketOrderLadder == null ){
return;
}
/// !- calculamos en tiempo real el maximo y minimo de la escalera
this.cummulativeMarketOrderLadder.CalculateMinAndMax(ref minMarketOL, ref maxMarketOL);
long maxMarketTotal= maxMarketOL.Total;
foreach(var marketOrder in cummulativeMarketOrderLadder){
this.renderCummulative(marketOrder.Key, marketOrder.Value, maxMarketTotal);
}
}
public void renderBackground()
{
float halfW = this.W / 2f;
float midline_x = this.PanelW - this.marginRight + halfW;
float backgroundH = System.Convert.ToSingle(CHART_SCALE.Height);
backgroundRect.X = midline_x;
backgroundRect.Y = 0;
backgroundRect.Width = this.marginRight;
backgroundRect.Height = System.Convert.ToSingle(this.PanelH);
myFillRectangle(ref backgroundRect, colorBackgroundColor, backgroundOpacity);
midline_x = this.PanelW - (this.marginRight/2f) + halfW;
background_StVerticalVec.X = midline_x;
background_EndVerticalVec.X = midline_x;
background_StVerticalVec.Y = backgroundH;
background_EndVerticalVec.Y = 0;
myDrawLine(ref background_StVerticalVec, ref background_EndVerticalVec, colorVerticalLinesColor);
midline_x = this.PanelW - this.marginRight + halfW;
background_StVerticalVec.X = midline_x;
background_EndVerticalVec.X = midline_x;
background_StVerticalVec.Y = backgroundH;
background_EndVerticalVec.Y = 0;
myDrawLine(ref background_StVerticalVec, ref background_EndVerticalVec, colorVerticalLinesColor);
}
}
#endregion
#region GLOBAL_VARIABLES
private WyckoffBookMap wyckoffBM;
private VolumeAnalysis.WyckoffBars wyckoffBars;
private VolumeAnalysis.BookMap bookMap;
private VolumeAnalysis.PriceLadder marketOrderLadder;
private VolumeAnalysis.OrderBookLadder orderBookLadder;
#endregion
#region INDICATOR_SETUP
private void setBookMapDatabase()
{
_SaveSession = false;
_SessionSaveFilePath = string.Empty;
_SessionLoadFilePath = string.Empty;
_FilterSessionPendingOrdersPer = 0;//100f;
}
private void setBookMapStyle()
{
_BookmapTextFont = new SimpleFont();
_BookmapTextFont.Family = new FontFamily("Arial");
_BookmapTextFont.Size = 10f;
_BookmapTextFont.Bold = false;
_BookmapTextFont.Italic= false;
_BookmapMinFontWidth = 15f;
_BookmapMinFontHeight = 15f;
_BidPendingOrdersColor = Brushes.LightBlue;//Brushes.Brown;
_AskPendingOrdersColor = Brushes.LightBlue;//Brushes.DarkSeaGreen;
_BidPendingOrdersTextColor = Brushes.MidnightBlue;
_AskPendingOrdersTextColor = Brushes.MidnightBlue;
_BidPendingOrdersTextOpacity = 100f;
_AskPendingOrdersTextOpacity = 100f;
_BidMarketOrdersColor = Brushes.Maroon;
_AskMarketOrdersColor = Brushes.SeaGreen;
_BidMarketOrdersTextColor = Brushes.IndianRed;
_AskMarketOrdersTextColor = Brushes.MediumAquamarine;
_BigPendingOrdersColor = Brushes.OrangeRed;
_BidMarketOrdersTextOpacity = 100f;
_AskMarketOrdersTextOpacity = 100f;
_BigPendingOrdersOpacity = 70f;
_TotalMarketOrdersColor = Brushes.DarkGoldenrod;
_TotalMarketOrdersTextColor = Brushes.WhiteSmoke;
_TotalMarketOrdersTextOpacity = 70f;
_BookMarginRight = 200;
_ShowMarketOrdersText = true;
}
private void setBookMapCalculationsAndFilters()
{
// !- por defecto 50 niveles
_LadderRange = _BookMapEnums.LadderRange.Levels50;
_MarketBarsCalculation = _BookMapEnums.MarketBarsCalculation.EachTick;
_MarketOrdersCalculation = _BookMapEnums.MarketOrdersCalculation.Delta;
// !- mostrar ordenes desde % en adelante
_FilterPendingOrdersPer = 0;
_FilterTextPendingOrdersPer = 95;
// !- filtro para grandes ordenes a mercado
_AggresiveMarketOrdersFilter = 50;
// !- 0 para ignorar el filtro de volumen
_FilterBigPendingOrders = 600;
}
private void setCummulativeBookCalculations()
{
_MarketCummulativeCalculation = _BookMapEnums.MarketCummulativeCalculation.BidAndAsk;
}
private void setCummulativeBookStyle()
{
_CummulativeBookTextFont = new SimpleFont();
_CummulativeBookTextFont.Family = new FontFamily("Arial");
_CummulativeBookTextFont.Size = 10f;
_CummulativeBookTextFont.Bold = false;
_CummulativeBookTextFont.Italic= false;
_CummulativeBookMinFontWidth = 14;
_CummulativeBookMinFontHeight= 14;
_BidMarketCummulativeColor = Brushes.Maroon;
_AskMarketCummulativeColor = Brushes.SeaGreen;
_BidMarketCummulativeTextColor = Brushes.LightPink;
_AskMarketCummulativeTextColor = Brushes.LightYellow;
_TotalMarketCummulativeColor = Brushes.SteelBlue;
_TotalMarketCummulativeTextColor = Brushes.Goldenrod;
_TotalMarketCummulativeTextOpacity = 100f;
_BidMarketCummulativeTextOpacity = 100f;
_AskMarketCummulativeTextOpacity = 100f;
}
private void setOrderBookStyle()
{
_OrderBookTextFont = new SimpleFont();
_OrderBookTextFont.Family = new FontFamily("Arial");
_OrderBookTextFont.Size = 10f;
_OrderBookTextFont.Bold = true;
_OrderBookTextFont.Italic= false;
_OrderBookTextMinFontWidth = 14;
_OrderBookTextMinFontHeight= 14;
_BidOrderBookColor = Brushes.Maroon;
_AskOrderBookColor = Brushes.SeaGreen;
_BidOrderBookTextColor = Brushes.WhiteSmoke;
_AskOrderBookTextColor = Brushes.WhiteSmoke;
_BidOrderBookTextOpacity = 100f;
_AskOrderBookTextOpacity = 100f;
_BidOrderBookOpacity = 100f;
_AskOrderBookOpacity = 100f;
}
private void setOrderBookBackground()
{
_BackgroundColor = Brushes.DarkSlateGray;
_BackgroundColorOpacity = 20f;
_VerticalLinesColor = Brushes.DarkSlateGray;
}
#endregion
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"";
Name = "Book Map";
Calculate = Calculate.OnEachTick;
IsOverlay = true;
DisplayInDataBox = true;
DrawOnPricePanel = true;
DrawHorizontalGridLines = true;
DrawVerticalGridLines = true;
PaintPriceMarkers = true;
ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right;
//Disable this property if your indicator requires custom values that cumulate with each new market data event.
//See Help Guide for additional information.
IsSuspendedWhileInactive = false;
setBookMapDatabase();
setBookMapStyle();
setBookMapCalculationsAndFilters();
setCummulativeBookCalculations();
setCummulativeBookStyle();
setOrderBookStyle();
setOrderBookBackground();
marketOrderLadder = new VolumeAnalysis.PriceLadder();
wyckoffBM = new WyckoffBookMap();
}
else if (State == State.Configure)
{
/// !- el orden no importa
///
wyckoffBM.setBookmapFontStyle(_BookmapTextFont);
wyckoffBM.setBookmapMinSizeFont(_BookmapMinFontWidth, _BookmapMinFontHeight);
wyckoffBM.setOrderBookFontStyle(_OrderBookTextFont);
wyckoffBM.setOrderBookMinSizeFont(_OrderBookTextMinFontWidth, _OrderBookTextMinFontHeight);
wyckoffBM.setCummulativeBookFontStyle(_CummulativeBookTextFont);
wyckoffBM.setCummulativeBookMinSizeFont(_CummulativeBookMinFontWidth, _CummulativeBookMinFontHeight);
wyckoffBM.setBidAskPendingOrdersColor(_BidPendingOrdersColor, _AskPendingOrdersColor);
wyckoffBM.setBidAskPendingOrdersFontColor(
_BidPendingOrdersTextColor, _BidPendingOrdersTextOpacity,
_AskPendingOrdersTextColor, _AskPendingOrdersTextOpacity
);
wyckoffBM.setBidAskMarketOrdersColor(_BidMarketOrdersColor, _AskMarketOrdersColor);
wyckoffBM.setBigPendingOrdersColor(_BigPendingOrdersColor, _BigPendingOrdersOpacity);
wyckoffBM.setBidAskMarketOrdersFontColor(
_BidMarketOrdersTextColor, _BidMarketOrdersTextOpacity,
_AskMarketOrdersTextColor, _AskMarketOrdersTextOpacity
);
wyckoffBM.setShowMarketOrdersText(_ShowMarketOrdersText);
wyckoffBM.setFilterPendingOrders(_FilterPendingOrdersPer, _FilterTextPendingOrdersPer);
wyckoffBM.setFilterBigPendingOrders(_FilterBigPendingOrders);
wyckoffBM.setFilterAggresiveMarketOrders(_AggresiveMarketOrdersFilter);
wyckoffBM.setMarketOrdersCalculation(_MarketOrdersCalculation, _MarketBarsCalculation);
wyckoffBM.setTotalMarketOrdersColor(_TotalMarketOrdersColor);
wyckoffBM.setTotalMarketOrdersFontColor(_TotalMarketOrdersTextColor, _TotalMarketOrdersTextOpacity);
wyckoffBM.setBidAskMarketCummulativeColor(_BidMarketCummulativeColor, _AskMarketCummulativeColor);
wyckoffBM.setBidAskMarketCummulativeFontColor(
_BidMarketCummulativeTextColor, _BidMarketCummulativeTextOpacity,
_AskMarketCummulativeTextColor, _AskMarketCummulativeTextOpacity,
_TotalMarketCummulativeTextColor, _TotalMarketCummulativeTextOpacity
);
wyckoffBM.setTotalMarketCummulativeColor(_TotalMarketCummulativeColor);
wyckoffBM.setMarketCummulativeCalculation(_MarketCummulativeCalculation);
wyckoffBM.setMarginRight(_BookMarginRight);
wyckoffBM.setBidAskOrderBookColor(
_BidOrderBookColor, _BidOrderBookOpacity,
_AskOrderBookColor, _AskOrderBookOpacity
);
wyckoffBM.setBidAskOrderBookFontColor(
_BidOrderBookTextColor, _BidOrderBookTextOpacity,
_AskOrderBookTextColor, _AskOrderBookTextOpacity
);
wyckoffBM.setBackgroundColor(_BackgroundColor, _BackgroundColorOpacity);
wyckoffBM.setVerticalLinesColor(_VerticalLinesColor);
Calculate = Calculate.OnEachTick;
}
else if (State == State.DataLoaded)
{
int ladderRange = this.getLadderRange(_LadderRange);
bookMap = new VolumeAnalysis.BookMap(Bars);
// !- nivel maximo de la escalera de precios
bookMap.setLadderRange(ladderRange);
bookMap.setFilterSessionPercent(_FilterSessionPendingOrdersPer);
if( this._SaveSession ){
if( _SessionSaveFilePath.IsNullOrEmpty() ){
// !- Desde la ultima barra cargada...
DateTime tmp = this.Bars.LastBarTime;
string sessionTime = tmp.Year.ToString() + '_' + tmp.Month.ToString() + '_' + tmp.Day.ToString();
// !- siempre cargamos el nombre del archivo con la ruta asociada a la propiedad de NT8