Code: Select all
using System;
using System.Collections.Generic;
using System.Drawing;
using System.Linq;
using PowerLanguage.Function;
namespace PowerLanguage.Indicator
{
/// <summary>
/// our custom indicators for the current and previous sessions
///
/// </summary>
public class SLE_Session_Indicators : IndicatorObject
{
public class SessionData
{
public double high;
public double low;
public double open;
public double close;
public double volume;
public DateTime startTime;
public DateTime endTime;
public SessionData(DateTime startTime, double open, double volume)
{
this.open = open;
this.startTime = startTime;
this.volume = volume;
//fill in initial (placeholder) values
this.high = this.open;
this.low = this.open;
this.close = this.open;
this.endTime = default(DateTime);
}
}
public SLE_Session_Indicators(object _ctx) : base(_ctx) { }
private DateTime _prevBarTime;
/// <summary>
/// index to map a bar to it's session values.
/// example: var yesterdaySession = sesInd.dailyData[sesInd.sessionIndex[0]-1];
/// example: var currentSession = sesInd.dailyData[sesInd.sessionIndex[0]];
/// example: var dayBeforeYesterdaySession = sesInd.dailyData[sesInd.sessionIndex[0]-2];
/// </summary>
public VariableSeries<Int32> sessionIndex;
public List<SessionData> sessionData;
//charting of values
private IPlotObject p_currentVolume;
private IPlotObject p_currentLow;
private IPlotObject p_lastVolume;
private IPlotObject p_lastLow;
protected override void Create()
{
this.sessionIndex = new VariableSeries<int>(this);
//test plotting: volume
p_currentVolume =
AddPlot(new PlotAttributes("CurrentVolume", EPlotShapes.LeftTick,
Color.DarkGoldenrod, Color.Empty, 2,
0,
true));
p_lastVolume =
AddPlot(new PlotAttributes("LastVolume", EPlotShapes.LeftTick,
Color.Yellow, Color.Empty, 2,
0,
true));
//test plotting: low
p_currentLow =
AddPlot(new PlotAttributes("CurrentLow", EPlotShapes.LeftTick,
Color.MediumAquamarine, Color.Empty, 2,
0,
true));
p_lastLow =
AddPlot(new PlotAttributes("LastLow", EPlotShapes.LeftTick,
Color.Aqua, Color.Empty, 2,
0,
true));
}
protected override void StartCalc()
{
// reset variables
this.sessionData = new List<SessionData>();
this._prevBarTime = default(DateTime);
//at start calculation, need to retroactively walk our history to do calcs to it, starting with the furthest bar back.
for (var i = this.ExecInfo.MaxBarsBack; i > 0; i--)
{
this.DoCalc(i);
}
}
protected override void CalcBar()
{
//do calc for the current bar (barIndex=0)
this.DoCalc(0);
}
private void DoCalc(int barIndex)
{
//only compute if daily or finer.
EResolution resolution = Bars.Info.Resolution.Type;
if (resolution == EResolution.Quarter ||
EResolution.Week <= resolution && resolution <= EResolution.Year) return;
var barTime = this.Bars.Time[barIndex];
var prevBarEndedSession = this._prevBarTime.Date.Equals(barTime.Date) ? false : true;
//var barSessionIndex = Math.Max((int)barTime.DayOfWeek - 1, 0);
//Output.WriteLine("SI: {0} @ {1}, lbis={2}, pbes={3}", this.Bars.Info.Name, this.Bars.Time[barIndex].ToString(), this.Bars.LastBarInSession.ToString(), this._prevBarEndedSession.ToString());
//create current bar if new session
if (this.sessionData.Count == 0 || prevBarEndedSession == true)
{
if (this.sessionData.Count >= 1)
{
//set the end time for last session
var lastSession = this.sessionData.Last();
lastSession.endTime = this._prevBarTime;
//verify we set end time for last session properly
SLE_Utils.Assert(lastSession.endTime > lastSession.startTime, "appear to not set endTime!! starTime={0}, endTime={1}, currentTime={2}, barIndex={3}", lastSession.startTime.ToString(), lastSession.endTime.ToString(), this.Bars.Time[barIndex], barIndex);
if (lastSession.startTime == lastSession.endTime)
{
Output.WriteLine("!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! \n !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!! session only 1 frame! {0} @ {1}", this.Bars.Info.Name, lastSession.startTime);
}
}
//create new bar
this.sessionData.Add(new SessionData(this.Bars.Time[barIndex], this.Bars.Open[barIndex], this.Bars.Volume[barIndex]));
}
//get current
var currentSession = this.sessionData.Last();
//update values
currentSession.high = currentSession.high >= this.Bars.High[barIndex] ? currentSession.high : this.Bars.High[barIndex];
currentSession.low = currentSession.low <= this.Bars.Low[barIndex] ? currentSession.low : this.Bars.Low[barIndex];
currentSession.close = this.Bars.Close[barIndex];
//currentSession.volume += this.Bars.Volume[barIndex]; //doesn't work with ascii mappings
//currentSession.volume += this.Bars.Ticks[barIndex];
currentSession.volume += this.Bars.TrueVolume()[barIndex]; //works when "build volume on --> trade volume" is set.
//write back (over list last index)
var currentIndex = this.sessionData.Count - 1;
this.sessionData[currentIndex] = currentSession;
//link our bar's dayIndex to the dailyData
this.sessionIndex.Value = currentIndex;
//test plotting: volume
//p_currentVolume.Set(0, this.sessionData[this.sessionIndex.Value].volume, Color.DarkGoldenrod);
//p_currentLow.Set(0, this.sessionData[this.sessionIndex.Value].low, Color.MediumAquamarine);
//Output.WriteLine("{0} vol={1}",this.Bars.Info.Name,this.Bars.VolumeValue * 10000000 );
//p_currentVolume.Set(0, 22.22, Color.DarkGoldenrod);
if (this.sessionData.Count > 1)
{
p_lastVolume.Set(0, this.sessionData[this.sessionIndex.Value - 1].volume, Color.Yellow);
p_lastLow.Set(0, this.sessionData[this.sessionIndex.Value - 1].low, Color.Aqua);
}
//update our "previous" bar variables
this._prevBarTime = barTime;
}
}
}