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DOM Bid Ask AVC Indicator

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Hello All,

 

I found this nifty indicator and absolutely love it, but can't remember what site I got it on or from who. I trade live with OEC but use this indicator on Ninja demo. I understand that Easy Language code can be used in Open E-Cry but none of the bid ask indicators on this site replicate the Ninja code.

 

Goal is to "convert" this indicator to Easy Language for use in Open Ecry platform.

 

Any thoughts?

 

Thank you,

 

Vin

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Here's the code...

 

 

//----------------------------------------------------------------------------------------

// Name: agOrderBookOscillator_V1b

// Type: Indicator

// Description: Accumulated Volume Ratio

// Credits:

// Comments:

// Versions: V1a - Initial Release

//

//----------------------------------------------------------------------------------------

//

#region Using declarations

using System;

using System.Diagnostics;

using System.Drawing;

using System.Drawing.Drawing2D;

using System.ComponentModel;

using System.Xml.Serialization;

using NinjaTrader.Data;

using NinjaTrader.Gui.Chart;

#endregion

 

// This namespace holds all indicators and is required. Do not change it.

namespace NinjaTrader.Indicator

{

/// <summary>

/// </summary>

[Description("agOrderBookOscillator_V1b (Real-time Only)")]

[Gui.Design.DisplayName("agOrderBookOscillator_V1b")]

public class agOrderBookOscillator_V1b : Indicator

{

 

// Line Values

private float plot_high_line_2 = 3;

private float plot_high_line_1 = 2;

private float plot_zero_line = 0;

private float plot_low_line_1 = -2;

private float plot_low_line_2 = -3;

 

#region Variables

// User Defined Variables

private int bidCumulativeVolume = 0;

private int askCumulativeVolume = 0;

 

private double TotalBidAskVolume = 0;

private double OBV_Ratio = 0;

private double OBV_BarHigh = 0;

private double OBV_BarLow = 0;

private double Prev_OBV_Ratio = 0;

private double Prev_OBV_BarHigh = 0;

private double Prev_OBV_BarLow = 0;

 

private int PreviousBar = 0;

 

private Data.MarketDepth marketDepth = null;

 

#endregion

 

 

/// <summary>

/// This method is used to configure the indicator and is called once before any bar data is loaded.

/// </summary>

protected override void Initialize()

{

Add(new Plot(new Pen(Color.Blue , 6), PlotStyle.Bar, "OBV_Ratio_UpHH"));

Add(new Plot(new Pen(Color.LightBlue, 6), PlotStyle.Bar, "OBV_Ratio_UpLH"));

Add(new Plot(new Pen(Color.Maroon , 6), PlotStyle.Bar, "OBV_Ratio_DnLL"));

Add(new Plot(new Pen(Color.Red , 6), PlotStyle.Bar, "OBV_Ratio_DnHL"));

 

Add(new Plot(new Pen(Color.Blue , 1), PlotStyle.Bar, "OBV_Ratio_UpHH_Wick"));

Add(new Plot(new Pen(Color.LightBlue, 1), PlotStyle.Bar, "OBV_Ratio_UpLH_Wick"));

Add(new Plot(new Pen(Color.Maroon , 1), PlotStyle.Bar, "OBV_Ratio_DnLL_Wick"));

Add(new Plot(new Pen(Color.Red , 1), PlotStyle.Bar, "OBV_Ratio_DnHL_Wick"));

 

Add(new Line(Color.DarkGray, plot_high_line_2, "High_Line_2_Val"));

Add(new Line(Color.DarkGray, plot_high_line_1, "High_Line_1_Val"));

Add(new Line(Color.DarkGray, plot_zero_line, "Zero_Line_Val"));

Add(new Line(Color.DarkGray, plot_low_line_1, "Low_Line_1_Val"));

Add(new Line(Color.DarkGray, plot_low_line_2, "Low_Line_2_Val"));

 

CalculateOnBarClose = false;

PaintPriceMarkers = true;

 

// Attach a market depth event handler (if connected providers does not support depth, you will not get any events)

if (Bars != null && Bars.MarketData != null)

{

marketDepth = Bars.MarketData.Connection.MarketDepthStreams[bars.Instrument];

if (marketDepth != null)

marketDepth.MarketDepthItem += new MarketDepthItemEventHandler(OnMarketDepth);

}

}

 

 

// You will get an event for each change in the order book (depth) in real-time only (not historical)

private void OnMarketDepth(object sender, MarketDepthEventArgs e)

{

// Get the cumulative volume for 5 levels deep on each side

bidCumulativeVolume = e.MarketDepth.Bid.TotalVolume(5);

askCumulativeVolume = e.MarketDepth.Ask.TotalVolume(5);

}

 

/// <summary>

/// Called on each bar update event (incoming tick)

/// </summary>

protected override void OnBarUpdate()

{

 

// Historical data does not contain depth so return

if (Historical)

return;

 

ChartControl.ChartPanel.Invalidate();

 

// Set the plots to the most recent cumulative depth values. If you wanted to plot the average over a bar period you would

// need to store data in an array over the course of the bar and then plot the average

 

// Calculate OBV Ratio and high / low values

TotalBidAskVolume = askCumulativeVolume + bidCumulativeVolume;

if (TotalBidAskVolume == 0)

OBV_Ratio = 0;

else

{

OBV_Ratio = Math.Round(((askCumulativeVolume - bidCumulativeVolume) / (TotalBidAskVolume) * 6), 2);

if (OBV_Ratio > OBV_BarHigh)

OBV_BarHigh = OBV_Ratio;

else if (OBV_Ratio < OBV_BarLow)

OBV_BarLow = OBV_Ratio;

 

if (OBV_Ratio >= 0)

{

if (OBV_Ratio > Prev_OBV_Ratio)

{

OBV_Ratio_UpHH.Set(OBV_Ratio);

OBV_Ratio_UpHH_Wick.Set(OBV_BarHigh);

}

else

{

OBV_Ratio_UpLH.Set(OBV_Ratio);

OBV_Ratio_UpLH_Wick.Set(OBV_BarHigh);

}

if (OBV_BarLow < Prev_OBV_BarLow)

OBV_Ratio_DnLL_Wick.Set(OBV_BarLow);

else

OBV_Ratio_DnHL_Wick.Set(OBV_BarLow);

}

else

{

if (OBV_Ratio < Prev_OBV_Ratio)

{

OBV_Ratio_DnLL.Set(OBV_Ratio);

OBV_Ratio_DnLL_Wick.Set(OBV_BarLow);

}

else

{

OBV_Ratio_DnHL.Set(OBV_Ratio);

OBV_Ratio_DnHL_Wick.Set(OBV_BarLow);

}

if (OBV_BarHigh < Prev_OBV_BarHigh)

OBV_Ratio_UpHH_Wick.Set(OBV_BarHigh);

else

OBV_Ratio_UpLH_Wick.Set(OBV_BarHigh);

}

if (FirstTickOfBar)

{

OBV_BarHigh = 0;

OBV_BarLow = 0;

Prev_OBV_BarHigh = OBV_BarHigh;

Prev_OBV_BarLow = OBV_BarLow;

Prev_OBV_Ratio = OBV_Ratio;

}

 

//----------------------------------------------------------------------

// Draw Text Fixed

//----------------------------------------------------------------------

if(askCumulativeVolume >= bidCumulativeVolume)

{

double cumRatio = Math.Round((double)askCumulativeVolume / (double)bidCumulativeVolume, 1);

DrawTextFixed("cumRatio",

askCumulativeVolume.ToString()+"\n"+

cumRatio.ToString()+"\n"+

bidCumulativeVolume.ToString(),

TextPosition.BottomRight);

}

else

{

double cumRatio = Math.Round((double)bidCumulativeVolume / (double) askCumulativeVolume, 1);

DrawTextFixed("cumRatio",

askCumulativeVolume.ToString()+"\n"+"-"+

cumRatio.ToString()+"\n"+

bidCumulativeVolume.ToString(),

TextPosition.BottomRight);

}

 

}

 

}

 

// You have to override the Dispose() method in order to clean up resources and detach the depth event handler

public override void Dispose()

{

// Detach the event handler

if (marketDepth != null)

marketDepth.MarketDepthItem -= new MarketDepthItemEventHandler(OnMarketDepth);

 

// Don't forget to call the base.Dispose() method so that the internal Dispose() method cleans up internal resources

base.Dispose();

}

 

#region Properties

[browsable(false)] // this line prevents the data series from being displayed in the indicator properties dialog, do not remove

[XmlIgnore()] // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove

 

public DataSeries OBV_Ratio_UpHH

{

get { return Values[0]; }

}

public DataSeries OBV_Ratio_UpLH

{

get { return Values[1]; }

}

public DataSeries OBV_Ratio_DnLL

{

get { return Values[2]; }

}

public DataSeries OBV_Ratio_DnHL

{

get { return Values[3]; }

}

public DataSeries OBV_Ratio_UpHH_Wick

{

get { return Values[4]; }

}

public DataSeries OBV_Ratio_UpLH_Wick

{

get { return Values[5]; }

}

public DataSeries OBV_Ratio_DnLL_Wick

{

get { return Values[6]; }

}

public DataSeries OBV_Ratio_DnHL_Wick

{

get { return Values[7]; }

}

 

#endregion

}

}

 

#region NinjaScript generated code. Neither change nor remove.

// This namespace holds all indicators and is required. Do not change it.

namespace NinjaTrader.Indicator

{

public partial class Indicator : IndicatorBase

{

private agOrderBookOscillator_V1b[] cacheagOrderBookOscillator_V1b = null;

 

private static agOrderBookOscillator_V1b checkagOrderBookOscillator_V1b = new agOrderBookOscillator_V1b();

 

/// <summary>

/// agOrderBookOscillator_V1b (Real-time Only)

/// </summary>

/// <returns></returns>

public agOrderBookOscillator_V1b agOrderBookOscillator_V1b()

{

return agOrderBookOscillator_V1b(Input);

}

 

/// <summary>

/// agOrderBookOscillator_V1b (Real-time Only)

/// </summary>

/// <returns></returns>

public agOrderBookOscillator_V1b agOrderBookOscillator_V1b(Data.IDataSeries input)

{

 

if (cacheagOrderBookOscillator_V1b != null)

for (int idx = 0; idx < cacheagOrderBookOscillator_V1b.Length; idx++)

if (cacheagOrderBookOscillator_V1b[idx].EqualsInput(input))

return cacheagOrderBookOscillator_V1b[idx];

 

agOrderBookOscillator_V1b indicator = new agOrderBookOscillator_V1b();

indicator.SetUp();

indicator.BarsRequired = BarsRequired;

indicator.CalculateOnBarClose = CalculateOnBarClose;

indicator.Input = input;

 

agOrderBookOscillator_V1b[] tmp = new agOrderBookOscillator_V1b[cacheagOrderBookOscillator_V1b == null ? 1 : cacheagOrderBookOscillator_V1b.Length + 1];

if (cacheagOrderBookOscillator_V1b != null)

cacheagOrderBookOscillator_V1b.CopyTo(tmp, 0);

tmp[tmp.Length - 1] = indicator;

cacheagOrderBookOscillator_V1b = tmp;

Indicators.Add(indicator);

 

return indicator;

}

 

}

}

 

// This namespace holds all market analyzer column definitions and is required. Do not change it.

namespace NinjaTrader.MarketAnalyzer

{

public partial class Column : ColumnBase

{

/// <summary>

/// agOrderBookOscillator_V1b (Real-time Only)

/// </summary>

/// <returns></returns>

[Gui.Design.WizardCondition("Indicator")]

public Indicator.agOrderBookOscillator_V1b agOrderBookOscillator_V1b()

{

return _indicator.agOrderBookOscillator_V1b(Input);

}

 

/// <summary>

/// agOrderBookOscillator_V1b (Real-time Only)

/// </summary>

/// <returns></returns>

public Indicator.agOrderBookOscillator_V1b agOrderBookOscillator_V1b(Data.IDataSeries input)

{

return _indicator.agOrderBookOscillator_V1b(input);

}

 

}

}

 

// This namespace holds all strategies and is required. Do not change it.

namespace NinjaTrader.Strategy

{

public partial class Strategy : StrategyBase

{

/// <summary>

/// agOrderBookOscillator_V1b (Real-time Only)

/// </summary>

/// <returns></returns>

[Gui.Design.WizardCondition("Indicator")]

public Indicator.agOrderBookOscillator_V1b agOrderBookOscillator_V1b()

{

return _indicator.agOrderBookOscillator_V1b(Input);

}

 

/// <summary>

/// agOrderBookOscillator_V1b (Real-time Only)

/// </summary>

/// <returns></returns>

public Indicator.agOrderBookOscillator_V1b agOrderBookOscillator_V1b(Data.IDataSeries input)

{

if (InInitialize && input == null)

throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");

 

return _indicator.agOrderBookOscillator_V1b(input);

}

 

}

}

#endregion

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Soul,

 

Any way to delete these two posts? Tried to edit and delete but not sure what to do.

 

I'll repost the first post [only], along with a screen shot in the indicator forum.

 

This is a real time indicator that shows an up bar or down bar over a zero line revealing the shifting of bid to ask sizes for 5 levels of the DOM. Also has a numerical representation on the upper chart panel.

 

Vin

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