Added Anchored VWAP drawing tool

DrawingTools/FreeOrderFlow/FofAnchoredVwap.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.Windows.Controls;
+using System.Windows.Shapes;
+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;
+#endregion
+
+//This namespace holds Drawing tools in this folder and is required. Do not change it.
+namespace NinjaTrader.NinjaScript.DrawingTools.FreeOrderFlow
+{
+	public class FofAnchoredVwap : DrawingTool
+	{
+		#region Icon
+		public override object Icon {
+			get {
+				Grid icon = new Grid { Height = 16, Width = 16, UseLayoutRounding = true, SnapsToDevicePixels = true };
+				RenderOptions.SetEdgeMode(icon, EdgeMode.Aliased);
+				icon.Children.Add(new Path {
+					Stroke = Application.Current.TryFindResource("MenuBorderBrush") as Brush,
+					StrokeThickness = 1,
+					Data = Geometry.Parse("M 2 5 H 4 V 13 H 2 V 5 Z M 3 13 V 16 M 7 3 H 9 V 12 H 7 V 3 Z M 8 2 V 0 M 12 3 H 14 V 11 H 12 V 3 Z M 13 11 V 13 M 0 13 C 3 3 12 12 15 3")
+				});
+				return icon;
+			}
+		}
+		#endregion
+
+		#region Private properties
+		private static float MinimumSize = 5f;
+		private InputPriceType calculatedInputPrice = InputPriceType.Median;
+
+		private double BarWidth
+		{
+			get
+			{
+				if (ChartBars != null && ChartBars.Properties.ChartStyle != null)
+					return ChartBars.Properties.ChartStyle.BarWidth;
+				return MinimumSize;
+			}
+		}
+
+		private ChartBars ChartBars
+		{
+			get
+			{
+				ChartBars chartBars = AttachedTo.ChartObject as ChartBars;
+				if (chartBars == null)
+				{
+					Gui.NinjaScript.IChartBars iChartBars = AttachedTo.ChartObject as Gui.NinjaScript.IChartBars;
+					if (iChartBars != null) chartBars = iChartBars.ChartBars;
+				}
+				return chartBars;
+			}
+		}
+
+		private Dictionary<int, double> vwap = new Dictionary<int, double>();
+		private double cumVol;
+		private double cumPV;
+		private int StartBar = -1;
+		private int EndBar = -1;
+		#endregion
+
+		protected override void OnStateChange()
+		{
+			if (State == State.SetDefaults)
+			{
+				Name				= "Anchored VWAP (Free Order Flow)";
+				Description			= @"Plot VWAP from anchored bar";
+				InputPrice			= InputPriceType.Median;
+				Stroke				= new Stroke(Brushes.DodgerBlue, 1);
+				Anchor = new ChartAnchor
+				{
+					DisplayName = Custom.Resource.NinjaScriptDrawingToolAnchor,
+					IsEditing	= true,
+				};
+				Anchor.IsYPropertyVisible = false;
+			}
+			else if (State == State.Terminated) Dispose();
+		}
+
+		#region DrawingTool methods
+		public override Cursor GetCursor(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, Point point)
+		{
+			if (DrawingState == DrawingState.Building)
+				return Cursors.Pen;
+			if (DrawingState == DrawingState.Moving)
+				return IsLocked ? Cursors.No : Cursors.SizeAll;
+			// this is fired whenever the chart marker is selected.
+			// so if the mouse is anywhere near our marker, show a moving icon only. point is already in device pixels
+			// we want to check at least 6 pixels away, or by padding x 2 if its more (It could be 0 on some objects like square)
+			Point anchorPointPixels = Anchor.GetPoint(chartControl, chartPanel, chartScale);
+			Vector distToMouse = point - anchorPointPixels;
+			return distToMouse.Length <= GetSelectionSensitivity(chartControl) ?
+				IsLocked ?  Cursors.Arrow : Cursors.SizeAll :
+				null;
+		}
+
+		public override Point[] GetSelectionPoints(ChartControl chartControl, ChartScale chartScale)
+		{
+			if (Anchor.IsEditing) return new Point[0];
+
+			ChartPanel chartPanel = chartControl.ChartPanels[chartScale.PanelIndex];
+			Point anchorPoint = Anchor.GetPoint(chartControl, chartPanel, chartScale);
+			return new[]{ anchorPoint };
+		}
+
+		public double GetSelectionSensitivity(ChartControl chartControl)
+		{
+			return Math.Max(15d, 10d * (BarWidth / 5d));
+		}
+
+		public override void OnMouseDown(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, ChartAnchor dataPoint)
+		{
+			switch (DrawingState)
+			{
+				case DrawingState.Building:
+					dataPoint.CopyDataValues(Anchor);
+					Anchor.IsEditing = false;
+					DrawingState = DrawingState.Normal;
+					IsSelected = false;
+					DetectPriceInput();
+					break;
+				case DrawingState.Normal:
+					// make sure they clicked near us. use GetCursor incase something has more than one point, like arrows
+					Point point = dataPoint.GetPoint(chartControl, chartPanel, chartScale);
+					if (GetCursor(chartControl, chartPanel, chartScale, point) != null)
+						DrawingState = DrawingState.Moving;
+					else
+						IsSelected = false;
+					break;
+			}
+		}
+
+		public override void OnMouseMove(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, ChartAnchor dataPoint)
+		{
+			if (DrawingState != DrawingState.Moving || IsLocked && DrawingState != DrawingState.Building)
+				return;
+			Anchor.Time = dataPoint.Time;
+			Anchor.Price = dataPoint.Price;
+		}
+
+		public override void OnMouseUp(ChartControl control, ChartPanel chartPanel, ChartScale chartScale, ChartAnchor dataPoint)
+		{
+			if (DrawingState == DrawingState.Editing || DrawingState == DrawingState.Moving) {
+				DrawingState = DrawingState.Normal;
+				DetectPriceInput();
+				ForceRefresh();
+			}
+		}
+
+		public override void OnCalculateMinMax()
+		{
+			MinValue = double.MaxValue;
+			MaxValue = double.MinValue;
+
+			if (!this.IsVisible) return;
+
+			MinValue = Anchor.Price;
+			MaxValue = Anchor.Price;
+		}
+
+		public override bool IsVisibleOnChart(ChartControl chartControl, ChartScale chartScale, DateTime firstTimeOnChart, DateTime lastTimeOnChart)
+		{
+			int lastBar = chartControl.BarsArray[0].ToIndex;
+			if (
+				lastTimeOnChart > Anchor.Time &&
+				(
+					Anchor.Price < chartScale.MaxValue && Anchor.Price > chartScale.MinValue
+				) || (
+					!vwap.ContainsKey(lastBar) || (vwap[lastBar] < chartScale.MaxValue && vwap[lastBar] > chartScale.MinValue)
+				)
+			) return true;
+			return false;
+		}
+
+		public override IEnumerable<ChartAnchor> Anchors
+		{
+			get { return new[]{Anchor}; }
+		}
+		#endregion
+
+		#region Calculations
+		private double GetInputPrice(int currentBar)
+		{
+			switch(InputPrice)
+			{
+				case InputPriceType.High:
+					return ChartBars.Bars.GetHigh(currentBar);
+				case InputPriceType.Low:
+					return ChartBars.Bars.GetLow(currentBar);
+				default:
+					return (ChartBars.Bars.GetHigh(currentBar) + ChartBars.Bars.GetLow(currentBar)) / 2;
+			}
+		}
+
+		private void DetectPriceInput() {
+			var high = ChartBars.Bars.GetHigh((int) Anchor.SlotIndex);
+			var low = ChartBars.Bars.GetLow((int) Anchor.SlotIndex);
+			var tickSize = AttachedTo.Instrument.MasterInstrument.TickSize;
+
+			if(Anchor.Price < low + tickSize) {
+				InputPrice = InputPriceType.Low;
+			} else if(Anchor.Price > high - tickSize) {
+				InputPrice = InputPriceType.High;
+			} else {
+				InputPrice = InputPriceType.Median;
+			}
+		}
+
+		private void CalculateVWAP() {
+			int startIndex = -1;
+
+			if(calculatedInputPrice != InputPrice || StartBar != (int) Anchor.SlotIndex) {
+				// recalculate
+				cumVol = 0;
+				cumPV = 0;
+				startIndex = (int) Anchor.SlotIndex;
+			} else if(EndBar < ChartBars.Bars.Count - 1) {
+				// new bars added
+				startIndex = EndBar;
+			}
+
+			if(startIndex >= 0){
+				for(int i = startIndex; i < ChartBars.Bars.Count; i++) {
+					cumPV += GetInputPrice(i) * ChartBars.Bars.GetVolume(i);
+					cumVol += ChartBars.Bars.GetVolume(i);
+					vwap[i] = cumPV / (cumVol == 0 ? 1 : cumVol);
+				}
+				StartBar = (int) Anchor.SlotIndex;
+				EndBar = ChartBars.Bars.Count - 1;
+			}
+
+			calculatedInputPrice = InputPrice;
+		}
+		#endregion
+
+		#region Rendering
+		public override void OnRenderTargetChanged()
+		{
+			if (Stroke == null) return;
+			if (RenderTarget != null) Stroke.RenderTarget = RenderTarget;
+		}
+
+		public override void OnRender(ChartControl chartControl, ChartScale chartScale)
+		{
+			if (Anchor.IsEditing) return;
+
+			RenderTarget.AntialiasMode = SharpDX.Direct2D1.AntialiasMode.PerPrimitive;
+
+			if(DrawingState != DrawingState.Moving) {
+				Anchor.Price = GetInputPrice((int) Anchor.SlotIndex);
+			}
+
+			ChartPanel panel = chartControl.ChartPanels[chartScale.PanelIndex];
+			Point pixelPoint = Anchor.GetPoint(chartControl, panel, chartScale);
+			// center rendering on anchor is done by radius method of drawing here
+			float radius = Math.Max((float) BarWidth, MinimumSize);
+			// render anchor point
+			RenderTarget.FillEllipse(
+				new SharpDX.Direct2D1.Ellipse(pixelPoint.ToVector2(), radius, radius),
+				Stroke.BrushDX
+			);
+
+			if(DrawingState == DrawingState.Normal && (
+				InputPrice != calculatedInputPrice ||
+				StartBar != (int)Anchor.SlotIndex ||
+				EndBar != ChartBars.ToIndex
+			)) {
+				CalculateVWAP();
+			}
+
+			if(StartBar == (int)Anchor.SlotIndex) {
+				RenderVWAP(chartControl, chartScale);
+			}
+		}
+
+		private void RenderVWAP(ChartControl chartControl, ChartScale chartScale) {
+			if(chartControl.BarsArray.Count < 1) return;
+
+			for(int i = StartBar + 1; i < EndBar; i++) {
+				if(!vwap.ContainsKey(i - 1)) continue;
+				if(i > ChartBars.ToIndex) break;
+				SharpDX.Vector2 startPoint = new SharpDX.Vector2(
+					chartControl.GetXByBarIndex(ChartBars, i - 1),
+					chartScale.GetYByValue(vwap[i - 1])
+				);
+				SharpDX.Vector2 endPoint = new SharpDX.Vector2(
+					chartControl.GetXByBarIndex(ChartBars, i),
+					chartScale.GetYByValue(vwap[i])
+				);
+				RenderTarget.DrawLine(startPoint, endPoint, Stroke.BrushDX, Stroke.Width, Stroke.StrokeStyle);
+			}
+		}
+		#endregion
+
+		#region Properties
+		public ChartAnchor Anchor { get; set; }
+
+		[Display(ResourceType=typeof(Custom.Resource), Name = "Input Price Type", GroupName = "NinjaScriptGeneral", Order = 1)]
+		public InputPriceType InputPrice { get; set; }
+
+		[Display(ResourceType=typeof(Custom.Resource), Name = "Line", GroupName = "NinjaScriptGeneral", Order = 2)]
+		public Stroke Stroke { get; set; }
+		#endregion
+	}
+	public enum InputPriceType { High, Low, Median };
+}