├── .editorconfig ├── .github └── workflows │ ├── build-and-release-nightly.yml │ ├── build-and-release-tag.yml │ └── build-and-release.yml ├── .gitignore ├── DrawingTools └── FreeOrderFlow │ ├── FofAnchoredVwap.cs │ └── FofRangeVolumeProfile.cs ├── FreeOrderFlow.csproj ├── FreeOrderFlow.sln ├── Indicators └── FreeOrderFlow │ ├── FofCumulativeDelta.cs │ ├── FofMarketDepth.cs │ ├── FofVWAP.cs │ └── FofVolumeProfile.cs ├── InvestSoft └── VolumeProfileUtils.cs ├── LICENSE.txt ├── MarketAnalyzerColumns └── @MarketAnalyzerColumn.cs ├── README.md ├── Strategies └── @Strategy.cs ├── deps ├── InfragisticsWPF4.DataPresenter.v15.1.dll ├── Infralution.Localization.Wpf.dll ├── NinjaTrader.Core.dll ├── NinjaTrader.Custom.dll ├── NinjaTrader.Gui.dll ├── NinjaTrader.Vendor.dll ├── SharpDX.Direct2D1.dll └── SharpDX.dll └── publish ├── FreeOrderFlow-license.txt └── info.xml /.editorconfig: -------------------------------------------------------------------------------- 1 | dotnet_diagnostic.CS0436.severity = none -------------------------------------------------------------------------------- /.github/workflows/build-and-release-nightly.yml: -------------------------------------------------------------------------------- 1 | name: Build and Release Nightly 2 | 3 | on: 4 | push: 5 | branches: 6 | - main 7 | 8 | jobs: 9 | build-and-release: 10 | uses: ./.github/workflows/build-and-release.yml 11 | secrets: inherit 12 | with: 13 | build-configuration: Release 14 | prerelease: true 15 | tagname: nightly 16 | release-name: Nightly build 17 | -------------------------------------------------------------------------------- /.github/workflows/build-and-release-tag.yml: -------------------------------------------------------------------------------- 1 | name: Build and Release version tag 2 | 3 | on: 4 | push: 5 | tags: 6 | - 'v*' 7 | 8 | jobs: 9 | build-and-release-tag: 10 | uses: ./.github/workflows/build-and-release.yml 11 | secrets: inherit 12 | with: 13 | build-configuration: Release 14 | -------------------------------------------------------------------------------- /.github/workflows/build-and-release.yml: -------------------------------------------------------------------------------- 1 | name: Build and Release 2 | 3 | on: 4 | workflow_call: 5 | inputs: 6 | build-configuration: 7 | required: true 8 | type: string 9 | tagname: 10 | required: false 11 | type: string 12 | release-name: 13 | required: false 14 | type: string 15 | prerelease: 16 | required: false 17 | type: boolean 18 | 19 | jobs: 20 | build-and-release: 21 | runs-on: windows-latest 22 | 23 | steps: 24 | - name: Checkout Repository 25 | uses: actions/checkout@v2 26 | 27 | - name: Setup MSBuild 28 | uses: actions/setup-dotnet@v1 29 | 30 | - name: Install deps 31 | run: dotnet restore FreeOrderFlow.sln 32 | 33 | - name: Build 34 | run: dotnet build -c ${{ inputs.build-configuration }} FreeOrderFlow.sln 35 | 36 | - name: Copy from Debug to publish folder 37 | if: inputs.build-configuration == 'Debug' 38 | run: | 39 | cp bin/Debug/FreeOrderFlow.dll .\publish 40 | 41 | - name: Copy from Release to publish folder 42 | if: inputs.build-configuration != 'Debug' 43 | run: | 44 | cp bin/Release/FreeOrderFlow.dll .\publish 45 | 46 | - name: Create Archive 47 | run: Compress-Archive -Path .\publish\* -DestinationPath FreeOrderFlow-NT.zip -Force 48 | 49 | - name: Release 50 | uses: softprops/action-gh-release@v1 51 | with: 52 | token: ${{ secrets.GH_RELEASE_TOKEN }} 53 | files: FreeOrderFlow-NT.zip 54 | tag_name: ${{ inputs.tagname }} 55 | name: ${{ inputs.release-name }} 56 | prerelease: ${{ inputs.prerelease }} 57 | -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- 1 | /bin/ 2 | /obj/ 3 | /.vs/ 4 | /publish/* 5 | !/publish/*.xml 6 | !/publish/*.txt 7 | -------------------------------------------------------------------------------- /DrawingTools/FreeOrderFlow/FofAnchoredVwap.cs: -------------------------------------------------------------------------------- 1 | #region Using declarations 2 | using System; 3 | using System.Collections.Generic; 4 | using System.ComponentModel; 5 | using System.ComponentModel.DataAnnotations; 6 | using System.Linq; 7 | using System.Text; 8 | using System.Threading.Tasks; 9 | using System.Windows; 10 | using System.Windows.Input; 11 | using System.Windows.Media; 12 | using System.Windows.Controls; 13 | using System.Windows.Shapes; 14 | using System.Xml.Serialization; 15 | using NinjaTrader.Cbi; 16 | using NinjaTrader.Gui; 17 | using NinjaTrader.Gui.Chart; 18 | using NinjaTrader.Gui.SuperDom; 19 | using NinjaTrader.Gui.Tools; 20 | using NinjaTrader.Data; 21 | using NinjaTrader.NinjaScript; 22 | using NinjaTrader.Core.FloatingPoint; 23 | #endregion 24 | 25 | //This namespace holds Drawing tools in this folder and is required. Do not change it. 26 | namespace NinjaTrader.NinjaScript.DrawingTools.FreeOrderFlow 27 | { 28 | public class FofAnchoredVwap : DrawingTool 29 | { 30 | #region Icon 31 | public override object Icon { 32 | get { 33 | Grid icon = new Grid { Height = 16, Width = 16, UseLayoutRounding = true, SnapsToDevicePixels = true }; 34 | RenderOptions.SetEdgeMode(icon, EdgeMode.Aliased); 35 | icon.Children.Add(new Path { 36 | Stroke = Application.Current.TryFindResource("MenuBorderBrush") as Brush, 37 | StrokeThickness = 1, 38 | 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") 39 | }); 40 | return icon; 41 | } 42 | } 43 | #endregion 44 | 45 | #region Private properties 46 | private static float MinimumSize = 5f; 47 | private InputPriceType calculatedInputPrice = InputPriceType.Median; 48 | 49 | private double BarWidth 50 | { 51 | get 52 | { 53 | if (ChartBars != null && ChartBars.Properties.ChartStyle != null) 54 | return ChartBars.Properties.ChartStyle.BarWidth; 55 | return MinimumSize; 56 | } 57 | } 58 | 59 | private ChartBars ChartBars 60 | { 61 | get 62 | { 63 | ChartBars chartBars = AttachedTo.ChartObject as ChartBars; 64 | if (chartBars == null) 65 | { 66 | Gui.NinjaScript.IChartBars iChartBars = AttachedTo.ChartObject as Gui.NinjaScript.IChartBars; 67 | if (iChartBars != null) chartBars = iChartBars.ChartBars; 68 | } 69 | return chartBars; 70 | } 71 | } 72 | 73 | private Dictionary vwap = new Dictionary(); 74 | private double cumVol; 75 | private double cumPV; 76 | private int StartBar = -1; 77 | private int EndBar = -1; 78 | #endregion 79 | 80 | protected override void OnStateChange() 81 | { 82 | if (State == State.SetDefaults) 83 | { 84 | Name = "Anchored VWAP (Free Order Flow)"; 85 | Description = @"Plot VWAP from anchored bar"; 86 | InputPrice = InputPriceType.Median; 87 | Stroke = new Stroke(Brushes.DodgerBlue, 1); 88 | Anchor = new ChartAnchor 89 | { 90 | DisplayName = Custom.Resource.NinjaScriptDrawingToolAnchor, 91 | IsEditing = true, 92 | }; 93 | Anchor.IsYPropertyVisible = false; 94 | } 95 | else if (State == State.Terminated) Dispose(); 96 | } 97 | 98 | #region DrawingTool methods 99 | public override Cursor GetCursor(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, Point point) 100 | { 101 | if (DrawingState == DrawingState.Building) 102 | return Cursors.Pen; 103 | if (DrawingState == DrawingState.Moving) 104 | return IsLocked ? Cursors.No : Cursors.SizeAll; 105 | // this is fired whenever the chart marker is selected. 106 | // so if the mouse is anywhere near our marker, show a moving icon only. point is already in device pixels 107 | // 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) 108 | Point anchorPointPixels = Anchor.GetPoint(chartControl, chartPanel, chartScale); 109 | Vector distToMouse = point - anchorPointPixels; 110 | return distToMouse.Length <= GetSelectionSensitivity(chartControl) ? 111 | IsLocked ? Cursors.Arrow : Cursors.SizeAll : 112 | null; 113 | } 114 | 115 | public override Point[] GetSelectionPoints(ChartControl chartControl, ChartScale chartScale) 116 | { 117 | if (Anchor.IsEditing) return new Point[0]; 118 | 119 | ChartPanel chartPanel = chartControl.ChartPanels[chartScale.PanelIndex]; 120 | Point anchorPoint = Anchor.GetPoint(chartControl, chartPanel, chartScale); 121 | return new[]{ anchorPoint }; 122 | } 123 | 124 | public double GetSelectionSensitivity(ChartControl chartControl) 125 | { 126 | return Math.Max(15d, 10d * (BarWidth / 5d)); 127 | } 128 | 129 | public override void OnMouseDown(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, ChartAnchor dataPoint) 130 | { 131 | switch (DrawingState) 132 | { 133 | case DrawingState.Building: 134 | dataPoint.CopyDataValues(Anchor); 135 | Anchor.IsEditing = false; 136 | DrawingState = DrawingState.Normal; 137 | IsSelected = false; 138 | DetectPriceInput(); 139 | break; 140 | case DrawingState.Normal: 141 | // make sure they clicked near us. use GetCursor incase something has more than one point, like arrows 142 | Point point = dataPoint.GetPoint(chartControl, chartPanel, chartScale); 143 | if (GetCursor(chartControl, chartPanel, chartScale, point) != null) 144 | DrawingState = DrawingState.Moving; 145 | else 146 | IsSelected = false; 147 | break; 148 | } 149 | } 150 | 151 | public override void OnMouseMove(ChartControl chartControl, ChartPanel chartPanel, ChartScale chartScale, ChartAnchor dataPoint) 152 | { 153 | if (DrawingState != DrawingState.Moving || IsLocked && DrawingState != DrawingState.Building) 154 | return; 155 | Anchor.Time = dataPoint.Time; 156 | Anchor.Price = dataPoint.Price; 157 | } 158 | 159 | public override void OnMouseUp(ChartControl control, ChartPanel chartPanel, ChartScale chartScale, ChartAnchor dataPoint) 160 | { 161 | if (DrawingState == DrawingState.Editing || DrawingState == DrawingState.Moving) { 162 | DrawingState = DrawingState.Normal; 163 | DetectPriceInput(); 164 | ForceRefresh(); 165 | } 166 | } 167 | 168 | public override void OnCalculateMinMax() 169 | { 170 | MinValue = double.MaxValue; 171 | MaxValue = double.MinValue; 172 | 173 | if (!this.IsVisible) return; 174 | 175 | MinValue = Anchor.Price; 176 | MaxValue = Anchor.Price; 177 | } 178 | 179 | public override bool IsVisibleOnChart(ChartControl chartControl, ChartScale chartScale, DateTime firstTimeOnChart, DateTime lastTimeOnChart) 180 | { 181 | int lastBar = chartControl.BarsArray[0].ToIndex; 182 | if ( 183 | lastTimeOnChart > Anchor.Time && 184 | ( 185 | Anchor.Price < chartScale.MaxValue && Anchor.Price > chartScale.MinValue 186 | ) || ( 187 | !vwap.ContainsKey(lastBar) || (vwap[lastBar] < chartScale.MaxValue && vwap[lastBar] > chartScale.MinValue) 188 | ) 189 | ) return true; 190 | return false; 191 | } 192 | 193 | public override IEnumerable Anchors 194 | { 195 | get { return new[]{Anchor}; } 196 | } 197 | #endregion 198 | 199 | #region Calculations 200 | private double GetInputPrice(int currentBar) 201 | { 202 | switch(InputPrice) 203 | { 204 | case InputPriceType.High: 205 | return ChartBars.Bars.GetHigh(currentBar); 206 | case InputPriceType.Low: 207 | return ChartBars.Bars.GetLow(currentBar); 208 | default: 209 | return (ChartBars.Bars.GetHigh(currentBar) + ChartBars.Bars.GetLow(currentBar)) / 2; 210 | } 211 | } 212 | 213 | private void DetectPriceInput() { 214 | var high = ChartBars.Bars.GetHigh((int) Anchor.SlotIndex); 215 | var low = ChartBars.Bars.GetLow((int) Anchor.SlotIndex); 216 | var tickSize = AttachedTo.Instrument.MasterInstrument.TickSize; 217 | 218 | if(Anchor.Price < low + tickSize) { 219 | InputPrice = InputPriceType.Low; 220 | } else if(Anchor.Price > high - tickSize) { 221 | InputPrice = InputPriceType.High; 222 | } else { 223 | InputPrice = InputPriceType.Median; 224 | } 225 | } 226 | 227 | private void CalculateVWAP() { 228 | int startIndex = -1; 229 | 230 | if(calculatedInputPrice != InputPrice || StartBar != (int) Anchor.SlotIndex) { 231 | // recalculate 232 | cumVol = 0; 233 | cumPV = 0; 234 | startIndex = (int) Anchor.SlotIndex; 235 | } else if(EndBar < ChartBars.Bars.Count - 1) { 236 | // new bars added 237 | startIndex = EndBar; 238 | } 239 | 240 | if(startIndex >= 0){ 241 | for(int i = startIndex; i < ChartBars.Bars.Count; i++) { 242 | cumPV += GetInputPrice(i) * ChartBars.Bars.GetVolume(i); 243 | cumVol += ChartBars.Bars.GetVolume(i); 244 | vwap[i] = cumPV / (cumVol == 0 ? 1 : cumVol); 245 | } 246 | StartBar = (int) Anchor.SlotIndex; 247 | EndBar = ChartBars.Bars.Count - 1; 248 | } 249 | 250 | calculatedInputPrice = InputPrice; 251 | } 252 | #endregion 253 | 254 | #region Rendering 255 | public override void OnRenderTargetChanged() 256 | { 257 | if (Stroke == null) return; 258 | if (RenderTarget != null) Stroke.RenderTarget = RenderTarget; 259 | } 260 | 261 | public override void OnRender(ChartControl chartControl, ChartScale chartScale) 262 | { 263 | if (Anchor.IsEditing) return; 264 | 265 | RenderTarget.AntialiasMode = SharpDX.Direct2D1.AntialiasMode.PerPrimitive; 266 | 267 | if(DrawingState != DrawingState.Moving) { 268 | Anchor.Price = GetInputPrice((int) Anchor.SlotIndex); 269 | } 270 | 271 | ChartPanel panel = chartControl.ChartPanels[chartScale.PanelIndex]; 272 | Point pixelPoint = Anchor.GetPoint(chartControl, panel, chartScale); 273 | // center rendering on anchor is done by radius method of drawing here 274 | float radius = Math.Max((float) BarWidth, MinimumSize); 275 | // render anchor point 276 | RenderTarget.FillEllipse( 277 | new SharpDX.Direct2D1.Ellipse(pixelPoint.ToVector2(), radius, radius), 278 | Stroke.BrushDX 279 | ); 280 | 281 | if(DrawingState == DrawingState.Normal && ( 282 | InputPrice != calculatedInputPrice || 283 | StartBar != (int)Anchor.SlotIndex || 284 | EndBar != ChartBars.ToIndex 285 | )) { 286 | CalculateVWAP(); 287 | } 288 | 289 | if(StartBar == (int)Anchor.SlotIndex) { 290 | RenderVWAP(chartControl, chartScale); 291 | } 292 | } 293 | 294 | private void RenderVWAP(ChartControl chartControl, ChartScale chartScale) { 295 | if(chartControl.BarsArray.Count < 1) return; 296 | 297 | for(int i = StartBar + 1; i < EndBar; i++) { 298 | if(!vwap.ContainsKey(i - 1)) continue; 299 | if(i > ChartBars.ToIndex) break; 300 | SharpDX.Vector2 startPoint = new SharpDX.Vector2( 301 | chartControl.GetXByBarIndex(ChartBars, i - 1), 302 | chartScale.GetYByValue(vwap[i - 1]) 303 | ); 304 | SharpDX.Vector2 endPoint = new SharpDX.Vector2( 305 | chartControl.GetXByBarIndex(ChartBars, i), 306 | chartScale.GetYByValue(vwap[i]) 307 | ); 308 | RenderTarget.DrawLine(startPoint, endPoint, Stroke.BrushDX, Stroke.Width, Stroke.StrokeStyle); 309 | } 310 | } 311 | #endregion 312 | 313 | #region Properties 314 | public ChartAnchor Anchor { get; set; } 315 | 316 | [Display(ResourceType=typeof(Custom.Resource), Name = "Input Price Type", GroupName = "NinjaScriptGeneral", Order = 1)] 317 | public InputPriceType InputPrice { get; set; } 318 | 319 | [Display(ResourceType=typeof(Custom.Resource), Name = "Line", GroupName = "NinjaScriptGeneral", Order = 2)] 320 | public Stroke Stroke { get; set; } 321 | #endregion 322 | } 323 | public enum InputPriceType { High, Low, Median }; 324 | } 325 | -------------------------------------------------------------------------------- /DrawingTools/FreeOrderFlow/FofRangeVolumeProfile.cs: -------------------------------------------------------------------------------- 1 | #region Using declarations 2 | using System; 3 | using System.ComponentModel; 4 | using System.ComponentModel.DataAnnotations; 5 | using System.Windows; 6 | using System.Windows.Media; 7 | using System.Windows.Shapes; 8 | using System.Windows.Controls; 9 | using System.Xml.Serialization; 10 | using Brush = System.Windows.Media.Brush; 11 | using NinjaTrader.Gui; 12 | using NinjaTrader.Gui.Chart; 13 | using NinjaTrader.Data; 14 | using InvestSoft.NinjaScript.VolumeProfile; 15 | #endregion 16 | 17 | //This namespace holds Drawing tools in this folder and is required. Do not change it. 18 | namespace NinjaTrader.NinjaScript.DrawingTools 19 | { 20 | public class FofRangeVolumeProfile : Rectangle 21 | { 22 | #region Icon 23 | public override object Icon 24 | { 25 | get 26 | { 27 | Grid icon = new Grid { Height = 16, Width = 16, UseLayoutRounding = true }; 28 | RenderOptions.SetEdgeMode(icon, EdgeMode.Aliased); 29 | icon.Children.Add(new Path 30 | { 31 | Stroke = Application.Current.TryFindResource("MenuBorderBrush") as Brush, 32 | StrokeThickness = 1, 33 | Data = Geometry.Parse("M 0 1 H 10 V 3 H 0 M 0 5 H 13 V 7 H 0 M 0 9 H 8 V 11 H 0 M 0 13 H 4 V 15 H 0 M 0 0 V 16 M 16 0 V 16") 34 | }); 35 | return icon; 36 | } 37 | } 38 | #endregion 39 | 40 | private ChartAnchor firstAnchor; 41 | private ChartAnchor lastAnchor; 42 | private double MaxPrice; 43 | private double MinPrice; 44 | private int StartBar = -1; 45 | private int EndBar = -1; 46 | private BarsRequest BarsRequest; 47 | private FofVolumeProfileData profile; 48 | private SharpDX.Direct2D1.Brush volumeBrushDX; 49 | private SharpDX.Direct2D1.Brush buyBrushDX; 50 | private SharpDX.Direct2D1.Brush sellBrushDX; 51 | private SharpDX.Direct2D1.Brush textBrushDX; 52 | private ChartControl ChartControl; 53 | private ChartBars ChartBars { get { return AttachedTo.ChartObject as ChartBars; } } 54 | private bool isLoading; 55 | private string loadingMessage = "Loading..."; 56 | 57 | #region OnStateChange 58 | protected override void OnStateChange() 59 | { 60 | base.OnStateChange(); 61 | if (State == State.SetDefaults) 62 | { 63 | Name = "Fixed Range Volume Profile (Free Order Flow)"; 64 | Description = @"Free Order Flow fixed range volume profile"; 65 | AreaOpacity = 5; 66 | AreaBrush = Brushes.Silver; 67 | OutlineStroke = new Stroke(Brushes.Gray, DashStyleHelper.Dash, 1, 50); 68 | 69 | // Setup 70 | ResolutionMode = FofVolumeProfileResolution.Tick; 71 | Resolution = 1; 72 | ValueArea = 70; 73 | DisplayTotal = false; 74 | 75 | // Visual 76 | Width = 60; 77 | Opacity = 40; 78 | ValueAreaOpacity = 80; 79 | ShowPoc = true; 80 | ShowValueArea = true; 81 | VolumeBrush = Brushes.CornflowerBlue; 82 | BuyBrush = Brushes.DarkCyan; 83 | SellBrush = Brushes.MediumVioletRed; 84 | PocStroke = new Stroke(Brushes.Goldenrod, 1); 85 | ValueAreaStroke = new Stroke(Brushes.CornflowerBlue, DashStyleHelper.Dash, 1); 86 | } 87 | else if (State == State.Configure) 88 | { 89 | ZOrderType = DrawingToolZOrder.AlwaysDrawnFirst; 90 | ZOrder = -1; 91 | } 92 | } 93 | #endregion 94 | 95 | #region Calculation 96 | private void CaculateVolumeProfile() 97 | { 98 | isLoading = true; 99 | Bars chartBars = (AttachedTo.ChartObject as ChartBars).Bars; 100 | profile = new FofVolumeProfileData() 101 | { 102 | StartBar = StartBar, 103 | EndBar = EndBar 104 | }; 105 | var bars = (AttachedTo.ChartObject as ChartBars).Bars; 106 | 107 | if (BarsRequest != null) 108 | { 109 | BarsRequest = null; 110 | } 111 | BarsRequest = new BarsRequest( 112 | chartBars.Instrument, 113 | firstAnchor.Time, 114 | lastAnchor.Time 115 | ) 116 | { 117 | BarsPeriod = new BarsPeriod() 118 | { 119 | BarsPeriodType = BarsPeriodType.Tick, 120 | Value = 1 121 | } 122 | }; 123 | BarsRequest.Request((request, errorCode, errorMessage) => 124 | { 125 | loadingMessage = "Calculating..."; 126 | if (request != BarsRequest || State >= State.Terminated) return; 127 | if (errorCode != Cbi.ErrorCode.NoError) 128 | { 129 | request.Dispose(); 130 | request = null; 131 | return; 132 | } 133 | // calculate volume profile from bars 134 | for (int i = 0; i < request.Bars.Count; i++) 135 | { 136 | if ( 137 | request.Bars.BarsSeries.GetTime(i) < firstAnchor.Time || 138 | request.Bars.BarsSeries.GetTime(i) > lastAnchor.Time 139 | ) continue; 140 | double ask = request.Bars.BarsSeries.GetAsk(i); 141 | double bid = request.Bars.BarsSeries.GetBid(i); 142 | double close = request.Bars.BarsSeries.GetClose(i); 143 | long volume = request.Bars.BarsSeries.GetVolume(i); 144 | 145 | long buyVolume = (close >= ask) ? volume : 0; 146 | long sellVolume = (close <= bid) ? volume : 0; 147 | 148 | profile.UpdateRow(close, buyVolume, sellVolume, 0); 149 | } 150 | profile.CalculateValueArea(ValueArea / 100f); 151 | isLoading = false; 152 | ForceRefresh(); 153 | }); 154 | } 155 | 156 | private void CalcAnchorPrice() 157 | { 158 | MaxPrice = ChartBars.Bars.GetHigh(StartBar); 159 | MinPrice = ChartBars.Bars.GetLow(StartBar); 160 | 161 | for (int i = StartBar + 1; i <= EndBar; i++) 162 | { 163 | MaxPrice = Math.Max(ChartBars.Bars.GetHigh(i), MaxPrice); 164 | MinPrice = Math.Min(ChartBars.Bars.GetLow(i), MinPrice); 165 | } 166 | 167 | EndAnchor.SlotIndex = EndBar; 168 | StartAnchor.Price = MaxPrice; 169 | EndAnchor.Price = MinPrice; 170 | } 171 | #endregion 172 | 173 | #region Rendering 174 | public override void OnRender(ChartControl chartControl, ChartScale chartScale) 175 | { 176 | if (StartAnchor.SlotIndex < 0 || EndAnchor.SlotIndex < 0) return; 177 | if (DrawingState == DrawingState.Normal) 178 | { 179 | // set real anchor sequence 180 | if (StartAnchor.SlotIndex > EndAnchor.SlotIndex) 181 | { 182 | firstAnchor = EndAnchor; 183 | lastAnchor = StartAnchor; 184 | } 185 | else 186 | { 187 | firstAnchor = StartAnchor; 188 | lastAnchor = EndAnchor; 189 | } 190 | // check anchor changed 191 | if (StartBar != firstAnchor.SlotIndex || EndBar != lastAnchor.SlotIndex) 192 | { 193 | StartBar = (int) firstAnchor.SlotIndex; 194 | EndBar = (int) lastAnchor.SlotIndex; 195 | if (EndBar >= ChartBars.Count - 1) EndBar = ChartBars.Count - 1; 196 | CalcAnchorPrice(); 197 | CaculateVolumeProfile(); 198 | } 199 | } 200 | base.OnRender(chartControl, chartScale); 201 | textBrushDX = chartControl.Properties.ChartText.ToDxBrush(RenderTarget); 202 | var volProfileRenderer = new FofVolumeProfileChartRenderer(chartControl, chartScale, ChartBars, RenderTarget) 203 | { 204 | Opacity = Opacity / 100f, 205 | ValueAreaOpacity = ValueAreaOpacity / 100f, 206 | WidthPercent = Width / 100f 207 | }; 208 | if (profile != null && profile.TotalVolume > 0) 209 | { 210 | if (DisplayMode == FofVolumeProfileMode.BuySell) 211 | { 212 | volProfileRenderer.RenderBuySellProfile(profile, buyBrushDX, sellBrushDX); 213 | } 214 | else 215 | { 216 | volProfileRenderer.RenderProfile(profile, volumeBrushDX); 217 | } 218 | if (ShowPoc) volProfileRenderer.RenderPoc(profile, PocStroke.BrushDX, PocStroke.Width, PocStroke.StrokeStyle); 219 | if (ShowValueArea) volProfileRenderer.RenderValueArea(profile, ValueAreaStroke.BrushDX, ValueAreaStroke.Width, ValueAreaStroke.StrokeStyle); 220 | if (DisplayMode == FofVolumeProfileMode.Delta) 221 | { 222 | volProfileRenderer.RenderDeltaProfile(profile, buyBrushDX, sellBrushDX); 223 | } 224 | if (DisplayTotal) 225 | { 226 | volProfileRenderer.RenderTotalVolume(profile, textBrushDX); 227 | } 228 | } 229 | 230 | if (isLoading) 231 | { 232 | var shapeRect = GetAnchorsRect(chartControl, chartScale); 233 | // create text label 234 | var textFormat = chartControl.Properties.LabelFont.ToDirectWriteTextFormat(); 235 | textFormat.TextAlignment = SharpDX.DirectWrite.TextAlignment.Center; 236 | textFormat.ParagraphAlignment = SharpDX.DirectWrite.ParagraphAlignment.Center; 237 | var textLayout = new SharpDX.DirectWrite.TextLayout( 238 | Core.Globals.DirectWriteFactory, 239 | loadingMessage, 240 | textFormat, 241 | (float)shapeRect.Width, 242 | (float)shapeRect.Height 243 | ); 244 | var textPos = new SharpDX.Vector2((float)shapeRect.X, (float)shapeRect.Y); 245 | RenderTarget.DrawTextLayout(textPos, textLayout, textBrushDX); 246 | } 247 | } 248 | 249 | public override void OnRenderTargetChanged() 250 | { 251 | if (volumeBrushDX != null) volumeBrushDX.Dispose(); 252 | if (buyBrushDX != null) buyBrushDX.Dispose(); 253 | if (sellBrushDX != null) sellBrushDX.Dispose(); 254 | if (RenderTarget != null) 255 | { 256 | volumeBrushDX = VolumeBrush.ToDxBrush(RenderTarget); 257 | buyBrushDX = BuyBrush.ToDxBrush(RenderTarget); 258 | sellBrushDX = SellBrush.ToDxBrush(RenderTarget); 259 | PocStroke.RenderTarget = RenderTarget; 260 | ValueAreaStroke.RenderTarget = RenderTarget; 261 | } 262 | } 263 | 264 | private Rect GetAnchorsRect(ChartControl chartControl, ChartScale chartScale) 265 | { 266 | if (StartAnchor == null || EndAnchor == null) 267 | return new Rect(); 268 | 269 | ChartPanel chartPanel = chartControl.ChartPanels[chartScale.PanelIndex]; 270 | Point startPoint = StartAnchor.GetPoint(chartControl, chartPanel, chartScale); 271 | Point endPoint = EndAnchor.GetPoint(chartControl, chartPanel, chartScale); 272 | 273 | // rect doesnt handle negative width/height so we need to determine and wind it up ourselves 274 | // make sure to always use smallest left/top anchor for start 275 | double left = Math.Min(endPoint.X, startPoint.X); 276 | double top = Math.Min(endPoint.Y, startPoint.Y); 277 | double width = Math.Abs(endPoint.X - startPoint.X); 278 | double height = Math.Abs(endPoint.Y - startPoint.Y); 279 | return new Rect(left, top, width, height); 280 | } 281 | #endregion 282 | 283 | #region Properties 284 | [Display(Name = "Display mode", Description = "Profile mode to render", Order = 1, GroupName = "Setup")] 285 | public FofVolumeProfileMode DisplayMode { get; set; } 286 | 287 | [NinjaScriptProperty] 288 | [Display(Name = "Resolution Mode", Description = "Calculate profile from region", Order = 2, GroupName = "Setup")] 289 | public FofVolumeProfileResolution ResolutionMode { get; set; } 290 | 291 | [NinjaScriptProperty] 292 | [Display(Name = "Resolution", Description = "Calculate profile from region", Order = 3, GroupName = "Setup")] 293 | public int Resolution { get; set; } 294 | 295 | [Range(10, 90)] 296 | [Display(Name = "Value Area (%)", Description = "Value area percentage", Order = 7, GroupName = "Setup")] 297 | public int ValueArea { get; set; } 298 | 299 | [Display(Name = "Display Total Volume", Order = 8, GroupName = "Setup")] 300 | public bool DisplayTotal { get; set; } 301 | 302 | [Display(Name = "Profile width (%)", Description = "Width of bars relative to range", Order = 1, GroupName = "Visual")] 303 | public int Width { get; set; } 304 | 305 | [Range(1, 100)] 306 | [Display(Name = "Profile opacity (%)", Description = "Opacity of bars out value area", Order = 2, GroupName = "Visual")] 307 | public int Opacity { get; set; } 308 | 309 | [Range(1, 100)] 310 | [Display(Name = "Value area opacity (%)", Description = "Opacity of bars in value area", Order = 2, GroupName = "Visual")] 311 | public int ValueAreaOpacity { get; set; } 312 | 313 | [Display(Name = "Show POC", Description = "Show PoC line", Order = 5, GroupName = "Setup")] 314 | public bool ShowPoc { get; set; } 315 | 316 | [Display(Name = "Show Value Area", Description = "Show value area high and low lines", Order = 6, GroupName = "Setup")] 317 | public bool ShowValueArea { get; set; } 318 | 319 | [XmlIgnore] 320 | [Display(Name = "Color for profile", Order = 10, GroupName = "Visual")] 321 | public Brush VolumeBrush { get; set; } 322 | 323 | [Browsable(false)] 324 | public string VolumeBrushSerialize 325 | { 326 | get { return Serialize.BrushToString(VolumeBrush); } 327 | set { VolumeBrush = Serialize.StringToBrush(value); } 328 | } 329 | 330 | [XmlIgnore] 331 | [Display(Name = "Color for buy", Order = 11, GroupName = "Visual")] 332 | public Brush BuyBrush { get; set; } 333 | 334 | [Browsable(false)] 335 | public string BuyBrushSerialize 336 | { 337 | get { return Serialize.BrushToString(BuyBrush); } 338 | set { BuyBrush = Serialize.StringToBrush(value); } 339 | } 340 | 341 | [XmlIgnore] 342 | [Display(Name = "Color for sell", Order = 12, GroupName = "Visual")] 343 | public Brush SellBrush { get; set; } 344 | 345 | [Browsable(false)] 346 | public string SellBrushSerialize 347 | { 348 | get { return Serialize.BrushToString(SellBrush); } 349 | set { SellBrush = Serialize.StringToBrush(value); } 350 | } 351 | 352 | // Lines 353 | [Display(Name = "POC", Order = 8, GroupName = "Lines")] 354 | public Stroke PocStroke { get; set; } 355 | 356 | [Display(Name = "Value Area", Order = 9, GroupName = "Lines")] 357 | public Stroke ValueAreaStroke { get; set; } 358 | #endregion 359 | } 360 | } 361 | -------------------------------------------------------------------------------- /FreeOrderFlow.csproj: -------------------------------------------------------------------------------- 1 |  2 | 3 | {3b4ba206-b39e-408a-b464-5904d7b688b3} 4 | Properties 5 | InvestiSoft.NinjaTrader 6 | FreeOrderFlow 7 | 8.0 8 | bin\$(Configuration)\ 9 | Library 10 | x64 11 | net48 12 | 4.8 13 | false 14 | 512 15 | $(DefineConstants);$(CiConstants) 16 | false 17 | true 18 | true 19 | false 20 | Off 21 | 1591 22 | ManagedMinimumRules.ruleset 23 | Debug;Release 24 | 25 | 26 | true 27 | full 28 | false 29 | TRACE;DEBUG;unmanaged 30 | x64 31 | bin\Debug\ 32 | bin\Debug\ 33 | 34 | 35 | full 36 | true 37 | CODE_ANALYSIS,unmanaged 38 | x64 39 | 40 | 41 | false 42 | false 43 | true 44 | false 45 | 46 | 47 | 48 | 49 | 50 | 51 | 52 | 53 | 54 | 55 | 56 | 57 | deps\InfragisticsWPF4.DataPresenter.v15.1.dll 58 | 59 | 60 | deps\Infralution.Localization.Wpf.dll 61 | 62 | 63 | deps\NinjaTrader.Core.dll 64 | 65 | 66 | deps\NinjaTrader.Gui.dll 67 | 68 | 69 | deps\SharpDX.dll 70 | 71 | 72 | deps\SharpDX.Direct2D1.dll 73 | 74 | 75 | deps\NinjaTrader.Custom.dll 76 | 77 | 78 | C:\Windows\Microsoft.NET\Framework64\v4.0.30319\mscorlib.dll 79 | 80 | 81 | C:\Windows\Microsoft.NET\Framework\v4.0.30319\WPF\WindowsBase.dll 82 | 83 | 84 | C:\Windows\Microsoft.NET\Framework\v4.0.30319\WPF\PresentationCore.dll 85 | 86 | 87 | C:\Windows\Microsoft.NET\Framework\v4.0.30319\WPF\PresentationFramework.dll 88 | 89 | 90 | C:\Windows\Microsoft.NET\Framework\v4.0.30319\WPF\UIAutomationProvider.dll 91 | 92 | 93 | 94 | 95 | 96 | 97 | 98 | 99 | 100 | 101 | 102 | 103 | 104 | 105 | -------------------------------------------------------------------------------- /FreeOrderFlow.sln: -------------------------------------------------------------------------------- 1 |  2 | Microsoft Visual Studio Solution File, Format Version 12.00 3 | # Visual Studio Version 17 4 | VisualStudioVersion = 17.10.35201.131 5 | MinimumVisualStudioVersion = 10.0.40219.1 6 | Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "FreeOrderFlow", "FreeOrderFlow.csproj", "{3B4BA206-B39E-408A-B464-5904D7B688B3}" 7 | EndProject 8 | Global 9 | GlobalSection(SolutionConfigurationPlatforms) = preSolution 10 | Debug|x64 = Debug|x64 11 | Release|x64 = Release|x64 12 | EndGlobalSection 13 | GlobalSection(ProjectConfigurationPlatforms) = postSolution 14 | {3B4BA206-B39E-408A-B464-5904D7B688B3}.Debug|x64.ActiveCfg = Debug|x64 15 | {3B4BA206-B39E-408A-B464-5904D7B688B3}.Debug|x64.Build.0 = Debug|x64 16 | {3B4BA206-B39E-408A-B464-5904D7B688B3}.Release|x64.ActiveCfg = Release|x64 17 | {3B4BA206-B39E-408A-B464-5904D7B688B3}.Release|x64.Build.0 = Release|x64 18 | EndGlobalSection 19 | GlobalSection(SolutionProperties) = preSolution 20 | HideSolutionNode = FALSE 21 | EndGlobalSection 22 | GlobalSection(ExtensibilityGlobals) = postSolution 23 | SolutionGuid = {27124D31-70AC-4ACE-88B8-11A416A96388} 24 | EndGlobalSection 25 | EndGlobal 26 | -------------------------------------------------------------------------------- /Indicators/FreeOrderFlow/FofCumulativeDelta.cs: -------------------------------------------------------------------------------- 1 | #region Using declarations 2 | using System; 3 | using System.Collections.Generic; 4 | using System.ComponentModel; 5 | using System.ComponentModel.DataAnnotations; 6 | using System.Linq; 7 | using System.Text; 8 | using System.Threading.Tasks; 9 | using System.Windows; 10 | using System.Windows.Input; 11 | using System.Windows.Media; 12 | using System.Xml.Serialization; 13 | using NinjaTrader.Cbi; 14 | using NinjaTrader.Gui; 15 | using NinjaTrader.Gui.Chart; 16 | using NinjaTrader.Gui.SuperDom; 17 | using NinjaTrader.Gui.Tools; 18 | using NinjaTrader.Data; 19 | using NinjaTrader.NinjaScript; 20 | using NinjaTrader.Core.FloatingPoint; 21 | using NinjaTrader.NinjaScript.DrawingTools; 22 | #endregion 23 | 24 | //This namespace holds Indicators in this folder and is required. Do not change it. 25 | namespace NinjaTrader.NinjaScript.Indicators.FreeOrderFlow 26 | { 27 | public class FofCumulativeDelta : Indicator 28 | { 29 | private double buys; 30 | private double sells; 31 | 32 | protected override void OnStateChange() 33 | { 34 | if (State == State.SetDefaults) 35 | { 36 | Description = @"Free Order Flow Aggression Delta"; 37 | Name = "Aggression Delta"; 38 | Calculate = Calculate.OnEachTick; 39 | DrawOnPricePanel = false; 40 | IsOverlay = false; 41 | DisplayInDataBox = false; 42 | DrawOnPricePanel = false; 43 | PaintPriceMarkers = true; 44 | ScaleJustification = ScaleJustification.Right; 45 | PositiveBrush = Brushes.Green; 46 | NegativeBrush = Brushes.Red; 47 | } 48 | else if (State == State.Configure) 49 | { 50 | AddLine(Brushes.Gray, 0, "Zero Line"); 51 | AddPlot(Brushes.Gray, "Delta"); 52 | Plots[0].PlotStyle = PlotStyle.Bar; 53 | Plots[0].AutoWidth = true; 54 | AddDataSeries(BarsPeriodType.Tick, 1); 55 | } 56 | } 57 | 58 | protected override void OnMarketData(MarketDataEventArgs marketDataUpdate) 59 | { 60 | 61 | } 62 | 63 | protected override void OnBarUpdate() 64 | { 65 | if(IsTickReplays[0] == true) return; // not work with tick replay 66 | if(BarsInProgress == 0) { 67 | // reset volume on real time bar 68 | if(IsFirstTickOfBar && State != State.Historical) { 69 | buys = 0; 70 | sells = 0; 71 | } 72 | 73 | Values[0][0] = buys - sells; 74 | PlotBrushes[0][0] = (Values[0][0] > 0) ? PositiveBrush : NegativeBrush; 75 | 76 | // reset volume after update historical bars 77 | if(State == State.Historical) { 78 | buys = 0; 79 | sells = 0; 80 | } 81 | } 82 | 83 | // Load buys and sells on historical bars 84 | if(BarsInProgress == 1) { 85 | double price = BarsArray[1].GetClose(CurrentBar); 86 | double ask = BarsArray[1].GetAsk(CurrentBar); 87 | double bid = BarsArray[1].GetBid(CurrentBar); 88 | double volume = BarsArray[1].GetVolume(CurrentBar); 89 | if(price >= ask) { 90 | buys += volume; 91 | } 92 | if(price <= bid) { 93 | sells += volume; 94 | } 95 | } 96 | } 97 | 98 | #region Properties 99 | [XmlIgnore] 100 | [Display(ResourceType = typeof(Custom.Resource), Name = "Positive Color", GroupName = "Visual")] 101 | public Brush PositiveBrush { get; set; } 102 | 103 | [Browsable(false)] 104 | public string PositiveBrushSerializable 105 | { 106 | get { return Serialize.BrushToString(PositiveBrush); } 107 | set { PositiveBrush = Serialize.StringToBrush(value); } 108 | } 109 | 110 | [XmlIgnore] 111 | [Display(ResourceType = typeof(Custom.Resource), Name = "Negative Color", GroupName = "Visual")] 112 | public Brush NegativeBrush { get; set; } 113 | 114 | [Browsable(false)] 115 | public string NegativeBrushSerializable 116 | { 117 | get { return Serialize.BrushToString(NegativeBrush); } 118 | set { NegativeBrush = Serialize.StringToBrush(value); } 119 | } 120 | #endregion 121 | } 122 | } 123 | -------------------------------------------------------------------------------- /Indicators/FreeOrderFlow/FofMarketDepth.cs: -------------------------------------------------------------------------------- 1 | #region Using declarations 2 | using System; 3 | using System.Collections.Generic; 4 | using System.Collections.Concurrent; 5 | using System.ComponentModel; 6 | using System.ComponentModel.DataAnnotations; 7 | using System.Linq; 8 | using System.Text; 9 | using System.Threading.Tasks; 10 | using System.Windows; 11 | using System.Windows.Input; 12 | using System.Windows.Media; 13 | using System.Xml.Serialization; 14 | using NinjaTrader.Cbi; 15 | using NinjaTrader.Gui; 16 | using NinjaTrader.Gui.Chart; 17 | using NinjaTrader.Gui.SuperDom; 18 | using NinjaTrader.Gui.Tools; 19 | using NinjaTrader.Data; 20 | using NinjaTrader.NinjaScript; 21 | using NinjaTrader.Core.FloatingPoint; 22 | using NinjaTrader.NinjaScript.DrawingTools; 23 | #endregion 24 | 25 | //This namespace holds Indicators in this folder and is required. Do not change it. 26 | namespace NinjaTrader.NinjaScript.Indicators.FreeOrderFlow 27 | { 28 | public class FofMarketDepth : Indicator 29 | { 30 | private ConcurrentDictionary AskRows; 31 | private ConcurrentDictionary BidRows; 32 | private SharpDX.Direct2D1.Brush askDxBrush; 33 | private SharpDX.Direct2D1.Brush bidDxBrush; 34 | 35 | protected override void OnStateChange() 36 | { 37 | if (State == State.SetDefaults) 38 | { 39 | Description = @"Free Order Flow Market Depth"; 40 | Name = "Market Depth"; 41 | Calculate = Calculate.OnBarClose; 42 | IsOverlay = true; 43 | DisplayInDataBox = true; 44 | DrawOnPricePanel = true; 45 | AskColor = Brushes.Plum; 46 | BidColor = Brushes.LightSkyBlue; 47 | BarOpacity = 75; 48 | Width = 50; 49 | } 50 | else if (State == State.Configure) 51 | { 52 | AskRows = new ConcurrentDictionary(); 53 | BidRows = new ConcurrentDictionary(); 54 | } 55 | else if (State == State.Historical) 56 | { 57 | SetZOrder(-1); 58 | } 59 | } 60 | 61 | protected override void OnMarketDepth(MarketDepthEventArgs marketDepthUpdate) 62 | { 63 | ConcurrentDictionary domRow = null; 64 | 65 | if (marketDepthUpdate.MarketDataType == MarketDataType.Ask) 66 | domRow = AskRows; 67 | if (marketDepthUpdate.MarketDataType == MarketDataType.Bid) 68 | domRow = BidRows; 69 | 70 | if (domRow == null) return; 71 | 72 | if (marketDepthUpdate.Operation == Operation.Add || marketDepthUpdate.Operation == Operation.Update) 73 | { 74 | domRow.AddOrUpdate( 75 | marketDepthUpdate.Price, 76 | marketDepthUpdate.Volume, 77 | (k, v) => marketDepthUpdate.Volume 78 | ); 79 | } 80 | else if (marketDepthUpdate.Operation == Operation.Remove) 81 | { 82 | domRow.AddOrUpdate(marketDepthUpdate.Price, 0, (k, v) => 0); 83 | } 84 | ForceRefresh(); 85 | } 86 | 87 | protected override void OnRender(ChartControl chartControl, ChartScale chartScale) 88 | { 89 | RenderTarget.AntialiasMode = SharpDX.Direct2D1.AntialiasMode.Aliased; 90 | 91 | // get max volume in visible range 92 | var visibleAskRows = AskRows.Where(kv => ( 93 | kv.Key <= chartScale.MaxValue && kv.Key >= chartScale.MinValue && kv.Value > 0 94 | )).Select(kv => kv.Value); 95 | var visibleBidRows = BidRows.Where(kv => ( 96 | kv.Key <= chartScale.MaxValue && kv.Key >= chartScale.MinValue && kv.Value > 0 97 | )).Select(kv => kv.Value); 98 | long maxAskVolume = visibleAskRows.Count() > 0 ? visibleAskRows.Max() : 0; 99 | long maxBidVolume = visibleBidRows.Count() > 0 ? visibleBidRows.Max() : 0; 100 | long maxVolume = Math.Max(maxAskVolume, maxBidVolume); 101 | if(maxVolume == 0) return; 102 | 103 | foreach (KeyValuePair row in AskRows) 104 | { 105 | if(row.Value == 0) continue; 106 | SharpDX.RectangleF askBarRect = GetBarRect(chartScale, row.Key, row.Value, maxVolume); 107 | RenderTarget.FillRectangle(askBarRect, askDxBrush); 108 | } 109 | 110 | foreach (KeyValuePair row in BidRows) 111 | { 112 | if(row.Value == 0) continue; 113 | SharpDX.RectangleF bidBarRect = GetBarRect(chartScale, row.Key, row.Value, maxVolume); 114 | RenderTarget.FillRectangle(bidBarRect, bidDxBrush); 115 | } 116 | } 117 | 118 | public override void OnRenderTargetChanged() 119 | { 120 | if(askDxBrush != null) askDxBrush.Dispose(); 121 | if(bidDxBrush != null) bidDxBrush.Dispose(); 122 | if(RenderTarget != null) 123 | { 124 | askDxBrush = AskColor.ToDxBrush(RenderTarget); 125 | bidDxBrush = BidColor.ToDxBrush(RenderTarget); 126 | askDxBrush.Opacity = BarOpacity / 100f; 127 | bidDxBrush.Opacity = BarOpacity / 100f; 128 | } 129 | } 130 | 131 | private SharpDX.RectangleF GetBarRect(ChartScale chartScale, double price, long volume, long maxVolume) { 132 | float ypos = (float) chartScale.GetYByValue(price + TickSize); 133 | float barHeight = (float) chartScale.GetYByValue(price) - ypos; 134 | float barWidth = Width * volume / (float) maxVolume; 135 | float xpos = ChartControl.CanvasRight - barWidth; 136 | return new SharpDX.RectangleF(xpos, ypos, barWidth, barHeight); 137 | } 138 | 139 | #region Properties 140 | [XmlIgnore] 141 | [Display(Name="Ask Color", Order=1, GroupName="Visual")] 142 | public Brush AskColor { get; set; } 143 | 144 | [Browsable(false)] 145 | public string AskColorSerializable 146 | { 147 | get { return Serialize.BrushToString(AskColor); } 148 | set { AskColor = Serialize.StringToBrush(value); } 149 | } 150 | 151 | [XmlIgnore] 152 | [Display(Name="Bid Color", Order=2, GroupName="Visual")] 153 | public Brush BidColor { get; set; } 154 | 155 | [Browsable(false)] 156 | public string BidColorSerializable 157 | { 158 | get { return Serialize.BrushToString(BidColor); } 159 | set { BidColor = Serialize.StringToBrush(value); } 160 | } 161 | 162 | [Display(Name="Width", Description="Histogram width.", Order=3, GroupName="Visual")] 163 | public int Width { get; set; } 164 | 165 | [Range(10, 100)] 166 | [Display(Name="Bar Opacity %", Description="Histogram bar opacity.", Order=5, GroupName="Visual")] 167 | public int BarOpacity { get; set; } 168 | #endregion 169 | } 170 | } 171 | -------------------------------------------------------------------------------- /Indicators/FreeOrderFlow/FofVWAP.cs: -------------------------------------------------------------------------------- 1 | #region Using declarations 2 | using System; 3 | using System.Collections.Generic; 4 | using System.ComponentModel; 5 | using System.ComponentModel.DataAnnotations; 6 | using System.Linq; 7 | using System.Text; 8 | using System.Threading.Tasks; 9 | using System.Windows; 10 | using System.Windows.Input; 11 | using System.Windows.Media; 12 | using System.Xml.Serialization; 13 | using NinjaTrader.Cbi; 14 | using NinjaTrader.Gui; 15 | using NinjaTrader.Gui.Chart; 16 | using NinjaTrader.Gui.SuperDom; 17 | using NinjaTrader.Gui.Tools; 18 | using NinjaTrader.Data; 19 | using NinjaTrader.NinjaScript; 20 | using NinjaTrader.Core.FloatingPoint; 21 | using NinjaTrader.NinjaScript.DrawingTools; 22 | #endregion 23 | 24 | //This namespace holds Indicators in this folder and is required. Do not change it. 25 | namespace NinjaTrader.NinjaScript.Indicators.FreeOrderFlow 26 | { 27 | public class FofVWAP : Indicator 28 | { 29 | private Series cumVol; 30 | private Series cumPV; 31 | 32 | protected override void OnStateChange() 33 | { 34 | if (State == State.SetDefaults) 35 | { 36 | Description = @"Free Order Flow VWAP"; 37 | Name = "VWAP"; 38 | Calculate = Calculate.OnBarClose; 39 | IsOverlay = true; 40 | DisplayInDataBox = true; 41 | DrawOnPricePanel = true; 42 | ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right; 43 | //Disable this property if your indicator requires custom values that cumulate with each new market data event. 44 | //See Help Guide for additional information. 45 | IsSuspendedWhileInactive = true; 46 | AddPlot(Brushes.Orange, "VWAP"); 47 | } 48 | else if (State == State.DataLoaded) 49 | { 50 | cumVol = new Series(this); 51 | cumPV = new Series(this); 52 | } else if (State == State.Historical) { 53 | // Displays a message if the bartype is not intraday 54 | if (!Bars.BarsType.IsIntraday) 55 | { 56 | Draw.TextFixed(this, "NinjaScriptInfo", "VwapAR Indicator only supports Intraday charts", TextPosition.BottomRight); 57 | Log("VwapAR only supports Intraday charts", LogLevel.Error); 58 | } 59 | } 60 | } 61 | 62 | protected override void OnBarUpdate() 63 | { 64 | if(Bars.IsFirstBarOfSession) 65 | { 66 | if(CurrentBar > 0) Values[0].Reset(1); 67 | cumVol[1] = 0; 68 | cumPV[1] = 0; 69 | } 70 | 71 | cumPV[0] = cumPV[1] + (Typical[0] * Volume[0]); 72 | cumVol[0] = cumVol[1] + Volume[0]; 73 | 74 | // plot VWAP value 75 | Values[0][0] = cumPV[0] / (cumVol[0] == 0 ? 1 : cumVol[0]); 76 | } 77 | } 78 | } 79 | -------------------------------------------------------------------------------- /Indicators/FreeOrderFlow/FofVolumeProfile.cs: -------------------------------------------------------------------------------- 1 | #region Using declarations 2 | using System; 3 | using System.Collections.Generic; 4 | using System.ComponentModel; 5 | using System.ComponentModel.DataAnnotations; 6 | using System.Collections.Concurrent; 7 | using System.Linq; 8 | using System.Text; 9 | using System.Threading.Tasks; 10 | using System.Windows; 11 | using System.Windows.Input; 12 | using System.Windows.Media; 13 | using System.Xml.Serialization; 14 | using NinjaTrader.Cbi; 15 | using NinjaTrader.Gui; 16 | using NinjaTrader.Gui.Chart; 17 | using NinjaTrader.Gui.SuperDom; 18 | using NinjaTrader.Gui.Tools; 19 | using NinjaTrader.Data; 20 | using NinjaTrader.NinjaScript; 21 | using NinjaTrader.Core.FloatingPoint; 22 | using NinjaTrader.NinjaScript.DrawingTools; 23 | using InvestSoft.NinjaScript.VolumeProfile; 24 | #endregion 25 | 26 | //This namespace holds Indicators in this folder and is required. Do not change it. 27 | namespace NinjaTrader.NinjaScript.Indicators.FreeOrderFlow 28 | { 29 | public class FofVolumeProfile : Indicator 30 | { 31 | private List Profiles; 32 | private int LastBar; 33 | private SharpDX.Direct2D1.Brush volumeBrushDX; 34 | private SharpDX.Direct2D1.Brush buyBrushDX; 35 | private SharpDX.Direct2D1.Brush sellBrushDX; 36 | private SharpDX.Direct2D1.Brush totalTextBrushDX; 37 | 38 | #region OnStateChange 39 | protected override void OnStateChange() 40 | { 41 | if (State == State.SetDefaults) 42 | { 43 | Description = @"Free Order Flow Volume Profile"; 44 | Name = "Volume Profile"; 45 | IsChartOnly = true; 46 | IsOverlay = true; 47 | DisplayInDataBox = false; 48 | DrawOnPricePanel = true; 49 | 50 | // Setup 51 | DisplayMode = FofVolumeProfileMode.Standard; 52 | ResolutionMode = FofVolumeProfileResolution.Tick; 53 | Resolution = 1; 54 | ValueArea = 70; 55 | DisplayTotal = true; 56 | 57 | // Visual 58 | Width = 60; 59 | Opacity = 40; 60 | ValueAreaOpacity = 80; 61 | ShowPoc = true; 62 | ShowValueArea = true; 63 | VolumeBrush = Brushes.CornflowerBlue; 64 | BuyBrush = Brushes.DarkCyan; 65 | SellBrush = Brushes.MediumVioletRed; 66 | PocStroke = new Stroke(Brushes.Goldenrod, 1); 67 | ValueAreaStroke = new Stroke(Brushes.CornflowerBlue, DashStyleHelper.Dash, 1); 68 | } 69 | else if (State == State.Configure) 70 | { 71 | Calculate = Calculate.OnEachTick; 72 | // Add lower timeframe data series 73 | AddDataSeries((ResolutionMode == FofVolumeProfileResolution.Tick) ? BarsPeriodType.Tick : BarsPeriodType.Minute, Resolution); 74 | 75 | // Init volume profiles list 76 | Profiles = new List() 77 | { 78 | new FofVolumeProfileData() { StartBar = 0 } 79 | }; 80 | } 81 | else if (State == State.Historical) 82 | { 83 | SetZOrder(-1); 84 | } 85 | } 86 | #endregion 87 | 88 | #region Calculations 89 | protected override void OnBarUpdate() 90 | { 91 | var profile = Profiles.Last(); 92 | if (BarsInProgress == 1) 93 | { 94 | long buyVolume, sellVolume, otherVolume; 95 | 96 | if (ResolutionMode == FofVolumeProfileResolution.Tick && Resolution == 1) 97 | { 98 | // 1 tick uses bid and ask price 99 | var ask = BarsArray[1].GetAsk(CurrentBar); 100 | var bid = BarsArray[1].GetBid(CurrentBar); 101 | 102 | buyVolume = (Closes[1][0] >= ask) ? (long)Volumes[1][0] : 0; 103 | sellVolume = (Closes[1][0] <= bid) ? (long)Volumes[1][0] : 0; 104 | otherVolume = (Closes[1][0] < ask && Closes[1][0] > bid) ? (long)Volumes[1][0] : 0; 105 | } 106 | else 107 | { 108 | buyVolume = Closes[1][0] > Opens[1][0] ? (long)Volumes[1][0] : 0; 109 | sellVolume = Closes[1][0] < Opens[1][0] ? (long)Volumes[1][0] : 0; 110 | otherVolume = 0; 111 | } 112 | 113 | profile.UpdateRow(Closes[1][0], buyVolume, sellVolume, otherVolume); 114 | } 115 | else // BarsInProgress == 0 116 | { 117 | if (State == State.Realtime || IsFirstTickOfBar) 118 | { 119 | profile.CalculateValueArea(ValueArea / 100f); 120 | } 121 | 122 | // update profile end bar 123 | if (CurrentBar == profile.EndBar) return; 124 | profile.EndBar = CurrentBar; 125 | 126 | if ( 127 | IsFirstTickOfBar && 128 | (Period == FofVolumeProfilePeriod.Bars || 129 | (Period == FofVolumeProfilePeriod.Sessions && Bars.IsFirstBarOfSession)) 130 | ) 131 | { 132 | // on new bar fisrt tick or new session first tick 133 | if (State != State.Realtime) 134 | { 135 | profile.CalculateValueArea(ValueArea / 100f); 136 | } 137 | Profiles.Add(new FofVolumeProfileData() { StartBar = CurrentBar, EndBar = CurrentBar }); 138 | } 139 | } 140 | } 141 | #endregion 142 | 143 | #region Rendering 144 | protected override void OnRender(ChartControl chartControl, ChartScale chartScale) 145 | { 146 | RenderTarget.AntialiasMode = SharpDX.Direct2D1.AntialiasMode.Aliased; 147 | var volProfileRenderer = new FofVolumeProfileChartRenderer(ChartControl, chartScale, ChartBars, RenderTarget) 148 | { 149 | Opacity = Opacity / 100f, 150 | ValueAreaOpacity = ValueAreaOpacity / 100f, 151 | WidthPercent = Width / 100f 152 | }; 153 | totalTextBrushDX = chartControl.Properties.ChartText.ToDxBrush(RenderTarget); 154 | foreach (var profile in Profiles) 155 | { 156 | if ( 157 | profile.MaxVolume == 0 || 158 | (profile.StartBar < ChartBars.FromIndex && profile.EndBar < ChartBars.FromIndex) || 159 | (profile.StartBar > ChartBars.ToIndex && profile.EndBar > ChartBars.ToIndex) 160 | ) continue; 161 | if (DisplayMode == FofVolumeProfileMode.BuySell) 162 | { 163 | volProfileRenderer.RenderBuySellProfile(profile, buyBrushDX, sellBrushDX); 164 | } 165 | else 166 | { 167 | volProfileRenderer.RenderProfile(profile, volumeBrushDX); 168 | } 169 | if (ShowPoc) volProfileRenderer.RenderPoc(profile, PocStroke.BrushDX, PocStroke.Width, PocStroke.StrokeStyle, DisplayTotal); 170 | if (ShowValueArea) volProfileRenderer.RenderValueArea(profile, ValueAreaStroke.BrushDX, ValueAreaStroke.Width, ValueAreaStroke.StrokeStyle, DisplayTotal); 171 | if (DisplayMode == FofVolumeProfileMode.Delta) 172 | { 173 | volProfileRenderer.RenderDeltaProfile(profile, buyBrushDX, sellBrushDX); 174 | } 175 | if (DisplayTotal) 176 | { 177 | volProfileRenderer.RenderTotalVolume(profile, totalTextBrushDX); 178 | } 179 | } 180 | } 181 | 182 | public override void OnRenderTargetChanged() 183 | { 184 | if (volumeBrushDX != null) volumeBrushDX.Dispose(); 185 | if (buyBrushDX != null) buyBrushDX.Dispose(); 186 | if (sellBrushDX != null) sellBrushDX.Dispose(); 187 | if (RenderTarget != null) 188 | { 189 | volumeBrushDX = VolumeBrush.ToDxBrush(RenderTarget); 190 | buyBrushDX = BuyBrush.ToDxBrush(RenderTarget); 191 | sellBrushDX = SellBrush.ToDxBrush(RenderTarget); 192 | PocStroke.RenderTarget = RenderTarget; 193 | ValueAreaStroke.RenderTarget = RenderTarget; 194 | } 195 | } 196 | #endregion 197 | 198 | #region Properties 199 | // Setup 200 | [Display(Name = "Display mode", Description = "Profile mode to render", Order = 1, GroupName = "Setup")] 201 | public FofVolumeProfileMode DisplayMode { get; set; } 202 | 203 | [NinjaScriptProperty] 204 | [Display(Name = "Profile Period", Description = "Calculate profile from region", Order = 1, GroupName = "Setup")] 205 | public FofVolumeProfilePeriod Period { get; set; } 206 | 207 | [NinjaScriptProperty] 208 | [Display(Name = "Resolution Mode", Description = "Calculate profile from region", Order = 2, GroupName = "Setup")] 209 | public FofVolumeProfileResolution ResolutionMode { get; set; } 210 | 211 | [NinjaScriptProperty] 212 | [Display(Name = "Resolution", Description = "Calculate profile from region", Order = 3, GroupName = "Setup")] 213 | public int Resolution { get; set; } 214 | 215 | [Range(10, 90)] 216 | [Display(Name = "Value Area (%)", Description = "Value area percentage", Order = 7, GroupName = "Setup")] 217 | public float ValueArea { get; set; } 218 | 219 | [Display(Name = "Display Total Volume", Order = 8, GroupName = "Setup")] 220 | public bool DisplayTotal { get; set; } 221 | 222 | // Visual 223 | [Display(Name = "Profile width (%)", Description = "Width of bars relative to range", Order = 1, GroupName = "Visual")] 224 | public int Width { get; set; } 225 | 226 | [Range(1, 100)] 227 | [Display(Name = "Profile opacity (%)", Description = "Opacity of bars out value area", Order = 2, GroupName = "Visual")] 228 | public int Opacity { get; set; } 229 | 230 | [Range(1, 100)] 231 | [Display(Name = "Value area opacity (%)", Description = "Opacity of bars in value area", Order = 2, GroupName = "Visual")] 232 | public int ValueAreaOpacity { get; set; } 233 | 234 | [Display(Name = "Show POC", Description = "Show PoC line", Order = 5, GroupName = "Setup")] 235 | public bool ShowPoc { get; set; } 236 | 237 | [Display(Name = "Show Value Area", Description = "Show value area high and low lines", Order = 6, GroupName = "Setup")] 238 | public bool ShowValueArea { get; set; } 239 | 240 | [XmlIgnore] 241 | [Display(Name = "Color for profile", Order = 10, GroupName = "Visual")] 242 | public Brush VolumeBrush { get; set; } 243 | 244 | [Browsable(false)] 245 | public string VolumeBrushSerialize 246 | { 247 | get { return Serialize.BrushToString(VolumeBrush); } 248 | set { VolumeBrush = Serialize.StringToBrush(value); } 249 | } 250 | 251 | [XmlIgnore] 252 | [Display(Name = "Color for buy", Order = 11, GroupName = "Visual")] 253 | public Brush BuyBrush { get; set; } 254 | 255 | [Browsable(false)] 256 | public string BuyBrushSerialize 257 | { 258 | get { return Serialize.BrushToString(BuyBrush); } 259 | set { BuyBrush = Serialize.StringToBrush(value); } 260 | } 261 | 262 | [XmlIgnore] 263 | [Display(Name = "Color for sell", Order = 12, GroupName = "Visual")] 264 | public Brush SellBrush { get; set; } 265 | 266 | [Browsable(false)] 267 | public string SellBrushSerialize 268 | { 269 | get { return Serialize.BrushToString(SellBrush); } 270 | set { SellBrush = Serialize.StringToBrush(value); } 271 | } 272 | 273 | // Lines 274 | [Display(Name = "POC", Order = 8, GroupName = "Lines")] 275 | public Stroke PocStroke { get; set; } 276 | 277 | [Display(Name = "Value Area", Order = 9, GroupName = "Lines")] 278 | public Stroke ValueAreaStroke { get; set; } 279 | #endregion 280 | } 281 | } 282 | 283 | #region NinjaScript generated code. Neither change nor remove. 284 | 285 | namespace NinjaTrader.NinjaScript.Indicators 286 | { 287 | public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase 288 | { 289 | private FreeOrderFlow.FofVolumeProfile[] cacheFofVolumeProfile; 290 | public FreeOrderFlow.FofVolumeProfile FofVolumeProfile(FofVolumeProfilePeriod period, FofVolumeProfileResolution resolutionMode, int resolution) 291 | { 292 | return FofVolumeProfile(Input, period, resolutionMode, resolution); 293 | } 294 | 295 | public FreeOrderFlow.FofVolumeProfile FofVolumeProfile(ISeries input, FofVolumeProfilePeriod period, FofVolumeProfileResolution resolutionMode, int resolution) 296 | { 297 | if (cacheFofVolumeProfile != null) 298 | for (int idx = 0; idx < cacheFofVolumeProfile.Length; idx++) 299 | if (cacheFofVolumeProfile[idx] != null && cacheFofVolumeProfile[idx].Period == period && cacheFofVolumeProfile[idx].ResolutionMode == resolutionMode && cacheFofVolumeProfile[idx].Resolution == resolution && cacheFofVolumeProfile[idx].EqualsInput(input)) 300 | return cacheFofVolumeProfile[idx]; 301 | return CacheIndicator(new FreeOrderFlow.FofVolumeProfile(){ Period = period, ResolutionMode = resolutionMode, Resolution = resolution }, input, ref cacheFofVolumeProfile); 302 | } 303 | } 304 | } 305 | 306 | namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns 307 | { 308 | public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase 309 | { 310 | public Indicators.FreeOrderFlow.FofVolumeProfile FofVolumeProfile(FofVolumeProfilePeriod period, FofVolumeProfileResolution resolutionMode, int resolution) 311 | { 312 | return indicator.FofVolumeProfile(Input, period, resolutionMode, resolution); 313 | } 314 | 315 | public Indicators.FreeOrderFlow.FofVolumeProfile FofVolumeProfile(ISeries input , FofVolumeProfilePeriod period, FofVolumeProfileResolution resolutionMode, int resolution) 316 | { 317 | return indicator.FofVolumeProfile(input, period, resolutionMode, resolution); 318 | } 319 | } 320 | } 321 | 322 | namespace NinjaTrader.NinjaScript.Strategies 323 | { 324 | public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase 325 | { 326 | public Indicators.FreeOrderFlow.FofVolumeProfile FofVolumeProfile(FofVolumeProfilePeriod period, FofVolumeProfileResolution resolutionMode, int resolution) 327 | { 328 | return indicator.FofVolumeProfile(Input, period, resolutionMode, resolution); 329 | } 330 | 331 | public Indicators.FreeOrderFlow.FofVolumeProfile FofVolumeProfile(ISeries input , FofVolumeProfilePeriod period, FofVolumeProfileResolution resolutionMode, int resolution) 332 | { 333 | return indicator.FofVolumeProfile(input, period, resolutionMode, resolution); 334 | } 335 | } 336 | } 337 | 338 | #endregion 339 | -------------------------------------------------------------------------------- /InvestSoft/VolumeProfileUtils.cs: -------------------------------------------------------------------------------- 1 | #region Using declarations 2 | using NinjaTrader.Cbi; 3 | using NinjaTrader.Gui.Chart; 4 | using NinjaTrader.NinjaScript; 5 | using NinjaTrader.NinjaScript.MarketAnalyzerColumns; 6 | using SharpDX.Direct2D1; 7 | using SharpDX.DirectWrite; 8 | using System; 9 | using System.Collections.Concurrent; 10 | using System.Collections.Generic; 11 | using System.Linq; 12 | #endregion 13 | 14 | namespace InvestSoft.NinjaScript.VolumeProfile 15 | { 16 | #region Data 17 | internal class FofVolumeProfileRow 18 | { 19 | public long buy = 0; 20 | public long sell = 0; 21 | public long other = 0; 22 | public long total { get { return buy + sell + other; } } 23 | 24 | public string toString() 25 | { 26 | return string.Format("", buy, sell); 27 | } 28 | } 29 | 30 | internal class FofVolumeProfileData : ConcurrentDictionary 31 | { 32 | public int StartBar { get; set; } 33 | public int EndBar { get; set; } 34 | public long MaxVolume { get; set; } 35 | public long TotalVolume { get; set; } 36 | public double VAH { get; set; } 37 | public double VAL { get; set; } 38 | public double POC { get; set; } 39 | 40 | public FofVolumeProfileRow UpdateRow(double price, long buyVolume, long sellVolume, long otherVolume) 41 | { 42 | var row = AddOrUpdate( 43 | price, 44 | (double key) => new FofVolumeProfileRow() 45 | { 46 | buy = buyVolume, 47 | sell = sellVolume, 48 | other = otherVolume 49 | }, 50 | (double key, FofVolumeProfileRow oldValue) => new FofVolumeProfileRow() 51 | { 52 | buy = buyVolume + oldValue.buy, 53 | sell = sellVolume + oldValue.sell, 54 | other = otherVolume + oldValue.other 55 | } 56 | ); 57 | // caculate POC 58 | if (row.total > MaxVolume) 59 | { 60 | MaxVolume = row.total; 61 | POC = price; 62 | } 63 | // calculate total volume for use in VAL and VAH 64 | TotalVolume += (buyVolume + sellVolume + otherVolume); 65 | return row; 66 | } 67 | 68 | public void CalculateValueArea(float valueAreaPerc) 69 | { 70 | if (Count == 0 || POC == 0) return; 71 | 72 | // Calculate the total trading volume 73 | List priceList = Keys.OrderBy(p => p).ToList(); 74 | int SmoothVA = 2; 75 | long upVol = 0; 76 | long downVol = 0; 77 | long valueVol = (long)(TotalVolume * valueAreaPerc); 78 | long areaVol = this[POC].total; 79 | int highIdx = priceList.IndexOf(POC); 80 | int lowIdx = highIdx; 81 | 82 | while (areaVol < valueVol) 83 | { 84 | if (upVol == 0) 85 | { 86 | for (int n = 0; (n < SmoothVA && highIdx < priceList.Count - 1); n++) 87 | { 88 | highIdx++; 89 | upVol += this[priceList[highIdx]].total; 90 | } 91 | } 92 | 93 | if (downVol == 0) 94 | { 95 | for (int n = 0; (n < SmoothVA && lowIdx > 0); n++) 96 | { 97 | lowIdx--; 98 | downVol += this[priceList[lowIdx]].total; 99 | } 100 | } 101 | 102 | if (upVol > downVol) 103 | { 104 | areaVol += upVol; 105 | upVol = 0; 106 | } 107 | else 108 | { 109 | areaVol += downVol; 110 | downVol = 0; 111 | } 112 | } 113 | VAH = priceList[highIdx]; 114 | VAL = priceList[lowIdx]; 115 | } 116 | 117 | public FofVolumeProfileRow GetValueOrDefault(double price) 118 | { 119 | FofVolumeProfileRow volume; 120 | if (!TryGetValue(price, out volume)) 121 | { 122 | volume = new FofVolumeProfileRow(); 123 | } 124 | return volume; 125 | } 126 | } 127 | #endregion 128 | 129 | #region ChartRenderer 130 | internal class FofVolumeProfileChartRenderer 131 | { 132 | private readonly ChartControl chartControl; 133 | private readonly ChartScale chartScale; 134 | private readonly ChartBars chartBars; 135 | private readonly RenderTarget renderTarget; 136 | 137 | public float Opacity { get; set; } 138 | public float ValueAreaOpacity { get; set; } 139 | public float WidthPercent; 140 | 141 | public FofVolumeProfileChartRenderer( 142 | ChartControl chartControl, ChartScale chartScale, ChartBars chartBars, 143 | RenderTarget renderTarget 144 | ) 145 | { 146 | this.chartControl = chartControl; 147 | this.chartScale = chartScale; 148 | this.chartBars = chartBars; 149 | this.renderTarget = renderTarget; 150 | WidthPercent = 1; 151 | } 152 | 153 | internal SharpDX.RectangleF GetBarRect( 154 | FofVolumeProfileData profile, double price, long volume, 155 | bool fullwidth = false, bool inWindow = true 156 | ) 157 | { 158 | // bar height and Y 159 | var tickSize = chartControl.Instrument.MasterInstrument.TickSize; 160 | float ypos = chartScale.GetYByValue(price + tickSize); 161 | float barHeight = chartScale.GetYByValue(price) - ypos; 162 | // center bar on price tick 163 | int halfBarDistance = (int)Math.Max(1, chartScale.GetPixelsForDistance(tickSize)) / 2; //pixels 164 | ypos += halfBarDistance; 165 | // bar width and X 166 | int chartBarWidth; 167 | int startX = (inWindow) ? ( 168 | Math.Max(chartControl.GetXByBarIndex(chartBars, profile.StartBar), chartControl.CanvasLeft) 169 | ) : chartControl.GetXByBarIndex(chartBars, profile.StartBar); 170 | int endX = (inWindow) ? ( 171 | Math.Min(chartControl.GetXByBarIndex(chartBars, profile.EndBar), chartControl.CanvasRight) 172 | ) : chartControl.GetXByBarIndex(chartBars, profile.EndBar); 173 | if (profile.StartBar > 0) 174 | { 175 | chartBarWidth = ( 176 | chartControl.GetXByBarIndex(chartBars, profile.StartBar) - 177 | chartControl.GetXByBarIndex(chartBars, profile.StartBar - 1) 178 | ) / 2; 179 | } 180 | else 181 | { 182 | chartBarWidth = chartControl.GetBarPaintWidth(chartBars); 183 | } 184 | float xpos = startX; 185 | int maxWidth = Math.Max(endX - startX, chartBarWidth); 186 | float barWidth = (fullwidth) ? maxWidth : ( 187 | maxWidth * (volume / (float)profile.MaxVolume) * WidthPercent 188 | ); 189 | return new SharpDX.RectangleF(xpos, ypos, barWidth, barHeight); 190 | } 191 | 192 | internal void RenderProfile(FofVolumeProfileData profile, Brush volumeBrush) 193 | { 194 | foreach (KeyValuePair row in profile) 195 | { 196 | var rect = GetBarRect(profile, row.Key, row.Value.total); 197 | if (row.Key >= profile.VAL && row.Key <= profile.VAH) 198 | { 199 | volumeBrush.Opacity = ValueAreaOpacity; 200 | renderTarget.FillRectangle(rect, volumeBrush); 201 | } 202 | else 203 | { 204 | volumeBrush.Opacity = Opacity; 205 | renderTarget.FillRectangle(rect, volumeBrush); 206 | } 207 | } 208 | } 209 | 210 | internal void RenderPoc(FofVolumeProfileData profile, Brush brush, float width, StrokeStyle strokeStyle, bool drawText = false) 211 | { 212 | var pocRect = GetBarRect(profile, profile.POC, profile.MaxVolume); 213 | renderTarget.FillRectangle(pocRect, brush); 214 | 215 | pocRect = GetBarRect(profile, profile.POC, profile.MaxVolume, true); 216 | pocRect.Y += pocRect.Height / 2; 217 | renderTarget.DrawLine( 218 | pocRect.TopLeft, pocRect.TopRight, 219 | brush, width, strokeStyle 220 | ); 221 | if (drawText) 222 | { 223 | RnederText( 224 | string.Format("{0}", profile.POC), 225 | new SharpDX.Vector2(pocRect.Left, pocRect.Top), 226 | brush, 227 | pocRect.Width, 228 | TextAlignment.Trailing 229 | ); 230 | } 231 | } 232 | 233 | internal void RenderValueArea(FofVolumeProfileData profile, Brush brush, float width, StrokeStyle strokeStyle, bool drawText = false) 234 | { 235 | // draw VAH 236 | if (profile.ContainsKey(profile.VAH)) 237 | { 238 | var vahRect = GetBarRect(profile, profile.VAH, profile[profile.VAH].total, true); 239 | vahRect.Y += vahRect.Height / 2; 240 | renderTarget.DrawLine( 241 | vahRect.TopLeft, vahRect.TopRight, 242 | brush, width, strokeStyle 243 | ); 244 | if (drawText) 245 | { 246 | RnederText( 247 | string.Format("{0}", profile.VAH), 248 | new SharpDX.Vector2(vahRect.Left, vahRect.Top), 249 | brush, 250 | vahRect.Width, 251 | TextAlignment.Trailing 252 | ); 253 | } 254 | } 255 | // draw VAL 256 | if (profile.ContainsKey(profile.VAL)) 257 | { 258 | var valRect = GetBarRect(profile, profile.VAL, profile[profile.VAL].total, true); 259 | valRect.Y += valRect.Height / 2; 260 | renderTarget.DrawLine( 261 | valRect.TopLeft, valRect.TopRight, 262 | brush, width, strokeStyle 263 | ); 264 | if (drawText) 265 | { 266 | RnederText( 267 | string.Format("{0}", profile.VAL), 268 | new SharpDX.Vector2(valRect.Left, valRect.Top), 269 | brush, 270 | valRect.Width, 271 | TextAlignment.Trailing 272 | ); 273 | } 274 | } 275 | } 276 | 277 | internal void RenderBuySellProfile(FofVolumeProfileData profile, Brush buyBrush, Brush sellBrush) 278 | { 279 | foreach (KeyValuePair row in profile) 280 | { 281 | var buyRect = GetBarRect(profile, row.Key, row.Value.buy); 282 | var sellRect = GetBarRect(profile, row.Key, row.Value.sell); 283 | buyRect.X = sellRect.Right; 284 | if (row.Key >= profile.VAL && row.Key <= profile.VAH) 285 | { 286 | buyBrush.Opacity = ValueAreaOpacity; 287 | sellBrush.Opacity = ValueAreaOpacity; 288 | } 289 | else 290 | { 291 | buyBrush.Opacity = Opacity; 292 | sellBrush.Opacity = Opacity; 293 | } 294 | renderTarget.FillRectangle(buyRect, buyBrush); 295 | renderTarget.FillRectangle(sellRect, sellBrush); 296 | } 297 | } 298 | 299 | internal void RenderDeltaProfile(FofVolumeProfileData profile, Brush buyBrush, Brush sellBrush) 300 | { 301 | foreach (KeyValuePair row in profile) 302 | { 303 | var volumeDelta = Math.Abs(row.Value.buy - row.Value.sell); 304 | var rect = GetBarRect(profile, row.Key, volumeDelta); 305 | if (row.Key >= profile.VAL && row.Key <= profile.VAH) 306 | { 307 | buyBrush.Opacity = ValueAreaOpacity; 308 | sellBrush.Opacity = ValueAreaOpacity; 309 | } 310 | else 311 | { 312 | buyBrush.Opacity = Opacity; 313 | sellBrush.Opacity = Opacity; 314 | } 315 | renderTarget.FillRectangle( 316 | rect, (row.Value.buy > row.Value.sell) ? buyBrush : sellBrush 317 | ); 318 | } 319 | } 320 | 321 | internal void RnederText(string text, SharpDX.Vector2 position, Brush brush, float maxWidth, TextAlignment align = TextAlignment.Leading) 322 | { 323 | var textLayout = new TextLayout( 324 | NinjaTrader.Core.Globals.DirectWriteFactory, 325 | text, 326 | chartControl.Properties.LabelFont.ToDirectWriteTextFormat(), 327 | maxWidth, 328 | 30 329 | ); 330 | textLayout.TextAlignment = align; 331 | textLayout.WordWrapping = WordWrapping.NoWrap; 332 | var textWidth = textLayout.Metrics.Width; 333 | if (textWidth > maxWidth) return; 334 | renderTarget.DrawTextLayout(position, textLayout, brush); 335 | } 336 | 337 | internal void RenderTotalVolume(FofVolumeProfileData profile, Brush textBrush) 338 | { 339 | var maxPrice = profile.Keys.Max(); 340 | var minPrice = profile.Keys.Min(); 341 | var textFormat = chartControl.Properties.LabelFont.ToDirectWriteTextFormat(); 342 | textFormat.WordWrapping = WordWrapping.NoWrap; 343 | var textLayout = new TextLayout( 344 | NinjaTrader.Core.Globals.DirectWriteFactory, 345 | string.Format("∑ {0} / {1}", profile.TotalVolume, maxPrice - minPrice), 346 | textFormat, 347 | 300, 348 | textFormat.FontSize + 4 349 | ); 350 | var barRect = GetBarRect(profile, minPrice, 0, false); 351 | RnederText( 352 | string.Format("∑ {0} / {1}", profile.TotalVolume, maxPrice - minPrice), 353 | new SharpDX.Vector2(barRect.Left, barRect.Top), 354 | textBrush, 355 | barRect.Width, 356 | TextAlignment.Leading 357 | ); 358 | } 359 | } 360 | #endregion 361 | 362 | public enum FofVolumeProfileMode { Standard, BuySell, Delta }; 363 | public enum FofVolumeProfilePeriod { Sessions, Bars }; 364 | public enum FofVolumeProfileResolution { Tick, Minute }; 365 | } 366 | -------------------------------------------------------------------------------- /LICENSE.txt: -------------------------------------------------------------------------------- 1 | MIT License 2 | 3 | Copyright (c) 2025 Roldão Rego Jr. 4 | 5 | Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: 6 | 7 | The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. 8 | 9 | THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. 10 | -------------------------------------------------------------------------------- /MarketAnalyzerColumns/@MarketAnalyzerColumn.cs: -------------------------------------------------------------------------------- 1 | // 2 | // Copyright (C) 2023, NinjaTrader LLC . 3 | // NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release. 4 | // 5 | #region Using declarations 6 | using System; 7 | using System.Collections.Generic; 8 | using System.ComponentModel; 9 | using System.ComponentModel.DataAnnotations; 10 | using System.Linq; 11 | using System.Text; 12 | using System.Threading.Tasks; 13 | using System.Windows; 14 | using System.Windows.Input; 15 | using System.Windows.Media; 16 | using System.Xml.Serialization; 17 | using NinjaTrader.Cbi; 18 | using NinjaTrader.Gui; 19 | using NinjaTrader.Gui.Chart; 20 | using NinjaTrader.Gui.SuperDom; 21 | using NinjaTrader.Data; 22 | using NinjaTrader.NinjaScript; 23 | using NinjaTrader.Core.FloatingPoint; 24 | #endregion 25 | 26 | //This namespace holds Market Analyzer columns in this folder and is required. Do not change it. 27 | namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns 28 | { 29 | public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase 30 | { 31 | private Indicators.Indicator indicator; 32 | 33 | public MarketAnalyzerColumn() 34 | { 35 | lock (NinjaScripts) 36 | NinjaScripts.Add(indicator = new Indicators.Indicator() { IsDataSeriesRequired = this.IsDataSeriesRequired, Parent = this }); 37 | } 38 | 39 | [Browsable(false)] 40 | public new bool IsDataSeriesRequired 41 | { 42 | get { return base.IsDataSeriesRequired; } 43 | set 44 | { 45 | base.IsDataSeriesRequired = value; 46 | if (indicator != null) 47 | indicator.IsDataSeriesRequired = value; 48 | } 49 | } 50 | } 51 | } 52 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | # Free Order Flow indicators for NinjaTrader 8 2 | 3 | See releases pages for downloads 4 | -------------------------------------------------------------------------------- /Strategies/@Strategy.cs: -------------------------------------------------------------------------------- 1 | // 2 | // Copyright (C) 2024, NinjaTrader LLC . 3 | // NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release. 4 | // 5 | 6 | #region Using declarations 7 | using System; 8 | using System.Collections.Generic; 9 | using System.ComponentModel; 10 | using System.ComponentModel.DataAnnotations; 11 | using System.Linq; 12 | using System.Text; 13 | using System.Windows.Media; 14 | using System.Xml.Serialization; 15 | using NinjaTrader.NinjaScript.Indicators; 16 | #endregion 17 | 18 | //This namespace holds strategies in this folder and is required. Do not change it. 19 | namespace NinjaTrader.NinjaScript.Strategies 20 | { 21 | public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase 22 | { 23 | private Indicator indicator; 24 | 25 | public Strategy() 26 | { 27 | lock (NinjaScripts) 28 | NinjaScripts.Add(indicator = new Indicator { Parent = this }); 29 | } 30 | } 31 | } 32 | -------------------------------------------------------------------------------- /deps/InfragisticsWPF4.DataPresenter.v15.1.dll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/trading-code/ninjatrader-freeorderflow/0c3f58aa40ffd14e3451ecc7f50df8e1a40f23ab/deps/InfragisticsWPF4.DataPresenter.v15.1.dll -------------------------------------------------------------------------------- /deps/Infralution.Localization.Wpf.dll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/trading-code/ninjatrader-freeorderflow/0c3f58aa40ffd14e3451ecc7f50df8e1a40f23ab/deps/Infralution.Localization.Wpf.dll -------------------------------------------------------------------------------- /deps/NinjaTrader.Core.dll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/trading-code/ninjatrader-freeorderflow/0c3f58aa40ffd14e3451ecc7f50df8e1a40f23ab/deps/NinjaTrader.Core.dll -------------------------------------------------------------------------------- /deps/NinjaTrader.Custom.dll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/trading-code/ninjatrader-freeorderflow/0c3f58aa40ffd14e3451ecc7f50df8e1a40f23ab/deps/NinjaTrader.Custom.dll -------------------------------------------------------------------------------- /deps/NinjaTrader.Gui.dll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/trading-code/ninjatrader-freeorderflow/0c3f58aa40ffd14e3451ecc7f50df8e1a40f23ab/deps/NinjaTrader.Gui.dll -------------------------------------------------------------------------------- /deps/NinjaTrader.Vendor.dll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/trading-code/ninjatrader-freeorderflow/0c3f58aa40ffd14e3451ecc7f50df8e1a40f23ab/deps/NinjaTrader.Vendor.dll -------------------------------------------------------------------------------- /deps/SharpDX.Direct2D1.dll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/trading-code/ninjatrader-freeorderflow/0c3f58aa40ffd14e3451ecc7f50df8e1a40f23ab/deps/SharpDX.Direct2D1.dll -------------------------------------------------------------------------------- /deps/SharpDX.dll: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/trading-code/ninjatrader-freeorderflow/0c3f58aa40ffd14e3451ecc7f50df8e1a40f23ab/deps/SharpDX.dll -------------------------------------------------------------------------------- /publish/FreeOrderFlow-license.txt: -------------------------------------------------------------------------------- 1 | GNU GENERAL PUBLIC LICENSE 2 | Version 3, 29 June 2007 3 | 4 | Copyright (C) 2007 Free Software Foundation, Inc. 5 | Everyone is permitted to copy and distribute verbatim copies 6 | of this license document, but changing it is not allowed. 7 | 8 | Preamble 9 | 10 | The GNU General Public License is a free, copyleft license for 11 | software and other kinds of works. 12 | 13 | The licenses for most software and other practical works are designed 14 | to take away your freedom to share and change the works. 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No Surrender of Others' Freedom. 541 | 542 | If conditions are imposed on you (whether by court order, agreement or 543 | otherwise) that contradict the conditions of this License, they do not 544 | excuse you from the conditions of this License. If you cannot convey a 545 | covered work so as to satisfy simultaneously your obligations under this 546 | License and any other pertinent obligations, then as a consequence you may 547 | not convey it at all. For example, if you agree to terms that obligate you 548 | to collect a royalty for further conveying from those to whom you convey 549 | the Program, the only way you could satisfy both those terms and this 550 | License would be to refrain entirely from conveying the Program. 551 | 552 | 13. Use with the GNU Affero General Public License. 553 | 554 | Notwithstanding any other provision of this License, you have 555 | permission to link or combine any covered work with a work licensed 556 | under version 3 of the GNU Affero General Public License into a single 557 | combined work, and to convey the resulting work. The terms of this 558 | License will continue to apply to the part which is the covered work, 559 | but the special requirements of the GNU Affero General Public License, 560 | section 13, concerning interaction through a network will apply to the 561 | combination as such. 562 | 563 | 14. Revised Versions of this License. 564 | 565 | The Free Software Foundation may publish revised and/or new versions of 566 | the GNU General Public License from time to time. Such new versions will 567 | be similar in spirit to the present version, but may differ in detail to 568 | address new problems or concerns. 569 | 570 | Each version is given a distinguishing version number. If the 571 | Program specifies that a certain numbered version of the GNU General 572 | Public License "or any later version" applies to it, you have the 573 | option of following the terms and conditions either of that numbered 574 | version or of any later version published by the Free Software 575 | Foundation. If the Program does not specify a version number of the 576 | GNU General Public License, you may choose any version ever published 577 | by the Free Software Foundation. 578 | 579 | If the Program specifies that a proxy can decide which future 580 | versions of the GNU General Public License can be used, that proxy's 581 | public statement of acceptance of a version permanently authorizes you 582 | to choose that version for the Program. 583 | 584 | Later license versions may give you additional or different 585 | permissions. However, no additional obligations are imposed on any 586 | author or copyright holder as a result of your choosing to follow a 587 | later version. 588 | 589 | 15. Disclaimer of Warranty. 590 | 591 | THERE IS NO WARRANTY FOR THE PROGRAM, TO THE EXTENT PERMITTED BY 592 | APPLICABLE LAW. EXCEPT WHEN OTHERWISE STATED IN WRITING THE COPYRIGHT 593 | HOLDERS AND/OR OTHER PARTIES PROVIDE THE PROGRAM "AS IS" WITHOUT WARRANTY 594 | OF ANY KIND, EITHER EXPRESSED OR IMPLIED, INCLUDING, BUT NOT LIMITED TO, 595 | THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR 596 | PURPOSE. THE ENTIRE RISK AS TO THE QUALITY AND PERFORMANCE OF THE PROGRAM 597 | IS WITH YOU. SHOULD THE PROGRAM PROVE DEFECTIVE, YOU ASSUME THE COST OF 598 | ALL NECESSARY SERVICING, REPAIR OR CORRECTION. 599 | 600 | 16. Limitation of Liability. 601 | 602 | IN NO EVENT UNLESS REQUIRED BY APPLICABLE LAW OR AGREED TO IN WRITING 603 | WILL ANY COPYRIGHT HOLDER, OR ANY OTHER PARTY WHO MODIFIES AND/OR CONVEYS 604 | THE PROGRAM AS PERMITTED ABOVE, BE LIABLE TO YOU FOR DAMAGES, INCLUDING ANY 605 | GENERAL, SPECIAL, INCIDENTAL OR CONSEQUENTIAL DAMAGES ARISING OUT OF THE 606 | USE OR INABILITY TO USE THE PROGRAM (INCLUDING BUT NOT LIMITED TO LOSS OF 607 | DATA OR DATA BEING RENDERED INACCURATE OR LOSSES SUSTAINED BY YOU OR THIRD 608 | PARTIES OR A FAILURE OF THE PROGRAM TO OPERATE WITH ANY OTHER PROGRAMS), 609 | EVEN IF SUCH HOLDER OR OTHER PARTY HAS BEEN ADVISED OF THE POSSIBILITY OF 610 | SUCH DAMAGES. 611 | 612 | 17. Interpretation of Sections 15 and 16. 613 | 614 | If the disclaimer of warranty and limitation of liability provided 615 | above cannot be given local legal effect according to their terms, 616 | reviewing courts shall apply local law that most closely approximates 617 | an absolute waiver of all civil liability in connection with the 618 | Program, unless a warranty or assumption of liability accompanies a 619 | copy of the Program in return for a fee. 620 | 621 | END OF TERMS AND CONDITIONS 622 | 623 | How to Apply These Terms to Your New Programs 624 | 625 | If you develop a new program, and you want it to be of the greatest 626 | possible use to the public, the best way to achieve this is to make it 627 | free software which everyone can redistribute and change under these terms. 628 | 629 | To do so, attach the following notices to the program. It is safest 630 | to attach them to the start of each source file to most effectively 631 | state the exclusion of warranty; and each file should have at least 632 | the "copyright" line and a pointer to where the full notice is found. 633 | 634 | 635 | Copyright (C) 636 | 637 | This program is free software: you can redistribute it and/or modify 638 | it under the terms of the GNU General Public License as published by 639 | the Free Software Foundation, either version 3 of the License, or 640 | (at your option) any later version. 641 | 642 | This program is distributed in the hope that it will be useful, 643 | but WITHOUT ANY WARRANTY; without even the implied warranty of 644 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 645 | GNU General Public License for more details. 646 | 647 | You should have received a copy of the GNU General Public License 648 | along with this program. If not, see . 649 | 650 | Also add information on how to contact you by electronic and paper mail. 651 | 652 | If the program does terminal interaction, make it output a short 653 | notice like this when it starts in an interactive mode: 654 | 655 | Copyright (C) 656 | This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. 657 | This is free software, and you are welcome to redistribute it 658 | under certain conditions; type `show c' for details. 659 | 660 | The hypothetical commands `show w' and `show c' should show the appropriate 661 | parts of the General Public License. Of course, your program's commands 662 | might be different; for a GUI interface, you would use an "about box". 663 | 664 | You should also get your employer (if you work as a programmer) or school, 665 | if any, to sign a "copyright disclaimer" for the program, if necessary. 666 | For more information on this, and how to apply and follow the GNU GPL, see 667 | . 668 | 669 | The GNU General Public License does not permit incorporating your program 670 | into proprietary programs. If your program is a subroutine library, you 671 | may consider it more useful to permit linking proprietary applications with 672 | the library. If this is what you want to do, use the GNU Lesser General 673 | Public License instead of this License. But first, please read 674 | . 675 | -------------------------------------------------------------------------------- /publish/info.xml: -------------------------------------------------------------------------------- 1 |  2 | 3 | 4 | 8.1.1.0 5 | 6 | --------------------------------------------------------------------------------