Merge pull request #13 from Linus404/main

Improved VWAP, VP, DrawVWAP

Author: roldaojr

DrawingTools/FreeOrderFlow/FofAnchoredVwap.cs

@@ -1,3 +1,27 @@
+/*
+ * FofAnchoredVwap.cs
+ * Copyright (c) 2025 Roldão Rego Jr.
+ * 
+ * Modified by https://github.com/Linus404, 2025
+ *
+ * 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:
+ *
+ * The above copyright notice and this permission notice shall be included in all
+ * copies or substantial portions of the Software.
+ *
+ * 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.
+ */
 #region Using declarations
 using System;
 using System.Collections.Generic;
@@ -42,9 +66,18 @@ public override object Icon {
 		}
 		#endregion
 
+		public enum PriceSource
+		{
+			Close,
+			HLC3,
+			HL2,
+			OHLC4,
+			HLCC4
+		}
+
 		#region Private properties
 		private static float MinimumSize = 5f;
-		private InputPriceType calculatedInputPrice = InputPriceType.Median;
+		private PriceSource calculatedPriceSource = PriceSource.HLC3;
 
 		private double BarWidth
 		{
@@ -73,18 +106,31 @@ private ChartBars ChartBars
 		private Dictionary<int, double> vwap = new Dictionary<int, double>();
 		private double cumVol;
 		private double cumPV;
+		private double cumPV2;
 		private int StartBar = -1;
 		private int EndBar = -1;
+		private Dictionary<int, double> upperBand1 = new Dictionary<int, double>();
+		private Dictionary<int, double> lowerBand1 = new Dictionary<int, double>();
+		private Dictionary<int, double> upperBand2 = new Dictionary<int, double>();
+		private Dictionary<int, double> lowerBand2 = new Dictionary<int, double>();
 		#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);
+				Name				= "Anchored VWAP (Fof)";
+				Description			= @"Plot VWAP from anchored bar with Standard Deviation Bands";
+				PriceSourceInput	= PriceSource.HLC3;
+				Stroke				= new Stroke(Brushes.DeepSkyBlue, 1);
+				UpperBand1Stroke	= new Stroke(Brushes.LimeGreen, 1);
+				LowerBand1Stroke	= new Stroke(Brushes.LimeGreen, 1);
+				UpperBand2Stroke	= new Stroke(Brushes.Orange, 1);
+				LowerBand2Stroke	= new Stroke(Brushes.Orange, 1);
+				ShowFirstBands		= true;
+				ShowSecondBands		= true;
+				FirstStdDev			= 1.0;
+				SecondStdDev		= 2.0;
 				Anchor = new ChartAnchor
 				{
 					DisplayName = Custom.Resource.NinjaScriptDrawingToolAnchor,
@@ -135,7 +181,7 @@ public override void OnMouseDown(ChartControl chartControl, ChartPanel chartPane
 					Anchor.IsEditing = false;
 					DrawingState = DrawingState.Normal;
 					IsSelected = false;
-					DetectPriceInput();
+					DetectPriceSource();
 					break;
 				case DrawingState.Normal:
 					// make sure they clicked near us. use GetCursor incase something has more than one point, like arrows
@@ -160,7 +206,7 @@ public override void OnMouseUp(ChartControl control, ChartPanel chartPanel, Char
 		{
 			if (DrawingState == DrawingState.Editing || DrawingState == DrawingState.Moving) {
 				DrawingState = DrawingState.Normal;
-				DetectPriceInput();
+				DetectPriceSource();
 				ForceRefresh();
 			}
 		}
@@ -197,40 +243,50 @@ public override IEnumerable<ChartAnchor> Anchors
 		#endregion
 
 		#region Calculations
-		private double GetInputPrice(int currentBar)
+		private double GetPrice(int currentBar)
 		{
-			switch(InputPrice)
+			switch(PriceSourceInput)
 			{
-				case InputPriceType.High:
-					return ChartBars.Bars.GetHigh(currentBar);
-				case InputPriceType.Low:
-					return ChartBars.Bars.GetLow(currentBar);
+				case PriceSource.Close:
+					return ChartBars.Bars.GetClose(currentBar);
+				case PriceSource.HLC3:
+					return (ChartBars.Bars.GetHigh(currentBar) + ChartBars.Bars.GetLow(currentBar) + ChartBars.Bars.GetClose(currentBar)) / 3.0;
+				case PriceSource.HL2:
+					return (ChartBars.Bars.GetHigh(currentBar) + ChartBars.Bars.GetLow(currentBar)) / 2.0;
+				case PriceSource.OHLC4:
+					return (ChartBars.Bars.GetOpen(currentBar) + ChartBars.Bars.GetHigh(currentBar) + ChartBars.Bars.GetLow(currentBar) + ChartBars.Bars.GetClose(currentBar)) / 4.0;
+				case PriceSource.HLCC4:
+					return (ChartBars.Bars.GetHigh(currentBar) + ChartBars.Bars.GetLow(currentBar) + ChartBars.Bars.GetClose(currentBar) + ChartBars.Bars.GetClose(currentBar)) / 4.0;
 				default:
-					return (ChartBars.Bars.GetHigh(currentBar) + ChartBars.Bars.GetLow(currentBar)) / 2;
+					return (ChartBars.Bars.GetHigh(currentBar) + ChartBars.Bars.GetLow(currentBar) + ChartBars.Bars.GetClose(currentBar)) / 3.0;
 			}
 		}
 
-		private void DetectPriceInput() {
+		private void DetectPriceSource() {
 			var high = ChartBars.Bars.GetHigh((int) Anchor.SlotIndex);
 			var low = ChartBars.Bars.GetLow((int) Anchor.SlotIndex);
+			var close = ChartBars.Bars.GetClose((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;
+			if(Math.Abs(Anchor.Price - close) < tickSize) {
+				PriceSourceInput = PriceSource.Close;
+			} else if(Math.Abs(Anchor.Price - low) < tickSize) {
+				PriceSourceInput = PriceSource.HL2;
+			} else if(Math.Abs(Anchor.Price - high) < tickSize) {
+				PriceSourceInput = PriceSource.HL2;
 			} else {
-				InputPrice = InputPriceType.Median;
+				PriceSourceInput = PriceSource.HLC3;
 			}
 		}
 
 		private void CalculateVWAP() {
 			int startIndex = -1;
 
-			if(calculatedInputPrice != InputPrice || StartBar != (int) Anchor.SlotIndex) {
+			if(calculatedPriceSource != PriceSourceInput || StartBar != (int) Anchor.SlotIndex) {
 				// recalculate
 				cumVol = 0;
 				cumPV = 0;
+				cumPV2 = 0;
 				startIndex = (int) Anchor.SlotIndex;
 			} else if(EndBar < ChartBars.Bars.Count - 1) {
 				// new bars added
@@ -239,23 +295,47 @@ private void CalculateVWAP() {
 
 			if(startIndex >= 0){
 				for(int i = startIndex; i < ChartBars.Bars.Count; i++) {
-					cumPV += GetInputPrice(i) * ChartBars.Bars.GetVolume(i);
-					cumVol += ChartBars.Bars.GetVolume(i);
+					double price = GetPrice(i);
+					double volume = ChartBars.Bars.GetVolume(i);
+					cumPV += price * volume;
+					cumPV2 += price * price * volume;
+					cumVol += volume;
 					vwap[i] = cumPV / (cumVol == 0 ? 1 : cumVol);
+
+					if(ShowFirstBands || ShowSecondBands)
+					{
+						double variance = (cumPV2 / (cumVol == 0 ? 1 : cumVol)) - (vwap[i] * vwap[i]);
+						double stdDev = variance > 0 ? Math.Sqrt(variance) : 0;
+
+						if(ShowFirstBands)
+						{
+							upperBand1[i] = vwap[i] + (stdDev * FirstStdDev);
+							lowerBand1[i] = vwap[i] - (stdDev * FirstStdDev);
+						}
+
+						if(ShowSecondBands)
+						{
+							upperBand2[i] = vwap[i] + (stdDev * SecondStdDev);
+							lowerBand2[i] = vwap[i] - (stdDev * SecondStdDev);
+						}
+					}
 				}
 				StartBar = (int) Anchor.SlotIndex;
 				EndBar = ChartBars.Bars.Count - 1;
 			}
 
-			calculatedInputPrice = InputPrice;
+			calculatedPriceSource = PriceSourceInput;
 		}
 		#endregion
 
 		#region Rendering
 		public override void OnRenderTargetChanged()
 		{
-			if (Stroke == null) return;
-			if (RenderTarget != null) Stroke.RenderTarget = RenderTarget;
+			if (Stroke != null && RenderTarget != null) Stroke.RenderTarget = RenderTarget;
+			if (UpperBand1Stroke != null && RenderTarget != null) UpperBand1Stroke.RenderTarget = RenderTarget;
+			if (LowerBand1Stroke != null && RenderTarget != null) LowerBand1Stroke.RenderTarget = RenderTarget;
+			if (UpperBand2Stroke != null && RenderTarget != null) UpperBand2Stroke.RenderTarget = RenderTarget;
+			if (LowerBand2Stroke != null && RenderTarget != null) LowerBand2Stroke.RenderTarget = RenderTarget;
 		}
 
 		public override void OnRender(ChartControl chartControl, ChartScale chartScale)
@@ -265,7 +345,7 @@ public override void OnRender(ChartControl chartControl, ChartScale chartScale)
 			RenderTarget.AntialiasMode = SharpDX.Direct2D1.AntialiasMode.PerPrimitive;
 
 			if(DrawingState != DrawingState.Moving) {
-				Anchor.Price = GetInputPrice((int) Anchor.SlotIndex);
+				Anchor.Price = GetPrice((int) Anchor.SlotIndex);
 			}
 
 			ChartPanel panel = chartControl.ChartPanels[chartScale.PanelIndex];
@@ -279,7 +359,7 @@ public override void OnRender(ChartControl chartControl, ChartScale chartScale)
 			);
 
 			if(DrawingState == DrawingState.Normal && (
-				InputPrice != calculatedInputPrice ||
+				PriceSourceInput != calculatedPriceSource ||
 				StartBar != (int)Anchor.SlotIndex ||
 				EndBar != ChartBars.ToIndex
 			)) {
@@ -297,6 +377,8 @@ private void RenderVWAP(ChartControl chartControl, ChartScale chartScale) {
 			for(int i = StartBar + 1; i < EndBar; i++) {
 				if(!vwap.ContainsKey(i - 1)) continue;
 				if(i > ChartBars.ToIndex) break;
+				
+				// Render VWAP line
 				SharpDX.Vector2 startPoint = new SharpDX.Vector2(
 					chartControl.GetXByBarIndex(ChartBars, i - 1),
 					chartScale.GetYByValue(vwap[i - 1])
@@ -306,19 +388,92 @@ private void RenderVWAP(ChartControl chartControl, ChartScale chartScale) {
 					chartScale.GetYByValue(vwap[i])
 				);
 				RenderTarget.DrawLine(startPoint, endPoint, Stroke.BrushDX, Stroke.Width, Stroke.StrokeStyle);
+
+				// Render First Standard Deviation Bands
+				if(ShowFirstBands && upperBand1.ContainsKey(i - 1) && upperBand1.ContainsKey(i) && lowerBand1.ContainsKey(i - 1) && lowerBand1.ContainsKey(i)) {
+					// Upper Band 1
+					SharpDX.Vector2 startUpperBand1 = new SharpDX.Vector2(
+						chartControl.GetXByBarIndex(ChartBars, i - 1),
+						chartScale.GetYByValue(upperBand1[i - 1])
+					);
+					SharpDX.Vector2 endUpperBand1 = new SharpDX.Vector2(
+						chartControl.GetXByBarIndex(ChartBars, i),
+						chartScale.GetYByValue(upperBand1[i])
+					);
+					RenderTarget.DrawLine(startUpperBand1, endUpperBand1, UpperBand1Stroke.BrushDX, UpperBand1Stroke.Width, UpperBand1Stroke.StrokeStyle);
+
+					// Lower Band 1
+					SharpDX.Vector2 startLowerBand1 = new SharpDX.Vector2(
+						chartControl.GetXByBarIndex(ChartBars, i - 1),
+						chartScale.GetYByValue(lowerBand1[i - 1])
+					);
+					SharpDX.Vector2 endLowerBand1 = new SharpDX.Vector2(
+						chartControl.GetXByBarIndex(ChartBars, i),
+						chartScale.GetYByValue(lowerBand1[i])
+					);
+					RenderTarget.DrawLine(startLowerBand1, endLowerBand1, LowerBand1Stroke.BrushDX, LowerBand1Stroke.Width, LowerBand1Stroke.StrokeStyle);
+				}
+
+				// Render Second Standard Deviation Bands
+				if(ShowSecondBands && upperBand2.ContainsKey(i - 1) && upperBand2.ContainsKey(i) && lowerBand2.ContainsKey(i - 1) && lowerBand2.ContainsKey(i)) {
+					// Upper Band 2
+					SharpDX.Vector2 startUpperBand2 = new SharpDX.Vector2(
+						chartControl.GetXByBarIndex(ChartBars, i - 1),
+						chartScale.GetYByValue(upperBand2[i - 1])
+					);
+					SharpDX.Vector2 endUpperBand2 = new SharpDX.Vector2(
+						chartControl.GetXByBarIndex(ChartBars, i),
+						chartScale.GetYByValue(upperBand2[i])
+					);
+					RenderTarget.DrawLine(startUpperBand2, endUpperBand2, UpperBand2Stroke.BrushDX, UpperBand2Stroke.Width, UpperBand2Stroke.StrokeStyle);
+
+					// Lower Band 2
+					SharpDX.Vector2 startLowerBand2 = new SharpDX.Vector2(
+						chartControl.GetXByBarIndex(ChartBars, i - 1),
+						chartScale.GetYByValue(lowerBand2[i - 1])
+					);
+					SharpDX.Vector2 endLowerBand2 = new SharpDX.Vector2(
+						chartControl.GetXByBarIndex(ChartBars, i),
+						chartScale.GetYByValue(lowerBand2[i])
+					);
+					RenderTarget.DrawLine(startLowerBand2, endLowerBand2, LowerBand2Stroke.BrushDX, LowerBand2Stroke.Width, LowerBand2Stroke.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(Name = "Price Source", Description = "Source for price calculation", Order = 1, GroupName = "Parameters")]
+		public PriceSource PriceSourceInput { get; set; }
 
-		[Display(ResourceType=typeof(Custom.Resource), Name = "Line", GroupName = "NinjaScriptGeneral", Order = 2)]
+		[Display(Name = "Show First Std Dev Bands", Description = "Show first standard deviation bands", Order = 2, GroupName = "Parameters")]
+		public bool ShowFirstBands { get; set; }
+
+		[Display(Name = "Show Second Std Dev Bands", Description = "Show second standard deviation bands", Order = 3, GroupName = "Parameters")]
+		public bool ShowSecondBands { get; set; }
+
+		[Display(Name = "First Std Dev Multiplier", Description = "Multiplier for first standard deviation", Order = 4, GroupName = "Parameters")]
+		public double FirstStdDev { get; set; }
+
+		[Display(Name = "Second Std Dev Multiplier", Description = "Multiplier for second standard deviation", Order = 5, GroupName = "Parameters")]
+		public double SecondStdDev { get; set; }
+
+		[Display(ResourceType=typeof(Custom.Resource), Name = "Line", GroupName = "NinjaScriptGeneral", Order = 10)]
 		public Stroke Stroke { get; set; }
+
+		[Display(Name = "Upper Band 1 Stroke", GroupName = "NinjaScriptGeneral", Order = 11)]
+		public Stroke UpperBand1Stroke { get; set; }
+
+		[Display(Name = "Lower Band 1 Stroke", GroupName = "NinjaScriptGeneral", Order = 12)]
+		public Stroke LowerBand1Stroke { get; set; }
+
+		[Display(Name = "Upper Band 2 Stroke", GroupName = "NinjaScriptGeneral", Order = 13)]
+		public Stroke UpperBand2Stroke { get; set; }
+
+		[Display(Name = "Lower Band 2 Stroke", GroupName = "NinjaScriptGeneral", Order = 14)]
+		public Stroke LowerBand2Stroke { get; set; }
 		#endregion
 	}
-	public enum InputPriceType { High, Low, Median };
 }

DrawingTools/FreeOrderFlow/FofRangeVolumeProfile.cs

@@ -1,3 +1,25 @@
+/*
+ * FofRangeVolumeProfile.cs
+ * Copyright (c) 2025 Roldão Rego Jr.
+ *
+ * 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:
+ *
+ * The above copyright notice and this permission notice shall be included in all
+ * copies or substantial portions of the Software.
+ *
+ * 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.
+ */
 #region Using declarations
 using System;
 using System.ComponentModel;

Indicators/FreeOrderFlow/FofCumulativeDelta.cs renamed to Indicators/FreeOrderFlow/FofAggressionDelta.cs

@@ -24,7 +24,7 @@
 //This namespace holds Indicators in this folder and is required. Do not change it.
 namespace NinjaTrader.NinjaScript.Indicators.FreeOrderFlow
 {
-	public class FofCumulativeDelta : Indicator
+	public class FofAggressionDelta : Indicator
 	{
 		private double buys;
 		private double sells;