swing high/low efs help

[budfoxx]

Can someone transfer this to efs. It is useful on ninja... but i use esignal. thanks!

//
//
//

#region Using declarations
using System;
using System.Collections;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.ComponentModel;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// The Swing indicator plots lines that represents the swing high and low points.
/// </summary>
[Description("The Swing indicator plots lines that represents the swing high and low points.")]
[Gui.Design.DisplayName("Swing (High/Low)")]
public class Swing : Indicator
{
#region Variables
private double currentSwingHigh = 0;
private double currentSwingLow = 0;
private ArrayList lastHighCache;
private double lastSwingHighValue = 0;
private ArrayList lastLowCache;
private double lastSwingLowValue = 0;
private int saveCurrentBar = -1;
private int strength = 5;
private DataSeries swingHighSeries;
private DataSeries swingHighSwings;
private DataSeries swingLowSeries;
private DataSeries swingLowSwings;
#endregion

/// <summary>
/// This method is used to configure the indicator and is called once before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
Add(new Plot(Color.Green, PlotStyle.Dot, "Swing high"));
Add(new Plot(Color.Orange, PlotStyle.Dot, "Swing low"));
Plots[0].Pen.Width = 2;
Plots[0].Pen.DashStyle = DashStyle.Dot;
Plots[1].Pen.Width = 2;
Plots[1].Pen.DashStyle = DashStyle.Dot;

lastHighCache = new ArrayList();
lastLowCache = new ArrayList();

swingHighSeries = new DataSeries(this);
swingHighSwings = new DataSeries(this);
swingLowSeries = new DataSeries(this);
swingLowSwings = new DataSeries(this);

DisplayInDataBox = false;
CalculateOnBarClose = true;
PaintPriceMarkers = false;
Overlay = true;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
if (saveCurrentBar != CurrentBar)
{
swingHighSwings.Set(0); // initializing important internal
swingLowSwings.Set(0); // initializing important internal

swingHighSeries.Set(0); // initializing important internal
swingLowSeries.Set(0); // initializing important internal

lastHighCache.Add(High[0]);
if (lastHighCache.Count > (2 * strength) + 1)
lastHighCache.RemoveAt(0);
lastLowCache.Add(Low[0]);
if (lastLowCache.Count > (2 * strength) + 1)
lastLowCache.RemoveAt(0);

if (lastHighCache.Count == (2 * strength) + 1)
{
bool isSwingHigh = true;
double swingHighCandidateValue = (double) lastHighCache[strength];
for (int i=0; i < strength; i++)
if ((double) lastHighCache[i] >= swingHighCandidateValue - double.Epsilon)
isSwingHigh = false;

for (int i=strength+1; i < lastHighCache.Count; i++)
if ((double) lastHighCache[i] > swingHighCandidateValue - double.Epsilon)
isSwingHigh = false;

swingHighSwings.Set(strength, isSwingHigh ? swingHighCandidateValue : 0.0);
if (isSwingHigh)
lastSwingHighValue = swingHighCandidateValue;

if (isSwingHigh)
{
currentSwingHigh = swingHighCandidateValue;
for (int i=0; i <= strength; i++)
SwingHighPlot.Set(i, currentSwingHigh);
}
else if (High[0] > currentSwingHigh)
{
currentSwingHigh = 0.0;
SwingHighPlot.Reset();
}
else
SwingHighPlot.Set(currentSwingHigh);

if (isSwingHigh)
{
for (int i=0; i<=strength; i++)
swingHighSeries.Set(i, lastSwingHighValue);
}
else
{
swingHighSeries.Set(lastSwingHighValue);
}
}

if (lastLowCache.Count == (2 * strength) + 1)
{
bool isSwingLow = true;
double swingLowCandidateValue = (double) lastLowCache[strength];
for (int i=0; i < strength; i++)
if ((double) lastLowCache[i] <= swingLowCandidateValue + double.Epsilon)
isSwingLow = false;

for (int i=strength+1; i < lastLowCache.Count; i++)
if ((double) lastLowCache[i] < swingLowCandidateValue + double.Epsilon)
isSwingLow = false;

swingLowSwings.Set(strength, isSwingLow ? swingLowCandidateValue : 0.0);
if (isSwingLow)
lastSwingLowValue = swingLowCandidateValue;

if (isSwingLow)
{
currentSwingLow = swingLowCandidateValue;
for (int i=0; i <= strength; i++)
SwingLowPlot.Set(i, currentSwingLow);
}
else if (Low[0] < currentSwingLow)
{
currentSwingLow = double.MaxValue;
SwingLowPlot.Reset();
}
else
SwingLowPlot.Set(currentSwingLow);

if (isSwingLow)
{
for (int i=0; i<=strength; i++)
swingLowSeries.Set(i, lastSwingLowValue);
}
else
{
swingLowSeries.Set(lastSwingLowValue);
}
}

saveCurrentBar = CurrentBar;
}
else
{
if (High[0] > High[strength] && swingHighSwings[strength] > 0.0)
{
swingHighSwings.Set(strength, 0.0);
for (int i=0; i<=strength; i++)
SwingHighPlot.Reset(i);
currentSwingHigh = 0.0;
}
else if (High[0] > High[strength] && currentSwingHigh != 0.0)
{
SwingHighPlot.Reset();
currentSwingHigh = 0.0;
}
else if (High[0] <= currentSwingHigh)
SwingHighPlot.Set(currentSwingHigh);

if (Low[0] < Low[strength] && swingLowSwings[strength] > 0.0)
{
swingLowSwings.Set(strength, 0.0);
for (int i=0; i<=strength; i++)
SwingLowPlot.Reset(i);
currentSwingLow = double.MaxValue;
}
else if (Low[0] < Low[strength] && currentSwingLow != double.MaxValue)
{
SwingLowPlot.Reset();
currentSwingLow = double.MaxValue;
}
else if (Low[0] >= currentSwingLow)
SwingLowPlot.Set(currentSwingLow);
}
}

#region Functions
/// <summary>
/// Returns the number of bars ago a swing low occurred. Returns a value of -1 if a swing low is not found within the look back period.
/// </summary>
/// <param name="barsAgo"></param>
/// <param name="instance"></param>
/// <param name="lookBackPeriod"></param>
/// <returns></returns>
public int SwingLowBar(int barsAgo, int instance, int lookBackPeriod)
{
if (instance < 1)
throw new Exception(GetType().Name + ".SwingLowBar: instance must be greater/equal 1 but was " + instance);
else if (barsAgo < 0)
throw new Exception(GetType().Name + ".SwingLowBar: barsAgo must be greater/equal 0 but was " + barsAgo);
else if (barsAgo >= Count)
throw new Exception(GetType().Name + ".SwingLowBar: barsAgo out of valid range 0 through " + (Count - 1) + ", was " + barsAgo + ".");

Update();

for (int idx=CurrentBar - barsAgo - strength; idx >= CurrentBar - barsAgo - strength - lookBackPeriod; idx--)
{
if (idx < 0)
return -1;
if (idx >= swingLowSwings.Count)
continue;

if (swingLowSwings.Get(idx).Equals(0.0))
continue;

if (instance == 1) // 1-based, < to be save
return CurrentBar - idx;

instance--;
}

return -1;
}

/// <summary>
/// Returns the number of bars ago a swing high occurred. Returns a value of -1 if a swing high is not found within the look back period.
/// </summary>
/// <param name="barsAgo"></param>
/// <param name="instance"></param>
/// <param name="lookBackPeriod"></param>
/// <returns></returns>
public int SwingHighBar(int barsAgo, int instance, int lookBackPeriod)
{
if (instance < 1)
throw new Exception(GetType().Name + ".SwingHighBar: instance must be greater/equal 1 but was " + instance);
else if (barsAgo < 0)
throw new Exception(GetType().Name + ".SwingHighBar: barsAgo must be greater/equal 0 but was " + barsAgo);
else if (barsAgo >= Count)
throw new Exception(GetType().Name + ".SwingHighBar: barsAgo out of valid range 0 through " + (Count - 1) + ", was " + barsAgo + ".");

Update();

for (int idx=CurrentBar - barsAgo - strength; idx >= CurrentBar - barsAgo - strength - lookBackPeriod; idx--)
{
if (idx < 0)
return -1;
if (idx >= swingHighSwings.Count)
continue;

if (swingHighSwings.Get(idx).Equals(0.0))
continue;

if (instance <= 1) // 1-based, < to be save
return CurrentBar - idx;

instance--;
}


return -1;
}

#endregion

#region Properties
[Description("Number of bars required on each side of the swing point.")]
[Category("Parameters")]
public int Strength
{
get { return strength; }
set { strength = Math.Max(1, value); }
}

/// <summary>
/// Gets the high swings.
/// </summary>
[Browsable(false)]
[XmlIgnore()]
public DataSeries SwingHigh
{
get
{
Update();
return swingHighSeries;
}
}

private DataSeries SwingHighPlot
{
get
{
Update();
return Values[0];
}
}

/// <summary>
/// Gets the low swings.
/// </summary>
[Browsable(false)]
[XmlIgnore()]
public DataSeries SwingLow
{
get
{
Update();
return swingLowSeries;
}
}

private DataSeries SwingLowPlot
{
get
{
Update();
return Values[1];
}
}

#endregion
}
}

#region NinjaScript generated code. Neither change nor remove.
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
public partial class Indicator : IndicatorBase
{
private Swing[] cacheSwing = null;

private static Swing checkSwing = new Swing();

/// <summary>
/// The Swing indicator plots dashed high lines and dashed low lines of a given strength (number of bars left and right).
/// </summary>
/// <returns></returns>
public Swing Swing(int strength)
{
return Swing(Input, strength);
}

/// <summary>
/// The Swing indicator plots dashed high lines and dashed low lines of a given strength (number of bars left and right).
/// </summary>
/// <returns></returns>
public Swing Swing(Data.IDataSeries input, int strength)
{
checkSwing.Strength = strength;
strength = checkSwing.Strength;

if (cacheSwing != null)
for (int idx = 0; idx < cacheSwing.Length; idx++)
if (cacheSwing[idx].Strength == strength && cacheSwing[idx].EqualsInput(input))
return cacheSwing[idx];

Swing indicator = new Swing();
indicator.CalculateOnBarClose = CalculateOnBarClose;
indicator.Input = input;
indicator.Strength = strength;
indicator.SetUp();

Swing[] tmp = new Swing[cacheSwing == null ? 1 : cacheSwing.Length + 1];
if (cacheSwing != null)
cacheSwing.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheSwing = tmp;
Indicators.Add(indicator);

return indicator;
}

}
}

// This namespace holds all market analyzer column definitions and is required. Do not change it.
namespace NinjaTrader.MarketAnalyzer
{
public partial class Column : ColumnBase
{
/// <summary>
/// The Swing indicator plots dashed high lines and dashed low lines of a given strength (number of bars left and right).
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.Swing Swing(int strength)
{
return _indicator.Swing(Input, strength);
}

/// <summary>
/// The Swing indicator plots dashed high lines and dashed low lines of a given strength (number of bars left and right).
/// </summary>
/// <returns></returns>
public Indicator.Swing Swing(Data.IDataSeries input, int strength)
{
return _indicator.Swing(input, strength);
}

}
}

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
/// <summary>
/// The Swing indicator plots dashed high lines and dashed low lines of a given strength (number of bars left and right).
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.Swing Swing(int strength)
{
return _indicator.Swing(Input, strength);
}

/// <summary>
/// The Swing indicator plots dashed high lines and dashed low lines of a given strength (number of bars left and right).
/// </summary>
/// <returns></returns>
public Indicator.Swing Swing(Data.IDataSeries input, int strength)
{
if (InInitialize && input == null)
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");

return _indicator.Swing(input, strength);
}

}
}
#endregion

[Guest]

Hi budfoxx,

Did you look at the RealTimeSwings.efs from 2004 that Jason wrote. At first glance the code you posted looks very similar to the efs in this link.

Hope this helps.