NinjaTrader 8 - Power VWAP Indicator

PowerVWAP.cs

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators
{
	public class PowerVWAP : Indicator
	{
		private Series<double> cumVol;
		private Series<double> cumPV;

		protected override void OnStateChange()
		{
			if (State == State.SetDefaults)
			{
				Description									= @"Display VWAP";
				Name										= "Power VWAP";
				Calculate									= Calculate.OnBarClose;
				IsOverlay									= true;
				DisplayInDataBox							= true;
				DrawOnPricePanel							= true;
				ScaleJustification							= NinjaTrader.Gui.Chart.ScaleJustification.Right;
				//Disable this property if your indicator requires custom values that cumulate with each new market data event.
				//See Help Guide for additional information.
				IsSuspendedWhileInactive					= true;
				AddPlot(Brushes.Magenta, "VWAP");
			}
			else if (State == State.DataLoaded)
			{
				cumVol = new Series<double>(this);
				cumPV = new Series<double>(this);
			} else if (State == State.Historical) {
				// Displays a message if the bartype is not intraday
				if (!Bars.BarsType.IsIntraday)
				{
					Draw.TextFixed(this, "NinjaScriptInfo", "Power VWAP Indicator only supports Intraday charts", TextPosition.BottomRight);
					Log("Power VWAP only supports Intraday charts", LogLevel.Error);
				}
			}
		}

		protected override void OnBarUpdate()
		{
			if(Bars.IsFirstBarOfSession)
			{
				if(CurrentBar > 0) Values[0].Reset(1);
				cumVol[1] = 0;
				cumPV[1] = 0;
			}

			cumPV[0] = cumPV[1] + (Typical[0] * Volume[0]);
			cumVol[0] = cumVol[1] + Volume[0];

			// plot VWAP value
			Values[0][0] = cumPV[0] / (cumVol[0] == 0 ? 1 : cumVol[0]);
		}
	}
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
	public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
	{
		private PowerVWAP[] cachePowerVWAP;
		public PowerVWAP PowerVWAP()
		{
			return PowerVWAP(Input);
		}

		public PowerVWAP PowerVWAP(ISeries<double> input)
		{
			if (cachePowerVWAP != null)
				for (int idx = 0; idx < cachePowerVWAP.Length; idx++)
					if (cachePowerVWAP[idx] != null &&  cachePowerVWAP[idx].EqualsInput(input))
						return cachePowerVWAP[idx];
			return CacheIndicator<PowerVWAP>(new PowerVWAP(), input, ref cachePowerVWAP);
		}
	}
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
	public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
	{
		public Indicators.PowerVWAP PowerVWAP()
		{
			return indicator.PowerVWAP(Input);
		}

		public Indicators.PowerVWAP PowerVWAP(ISeries<double> input )
		{
			return indicator.PowerVWAP(input);
		}
	}
}

namespace NinjaTrader.NinjaScript.Strategies
{
	public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
	{
		public Indicators.PowerVWAP PowerVWAP()
		{
			return indicator.PowerVWAP(Input);
		}

		public Indicators.PowerVWAP PowerVWAP(ISeries<double> input )
		{
			return indicator.PowerVWAP(input);
		}
	}
}

#endregion