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Exporter.cs
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#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.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.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
using System.IO;
#endregion
//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
/// <summary>
/// Strategy to write data to disk for analysis via ML
/// </summary>
public class Exporter : Strategy
{
#region Variables
private ParabolicSAR ParabolicSAR1;
private StreamWriter sw;
private bool priorCloseHigher = false;
private int trendSequence = 1;
private TimeSpan startTime;
private TimeSpan endTime;
#endregion // variables
#region Private methods
/// <summary>
/// Determines if it is currently trading time based on the specified start and end times.
/// </summary>
/// <returns><c>true</c> if it is trading time; otherwise, <c>false</c>.</returns>
private bool IsTradingTime()
{
var result = true;
var barTimestamp = Time[0].Hour * 60 + Time[0].Minute;
var startTimestamp = Start_Time.Hour * 60 + Start_Time.Minute;
var endTimestamp = End_Time.Hour * 60 + End_Time.Minute;
var isNoTradingTime = (barTimestamp < startTimestamp || barTimestamp >= endTimestamp) && Enable_Time;
if (isNoTradingTime)
{
result = false;
}
return result;
}
private void WriteHeader(StreamWriter writer)
{
if (writer != null)
{
writer.WriteLine("barcount," +
"date," +
"open,"+
"high,"+
"low,"+
"close,"+
"volume,"+
"higherclose,"+
"reversal,"+
"trendsequence," +
"adl,"+
"adx," +
"adxr,"+
"apz_lower,"+
"apz_upper,"+
"aroonoscillator,"+
"atr,"+
"bollinger_lower,"+
"bollinger_middle,"+
"bollinger_upper,"+
"bop,"+
"camarilla_r1,"+
"camarilla_r2,"+
"camarilla_r3,"+
"camarilla_r4,"+
"camarilla_s1,"+
"camarilla_s2,"+
"camarilla_s3,"+
"camarilla_s4,"+
"cci,"+
"chaikinmoneyflow,"+
"chaikinoscillator,"+
"chaikinvolatility,"+
"choppinessindex,"+
"cmo,"+
"currentday_open,"+
"currentday_low,"+
"currentday_high,"+
"disparityindex,"+
"dm_diplus,"+
"dm_diminus,"+
"dmi,"+
"dmindex,"+
"donchian_lower,"+
"donchian_mean,"+
"donchian_upper,"+
"doublestochastics_k,"+
"easeofmovement,"+
"fibonacci_pp,"+
"fibonacci_r1,"+
"fibonacci_r2,"+
"fibonacci_r3,"+
"fibonacci_s1,"+
"fibonacci_s2,"+
"fibonacci_s3,"+
"fisherstransform,"+
"fosc,"+
"kama,"+
"keltner_lower,"+
"keltner_mean,"+
"keltner_upper,"+
"linreg,"+
"linregintercept,"+
"linregslope,"+
"macd,"+
"macd_avg,"+
"macd_diff,"+
"mama_default,"+
"mama_kama,"+
"mfi,"+
"momentum,"+
"moneyflowoscillator,"+
"orderflowcumulativedelta_deltaopen,"+
"orderflowcumulativedelta_deltaclose,"+
"orderflowcumulativedelta_deltahigh,"+
"orderflowcumulativedelta_deltalow,"+
"orderflowvwap_vwap,"+
"orderflowvwap_s1_lower,"+
"orderflowvwap_s1_higher,"+
"orderflowvwap_s2_lower,"+
"orderflowvwap_s2_higher,"+
"orderflowvwap_s3_lower,"+
"orderflowvwap_s3_higher,"+
"parabolic_sar,"+
"pfe,"+
"ppo,"+
"priceoscillator,"+
"psychologicalline,"+
"rsquared,"+
"relativevigorindex,"+
"rind,"+
"roc,"+
"rsi,"+
"rsi_avg,"+
"rss,"+
"rvi,"+
"stddev,"+
"stochrsi,"+
"stochastics_d,"+
"stochastics_k,"+
"stochasticsfast_d,"+
"stochasticsfast_k,"+
"trix,"+
"trix_signal,"+
"tsf,"+
"tsi,"+
"ultimateoscillator,"+
"vortex_viplus,"+
"vortex_viminus,"+
"volma,"+
"volume_oscillator,"+
"vroc,"+
"williamsr,"+
"wisemanawesomeoscillator,"+
"woodiescci,"+
"woodiescci_turbo,"+
"woodiespivot_pp,"+
"woodiespivot_r1,"+
"woodiespivot_r2,"+
"woodiespivot_s1,"+
"woodiespivot_s2"
);
}
}
/// <summary>
/// Calculates the percentage difference between the base price and the indicator price.
/// </summary>
/// <param name="basePrice">The base price.</param>
/// <param name="indPrice">The indicator price.</param>
/// <param name="intPrecision">The precision of the calculated percentage.</param>
/// <returns>The calculated percentage difference.</returns>
public static double CalculatePricePCT(double basePrice, double indPrice, int intPrecision)
{
if (basePrice == 0)
{
throw new ArgumentException("basePrice cannot be zero.");
}
double difference = indPrice - basePrice;
double percentageDifference = (difference / basePrice) * 100;
return Math.Round(percentageDifference, intPrecision);
}
#endregion // Private methods
#region Main methods
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Exporter";
Name = "Exporter";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.Infinite;
OrderFillResolution = OrderFillResolution.High;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
Enable_Time = false;
outputPath = "C:\\Temp";
outputFile = null;
}
// Necessary to call in order to clean up resources used by the StreamWriter object
else if(State == State.Terminated)
{
if (sw != null)
{
sw.Close();
sw.Dispose();
sw = null;
}
}
else if (State == State.Configure)
{
}
else if (State == State.DataLoaded)
{
// Check if outputFile is null or empty
if (string.IsNullOrEmpty(outputFile))
{
// Create a default file name based on the current date and time
string timestamp = DateTime.Now.ToString("yyyyMMddHHmmss");
outputFile = $"{Instrument.FullName.Replace(" ", "").Replace("-", "")}_{timestamp}.csv";
}
// Combine the outputPath and outputFile to create the full file path
string fullPath = Path.Combine(outputPath, outputFile);
// Check if the file exists
if (!File.Exists(fullPath))
{
// Create the file and write the header
using (StreamWriter sw = File.CreateText(fullPath))
{
WriteHeader(sw);
}
}
else
{
// Check if the file is empty
if (new FileInfo(fullPath).Length == 0)
{
using (StreamWriter sw = File.AppendText(fullPath))
{
WriteHeader(sw);
}
}
}
//leave writer open for append
sw = File.AppendText(fullPath);
}
}
protected override void OnBarUpdate()
{
if (!IsTradingTime()) return;
if (CurrentBars[0] < BarsRequiredToTrade) return;
bool closehigher = false;
if(Close[0] > Close[1])
closehigher = true;
else
closehigher = false;
bool reversal = false;
if (priorCloseHigher != closehigher)
{
trendSequence = 1;
reversal = true;
}
else
trendSequence++;
priorCloseHigher = closehigher;
sw.WriteLine(
CurrentBar.ToString() + "," +
Time[0].ToString("yyyy-MM-dd HH:mm:ss.fff") + "," +
Open[0].ToString() + "," +
High[0].ToString() + "," +
Low[0].ToString() + "," +
Close[0].ToString() + "," +
Volume[0].ToString() + "," +
closehigher.ToString() + "," +
reversal.ToString() + "," +
trendSequence.ToString() + "," +
ADL().AD[0].ToString() + "," +
Math.Round(ADX(14)[0],0).ToString() + "," +
Math.Round(ADXR(10,14)[0],0).ToString() + "," +
CalculatePricePCT(Close[0],APZ(2,20).Lower[0],3) + "," +
CalculatePricePCT(Close[0],APZ(2,20).Upper[0],3) + "," +
Math.Round(AroonOscillator(14)[0],0).ToString()+ "," +
Math.Round(ATR(14)[0],1).ToString() + "," +
CalculatePricePCT(Close[0],Bollinger(2,14).Lower[0],3) + "," +
CalculatePricePCT(Close[0],Bollinger(2,14)[0],3) + "," +
CalculatePricePCT(Close[0],Bollinger(2,14).Upper[0],3) + "," +
Math.Round(BOP(14)[0],3).ToString() + "," +
CalculatePricePCT(Close[0],CamarillaPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0, 0, 0, 20).R1[0],3) + "," +
CalculatePricePCT(Close[0],CamarillaPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0, 0, 0, 20).R2[0],3) + "," +
CalculatePricePCT(Close[0],CamarillaPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0, 0, 0, 20).R3[0],3) + "," +
CalculatePricePCT(Close[0],CamarillaPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0, 0, 0, 20).R4[0],3) + "," +
CalculatePricePCT(Close[0],CamarillaPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0, 0, 0, 20).S1[0],3) + "," +
CalculatePricePCT(Close[0],CamarillaPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0, 0, 0, 20).S2[0],3) + "," +
CalculatePricePCT(Close[0],CamarillaPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0, 0, 0, 20).S3[0],3) + "," +
CalculatePricePCT(Close[0],CamarillaPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0, 0, 0, 20).S4[0],3) + "," +
Math.Round(CCI(14)[0],0).ToString() + "," +
Math.Round(ChaikinMoneyFlow(21)[0],0).ToString() + "," +
Math.Round(ChaikinOscillator(3,10)[0],0).ToString() + "," +
Math.Round(ChaikinVolatility(10,10)[0],0).ToString() + "," +
Math.Round(ChoppinessIndex(14)[0],0).ToString() + "," +
Math.Round(CMO(14)[0],0).ToString()+ "," +
CalculatePricePCT(Close[0],CurrentDayOHL().CurrentOpen[0],3)+ "," +
CalculatePricePCT(Close[0],CurrentDayOHL().CurrentLow[0],3)+ "," +
CalculatePricePCT(Close[0],CurrentDayOHL().CurrentHigh[0],3)+ "," +
Math.Round(DisparityIndex(25)[0],3).ToString() + "," +
Math.Round(DM(14).DiPlus[0],0).ToString() + "," +
Math.Round(DM(14).DiMinus[0],0).ToString() + "," +
Math.Round(DMI(14)[0],0).ToString() + "," +
Math.Round(DMIndex(3)[0],0).ToString() + "," +
CalculatePricePCT(Close[0],DonchianChannel(14).Lower[0],3) + "," +
CalculatePricePCT(Close[0],DonchianChannel(14)[0],3) + "," +
CalculatePricePCT(Close[0],DonchianChannel(14).Upper[0],3) + "," +
Math.Round(DoubleStochastics(10).K[0],0).ToString() + "," +
Math.Round(EaseOfMovement(10,1000)[0],0).ToString() + "," +
CalculatePricePCT(Close[0],FibonacciPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0,0,0,20).Pp[0],3) + "," +
CalculatePricePCT(Close[0],FibonacciPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0,0,0,20).R1[0],3) + "," +
CalculatePricePCT(Close[0],FibonacciPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0,0,0,20).R2[0],3) + "," +
CalculatePricePCT(Close[0],FibonacciPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0,0,0,20).R3[0],3) + "," +
CalculatePricePCT(Close[0],FibonacciPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0,0,0,20).S1[0],3) + "," +
CalculatePricePCT(Close[0],FibonacciPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0,0,0,20).S2[0],3) + "," +
CalculatePricePCT(Close[0],FibonacciPivots(PivotRange.Daily,HLCCalculationMode.CalcFromIntradayData,0,0,0,20).S3[0],3) + "," +
Math.Round(FisherTransform(10)[0],1).ToString() + "," +
Math.Round(FOSC(14)[0],2).ToString() + "," +
CalculatePricePCT(Close[0],KAMA(2,10,30)[0],3) + "," +
CalculatePricePCT(Close[0],KeltnerChannel(1.5,10).Lower[0],3) + "," +
CalculatePricePCT(Close[0],KeltnerChannel(1.5,10)[0],3) + "," +
CalculatePricePCT(Close[0],KeltnerChannel(1.5,10).Upper[0],3) + "," +
CalculatePricePCT(Close[0],LinReg(14)[0],3) + "," +
CalculatePricePCT(Close[0],LinRegIntercept(14)[0],3) + "," +
Math.Round(LinRegSlope(14)[0],1).ToString() + "," +
Math.Round(MACD(12,26,9)[0],1).ToString() + "," +
Math.Round(MACD(12,26,9).Avg[0],1).ToString() + "," +
Math.Round(MACD(12,26,9).Diff[0],1).ToString() + "," +
CalculatePricePCT(Close[0],MAMA(0.5,0.05).Default[0],3) + "," +
CalculatePricePCT(Close[0],MAMA(0.5,0.05).Fama[0],3) + "," +
Math.Round(MFI(14)[0],0).ToString() + "," +
Math.Round(Momentum(14)[0],0).ToString() + "," +
Math.Round(MoneyFlowOscillator(20)[0],2).ToString() + "," +
OrderFlowCumulativeDelta(CumulativeDeltaType.BidAsk,CumulativeDeltaPeriod.Bar,0).DeltaOpen[0].ToString() + "," +
OrderFlowCumulativeDelta(CumulativeDeltaType.BidAsk,CumulativeDeltaPeriod.Bar,0).DeltaClose[0].ToString() + "," +
OrderFlowCumulativeDelta(CumulativeDeltaType.BidAsk,CumulativeDeltaPeriod.Bar,0).DeltaHigh[0].ToString() + "," +
OrderFlowCumulativeDelta(CumulativeDeltaType.BidAsk,CumulativeDeltaPeriod.Bar,0).DeltaLow[0].ToString() + "," +
CalculatePricePCT(Close[0],OrderFlowVWAP(VWAPResolution.Standard,Bars.TradingHours,VWAPStandardDeviations.Three,1,2,3).VWAP[0],3) + "," +
CalculatePricePCT(Close[0],OrderFlowVWAP(VWAPResolution.Standard,Bars.TradingHours,VWAPStandardDeviations.Three,1,2,3).StdDev1Lower[0],3) + "," +
CalculatePricePCT(Close[0],OrderFlowVWAP(VWAPResolution.Standard,Bars.TradingHours,VWAPStandardDeviations.Three,1,2,3).StdDev1Upper[0],3) + "," +
CalculatePricePCT(Close[0],OrderFlowVWAP(VWAPResolution.Standard,Bars.TradingHours,VWAPStandardDeviations.Three,1,2,3).StdDev2Lower[0],3) + "," +
CalculatePricePCT(Close[0],OrderFlowVWAP(VWAPResolution.Standard,Bars.TradingHours,VWAPStandardDeviations.Three,1,2,3).StdDev2Upper[0],3) + "," +
CalculatePricePCT(Close[0],OrderFlowVWAP(VWAPResolution.Standard,Bars.TradingHours,VWAPStandardDeviations.Three,1,2,3).StdDev3Lower[0],3) + "," +
CalculatePricePCT(Close[0],OrderFlowVWAP(VWAPResolution.Standard,Bars.TradingHours,VWAPStandardDeviations.Three,1,2,3).StdDev3Upper[0],3) + "," +
CalculatePricePCT(Close[0],ParabolicSAR(0.02,0.2,0.02)[0],3) + "," +
Math.Round(PFE(14,10)[0],2).ToString() + "," +
Math.Round(PPO(12,26,9).Smoothed[0],3).ToString() + "," +
Math.Round(PriceOscillator(12,26,9)[0],1).ToString() + "," +
PsychologicalLine(10)[0].ToString() + "," +
Math.Round(RSquared(8)[0],2).ToString() + "," +
Math.Round(RelativeVigorIndex(10)[0],2).ToString() + "," +
Math.Round(RIND(3,10)[0],0).ToString() + "," +
Math.Round(ROC(14)[0],2).ToString() + "," +
Math.Round(RSI(14,3)[0],0).ToString() + "," +
Math.Round(RSI(14,3).Avg[0],0).ToString() + "," +
Math.Round(RSS(10,40,5)[0],0).ToString() + "," +
Math.Round(RVI(14)[0],0).ToString() + "," +
Math.Round(StdDev(14)[0],1).ToString() + "," +
Math.Round(StochRSI(14)[0],2).ToString() + "," +
Math.Round(Stochastics(7,14,3).D[0],0).ToString() + "," +
Math.Round(Stochastics(7,14,3).K[0],0).ToString() + "," +
Math.Round(StochasticsFast(3,14).D[0],0).ToString() + "," +
Math.Round(StochasticsFast(3,14).K[0],0).ToString() + "," +
Math.Round(TRIX(14,3)[0],4).ToString() + "," +
Math.Round(TRIX(14,3).Signal[0],4).ToString() + "," +
CalculatePricePCT(Close[0],TSF(3,14)[0],3) + "," +
Math.Round(TSI(3,14)[0],0).ToString() + "," +
Math.Round(UltimateOscillator(7,14,28)[0],0).ToString() + "," +
Math.Round(Vortex(14).VIPlus[0],1).ToString() + "," +
Math.Round(Vortex(14).VIMinus[0],1).ToString() + "," +
Math.Round(VOLMA(14)[0],0).ToString() + "," +
Math.Round(VolumeOscillator(12,26)[0],0).ToString() + "," +
Math.Round(VROC(14,3)[0],0).ToString() + "," +
Math.Round(WilliamsR(14)[0],0).ToString() + "," +
Math.Round(WisemanAwesomeOscillator()[0],1).ToString() + "," +
Math.Round(WoodiesCCI(2,5,14,34,25,6,60,100,2)[0],0).ToString() + "," +
Math.Round(WoodiesCCI(2,5,14,34,25,6,60,100,2).Turbo[0],0).ToString() + "," +
CalculatePricePCT(Close[0],WoodiesPivots(HLCCalculationModeWoodie.CalcFromIntradayData,20).PP[0],3) + "," +
CalculatePricePCT(Close[0],WoodiesPivots(HLCCalculationModeWoodie.CalcFromIntradayData,20).R1[0],3) + "," +
CalculatePricePCT(Close[0],WoodiesPivots(HLCCalculationModeWoodie.CalcFromIntradayData,20).R2[0],3) + "," +
CalculatePricePCT(Close[0],WoodiesPivots(HLCCalculationModeWoodie.CalcFromIntradayData,20).S1[0],3) + "," +
CalculatePricePCT(Close[0],WoodiesPivots(HLCCalculationModeWoodie.CalcFromIntradayData,20).S2[0],3)
); // Append a new line to the file
//sw.Close(); // Close the file to allow future calls to access the file again.
}
#endregion // Main methods
#region Properties
[Display(Name="Output path", Description="e.g. c:\\temp",Order=1,GroupName="Output")]
public string outputPath
{get; set;}
[Display(Name="Output file", Description="e.g. output.csv",Order=2,GroupName="Output")]
public string outputFile
{get; set;}
[NinjaScriptProperty]
[Display(Name="Enable Time Filter", Description="Enable time filter", Order = 1, GroupName="Filters")]
public bool Enable_Time
{ get; set; }
[Gui.PropertyEditor("NinjaTrader.Gui.Tools.TimeEditorKey")]
[Display(Name="Start Time", Description="Start time", Order = 3, GroupName="Filters")]
public DateTime Start_Time { get; set; }
[Gui.PropertyEditor("NinjaTrader.Gui.Tools.TimeEditorKey")]
[Display(Name="End Time", Description="End time", Order = 4, GroupName="Filters")]
public DateTime End_Time { get; set; }
#endregion // Properties
}
}