/
Imbalances.cs
177 lines (149 loc) · 6.82 KB
/
Imbalances.cs
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using System;
using System.Collections.Generic;
namespace NinjaTrader.Custom.AddOns.OrderFlowBot.DataBar.Dependencies
{
public struct ImbalancePrice
{
public double Price;
public long Volume;
}
public class Imbalances
{
public List<ImbalancePrice> BidImbalances { get; set; }
public List<ImbalancePrice> AskImbalances { get; set; }
public List<ImbalancePrice> BidStackedImbalances { get; set; }
public List<ImbalancePrice> AskStackedImbalances { get; set; }
public bool HasBidStackedImbalances { get; set; }
public bool HasAskStackedImbalances { get; set; }
public Imbalances()
{
AskImbalances = new List<ImbalancePrice>();
BidImbalances = new List<ImbalancePrice>();
AskStackedImbalances = new List<ImbalancePrice>();
BidStackedImbalances = new List<ImbalancePrice>();
}
private bool IsValidBidImbalance(List<BidAskVolume> bidAskVolumes, int index, long validBidVolume, long validAskVolume, double imbalanceRatio)
{
long ask = bidAskVolumes[index - 1].AskVolume;
long bid = bidAskVolumes[index].BidVolume;
if (bid < validBidVolume || ask < validAskVolume)
{
return false;
}
// Diagonal calculations
if (ask == 0)
{
return bid >= imbalanceRatio;
}
return (double)bid / ask >= imbalanceRatio;
}
private bool IsValidAskImbalance(List<BidAskVolume> bidAskVolumes, int index, long validBidVolume, long validAskVolume, double imbalanceRatio)
{
long ask = bidAskVolumes[index].AskVolume;
long bid = bidAskVolumes[index + 1].BidVolume;
if (bid < validBidVolume || ask < validAskVolume)
{
return false;
}
// Diagonal calculations
if (bid == 0)
{
return ask >= imbalanceRatio;
}
return (double)ask / bid >= imbalanceRatio;
}
public void SetImbalances(List<BidAskVolume> bidAskVolumes, bool validBidAskVolumes)
{
if (!validBidAskVolumes)
return;
double imbalanceRatio = OrderFlowBotProperties.ImbalanceRatio;
long validBidVolume = OrderFlowBotProperties.ValidBidVolume;
long validAskVolume = OrderFlowBotProperties.ValidAskVolume;
List<ImbalancePrice> askImbalancePriceList = new List<ImbalancePrice>();
List<ImbalancePrice> bidImbalancePriceList = new List<ImbalancePrice>();
for (int i = 0; i < bidAskVolumes.Count; i++)
{
// This is high of bar. Can calculate ask, but not bid.
if (i == 0)
{
bool isValidAskImbalance = IsValidAskImbalance(bidAskVolumes, i, validBidVolume, validAskVolume, imbalanceRatio);
if (isValidAskImbalance)
{
askImbalancePriceList.Add(new ImbalancePrice
{
Price = bidAskVolumes[i].Price,
Volume = bidAskVolumes[i].AskVolume
});
}
}
// This is low of bar. Can calculate bid, but not ask.
else if (i == bidAskVolumes.Count - 1)
{
bool isValidBidImbalance = IsValidBidImbalance(bidAskVolumes, i, validBidVolume, validAskVolume, imbalanceRatio);
if (isValidBidImbalance)
{
bidImbalancePriceList.Add(new ImbalancePrice
{
Price = bidAskVolumes[i].Price,
Volume = bidAskVolumes[i].BidVolume
});
}
}
else
{
bool isValidAskImbalance = IsValidAskImbalance(bidAskVolumes, i, validBidVolume, validAskVolume, imbalanceRatio);
bool isValidBidImbalance = IsValidBidImbalance(bidAskVolumes, i, validBidVolume, validAskVolume, imbalanceRatio);
if (isValidAskImbalance)
{
askImbalancePriceList.Add(new ImbalancePrice
{
Price = bidAskVolumes[i].Price,
Volume = bidAskVolumes[i].AskVolume
});
}
if (isValidBidImbalance)
{
bidImbalancePriceList.Add(new ImbalancePrice
{
Price = bidAskVolumes[i].Price,
Volume = bidAskVolumes[i].BidVolume
});
}
}
}
SetStackedImbalances(bidImbalancePriceList, askImbalancePriceList);
this.BidImbalances = bidImbalancePriceList;
this.AskImbalances = askImbalancePriceList;
}
private void SetStackedImbalances(List<ImbalancePrice> bidImbalancePriceList, List<ImbalancePrice> askImbalancePriceList)
{
int stackedImbalance = OrderFlowBotProperties.StackedImbalance;
double tickSize = OrderFlowBotProperties.TickSize;
ProcessStackedImbalances(bidImbalancePriceList, stackedImbalance, tickSize, isBid: true);
ProcessStackedImbalances(askImbalancePriceList, stackedImbalance, tickSize, isBid: false);
}
private void ProcessStackedImbalances(List<ImbalancePrice> imbalancePriceList, int stackedImbalance, double tickSize, bool isBid)
{
List<ImbalancePrice> tempImbalanceList = new List<ImbalancePrice>();
for (int i = 0; i < imbalancePriceList.Count; i++)
{
tempImbalanceList.Add(imbalancePriceList[i]);
bool isLastItem = (i == imbalancePriceList.Count - 1);
bool isNextItemWithinTickSize = !isLastItem && Math.Abs(imbalancePriceList[i + 1].Price - imbalancePriceList[i].Price) <= tickSize;
if (!isNextItemWithinTickSize || isLastItem)
{
if (tempImbalanceList.Count >= stackedImbalance)
{
if (isBid)
this.BidStackedImbalances.AddRange(tempImbalanceList);
else
this.AskStackedImbalances.AddRange(tempImbalanceList);
}
tempImbalanceList.Clear();
}
}
this.HasBidStackedImbalances = BidStackedImbalances.Count > 0;
this.HasAskStackedImbalances = AskStackedImbalances.Count > 0;
}
}
}