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NegativeVolumeIndex

Summary

Dysart's Negative Volume Index assumes that the smart money is active on days when volume decreases and the not-so-smart money is active on days when volume increases (measured by the Positive Volume Index).

Signature 

1
public abstract interface NegativeVolumeIndex

Namespace

cAlgo.API.Indicators

Examples

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 private NegativeVolumeIndex _negativeVolume;
 [Parameter]
 public DataSeries Source { get; set; }
 [Output("Main")]
 public IndicatorDataSeries Result { get; set; }
 protected override void Initialize()
 {
    _negativeVolume = Indicators.NegativeVolumeIndex(Source);
 }
 public override void Calculate(int index)
 {
    // Display Result of Indicator
    Result[index] = _negativeVolume.Result[index];
 }

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 using cAlgo.API;
 using cAlgo.API.Indicators;
 namespace cAlgo.Robots
 {
     // This sample cBot shows how to use the Positive/Negative Volume Index indicators
     [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
     public class VolumeIndexSample : Robot
     {
         private double _volumeInUnits;
         private PositiveVolumeIndex _positiveVolumeIndex;
         private NegativeVolumeIndex _negativeVolumeIndex;
         private SimpleMovingAverage _simpleMovingAverage;
         [Parameter("Volume (Lots)", DefaultValue = 0.01)]
         public double VolumeInLots { get; set; }
         [Parameter("Stop Loss (Pips)", DefaultValue = 10)]
         public double StopLossInPips { get; set; }
         [Parameter("Take Profit (Pips)", DefaultValue = 10)]
         public double TakeProfitInPips { get; set; }
         [Parameter("Label", DefaultValue = "Sample")]
         public string Label { get; set; }
         public Position[] BotPositions
         {
             get
             {
                 return Positions.FindAll(Label);
             }
         }
         protected override void OnStart()
         {
             _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);
             _positiveVolumeIndex = Indicators.PositiveVolumeIndex(Bars.ClosePrices);
             _negativeVolumeIndex = Indicators.NegativeVolumeIndex(Bars.ClosePrices);
             _simpleMovingAverage = Indicators.SimpleMovingAverage(Bars.ClosePrices, 20);
         }
         protected override void OnBar()
         {
             if (Bars.ClosePrices.Last(1) > _simpleMovingAverage.Result.Last(1))
             {
                 ClosePositions(TradeType.Sell);
                 if (BotPositions.Length == 0 && _negativeVolumeIndex.Result.Last(1) > _positiveVolumeIndex.Result.Last(1))
                 {
                     ExecuteMarketOrder(TradeType.Buy, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
                 }
             }
             else if (Bars.ClosePrices.Last(1) < _simpleMovingAverage.Result.Last(1))
             {
                 ClosePositions(TradeType.Buy);
                 if (BotPositions.Length == 0 && _negativeVolumeIndex.Result.Last(1) > _positiveVolumeIndex.Result.Last(1))
                 {
                     ExecuteMarketOrder(TradeType.Sell, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips);
                 }
             }
         }
         private void ClosePositions(TradeType tradeType)
         {
             foreach (var position in BotPositions)
             {
                 if (position.TradeType != tradeType) continue;
                 ClosePosition(position);
             }
         }
     }
 }

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 import clr
 clr.AddReference("cAlgo.API")
 from cAlgo.API import *
 class Test():    
     def initialize(self):
         # Source is a parameter defined in C# file of indicator
         self.negativeVolumeIndex = api.Indicators.NegativeVolumeIndex(api.Source)
     def calculate(self, index):
         # Result is an indicator output defined in C# file of indicator
         # Display Result of Indicator
         api.Result[index] = self.negativeVolumeIndex.Result[index]

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 import clr
 clr.AddReference("cAlgo.API")
 # Import cAlgo API types
 from cAlgo.API import *
 # Import trading wrapper functions
 from robot_wrapper import *
 class Test():
     def on_start(self):
         self.volumeInUnits = api.Symbol.QuantityToVolumeInUnits(api.VolumeInLots)
         self.positiveVolumeIndex = api.Indicators.PositiveVolumeIndex(api.Bars.ClosePrices)
         self.negativeVolumeIndex = api.Indicators.NegativeVolumeIndex(api.Bars.ClosePrices)
         self.simpleMovingAverage = api.Indicators.SimpleMovingAverage(api.Bars.ClosePrices, 20)
     def on_bar(self):
         if api.Bars.ClosePrices.Last(1) > self.simpleMovingAverage.Result.Last(1):
             self.close_positions(TradeType.Sell)
             if len(self.get_bot_positions()) == 0 and self.negativeVolumeIndex.Result.Last(1) > self.positiveVolumeIndex.Result.Last(1):
                 api.ExecuteMarketOrder(TradeType.Buy, api.SymbolName, self.volumeInUnits, api.Label, api.StopLossInPips, api.TakeProfitInPips)
         elif api.Bars.ClosePrices.Last(1) < self.simpleMovingAverage.Result.Last(1):
             self.close_positions(TradeType.Buy)
             if len(self.get_bot_positions()) == 0 and self.negativeVolumeIndex.Result.Last(1) > self.positiveVolumeIndex.Result.Last(1):
                 api.ExecuteMarketOrder(TradeType.Sell, api.SymbolName, self.volumeInUnits, api.Label, api.StopLossInPips, api.TakeProfitInPips)
     def get_bot_positions(self):
         return api.Positions.FindAll(api.Label)
     def close_positions(self, tradeType):
         for position in self.get_bot_positions():
             if position.TradeType != tradeType:
                 continue
             api.ClosePosition(position)

Properties

Result

Summary

The time series of the Negative Volume Index indicator.

Signature 

1
public abstract IndicatorDataSeries Result {get; set;}

Return Value

IndicatorDataSeries

Examples

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 private NegativeVolumeIndex _negativeVolume;
 [Parameter]
 public DataSeries Source { get; set; }
 protected override void OnStart()
 {
     _negativeVolume = Indicators.NegativeVolumeIndex(Source);
 }
 protected override void OnBar()
 {
     var currentValue = _negativeVolume.Result.LastValue;
     //...
 }

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 import clr
 clr.AddReference("cAlgo.API")
 from cAlgo.API import *
 class Test():    
     def on_start(self):
         # Source is a parameter defined in C# file of cBot
         self.negativeVolumeIndex = api.Indicators.NegativeVolumeIndex(api.Source)
     def on_bar(self, index):
         currentValue = self.negativeVolumeIndex.Result.LastValue