using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies {
    
    public class MyStrategy : WealthScript {
        
        protected override void Execute() {
            PriceVolumeHeatMap(40, 40);
	}
                
        public void PriceVolumeHeatMap(int lookback, int binCount) {
            for (int bar = lookback; bar < Bars.Count; bar++) {
                PriceVolumeHeatMapAtBar(bar, lookback, binCount);
            }
        }
        
        public void PriceVolumeHeatMapAtBar(int currentBar, int lookback, int binCount) {
            
            double[] bins = new double[binCount];
            int[] a = new int[binCount];
            int[] r = new int[binCount];
            int[] g = new int[binCount];
            int[] b = new int[binCount];
            
            // get price range
            double lp = Lowest.Value(currentBar, Bars.Low, lookback);
            double hp = Highest.Value(currentBar, Bars.High, lookback);
            double stp = (hp - lp) / binCount;
            
            // put volume into bins   
            double alpha = 1.0 / (1.0 + lookback);
            for (int bin = 0; bin < binCount; bin++) {
                double y = lp + stp * bin;
                for (int bar = currentBar - lookback + 1; bar <= currentBar; bar++) {
                    double v = 0.0;
                    if ((y <= Bars.High[bar]) && (Bars.Low[bar] <= (y + stp))) {
                        v = Bars.Volume[bar];
                    }
                    bins[bin] = bins[bin] + alpha * (v - bins[bin]);
                }
            }
            
            // normalize and calculate mean
            double minVol = Double.PositiveInfinity;
            double maxVol = Double.NegativeInfinity;
            for (int bin = 0; bin < binCount; bin++) {
                minVol = Math.Min(bins[bin], minVol);
                maxVol = Math.Max(bins[bin], maxVol);
            }
            double mean = 0.0;
            for (int bin = 0; bin < binCount; bin++) {
                bins[bin] = (bins[bin] - minVol) / (maxVol - minVol);
                mean += bins[bin];
            }
            mean /= binCount;

            // calculate standard deviation
            double stdDev = 0.0;
            for (int bin = 0; bin < binCount; bin++) {
                stdDev += (bins[bin] - mean) * (bins[bin] - mean);
            }
            stdDev = Math.Sqrt(stdDev / binCount);
            double stdDevFac = 1.0;
            for (int bin = 0; bin < binCount; bin++) {
                if (bins[bin] < (mean - stdDevFac * stdDev)) {
                    r[bin] = 255; g[bin] = 255; b[bin] = 255;
                } else if (bins[bin] > (mean + stdDevFac * stdDev)) {
                    r[bin] = 255; g[bin] = 255/4; b[bin] = 255/4;
                } else {
                    r[bin] = 255; g[bin] = 255; b[bin] = 0;
                }
                a[bin] = ToInt(bins[bin] * 255 / 2);
            }
            
            // plot
            for (int bin = 0; bin < binCount; bin++) {
                double y = lp + stp * bin;
                double[] rectangle = { currentBar - 1, y, currentBar-1, y + stp, currentBar, y + stp, currentBar, y };
                DrawPolygon(PricePane, Color.Transparent, Color.FromArgb(a[bin], r[bin], g[bin], b[bin]), LineStyle.Solid, 0, true, rectangle);
            }
            
        }
        
        int ToInt(double d) {
            return System.Convert.ToInt32(d);
        }
        
    }
    
}