Volume Orderbook - Indie Port Guide

# indie:lang_version = 5
# Volume Orderbook (Zeiierman) — Indie port
# Original Pine Script v6 by Zeiierman (CC BY-NC-SA 4.0)
# Migration notes:
#   Logic ported 1:1: price levels with step = first candle size * width, volume accumulated per level over the whole
#   history, the order book of `rows` levels around the current price drawn on the last bar, box width by volume rank
#   Engine limit: 100 drawing changes per bar (a rollback of the previous recalculation counts too), so volume labels
#   are drawn only for the MAX_LABELS biggest rows (the width of every box still shows its volume rank)
#   Not ported: POC extension, table frame and grid (all off by default in the original)
#   Colours: red/lime/gray rows with a rank gradient of the alpha (0.2 -> 0.6) as in color.from_gradient

from math import isnan, nan
from indie import indicator, param, MainContext, color, Color, Optional, source
from indie.drawings import Rectangle, LabelAbs, AbsolutePosition, callout_position

GRAY = color.rgba(120, 123, 134, 1.0)
INVIS = color.TRANSPARENT
MAX_LABELS = 3


@indicator('Volume Orderbook (Zeiierman)', overlay_main_pane=True)
@param.source('src', default=source.CLOSE, title='Source')
@param.int('rows', default=10, min=0, max=50, title='Rows')
@param.float('mult', default=0.5, min=0.1, max=10.0, step=0.05, title='Width')
@param.int('left', default=5, min=0, max=50, title='Left')
class Main(MainContext):
    def __init__(self):
        empty_f: list[float] = []
        empty_r: list[Optional[Rectangle]] = []
        empty_b: list[Optional[LabelAbs]] = []
        self._levels = self.new_var(empty_f)
        self._volumes = self.new_var(empty_f)
        self._step = self.new_var(0.0)
        self._h_r = self.new_var(empty_r)
        self._h_b = self.new_var(empty_b)

    def _fmt(self, v: float) -> str:
        if v >= 1000000.0:
            return str(round(v / 1000000.0, 2)) + 'M'
        if v >= 1000.0:
            return str(round(v / 1000.0, 2)) + 'K'
        return str(round(v, 2))

    def calc(self, src, rows, mult, left):
        n: int = self.bar_index
        s: float = src[0]
        vol: float = self.volume[0]
        t0 = self.time[0]
        t_step = t0 - self.time[1]

        step: float = self._step.get()
        if n == 0:
            step = (self.high[0] - self.low[0]) * mult
        levels: list[float] = []
        volumes: list[float] = []
        src_l = self._levels.get()
        k = 0
        while k < len(src_l):
            levels.append(src_l[k])
            k += 1
        src_v = self._volumes.get()
        k = 0
        while k < len(src_v):
            volumes.append(src_v[k])
            k += 1

        # --- accumulate the volume of this candle on its price level
        if len(levels) <= 0:
            levels.append(s + step)
            levels.append(s - step)
            volumes.append(vol)
        else:
            found: bool = False
            i = 0
            while i <= len(levels) - 2 and not found:
                if s < levels[i] and s > levels[i + 1]:
                    volumes[i] = volumes[i] + vol
                    found = True
                i += 1
            if not found:
                if s > levels[0]:
                    lvl: float = levels[0]
                    while s > lvl:
                        levels.insert(0, lvl + step)
                        volumes.insert(0, 0.0)
                        lvl = lvl + step
                    levels.insert(0, lvl + step)
                    volumes.insert(0, vol)
                elif s < levels[len(levels) - 1]:
                    lvl2: float = levels[len(levels) - 1]
                    while s < lvl2:
                        levels.append(lvl2 - step)
                        volumes.append(0.0)
                        lvl2 = lvl2 - step
                    levels.append(lvl2 - step)
                    volumes.append(vol)
        self._levels.set(levels)
        self._volumes.set(volumes)
        self._step.set(step)

        # --- erase the previous order book, redraw it on the last bar
        old_r = self._h_r.get()
        k = 0
        while k < len(old_r):
            ho = old_r[k]
            if ho is not None:
                self.chart.erase(ho.value())
            k += 1
        old_b = self._h_b.get()
        k = 0
        while k < len(old_b):
            hb = old_b[k]
            if hb is not None:
                self.chart.erase(hb.value())
            k += 1
        new_r: list[Optional[Rectangle]] = []
        new_b: list[Optional[LabelAbs]] = []
        if self.is_last_bar:
            pos: int = -1
            i = 0
            while i <= len(levels) - 2:
                if s < levels[i] and s > levels[i + 1]:
                    pos = i
                i += 1
            if pos >= 0:
                width: int = rows * 2 + 1
                vols: list[float] = []
                x = 0
                while x < width:
                    vols.append(0.0)
                    x += 1
                x = 0
                while x <= min(len(volumes) - 1, rows * 2):
                    if pos - rows + x < len(volumes) - 1:
                        vols[x] = volumes[max(0, pos - rows + x)]
                    else:
                        vols[x] = 0.0
                    x += 1
                srt: list[float] = []
                x = 0
                while x < width:
                    srt.append(vols[x])
                    x += 1
                a = 1
                while a < width:   # insertion sort (Indie lists have no sort())
                    key_v: float = srt[a]
                    b2 = a - 1
                    while b2 >= 0 and srt[b2] > key_v:
                        srt[b2 + 1] = srt[b2]
                        b2 -= 1
                    srt[b2 + 1] = key_v
                    a += 1
                # the MAX_LABELS biggest volumes get a text label
                label_cut: float = srt[width - MAX_LABELS] if width >= MAX_LABELS else 0.0
                labels_left: int = MAX_LABELS
                x = 0
                while x <= rows * 2:
                    if pos - rows + x < len(levels) - 1:
                        v: float = vols[x]
                        rank: int = 0
                        q = 0
                        while q < width:
                            if srt[q] == v:
                                rank = q
                                q = width
                            q += 1
                        alpha: float = 0.2 + 0.4 * float(rank) / float(width)
                        col: Color = color.rgba(255, 82, 82, alpha)
                        if x > rows:
                            col = color.rgba(0, 230, 118, alpha)
                        if x == rows:
                            col = color.rgba(120, 123, 134, alpha)
                        top: float = levels[max(0, pos - rows + x)]
                        bot: float = levels[max(1, pos - rows + x + 1)]
                        t_l = t0 + t_step * float(left + rows * 2 - rank)
                        t_r = t0 + t_step * float(left + rows * 2 + rank)
                        box: Rectangle = Rectangle(AbsolutePosition(t_l, top), AbsolutePosition(t_r, bot),
                                                   line_color=INVIS, line_width=1, bg_color=col)
                        self.chart.draw(box)
                        new_r.append(box)
                        if v >= label_cut and v > 0.0 and labels_left > 0:
                            labels_left -= 1
                            lab: LabelAbs = LabelAbs(self._fmt(v), AbsolutePosition(t_r, (top + bot) / 2.0),
                                                     text_color=GRAY, bg_color=INVIS,
                                                     callout_position=callout_position.BOTTOM_RIGHT, font_size=9)
                            self.chart.draw(lab)
                            new_b.append(lab)
                    x += 1
        self._h_r.set(new_r)
        self._h_b.set(new_b)