/////////////////////////////////////////////////////// // // SaherElm IT Center MQL5 Indicator // ------------------------------------------------- // Name: X121 XVWAP // Description: XVWAP ... // // // Maintainer: // ------------ // Hadi Khazaee Asl (hadi_khazaee_asl@yahoo.com) // ////////////////////////////////////////////////////// // // Global Properties ... #property copyright "Copyright 2023, SaherElm IT Center" #property link "https://saherelm.ir" #property version "1.00" #property description "SaherElm X121 XVWAP Indicator" #property strict // // Definitions ... // #define ShortName "X121 XVWAP" // // Includes Common Library ... #include "../Libraries/x-saherelm.common.lib.mq5" // // Inputs ... // // Market ... input group "Market"; input int vwapFastLength = 20; // Fast Length input int vwapMidLength = 40; // Mid Length input int vwapSlowLength = 60; // Slow Length input ENUM_APPLIED_PRICE vwapAppliedTo = PRICE_CLOSE; // Applied To // // Presentation ... input group "Presentation"; // input int startCalculationForLastBars = 1000; // Calculate Last n Bars // input bool showVWapFast = true; // Show VWap Fast input bool showVWapMedium = true; // Show VWap Medium input bool showVWapSlow = true; // Show VWap Slow // // Buffers ... // #define hideColorIDX 0 #define bullishColorIDX 1 #define bearishColorIDX 2 #define neuturalColorIDX 3 // #property indicator_chart_window // #property indicator_buffers 11 #property indicator_plots 3 // // Plot Buffers ... // // FAST ... #define vwapFastBufferIndex 0 double vwapFastBuffer[]; #define vwapFastColorBufferIndex 1 double vwapFastColorBuffer[]; // #define vwapFastPlotBufferIndex 0 #property indicator_label1 "X121 VWF" #property indicator_type1 DRAW_COLOR_LINE #property indicator_color1 CLR_NONE, clrAqua, clrMagenta, clrGray #property indicator_style1 STYLE_SOLID #property indicator_width1 2 // // MID ... #define vwapMidBufferIndex 2 double vwapMidBuffer[]; #define vwapMidColorBufferIndex 3 double vwapMidColorBuffer[]; // #define vwapMidPlotBufferIndex 1 #property indicator_label2 "X121 VWM" #property indicator_type2 DRAW_COLOR_LINE #property indicator_color2 CLR_NONE, clrGreen, clrRed, clrGray #property indicator_style2 STYLE_SOLID #property indicator_width2 2 // // SLOW ... #define vwapSlowBufferIndex 4 double vwapSlowBuffer[]; #define vwapSlowColorBufferIndex 5 double vwapSlowColorBuffer[]; // #define vwapSlowPlotBufferIndex 2 #property indicator_label3 "X121 VWS" #property indicator_type3 DRAW_COLOR_LINE #property indicator_color3 CLR_NONE, clrSteelBlue, clrDarkRed, clrGray #property indicator_style3 STYLE_SOLID #property indicator_width3 2 // // Data Buffers ... // int mLastBufferIndex = 5; // // Volume ... #define vwapVolumeBufferIndex mLastBufferIndex + 1 double vwapVolumeBuffer[]; // // Price ... #define vwapPriceBufferIndex mLastBufferIndex + 2 double vwapPriceBuffer[]; // // Fast State ... #define vwapFastStateBufferIndex mLastBufferIndex + 3 double vwapFastStateBuffer[]; // // Mid State ... #define vwapMidStateBufferIndex mLastBufferIndex + 4 double vwapMidStateBuffer[]; // // Slow State ... #define vwapSlowStateBufferIndex mLastBufferIndex + 5 double vwapSlowStateBuffer[]; // // Variables, Properties and etc ... // // this counts Available Bars ... int limit; // int maxLength; // // Event Handlers ... /** * Initialize Indicator ... * * @return ( int ) */ int OnInit() { // // Validate Inputs ... if (!ValidateInputs()) { return INIT_PARAMETERS_INCORRECT; } // // Initialize Indicator Handlers ... // // because in some cases we may have more than one input for // calculation and we must prevent any calculation // untill we pass the biggest input length, here we get max Input length // and then wait until pass it ... maxLength = ExtractMaxLengthOfInputs(); // // Define Index Buffers ... DefineBuffers(); // // Set Indicator ShortName ... SetIndicatorName(); // // Init Succeed ... return INIT_SUCCEEDED; } /** * De Initialize Indicator ... * * @param reason: Integer, De Initialization Reason ... */ void OnDeinit(const int reason) { // // REASON_PROGRAM 0 The EA has stopped working calling the ExpertRemove() function // REASON_REMOVE 1 Program removed from a chart // REASON_RECOMPILE 2 Program recompiled // REASON_CHARTCHANGE 3 A symbol or a chart period is changed // REASON_CHARTCLOSE 4 Chart closed // REASON_PARAMETERS 5 Inputs changed by a user // REASON_ACCOUNT 6 Another account has been activated or reconnection to the trade server has occurred due to changes in the account settings // REASON_TEMPLATE 7 Another chart template applied // REASON_INITFAILED 8 The OnInit() handler returned a non-zero value // REASON_CLOSE 9 Terminal closed } /** * Calculate Bars ... * * @param rates_total: Integer, Total Bars on Chart ... * @param prev_calculated: Integer, Total Calculated Bars on Charts ... * @param time: DateTime Array, History of Open Time ... * @param open: Double Array, History of Open Prices ... * @param high: Double Array, History of High Prices ... * @param low: Double Array, History of Low Prices ... * @param close: Double Array, History of Close Prices ... * @param tick_volume: Long, History of Tick Volumes on Bar ... * @param volume: Long, History of Trade Volumes ... * @param spread: Double, History of Spread Price ... * * @return ( int ) */ int OnCalculate( const int rates_total, const int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[] // ) { // // Prepare Buffers ... ArraySetAsSeries(time, true); ArraySetAsSeries(open, true); ArraySetAsSeries(high, true); ArraySetAsSeries(low, true); ArraySetAsSeries(close, true); ArraySetAsSeries(tick_volume, true); ArraySetAsSeries(volume, true); ArraySetAsSeries(spread, true); // // Validate Calculated Bars ... // limit = (prev_calculated > rates_total || prev_calculated <= 0) ? rates_total : (rates_total - prev_calculated) + 1; // // Buffers Copy ... // // Main Loop ... for (int i = limit - 1; i >= 0 && !IsStopped(); i--) { // CalculateBuffers( i, prev_calculated, rates_total, // open, high, close, low, tick_volume // ); } // return rates_total; } // // Functions ... /** * Validate Input Args for Initialization ... * * @return ( bool ) */ bool ValidateInputs() { // bool result = false; // result = // vwapFastLength > 2 && vwapMidLength > vwapFastLength && vwapSlowLength > vwapMidLength // ; // return result; } /** * Extract Max Length of Inputs ... * * @return ( int ) */ int ExtractMaxLengthOfInputs() { // int result = 0; // // XVWAP ... result = MathMax(result, vwapFastLength); result = MathMax(result, vwapMidLength); result = MathMax(result, vwapSlowLength); // return result; } /** * Define Required Buffers ... */ void DefineBuffers() { // // Plot Buffers ... // // Fast ... ArraySetAsSeries(vwapFastBuffer, true); ArraySetAsSeries(vwapFastColorBuffer, true); SetIndexBuffer(vwapFastBufferIndex, vwapFastBuffer, INDICATOR_DATA); SetIndexBuffer(vwapFastColorBufferIndex, vwapFastColorBuffer, INDICATOR_COLOR_INDEX); // // Mid ... ArraySetAsSeries(vwapMidBuffer, true); ArraySetAsSeries(vwapMidColorBuffer, true); SetIndexBuffer(vwapMidBufferIndex, vwapMidBuffer, INDICATOR_DATA); SetIndexBuffer(vwapMidColorBufferIndex, vwapMidColorBuffer, INDICATOR_COLOR_INDEX); // // Slow ... ArraySetAsSeries(vwapSlowBuffer, true); ArraySetAsSeries(vwapSlowColorBuffer, true); SetIndexBuffer(vwapSlowBufferIndex, vwapSlowBuffer, INDICATOR_DATA); SetIndexBuffer(vwapSlowColorBufferIndex, vwapSlowColorBuffer, INDICATOR_COLOR_INDEX); // // Data Buffers ... // // Volumes ... ArraySetAsSeries(vwapVolumeBuffer, true); SetIndexBuffer(vwapVolumeBufferIndex, vwapVolumeBuffer, INDICATOR_CALCULATIONS); // // Price ... ArraySetAsSeries(vwapPriceBuffer, true); SetIndexBuffer(vwapPriceBufferIndex, vwapPriceBuffer, INDICATOR_CALCULATIONS); // // Fast State ... ArraySetAsSeries(vwapFastStateBuffer, true); SetIndexBuffer(vwapFastStateBufferIndex, vwapFastStateBuffer, INDICATOR_CALCULATIONS); // // Mid State ... ArraySetAsSeries(vwapMidStateBuffer, true); SetIndexBuffer(vwapMidStateBufferIndex, vwapMidStateBuffer, INDICATOR_CALCULATIONS); // // Slow State ... ArraySetAsSeries(vwapSlowStateBuffer, true); SetIndexBuffer(vwapSlowStateBufferIndex, vwapSlowStateBuffer, INDICATOR_CALCULATIONS); } /** * Set Indicator Short Name and also we can define Buffers Labels ... */ void SetIndicatorName() { IndicatorSetString(INDICATOR_SHORTNAME, ShortName); } /** * Calculate Custom Buffers ... * * @param bar_index: Integer, Represent Current Bar ... * @param prevCalculated: Integer, Represent Previous Calculated Bars ... * @param ratesTotal: Integer, Represents All Available Bars ... * @param open: Double Array, History of Open Prices ... * @param high: Double Array, History of High Prices ... * @param close: Double Array, History of Close Prices ... * @param low: Double Array, History of Low Prices ... * @param tickVolume: Long, History of Tick Volumes on Bar ... */ void CalculateBuffers( int bar_index, // Selected Bar Index const int prevCalculated, const int ratesTotal, const double &open[], const double &high[], const double &close[], const double &low[], const long &tickVolume[] // ) { // int barsLimit = startCalculationForLastBars > 0 ? startCalculationForLastBars : 0; // // bool canCalculate = true; bool canCalculate = barsLimit == 0 || bar_index <= barsLimit; if (canCalculate) { // // Calculate Required VWAP Data Buffers ... if (ratesTotal - bar_index <= maxLength) { // CalculateVWAPDataBuffers( bar_index, prevCalculated, ratesTotal, open, high, close, low, tickVolume // ); // // Prevent Moving Forward ... } else { // CalculateVWAPDataBuffers( bar_index, prevCalculated, ratesTotal, open, high, close, low, tickVolume // ); // CalculateVWAPS( bar_index, prevCalculated, ratesTotal, open, high, close, low, tickVolume // ); } } else { FillBuffersZero(bar_index); } } // // Custom ... /** * Fill All Bufers to Zero Vlue for Specified Bar Index ... * * @param barIndex: Integer ... */ void FillBuffersZero(int barIndex) { // vwapFastBuffer[barIndex] = EMPTY_VALUE; vwapMidBuffer[barIndex] = EMPTY_VALUE; vwapSlowBuffer[barIndex] = EMPTY_VALUE; vwapVolumeBuffer[barIndex] = EMPTY_VALUE; vwapPriceBuffer[barIndex] = EMPTY_VALUE; // vwapFastColorBuffer[barIndex] = hideColorIDX; vwapMidColorBuffer[barIndex] = hideColorIDX; vwapSlowColorBuffer[barIndex] = hideColorIDX; vwapFastStateBuffer[barIndex] = hideColorIDX; vwapMidStateBuffer[barIndex] = hideColorIDX; vwapSlowStateBuffer[barIndex] = hideColorIDX; } /** * Calculate VWAP Value for Specified Bar ... * * @param bar_index: Integer, Represent Current Bar ... * @param prevCalculated: Integer, Represent Previous Calculated Bars ... * @param ratesTotal: Integer, Represents All Available Bars ... * @param open: Double Array, History of Open Prices ... * @param high: Double Array, History of High Prices ... * @param close: Double Array, History of Close Prices ... * @param low: Double Array, History of Low Prices ... * @param tickVolume: Long, History of Tick Volumes on Bar ... * @param _length: Integer, Specified VWAP Length ... * @param _show: Boolean, Specified Show Buffer or not ... * @param _buffer: Double Array Reference, Points to Buffer ... * @param _colorBuffer: Double Array Reference, Points to Color Buffer ... * @param _stateBuffer: Double Array Reference, Points to State Buffer ... */ void CalculateVWAP( int bar_index, // Selected Bar Index const int prevCalculated, const int ratesTotal, const double &open[], const double &high[], const double &close[], const double &low[], const long &tickVolume[], // int _length, // Calculation Length bool _show, double &_buffer[], double &_colorBuffer[], double &_stateBuffer[] // ) { // double vSum = 0; double pSum = 0; double mSum = 0; for (int x = 0; x < _length; x++) { // pSum += vwapPriceBuffer[x + bar_index]; vSum += vwapVolumeBuffer[x + bar_index]; mSum += vwapPriceBuffer[x + bar_index] * vwapVolumeBuffer[x + bar_index]; } // double iValue = mSum / vSum; iValue = NormalizeDouble(iValue, _Digits); // _buffer[bar_index] = iValue; // bool isBullish = low[bar_index] > iValue; bool isBearish = high[bar_index] < iValue; // double iColor = isBullish ? bullishColorIDX : isBearish ? bearishColorIDX : neuturalColorIDX; // _colorBuffer[bar_index] = hideColorIDX; _stateBuffer[bar_index] = iColor; if (_show) { _colorBuffer[bar_index] = iColor; } } /** * Calculate VWAP Required Data Buffers ... * * @param bar_index: Integer, Represent Current Bar ... * @param prevCalculated: Integer, Represent Previous Calculated Bars ... * @param ratesTotal: Integer, Represents All Available Bars ... * @param open: Double Array, History of Open Prices ... * @param high: Double Array, History of High Prices ... * @param close: Double Array, History of Close Prices ... * @param low: Double Array, History of Low Prices ... * @param tickVolume: Long, History of Tick Volumes on Bar ... */ void CalculateVWAPDataBuffers( int bar_index, // Selected Bar Index const int prevCalculated, const int ratesTotal, const double &open[], const double &high[], const double &close[], const double &low[], const long &tickVolume[] // ) { // double price = GetAppliedPrice( vwapAppliedTo, open, high, low, close, bar_index // ); vwapPriceBuffer[bar_index] = price; vwapVolumeBuffer[bar_index] = (double)tickVolume[bar_index]; } /** * Calculate Different VWaps ... * * @param bar_index: Integer, Represent Current Bar ... * @param prevCalculated: Integer, Represent Previous Calculated Bars ... * @param ratesTotal: Integer, Represents All Available Bars ... * @param open: Double Array, History of Open Prices ... * @param high: Double Array, History of High Prices ... * @param close: Double Array, History of Close Prices ... * @param low: Double Array, History of Low Prices ... * @param tickVolume: Long, History of Tick Volumes on Bar ... */ void CalculateVWAPS( int bar_index, // Selected Bar Index const int prevCalculated, const int ratesTotal, const double &open[], const double &high[], const double &close[], const double &low[], const long &tickVolume[] // ) { // // Fast ... CalculateVWAP( bar_index, prevCalculated, ratesTotal, open, high, close, low, tickVolume, // vwapFastLength, showVWapFast, vwapFastBuffer, vwapFastColorBuffer, vwapFastStateBuffer // ); // // Mid ... CalculateVWAP( bar_index, prevCalculated, ratesTotal, open, high, close, low, tickVolume, // vwapMidLength, showVWapMedium, vwapMidBuffer, vwapMidColorBuffer, vwapMidStateBuffer // ); // // Fast ... CalculateVWAP( bar_index, prevCalculated, ratesTotal, open, high, close, low, tickVolume, // vwapSlowLength, showVWapSlow, vwapSlowBuffer, vwapSlowColorBuffer, vwapSlowStateBuffer // ); } //