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