Artur
387 lines
15 KiB
Plaintext
387 lines
15 KiB
Plaintext
//+------------------------------------------------------------------+
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//| VWAP_Lite.mq5 |
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//| Copyright 2016, SOL Digital Consultoria LTDA |
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//| http://www.soldigitalconsultoria.com.br |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2016, SOL Digital Consultoria LTDA"
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#property link "http://www.soldigitalconsultoria.com.br"
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#property version "1.49"
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#property indicator_chart_window
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#property indicator_buffers 3
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#property indicator_plots 3
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#property indicator_label1 "VWAP Daily"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrRed
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#property indicator_style1 STYLE_DASH
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#property indicator_width1 2
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#property indicator_label2 "VWAP Weekly"
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrBlue
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#property indicator_style2 STYLE_DASH
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#property indicator_width2 2
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#property indicator_label3 "VWAP Monthly"
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#property indicator_type3 DRAW_LINE
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#property indicator_color3 clrGreen
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#property indicator_style3 STYLE_DASH
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#property indicator_width3 2
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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enum DATE_TYPE
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{
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DAILY,
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WEEKLY,
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MONTHLY
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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enum PRICE_TYPE
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{
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OPEN,
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CLOSE,
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HIGH,
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LOW,
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OPEN_CLOSE,
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HIGH_LOW,
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CLOSE_HIGH_LOW,
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OPEN_CLOSE_HIGH_LOW
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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//
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#include <AZ-INVEST/CustomBarConfig.mqh>
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#define VWAP_Daily "cc__VWAP_Daily"
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#define VWAP_Weekly "cc__VWAP_Weekly"
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#define VWAP_Monthly "cc__VWAP_Monthly"
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//
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datetime CreateDateTime(DATE_TYPE nReturnType=DAILY,datetime dtDay=D'2000.01.01 00:00:00',int pHour=0,int pMinute=0,int pSecond=0)
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{
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datetime dtReturnDate;
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MqlDateTime timeStruct;
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TimeToStruct(dtDay,timeStruct);
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timeStruct.hour = pHour;
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timeStruct.min = pMinute;
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timeStruct.sec = pSecond;
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dtReturnDate=(StructToTime(timeStruct));
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if(nReturnType==WEEKLY)
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{
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while(timeStruct.day_of_week!=0)
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{
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dtReturnDate=(dtReturnDate-86400);
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TimeToStruct(dtReturnDate,timeStruct);
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}
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}
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if(nReturnType==MONTHLY)
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{
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timeStruct.day=1;
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dtReturnDate=(StructToTime(timeStruct));
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}
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return dtReturnDate;
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}
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sinput string Indicator_Name = "Volume Weighted Average Price (VWAP)";
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input PRICE_TYPE Price_Type = CLOSE_HIGH_LOW;
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input bool Calc_Every_Tick = false;
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input bool Enable_Daily = true;
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input bool Show_Daily_Value = true;
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input bool Enable_Weekly = false;
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input bool Show_Weekly_Value = false;
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input bool Enable_Monthly = false;
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input bool Show_Monthly_Value = false;
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double VWAP_Buffer_Daily[],VWAP_Buffer_Weekly[],VWAP_Buffer_Monthly[];
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double nPriceArr[],nTotalTPV[],nTotalVol[];
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double nSumDailyTPV = 0, nSumWeeklyTPV = 0, nSumMonthlyTPV = 0;
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double nSumDailyVol = 0, nSumWeeklyVol = 0, nSumMonthlyVol = 0;
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int nIdxDaily=0,nIdxWeekly=0,nIdxMonthly=0,nIdx=0;
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bool bIsFirstRun=true;
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string sDailyStr = "", sWeeklyStr = "", sMonthlyStr = "";
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datetime dtLastDay = CreateDateTime(DAILY), dtLastWeek = CreateDateTime(WEEKLY), dtLastMonth = CreateDateTime(MONTHLY);
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ENUM_TIMEFRAMES LastTimePeriod=PERIOD_MN1;
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int nStringYDistance=50;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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IndicatorSetInteger(INDICATOR_DIGITS,_Digits);
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SetIndexBuffer(0,VWAP_Buffer_Daily,INDICATOR_DATA);
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SetIndexBuffer(1,VWAP_Buffer_Weekly,INDICATOR_DATA);
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SetIndexBuffer(2,VWAP_Buffer_Monthly,INDICATOR_DATA);
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if(Show_Daily_Value)
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{
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ObjectCreate(0,VWAP_Daily,OBJ_LABEL,0,0,0);
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ObjectSetInteger(0,VWAP_Daily,OBJPROP_CORNER,CORNER_LEFT_LOWER);
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ObjectSetInteger(0,VWAP_Daily,OBJPROP_XDISTANCE,10);//180);
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ObjectSetInteger(0,VWAP_Daily,OBJPROP_YDISTANCE,nStringYDistance);
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ObjectSetInteger(0,VWAP_Daily,OBJPROP_COLOR,indicator_color1);
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ObjectSetInteger(0,VWAP_Daily,OBJPROP_FONTSIZE,7);
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ObjectSetString(0,VWAP_Daily,OBJPROP_FONT,"Verdana");
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ObjectSetString(0,VWAP_Daily,OBJPROP_TEXT," ");
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nStringYDistance=nStringYDistance+20;
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}
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if(Show_Weekly_Value)
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{
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ObjectCreate(0,VWAP_Weekly,OBJ_LABEL,0,0,0);
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ObjectSetInteger(0,VWAP_Weekly,OBJPROP_CORNER,CORNER_LEFT_LOWER);
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ObjectSetInteger(0,VWAP_Weekly,OBJPROP_XDISTANCE,10);//180);
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ObjectSetInteger(0,VWAP_Weekly,OBJPROP_YDISTANCE,nStringYDistance);
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ObjectSetInteger(0,VWAP_Weekly,OBJPROP_COLOR,indicator_color2);
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ObjectSetInteger(0,VWAP_Weekly,OBJPROP_FONTSIZE,7);
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ObjectSetString(0,VWAP_Weekly,OBJPROP_FONT,"Verdana");
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ObjectSetString(0,VWAP_Weekly,OBJPROP_TEXT," ");
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nStringYDistance=nStringYDistance+20;
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}
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if(Show_Monthly_Value)
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{
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ObjectCreate(0,VWAP_Monthly,OBJ_LABEL,0,0,0);
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ObjectSetInteger(0,VWAP_Monthly,OBJPROP_CORNER,CORNER_LEFT_LOWER);
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ObjectSetInteger(0,VWAP_Monthly,OBJPROP_XDISTANCE,10);//180);
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ObjectSetInteger(0,VWAP_Monthly,OBJPROP_YDISTANCE,nStringYDistance);
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ObjectSetInteger(0,VWAP_Monthly,OBJPROP_COLOR,indicator_color3);
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ObjectSetInteger(0,VWAP_Monthly,OBJPROP_FONTSIZE,7);
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ObjectSetString(0,VWAP_Monthly,OBJPROP_FONT,"Verdana");
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ObjectSetString(0,VWAP_Monthly,OBJPROP_TEXT," ");
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}
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customChartIndicator.SetGetVolumesFlag();
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customChartIndicator.SetGetTimeFlag();
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void OnDeinit(const int pReason)
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{
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if(Show_Daily_Value) ObjectDelete(0,VWAP_Daily);
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if(Show_Weekly_Value) ObjectDelete(0,VWAP_Weekly);
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if(Show_Monthly_Value) ObjectDelete(0,VWAP_Monthly);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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int OnCalculate(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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// Process data through MedianRenko indicator
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//
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if(!customChartIndicator.OnCalculate(rates_total,prev_calculated,time,close))
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return(0);
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if(!customChartIndicator.BufferSynchronizationCheck(close))
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return(0);
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//
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// Make the following modifications in the code below:
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//
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// customChartIndicator.GetPrevCalculated() should be used instead of prev_calculated
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//
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// customChartIndicator.Open[] should be used instead of open[]
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// customChartIndicator.Low[] should be used instead of low[]
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// customChartIndicator.High[] should be used instead of high[]
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// customChartIndicator.Close[] should be used instead of close[]
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//
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// customChartIndicator.IsNewBar (true/false) informs you if a renko brick completed
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//
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// customChartIndicator.Time[] shold be used instead of Time[] for checking the renko bar time.
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// (!) customChartIndicator.SetGetTimeFlag() must be called in OnInit() for customChartIndicator.Time[] to be used
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//
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// customChartIndicator.Tick_volume[] should be used instead of TickVolume[]
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// customChartIndicator.Real_volume[] should be used instead of Volume[]
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// (!) customChartIndicator.SetGetVolumesFlag() must be called in OnInit() for Tick_volume[] & Real_volume[] to be used
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//
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// customChartIndicator.Price[] should be used instead of Price[]
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// (!) customChartIndicator.SetUseAppliedPriceFlag(ENUM_APPLIED_PRICE _applied_price) must be called in OnInit() for customChartIndicator.Price[] to be used
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//
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int _prev_calculated = customChartIndicator.GetPrevCalculated();
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//
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//
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//
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if(PERIOD_CURRENT!=LastTimePeriod)
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{
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bIsFirstRun=true;
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LastTimePeriod=PERIOD_CURRENT;
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}
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if(rates_total>_prev_calculated || bIsFirstRun || Calc_Every_Tick || (_prev_calculated == 0) || customChartIndicator.IsNewBar)
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{
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nIdxDaily = 0;
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nIdxWeekly = 0;
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nIdxMonthly = 0;
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ArrayResize(nPriceArr,rates_total);
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ArrayResize(nTotalTPV,rates_total);
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ArrayResize(nTotalVol,rates_total);
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if(Enable_Daily) {nIdx = nIdxDaily; nSumDailyTPV = 0; nSumDailyVol = 0;}
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if(Enable_Weekly) {nIdx = nIdxWeekly; nSumWeeklyTPV = 0; nSumWeeklyVol = 0;}
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if(Enable_Monthly) {nIdx = nIdxMonthly; nSumMonthlyTPV = 0; nSumMonthlyVol = 0;}
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for(; nIdx<rates_total; nIdx++)
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{
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VWAP_Buffer_Daily[nIdx]=EMPTY_VALUE;
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VWAP_Buffer_Weekly[nIdx]=EMPTY_VALUE;
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VWAP_Buffer_Monthly[nIdx]=EMPTY_VALUE;
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if(customChartIndicator.Time[nIdx] < 86400)
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continue;
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if(CreateDateTime(DAILY,customChartIndicator.Time[nIdx])!=dtLastDay)
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{
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nIdxDaily=nIdx;
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nSumDailyTPV = 0;
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nSumDailyVol = 0;
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}
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if(CreateDateTime(WEEKLY,customChartIndicator.Time[nIdx])!=dtLastWeek)
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{
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nIdxWeekly=nIdx;
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nSumWeeklyTPV = 0;
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nSumWeeklyVol = 0;
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}
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if(CreateDateTime(MONTHLY,customChartIndicator.Time[nIdx])!=dtLastMonth)
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{
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nIdxMonthly=nIdx;
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nSumMonthlyTPV = 0;
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nSumMonthlyVol = 0;
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}
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nPriceArr[nIdx] = 0;
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nTotalTPV[nIdx] = 0;
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nTotalVol[nIdx] = 0;
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switch(Price_Type)
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{
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case OPEN:
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nPriceArr[nIdx]=customChartIndicator.Open[nIdx];
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break;
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case CLOSE:
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nPriceArr[nIdx]=customChartIndicator.Close[nIdx];
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break;
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case HIGH:
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nPriceArr[nIdx]=customChartIndicator.High[nIdx];
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break;
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case LOW:
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nPriceArr[nIdx]=customChartIndicator.Low[nIdx];
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break;
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case HIGH_LOW:
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nPriceArr[nIdx]=(customChartIndicator.High[nIdx]+customChartIndicator.Low[nIdx])/2;
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break;
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case OPEN_CLOSE:
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nPriceArr[nIdx]=(customChartIndicator.Open[nIdx]+customChartIndicator.Close[nIdx])/2;
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break;
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case CLOSE_HIGH_LOW:
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nPriceArr[nIdx]=(customChartIndicator.Close[nIdx]+customChartIndicator.High[nIdx]+customChartIndicator.Low[nIdx])/3;
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break;
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case OPEN_CLOSE_HIGH_LOW:
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nPriceArr[nIdx]=(customChartIndicator.Open[nIdx]+customChartIndicator.Close[nIdx]+customChartIndicator.High[nIdx]+customChartIndicator.Low[nIdx])/4;
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break;
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default:
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nPriceArr[nIdx]=(customChartIndicator.Close[nIdx]+customChartIndicator.High[nIdx]+customChartIndicator.Low[nIdx])/3;
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break;
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}
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if((customChartIndicator.Tick_volume[nIdx] > 0) && (customChartIndicator.Real_volume[nIdx] == 0))
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{
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// Print("tick vol = "+customChartIndicator.Tick_volume[nIdx]);
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nTotalTPV[nIdx] = (nPriceArr[nIdx] * customChartIndicator.Tick_volume[nIdx]);
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nTotalVol[nIdx] = (double)customChartIndicator.Tick_volume[nIdx];
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}
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else if(customChartIndicator.Real_volume[nIdx] && customChartIndicator.Tick_volume[nIdx] )
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{
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// Print("real vol = "+customChartIndicator.Real_volume[nIdx]);
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nTotalTPV[nIdx] = (nPriceArr[nIdx] * customChartIndicator.Real_volume[nIdx]);
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nTotalVol[nIdx] = (double)customChartIndicator.Real_volume[nIdx];
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}
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if(Enable_Daily && (nIdx>=nIdxDaily))
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{
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nSumDailyTPV += nTotalTPV[nIdx];
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nSumDailyVol += nTotalVol[nIdx];
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if(nSumDailyVol)
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VWAP_Buffer_Daily[nIdx]=(nSumDailyTPV/nSumDailyVol);
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if((sDailyStr!="VWAP Daily: "+(string)NormalizeDouble(VWAP_Buffer_Daily[nIdx],_Digits)) && Show_Daily_Value)
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{
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sDailyStr="VWAP Daily: "+(string)NormalizeDouble(VWAP_Buffer_Daily[nIdx],_Digits);
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ObjectSetString(0,VWAP_Daily,OBJPROP_TEXT,sDailyStr);
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}
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}
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if(Enable_Weekly && (nIdx>=nIdxWeekly))
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{
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nSumWeeklyTPV += nTotalTPV[nIdx];
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nSumWeeklyVol += nTotalVol[nIdx];
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if(nSumWeeklyVol)
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VWAP_Buffer_Weekly[nIdx]=(nSumWeeklyTPV/nSumWeeklyVol);
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if((sWeeklyStr!="VWAP Weekly: "+(string)NormalizeDouble(VWAP_Buffer_Weekly[nIdx],_Digits)) && Show_Weekly_Value)
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{
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sWeeklyStr="VWAP Weekly: "+(string)NormalizeDouble(VWAP_Buffer_Weekly[nIdx],_Digits);
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ObjectSetString(0,VWAP_Weekly,OBJPROP_TEXT,sWeeklyStr);
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}
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}
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if(Enable_Monthly && (nIdx>=nIdxMonthly))
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{
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nSumMonthlyTPV += nTotalTPV[nIdx];
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nSumMonthlyVol += nTotalVol[nIdx];
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if(nSumMonthlyVol)
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VWAP_Buffer_Monthly[nIdx]=(nSumMonthlyTPV/nSumMonthlyVol);
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if((sMonthlyStr!="VWAP Monthly: "+(string)NormalizeDouble(VWAP_Buffer_Monthly[nIdx],_Digits)) && Show_Monthly_Value)
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{
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sMonthlyStr="VWAP Monthly: "+(string)NormalizeDouble(VWAP_Buffer_Monthly[nIdx],_Digits);
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ObjectSetString(0,VWAP_Monthly,OBJPROP_TEXT,sMonthlyStr);
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}
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}
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dtLastDay=CreateDateTime(DAILY,customChartIndicator.Time[nIdx]);
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dtLastWeek=CreateDateTime(WEEKLY,customChartIndicator.Time[nIdx]);
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dtLastMonth=CreateDateTime(MONTHLY,customChartIndicator.Time[nIdx]);
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}
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bIsFirstRun=false;
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}
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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