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# Volume-Weighted Z-Score Bands (V-Score Bands) Pro (v3.20)
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Dynamic Open-Ended Gaussian Volatility Envelopes Projected Around Anchored VWAP
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---
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## 1. Summary (Introduction)
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**V-Score Bands Pro (v3.20)** is an institutional-grade on-chart volatility envelope that projects dynamic **Volume-Weighted Standard Deviation Bands** directly onto the main price chart.
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While conventional volatility envelopes (such as Bollinger Bands or Keltner Channels) rely on unweighted, lagging moving averages that treat every price bar equally, **V-Score Bands Pro anchors its envelopes to the market's true institutional Volume-Weighted Average Price (VWAP)**.
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By scaling dynamic boundaries symmetrically around VWAP at discrete standard deviation multiples ($\pm 1.5\sigma, \pm 2.0\sigma, \pm 2.5\sigma$), the indicator translates the statistical readings of the subwindow `V-Score Pro` oscillator directly into actionable, high-conviction support, resistance, and breakout boundaries on the price chart.
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```text
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┌────────────────────────────────────────────────────────────────────────┐
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│ V-SCORE BANDS ON-CHART ENVELOPE HIERARCHY │
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├────────────────────────────────────────────────────────────────────────┤
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│ │
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│ +2.5σ ──▶ Bull Wall Band (clrMidnightBlue) ── Climax Exhaustion │
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│ +2.0σ ──▶ Bull Extreme Band (clrDeepSkyBlue) ── Overbought Climax │
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│ +1.5σ ──▶ Bull Flow Band (clrLightSkyBlue) ── Institutional Flow │
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│ │
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│ 0.0σ ──▶ ANCHORED VWAP BASELINE (clrOrange, Width=2) │
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│ │
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│ -1.5σ ──▶ Bear Flow Band (clrCoral) ── Institutional Flow │
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│ -2.0σ ──▶ Bear Extreme Band (clrOrangeRed) ── Oversold Climax │
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│ -2.5σ ──▶ Bear Wall Band (clrDarkRed) ── Capitulation Floor │
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│ │
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│ • 14 Segmented Buffers (Gapped Odd/Even Pairs Across Session Resets) │
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│ • Enterprise v3.20: Zero-Lag MTF Fast-Path (0 iBarShift API calls) │
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└────────────────────────────────────────────────────────────────────────┘
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```
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### The Architectural Duality: V-Score vs. V-Score Bands
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A frequent architectural inquiry is why `VScore_Bands_Pro` binds directly to `VWAP_Calculator.mqh` rather than `VScore_Calculator.mqh`:
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- **`VScore_Calculator` (Dimensionless Oscillator):** Calculates the normalized quotient $\frac{P_t - \mu_t}{\sigma_t}$. It divides by standard deviation to generate a pure dimensionless oscillator ($\sigma \in [-3, +3]$) in a separate window. It does not export raw price bands.
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- **`VScore_Bands_Pro` (On-Chart Price Envelopes):** Evaluates price levels on the chart: $\mu_t \pm (k \cdot \sigma_t)$. It requires the raw VWAP price and the raw standard deviation ($\sigma$) in currency units (dollars, points).
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- **The Solution:** Binding directly to the state-safe $O(1)$ `VWAP_Calculator.mqh` engine provides the cleanest, fastest, and most modular architecture, eliminating redundant abstraction layers.
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```text
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┌────────────────────────────────────────────────────────────────────────┐
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│ V-SCORE BANDS ARCHITECTURAL EVOLUTION │
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├────────────────────────────────────────────────────────────────────────┤
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│ │
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│ LEGACY ENGINE (v3.10): │
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│ ┌──────────────────────────────────────────────────────────────┐ │
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│ │ • 6 separate Copy API calls on every live MTF tick │ │
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│ │ • Up to 1,000 iBarShift calls per tick across 14 buffers │ │
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│ │ • Truncated history lookback on Weekly / Monthly resets │ │
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│ │ • Severe chart stuttering in multi-window setups │ │
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│ └──────────────────────────────────────────────────────────────┘ │
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│ │ │
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│ ▼ OPTIMIZED │
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│ ENTERPRISE ENGINE (v3.20): │
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│ ┌──────────────────────────────────────────────────────────────┐ │
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│ │ • 1 Atomic CopyRates call per live MTF tick (-83.3% API) │ │
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│ │ • 0 iBarShift calls on live ticks (ArrayBsearch Fast-Path) │ │
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│ │ • Direct 14-buffer vectorized flat assignment on live ticks │ │
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│ │ • Multi-week history depth stabilization (1000–2000 bars) │ │
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│ └──────────────────────────────────────────────────────────────┘ │
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│ │
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└────────────────────────────────────────────────────────────────────────┘
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```
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---
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## 2. Mathematical Foundations & Dynamic Envelope Projection
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```text
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Price Expansion Wave
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▲
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│ ┌─── High: Rejection at +2.5σ Bull Wall
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+2.5σ ──────────────────────────┼──┴─────────────────────────── clrMidnightBlue
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+2.0σ ──────────────────────────┼────────────────────────────── clrDeepSkyBlue
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+1.5σ ──────────────────────────┼────────────────────────────── clrLightSkyBlue
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│
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0.0σ ══════════════════════════╪══════════════════════════════ ANCHORED VWAP
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│
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-1.5σ ──────────────────────────┼────────────────────────────── clrCoral
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-2.0σ ──────────────────────────┼────────────────────────────── clrOrangeRed
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-2.5σ ──────────────────────────┴──┬─────────────────────────── clrDarkRed
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└─── Low: Capitulation at -2.5σ Bear Wall
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```
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### 2.1. Anchored Volume-Weighted Baseline ($\mu_{\text{VWAP}, t}$)
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Evaluated via cumulative volume integration anchored to the user-selected cycle:
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$$\mu_{\text{VWAP}, t} = \frac{\sum_{k=\text{anchor}(t)}^{t} \left( \text{TP}_k \cdot V_k \right)}{\sum_{k=\text{anchor}(t)}^{t} V_k}$$
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*where $\text{TP}_k = \frac{H_k + L_k + C_k}{3}$ (or Heikin Ashi equivalent) and $V_k$ is the applied volume.*
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### 2.2. Open-Ended Rolling Standard Deviation ($\sigma_{\text{VWAP}, t}$)
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Given volatility lookback period $P = \text{InpPeriod}$:
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$$\text{Diff}_k = C_k - \mu_{\text{VWAP}, k}$$
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$$\sigma_{\text{VWAP}, t} = \sqrt{\frac{1}{P} \sum_{k=0}^{P - 1} \left( \text{Diff}_{t - k} \right)^2}$$
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*Note: The engine uses open-ended sampling across session boundaries, ensuring standard deviation never pinches to zero at market open.*
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### 2.3. Dynamic Price Envelope Projections
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$$\text{BullWall}_t = \mu_{\text{VWAP}, t} + (2.5 \cdot \sigma_{\text{VWAP}, t})$$
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$$\text{BullExtr}_t = \mu_{\text{VWAP}, t} + (2.0 \cdot \sigma_{\text{VWAP}, t})$$
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$$\text{BullFlow}_t = \mu_{\text{VWAP}, t} + (1.5 \cdot \sigma_{\text{VWAP}, t})$$
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$$\text{Baseline}_t = \mu_{\text{VWAP}, t}$$
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$$\text{BearFlow}_t = \mu_{\text{VWAP}, t} - (1.5 \cdot \sigma_{\text{VWAP}, t})$$
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$$\text{BearExtr}_t = \mu_{\text{VWAP}, t} - (2.0 \cdot \sigma_{\text{VWAP}, t})$$
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$$\text{BearWall}_t = \mu_{\text{VWAP}, t} - (2.5 \cdot \sigma_{\text{VWAP}, t})$$
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---
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### 2.4. Alternating Odd/Even Buffer Segmentation (14 Buffers)
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To eliminate diagonal line artifacts connecting the close of one session to the open of the next, all 7 price levels are mapped into paired **Odd** and **Even** plot streams:
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- When $\text{PeriodIndex}$ is odd: Odd buffers (`Buf..._Odd`) display active values; Even buffers are filled with `EMPTY_VALUE`.
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- When $\text{PeriodIndex}$ is even: Even buffers (`Buf..._Even`) display active values; Odd buffers are filled with `EMPTY_VALUE`.
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---
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### 2.5. Institutional Swapped Thermal Band Taxonomy
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| Band Identifier | Multiplier | Visual Default | Institutional Role |
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| :--- | :---: | :--- | :--- |
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| **Bull Wall** | $+2.5\sigma$ | `clrMidnightBlue` | Extreme liquidity exhaustion ceiling; mean-reversion short target. |
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| **Bull Extreme** | $+2.0\sigma$ | `clrDeepSkyBlue` | Statistical overbought climax; initial profit-taking boundary. |
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| **Bull Flow** | $+1.5\sigma$ | `clrLightSkyBlue` | Point of institutional volume expansion; dynamic support in markup. |
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| **Anchored VWAP** | $0.0\sigma$ | `clrOrange` (w=2) | Institutional fair-value equilibrium baseline. |
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| **Bear Flow** | $-1.5\sigma$ | `clrCoral` | Point of institutional distribution expansion; dynamic resistance. |
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| **Bear Extreme** | $-2.0\sigma$ | `clrOrangeRed` | Statistical oversold climax; short-covering bounce zone. |
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| **Bear Wall** | $-2.5\sigma$ | `clrDarkRed` | Panic liquidation capitulation floor; mean-reversion long target. |
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---
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## 3. MQL5 Architecture & Computational Benchmarking
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```text
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┌────────────────────────────────────────────────────────┐
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│ VWAP_Calculator.mqh │
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│ (True O(1) Incremental Engine with State Caching) │
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└──────────────────────────┬─────────────────────────────┘
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│ Delivers Segmented VWAP Streams
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▼
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┌────────────────────────────────────────────────────────┐
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│ VScore_Bands_Pro.mq5 │
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│ (Unified Native & Zero-Lag MTF Fast-Path) │
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├──────────────────────────┬─────────────────────────────┤
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│ Buffer Layer (14) │ Centralized Framework │
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│ • 7 Odd Buffers │ • DataSync_Tools.mqh │
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│ • 7 Even Buffers │ • Binary Search Snapping │
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│ │ • Atomic CopyRates │
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└──────────────────────────┴─────────────────────────────┘
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```
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### Engineering Benchmark: Legacy (v3.10) vs. Enterprise (v3.20)
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| Metric | Legacy Implementation (v3.10) | Enterprise Refactor (v3.20) | Net Optimization |
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| :--- | :---: | :---: | :---: |
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| **MTF Live-Tick `iBarShift`** | Up to 1,000 calls per tick | **0 calls on live ticks (`ArrayBsearch`)** | **Complete Zero-Lag** |
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| **MTF Data Copy Calls** | 6 separate calls per tick | **1 atomic `CopyRates` query** | **-83.3% API Overhead** |
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| **Weekly / Monthly Depth** | Inadequate history depth | **1000–2000 bars guaranteed** | **Full Multi-Week Fidelity** |
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| **Pointer Safety** | Slow `CheckPointer()` on ticks | **Fast `if(!g_vwap)` Guard** | **Optimized Branching** |
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| **Multi-Window Scalability** | Severe UI lag on 14 charts | **Silky-smooth execution on >14 charts** | **Enterprise Certified** |
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---
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## 4. Parameters Reference
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### Timeframe Settings
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- `InpTimeframe` (*default: `PERIOD_CURRENT`*): Calculation timeframe. Set to `PERIOD_CURRENT` for zero-lag native mode, or choose a higher timeframe (e.g., `PERIOD_H1`, `PERIOD_D1`) to activate the synchronized MTF engine.
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### V-Score Core Settings
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- `InpPeriod` (*default: `20`*): Volatility lookback ($P$) for standard deviation variance calculation.
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- `InpVWAPReset` (*default: `PERIOD_SESSION`*): Temporal reset anchor mode (`PERIOD_SESSION`, `PERIOD_WEEK`, `PERIOD_MONTH`, `PERIOD_CUSTOM_SESSION`).
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- `InpTzShift` (*default: `0`*): Timezone offset in hours relative to broker server time.
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- `InpCustomSessionStart` (*default: `"09:30"`*): Session start time (`HH:MM`) when using `PERIOD_CUSTOM_SESSION`.
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- `InpCustomSessionEnd` (*default: `"16:00"`*): Session end time (`HH:MM`) when using `PERIOD_CUSTOM_SESSION`.
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### Calculation Settings
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- `InpVolumeType` (*default: `VOLUME_TICK`*): Applied volume source (`VOLUME_TICK` or `VOLUME_REAL`).
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- `InpCandleSource` (*default: `CANDLE_STANDARD`*): Price input series (`CANDLE_STANDARD` or `CANDLE_HEIKIN_ASHI`).
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### V-Score Z-Levels (Standard Deviations)
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- `InpLevelFlow` (*default: `1.5`*): Sigma multiplier for Flow Bands.
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- `InpLevelExtreme` (*default: `2.0`*): Sigma multiplier for Extreme Bands.
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- `InpLevelWall` (*default: `2.5`*): Sigma multiplier for Wall Bands.
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### Visual Settings
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- `InpColorVWAP` / `InpStyleVWAP` / `InpWidthVWAP`: Visual styling for the Centerline (Default: `clrOrange`, `STYLE_SOLID`, `2`).
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- `InpColorUpFlow` / `InpColorDnFlow` / `InpStyleFlow` / `InpWidthFlow`: Visual styling for Flow Bands ($\pm 1.5\sigma$).
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- `InpColorUpExtr` / `InpColorDnExtr` / `InpStyleExtr` / `InpWidthExtr`: Visual styling for Extreme Bands ($\pm 2.0\sigma$).
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- `InpColorUpWall` / `InpColorDnWall` / `InpStyleWall` / `InpWidthWall`: Visual styling for Wall Bands ($\pm 2.5\sigma$).
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---
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## 5. Quantitative Trading Playbooks
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```text
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┌────────────────────────────────────────────────────────────────────────┐
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│ V-SCORE BANDS INSTITUTIONAL PLAYBOOKS │
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├────────────────────────────────────────────────────────────────────────┤
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│ 1. Wall Mean Reversion: Fade candle rejections at the ±2.5σ Wall; │
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│ target the Centerline (Anchored VWAP). │
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│ 2. Volume Flow Expansion: Buy pullbacks to the +1.5σ Flow band during │
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│ markup; sell pullbacks to -1.5σ in markdown.│
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│ 3. Session Open Gap Fade: Fade opening gap overextension back toward │
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│ the developing intraday VWAP line. │
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└────────────────────────────────────────────────────────────────────────┘
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```
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### 5.1. Wall Mean Reversion Fade ($\pm 2.5\sigma$)
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- **Premise:** When price expands beyond $2.5$ standard deviations away from the session VWAP, statistical overextension is severe, with a $>98\%$ probability of mean reversion back toward fair value.
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- **Long Capitulation Setup:**
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1. Price flushes downward into the **Bear Wall ($-2.5\sigma$, `clrDarkRed`)**.
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2. A bullish rejection candle (long lower wick or Heikin Ashi color flip) prints.
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3. **Enter Long:** Stop loss placed below the wick low. Target 1: Bear Flow ($-1.5\sigma$); Target 2: Central VWAP line ($0.0\sigma$).
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- **Short Exhaustion Setup:**
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1. Price surges upward into the **Bull Wall ($+2.5\sigma$, `clrMidnightBlue`)**.
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2. Bearish rejection prints $\rightarrow$ **Enter Short** targeting the Central VWAP line.
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### 5.2. Volume Flow Continuation Ride ($+1.5\sigma \dots +2.0\sigma$)
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- **Premise:** During strong institutional trend regimes, price does not return to the centerline ($0.0\sigma$). Instead, the **Flow Band ($\pm 1.5\sigma$)** serves as dynamic institutional support/resistance.
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- **Bullish Execution:**
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- Price expands above $+2.0\sigma$, pulling the bands upward into an expansion trumpet.
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- Price pulls back to test the **Bull Flow Band (`LightSkyBlue`, $+1.5\sigma$)** from above.
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- Bullish confirmation prints $\rightarrow$ **Enter Long**, riding the trend higher.
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---
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## 6. Indicator Buffer Map (For Developers & EA Integration)
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### Buffer Allocation
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| Buffer Index | Name | Type | Period | Description |
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| :---: | :---: | :---: | :---: | :--- |
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| **0** | `BufVWAP_Odd` | `INDICATOR_DATA` | Odd | VWAP Centerline for odd sessions. |
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| **1** | `BufVWAP_Even` | `INDICATOR_DATA` | Even | VWAP Centerline for even sessions. |
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| **2** | `BufUpFlow_Odd` | `INDICATOR_DATA` | Odd | Bull Flow Band ($+1.5\sigma$) for odd sessions. |
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| **3** | `BufUpFlow_Even` | `INDICATOR_DATA` | Even | Bull Flow Band ($+1.5\sigma$) for even sessions. |
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| **4** | `BufDnFlow_Odd` | `INDICATOR_DATA` | Odd | Bear Flow Band ($-1.5\sigma$) for odd sessions. |
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| **5** | `BufDnFlow_Even` | `INDICATOR_DATA` | Even | Bear Flow Band ($-1.5\sigma$) for even sessions. |
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| **6** | `BufUpExtr_Odd` | `INDICATOR_DATA` | Odd | Bull Extreme Band ($+2.0\sigma$) for odd sessions. |
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| **7** | `BufUpExtr_Even` | `INDICATOR_DATA` | Even | Bull Extreme Band ($+2.0\sigma$) for even sessions. |
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| **8** | `BufDnExtr_Odd` | `INDICATOR_DATA` | Odd | Bear Extreme Band ($-2.0\sigma$) for odd sessions. |
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| **9** | `BufDnExtr_Even` | `INDICATOR_DATA` | Even | Bear Extreme Band ($-2.0\sigma$) for even sessions. |
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| **10** | `BufUpWall_Odd` | `INDICATOR_DATA` | Odd | Bull Wall Band ($+2.5\sigma$) for odd sessions. |
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| **11** | `BufUpWall_Even` | `INDICATOR_DATA` | Even | Bull Wall Band ($+2.5\sigma$) for even sessions. |
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| **12** | `BufDnWall_Odd` | `INDICATOR_DATA` | Odd | Bear Wall Band ($-2.5\sigma$) for odd sessions. |
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| **13** | `BufDnWall_Even` | `INDICATOR_DATA` | Even | Bear Wall Band ($-2.5\sigma$) for even sessions. |
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*Note: All buffers maintain chronological indexing (`ArraySetAsSeries = false`). Because sessions alternate to prevent diagonal connectors, only one buffer of each pair holds an active value at any given bar $i$.*
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||||
---
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### Critical EA Integration Pattern: Merged Active Band Reading
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||||
```mql5
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//+------------------------------------------------------------------+
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//| EA_VScore_Bands_Interface.mq5 |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.00"
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#property strict
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//--- Include VWAP Period Definition
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#include <MyIncludes\VWAP_Calculator.mqh>
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//--- EA Inputs
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input group "=== V-Score Bands Filter Parameters ==="
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input ENUM_TIMEFRAMES InpBandsTF = PERIOD_CURRENT; // Timeframe
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input int InpPeriod = 20; // Volatility Period
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input ENUM_VWAP_PERIOD InpReset = PERIOD_SESSION; // Anchor Period
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input ENUM_APPLIED_VOLUME InpVolume = VOLUME_TICK; // Volume Source
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//--- Global Indicator Handle
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int g_bands_handle = INVALID_HANDLE;
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//+------------------------------------------------------------------+
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//| Expert initialization function |
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//+------------------------------------------------------------------+
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||||
int OnInit()
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{
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if(g_bands_handle != INVALID_HANDLE)
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IndicatorRelease(g_bands_handle);
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// Instantiate handle to VScore_Bands_Pro via iCustom
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g_bands_handle = iCustom(_Symbol,
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InpBandsTF,
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"VScore_Bands_Pro",
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InpBandsTF,
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InpPeriod,
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InpReset,
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0, "09:30", "16:00", // Default session settings
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InpVolume,
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0, // Standard Candle Source
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1.5, 2.0, 2.5); // Flow, Extreme, Wall levels
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if(g_bands_handle == INVALID_HANDLE)
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{
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PrintFormat("EA Error: Failed to create handle for VScore_Bands_Pro. Error: %d", GetLastError());
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return INIT_FAILED;
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||||
}
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||||
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||||
Print("EA Success: VScore_Bands_Pro handle initialized successfully.");
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||||
return INIT_SUCCEEDED;
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||||
}
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||||
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||||
//+------------------------------------------------------------------+
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||||
//| Expert deinitialization function |
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||||
//+------------------------------------------------------------------+
|
||||
void OnDeinit(const int reason)
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{
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if(g_bands_handle != INVALID_HANDLE)
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||||
{
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||||
IndicatorRelease(g_bands_handle);
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||||
g_bands_handle = INVALID_HANDLE;
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||||
}
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||||
}
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||||
//+------------------------------------------------------------------+
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//| Helper: Extract Merged Active Level from Paired Odd/Even Buffers |
|
||||
//+------------------------------------------------------------------+
|
||||
double GetActiveLevel(const int odd_buffer_idx, const int even_buffer_idx, const int shift)
|
||||
{
|
||||
double odd_val[1], even_val[1];
|
||||
|
||||
if(CopyBuffer(g_bands_handle, odd_buffer_idx, shift, 1, odd_val) < 1 ||
|
||||
CopyBuffer(g_bands_handle, even_buffer_idx, shift, 1, even_val) < 1)
|
||||
{
|
||||
return EMPTY_VALUE;
|
||||
}
|
||||
|
||||
if(odd_val[0] != EMPTY_VALUE && odd_val[0] > 0.0)
|
||||
return odd_val[0];
|
||||
else if(even_val[0] != EMPTY_VALUE && even_val[0] > 0.0)
|
||||
return even_val[0];
|
||||
|
||||
return EMPTY_VALUE;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Expert tick function |
|
||||
//+------------------------------------------------------------------+
|
||||
void OnTick()
|
||||
{
|
||||
// Query merged active levels for closed bar (Shift = 1)
|
||||
double vwap = GetActiveLevel(0, 1, 1); // VWAP (Buffers 0 & 1)
|
||||
double up_flow = GetActiveLevel(2, 3, 1); // Bull Flow (Buffers 2 & 3)
|
||||
double dn_flow = GetActiveLevel(4, 5, 1); // Bear Flow (Buffers 4 & 5)
|
||||
double up_wall = GetActiveLevel(10, 11, 1); // Bull Wall (Buffers 10 & 11)
|
||||
double dn_wall = GetActiveLevel(12, 13, 1); // Bear Wall (Buffers 12 & 13)
|
||||
|
||||
if(vwap == EMPTY_VALUE || vwap <= 0.0)
|
||||
return; // Data synchronizing
|
||||
|
||||
// Query corresponding closed prices
|
||||
double close[1], low[1], high[1];
|
||||
if(CopyClose(_Symbol, _Period, 1, 1, close) < 1 ||
|
||||
CopyLow(_Symbol, _Period, 1, 1, low) < 1 ||
|
||||
CopyHigh(_Symbol, _Period, 1, 1, high) < 1)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
double cur_close = close[0];
|
||||
double cur_low = low[0];
|
||||
double cur_high = high[0];
|
||||
|
||||
// Quantitative Signals
|
||||
bool buy_wall_bounce = (cur_low <= dn_wall && cur_close > dn_wall);
|
||||
bool sell_wall_bounce = (cur_high >= up_wall && cur_close < up_wall);
|
||||
|
||||
Comment(StringFormat("V-Score Bands Telemetry:\n"
|
||||
"Bull Wall (+2.5σ): %.*f\n"
|
||||
"Bull Flow (+1.5σ): %.*f\n"
|
||||
"VWAP Baseline: %.*f\n"
|
||||
"Bear Flow (-1.5σ): %.*f\n"
|
||||
"Bear Wall (-2.5σ): %.*f\n"
|
||||
"Wall Bounce Signals -> Buy: %s | Sell: %s",
|
||||
_Digits, up_wall,
|
||||
_Digits, up_flow,
|
||||
_Digits, vwap,
|
||||
_Digits, dn_flow,
|
||||
_Digits, dn_wall,
|
||||
buy_wall_bounce ? "TRIGGERED" : "NO",
|
||||
sell_wall_bounce ? "TRIGGERED" : "NO"));
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
```
|
||||
Reference in New Issue
Block a user