From eae05797022c78d20a86e353073e3bc8e1eddb70 Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Sun, 12 Oct 2025 23:00:02 +0200 Subject: [PATCH] refactor: vwap --- Indicators/MyIndicators/Session_Analysis.mq5 | 164 +++++++++++-------- 1 file changed, 98 insertions(+), 66 deletions(-) diff --git a/Indicators/MyIndicators/Session_Analysis.mq5 b/Indicators/MyIndicators/Session_Analysis.mq5 index 5f4d97a..b8191a0 100644 --- a/Indicators/MyIndicators/Session_Analysis.mq5 +++ b/Indicators/MyIndicators/Session_Analysis.mq5 @@ -4,17 +4,17 @@ //| | //+------------------------------------------------------------------+ #property copyright "Copyright 2025, xxxxxxxx" -#property version "1.20" // Added option to fill boxes -#property description "Draws boxes around Pre-Market, Core, and Post-Market sessions." +#property version "1.30" // Added VWAP calculation +#property description "Draws boxes and calculates VWAP for user-defined trading sessions." #property description "Times are based on broker's server time." #property indicator_chart_window #property indicator_plots 0 //+------------------------------------------------------------------+ -//| CLASS: CSessionBoxer | -//| Manages the drawing and updating of a single session box. | +//| CLASS: CSessionAnalyzer | +//| Manages the drawing and analysis of a single session. | //+------------------------------------------------------------------+ -class CSessionBoxer +class CSessionAnalyzer { private: int m_start_hour, m_start_min; @@ -22,25 +22,29 @@ private: color m_color; string m_prefix; bool m_enabled; - bool m_fill_box; // New member for fill property + bool m_fill_box; + bool m_show_vwap; + ENUM_APPLIED_VOLUME m_volume_type; bool IsTimeInSession(const MqlDateTime &dt); public: - void Init(bool enabled, string start_time, string end_time, color box_color, bool fill_box, string prefix); - void Update(const int rates_total, const datetime &time[], const double &high[], const double &low[]); + void Init(bool enabled, string start_time, string end_time, color box_color, bool fill_box, bool show_vwap, ENUM_APPLIED_VOLUME vol_type, string prefix); + void Update(const int rates_total, const datetime &time[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[]); void Cleanup(void); }; //+------------------------------------------------------------------+ -//| CSessionBoxer: Initialization | +//| CSessionAnalyzer: Initialization | //+------------------------------------------------------------------+ -void CSessionBoxer::Init(bool enabled, string start_time, string end_time, color box_color, bool fill_box, string prefix) +void CSessionAnalyzer::Init(bool enabled, string start_time, string end_time, color box_color, bool fill_box, bool show_vwap, ENUM_APPLIED_VOLUME vol_type, string prefix) { - m_enabled = enabled; - m_prefix = prefix; - m_color = box_color; - m_fill_box = fill_box; + m_enabled = enabled; + m_prefix = prefix; + m_color = box_color; + m_fill_box = fill_box; + m_show_vwap = show_vwap; + m_volume_type = vol_type; string parts[]; if(StringSplit(start_time, ':', parts) == 2) @@ -56,9 +60,9 @@ void CSessionBoxer::Init(bool enabled, string start_time, string end_time, color } //+------------------------------------------------------------------+ -//| CSessionBoxer: Checks if a given time is within the session. | +//| CSessionAnalyzer: Checks if a given time is within the session. | //+------------------------------------------------------------------+ -bool CSessionBoxer::IsTimeInSession(const MqlDateTime &dt) +bool CSessionAnalyzer::IsTimeInSession(const MqlDateTime &dt) { int current_time_in_minutes = dt.hour * 60 + dt.min; int start_time_in_minutes = m_start_hour * 60 + m_start_min; @@ -75,26 +79,19 @@ bool CSessionBoxer::IsTimeInSession(const MqlDateTime &dt) } //+------------------------------------------------------------------+ -//| CSessionBoxer: Deletes all objects created by this instance | +//| CSessionAnalyzer: Deletes all objects created by this instance | //+------------------------------------------------------------------+ -void CSessionBoxer::Cleanup(void) +void CSessionAnalyzer::Cleanup(void) { if(!m_enabled) return; - for(int i = ObjectsTotal(0, -1, OBJ_RECTANGLE) - 1; i >= 0; i--) - { - string name = ObjectName(0, i, -1, OBJ_RECTANGLE); - if(StringFind(name, m_prefix) == 0) - { - ObjectDelete(0, name); - } - } + ObjectsDeleteAll(0, m_prefix); } //+------------------------------------------------------------------+ -//| CSessionBoxer: Main update logic | +//| CSessionAnalyzer: Main update logic | //+------------------------------------------------------------------+ -void CSessionBoxer::Update(const int rates_total, const datetime &time[], const double &high[], const double &low[]) +void CSessionAnalyzer::Update(const int rates_total, const datetime &time[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[]) { if(!m_enabled) return; @@ -107,6 +104,10 @@ void CSessionBoxer::Update(const int rates_total, const datetime &time[], const double session_low = 0; long session_id = 0; + double cumulative_tpv = 0; + double cumulative_vol = 0; + double prev_vwap = 0; + for(int i = 1; i < rates_total; i++) { MqlDateTime dt; @@ -120,7 +121,10 @@ void CSessionBoxer::Update(const int rates_total, const datetime &time[], const session_start_bar = i; session_high = high[i]; session_low = low[i]; - session_id = (long)time[i] - (dt.hour*3600 + dt.min*60 + dt.sec); // Use day start as ID + session_id = (long)time[i] - (dt.hour*3600 + dt.min*60 + dt.sec); + cumulative_tpv = 0; + cumulative_vol = 0; + prev_vwap = 0; } else if(!is_in_current_session && in_session) @@ -128,12 +132,12 @@ void CSessionBoxer::Update(const int rates_total, const datetime &time[], const in_session = false; if(session_start_bar != -1 && i > session_start_bar) { - string obj_name = m_prefix + (string)session_id; + string obj_name = m_prefix + "Box_" + (string)session_id; ObjectCreate(0, obj_name, OBJ_RECTANGLE, 0, time[session_start_bar], session_high, time[i-1], session_low); ObjectSetInteger(0, obj_name, OBJPROP_COLOR, m_color); ObjectSetInteger(0, obj_name, OBJPROP_STYLE, STYLE_SOLID); ObjectSetInteger(0, obj_name, OBJPROP_BACK, true); - ObjectSetInteger(0, obj_name, OBJPROP_FILL, m_fill_box); // Use input for fill + ObjectSetInteger(0, obj_name, OBJPROP_FILL, m_fill_box); } } @@ -144,16 +148,40 @@ void CSessionBoxer::Update(const int rates_total, const datetime &time[], const if(low[i] < session_low) session_low = low[i]; + // --- VWAP Calculation --- + if(m_show_vwap) + { + double typical_price = (high[i] + low[i] + close[i]) / 3.0; + long current_volume = (m_volume_type == VOLUME_TICK) ? tick_volume[i] : volume[i]; + if(current_volume < 1) + current_volume = 1; + + cumulative_tpv += typical_price * (double)current_volume; + cumulative_vol += (double)current_volume; + + double current_vwap = (cumulative_vol > 0) ? cumulative_tpv / cumulative_vol : 0; + + if(prev_vwap > 0) // Don't draw the first point, only from the second + { + string vwap_line_name = m_prefix + "VWAP_" + (string)time[i]; + ObjectCreate(0, vwap_line_name, OBJ_TREND, 0, time[i-1], prev_vwap, time[i], current_vwap); + ObjectSetInteger(0, vwap_line_name, OBJPROP_COLOR, m_color); + ObjectSetInteger(0, vwap_line_name, OBJPROP_WIDTH, 2); + } + prev_vwap = current_vwap; + } + + // Update the box for the current, active session if(i == rates_total - 1) { - string obj_name = m_prefix + (string)session_id; + string obj_name = m_prefix + "Box_" + (string)session_id; if(ObjectFind(0, obj_name) < 0) { ObjectCreate(0, obj_name, OBJ_RECTANGLE, 0, time[session_start_bar], session_high, time[i], session_low); ObjectSetInteger(0, obj_name, OBJPROP_COLOR, m_color); ObjectSetInteger(0, obj_name, OBJPROP_STYLE, STYLE_SOLID); ObjectSetInteger(0, obj_name, OBJPROP_BACK, true); - ObjectSetInteger(0, obj_name, OBJPROP_FILL, m_fill_box); // Use input for fill + ObjectSetInteger(0, obj_name, OBJPROP_FILL, m_fill_box); } else { @@ -168,7 +196,8 @@ void CSessionBoxer::Update(const int rates_total, const datetime &time[], const //--- Input Parameters --- input group "Display Settings" -input bool InpFillBoxes = false; // Fill Session Boxes +input bool InpFillBoxes = false; +input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK; //+------------------------------------------------------------------+ //| | @@ -177,7 +206,8 @@ input group "Pre-Market Session (Broker Time)" input bool InpPreMarket_Enable = true; input string InpPreMarket_Start = "08:00"; input string InpPreMarket_End = "09:30"; -input color InpPreMarket_Color = C'33,150,243'; // Blue +input color InpPreMarket_Color = C'33,150,243'; +input bool InpPreMarket_VWAP = true; //+------------------------------------------------------------------+ //| | @@ -186,7 +216,8 @@ input group "Core Trading Session (Broker Time)" input bool InpCore_Enable = true; input string InpCore_Start = "09:30"; input string InpCore_End = "16:00"; -input color InpCore_Color = C'255,87,34'; // Deep Orange +input color InpCore_Color = C'255,87,34'; +input bool InpCore_VWAP = true; //+------------------------------------------------------------------+ //| | @@ -195,12 +226,13 @@ input group "Post-Market Session (Broker Time)" input bool InpPostMarket_Enable = true; input string InpPostMarket_Start = "16:00"; input string InpPostMarket_End = "20:00"; -input color InpPostMarket_Color = C'103,58,183'; // Deep Purple +input color InpPostMarket_Color = C'103,58,183'; +input bool InpPostMarket_VWAP = true; //--- Global Variables --- -CSessionBoxer *g_pre_market_boxer; -CSessionBoxer *g_core_market_boxer; -CSessionBoxer *g_post_market_boxer; +CSessionAnalyzer *g_pre_market_analyzer; +CSessionAnalyzer *g_core_market_analyzer; +CSessionAnalyzer *g_post_market_analyzer; datetime g_last_bar_time; //+------------------------------------------------------------------+ @@ -210,20 +242,20 @@ int OnInit() { g_last_bar_time = 0; - g_pre_market_boxer = new CSessionBoxer(); - if(CheckPointer(g_pre_market_boxer) == POINTER_INVALID) + g_pre_market_analyzer = new CSessionAnalyzer(); + if(CheckPointer(g_pre_market_analyzer) == POINTER_INVALID) return INIT_FAILED; - g_pre_market_boxer.Init(InpPreMarket_Enable, InpPreMarket_Start, InpPreMarket_End, InpPreMarket_Color, InpFillBoxes, "PreMarketBox_"); + g_pre_market_analyzer.Init(InpPreMarket_Enable, InpPreMarket_Start, InpPreMarket_End, InpPreMarket_Color, InpFillBoxes, InpPreMarket_VWAP, InpVolumeType, "PreMarket_"); - g_core_market_boxer = new CSessionBoxer(); - if(CheckPointer(g_core_market_boxer) == POINTER_INVALID) + g_core_market_analyzer = new CSessionAnalyzer(); + if(CheckPointer(g_core_market_analyzer) == POINTER_INVALID) return INIT_FAILED; - g_core_market_boxer.Init(InpCore_Enable, InpCore_Start, InpCore_End, InpCore_Color, InpFillBoxes, "CoreMarketBox_"); + g_core_market_analyzer.Init(InpCore_Enable, InpCore_Start, InpCore_End, InpCore_Color, InpFillBoxes, InpCore_VWAP, InpVolumeType, "CoreMarket_"); - g_post_market_boxer = new CSessionBoxer(); - if(CheckPointer(g_post_market_boxer) == POINTER_INVALID) + g_post_market_analyzer = new CSessionAnalyzer(); + if(CheckPointer(g_post_market_analyzer) == POINTER_INVALID) return INIT_FAILED; - g_post_market_boxer.Init(InpPostMarket_Enable, InpPostMarket_Start, InpPostMarket_End, InpPostMarket_Color, InpFillBoxes, "PostMarketBox_"); + g_post_market_analyzer.Init(InpPostMarket_Enable, InpPostMarket_Start, InpPostMarket_End, InpPostMarket_Color, InpFillBoxes, InpPostMarket_VWAP, InpVolumeType, "PostMarket_"); IndicatorSetString(INDICATOR_SHORTNAME, "Session Analysis"); return(INIT_SUCCEEDED); @@ -234,43 +266,43 @@ int OnInit() //+------------------------------------------------------------------+ void OnDeinit(const int reason) { - if(CheckPointer(g_pre_market_boxer) != POINTER_INVALID) + if(CheckPointer(g_pre_market_analyzer) != POINTER_INVALID) { - g_pre_market_boxer.Cleanup(); - delete g_pre_market_boxer; + g_pre_market_analyzer.Cleanup(); + delete g_pre_market_analyzer; } - if(CheckPointer(g_core_market_boxer) != POINTER_INVALID) + if(CheckPointer(g_core_market_analyzer) != POINTER_INVALID) { - g_core_market_boxer.Cleanup(); - delete g_core_market_boxer; + g_core_market_analyzer.Cleanup(); + delete g_core_market_analyzer; } - if(CheckPointer(g_post_market_boxer) != POINTER_INVALID) + if(CheckPointer(g_post_market_analyzer) != POINTER_INVALID) { - g_post_market_boxer.Cleanup(); - delete g_post_market_boxer; + g_post_market_analyzer.Cleanup(); + delete g_post_market_analyzer; } } //+------------------------------------------------------------------+ //| Custom indicator iteration function. | //+------------------------------------------------------------------+ -int OnCalculate(const int rates_total, const int, const datetime& time[], const double &open[], const double &high[], const double &low[], const double &close[], const long&[], const long&[], const int&[]) +int OnCalculate(const int rates_total, const int, const datetime& time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[]) { if(time[rates_total - 1] == g_last_bar_time && rates_total > 1) return(rates_total); g_last_bar_time = time[rates_total - 1]; - if(CheckPointer(g_pre_market_boxer) != POINTER_INVALID) - g_pre_market_boxer.Update(rates_total, time, high, low); + if(CheckPointer(g_pre_market_analyzer) != POINTER_INVALID) + g_pre_market_analyzer.Update(rates_total, time, high, low, close, tick_volume, volume); - if(CheckPointer(g_core_market_boxer) != POINTER_INVALID) - g_core_market_boxer.Update(rates_total, time, high, low); + if(CheckPointer(g_core_market_analyzer) != POINTER_INVALID) + g_core_market_analyzer.Update(rates_total, time, high, low, close, tick_volume, volume); - if(CheckPointer(g_post_market_boxer) != POINTER_INVALID) - g_post_market_boxer.Update(rates_total, time, high, low); + if(CheckPointer(g_post_market_analyzer) != POINTER_INVALID) + g_post_market_analyzer.Update(rates_total, time, high, low, close, tick_volume, volume); ChartRedraw(); return(rates_total); } -//+------------------------------------------------------------------+ +//+------------------------------------------------------------------+``` //+------------------------------------------------------------------+