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refactor: vwap

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This commit is contained in:
Toh4iem9
2025-10-12 23:00:02 +02:00
parent 12f119d64f
commit eae0579702
1 changed files with 98 additions and 66 deletions
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Indicators/MyIndicators/Session_Analysis.mq5
+98 -66
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@@ -4,17 +4,17 @@
//| | //| |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
#property version "1.20" // Added option to fill boxes #property version "1.30" // Added VWAP calculation
#property description "Draws boxes around Pre-Market, Core, and Post-Market sessions." #property description "Draws boxes and calculates VWAP for user-defined trading sessions."
#property description "Times are based on broker's server time." #property description "Times are based on broker's server time."
#property indicator_chart_window #property indicator_chart_window
#property indicator_plots 0 #property indicator_plots 0
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CLASS: CSessionBoxer | //| CLASS: CSessionAnalyzer |
//| Manages the drawing and updating of a single session box. | //| Manages the drawing and analysis of a single session. |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
class CSessionBoxer class CSessionAnalyzer
{ {
private: private:
int m_start_hour, m_start_min; int m_start_hour, m_start_min;
@@ -22,25 +22,29 @@ private:
color m_color; color m_color;
string m_prefix; string m_prefix;
bool m_enabled; 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); bool IsTimeInSession(const MqlDateTime &dt);
public: public:
void Init(bool enabled, string start_time, string end_time, color box_color, bool fill_box, string prefix); 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[]); 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); 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_enabled = enabled;
m_prefix = prefix; m_prefix = prefix;
m_color = box_color; m_color = box_color;
m_fill_box = fill_box; m_fill_box = fill_box;
m_show_vwap = show_vwap;
m_volume_type = vol_type;
string parts[]; string parts[];
if(StringSplit(start_time, ':', parts) == 2) 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 current_time_in_minutes = dt.hour * 60 + dt.min;
int start_time_in_minutes = m_start_hour * 60 + m_start_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) if(!m_enabled)
return; return;
for(int i = ObjectsTotal(0, -1, OBJ_RECTANGLE) - 1; i >= 0; i--) ObjectsDeleteAll(0, m_prefix);
{
string name = ObjectName(0, i, -1, OBJ_RECTANGLE);
if(StringFind(name, m_prefix) == 0)
{
ObjectDelete(0, name);
}
}
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| 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) if(!m_enabled)
return; return;
@@ -107,6 +104,10 @@ void CSessionBoxer::Update(const int rates_total, const datetime &time[], const
double session_low = 0; double session_low = 0;
long session_id = 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++) for(int i = 1; i < rates_total; i++)
{ {
MqlDateTime dt; MqlDateTime dt;
@@ -120,7 +121,10 @@ void CSessionBoxer::Update(const int rates_total, const datetime &time[], const
session_start_bar = i; session_start_bar = i;
session_high = high[i]; session_high = high[i];
session_low = low[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 else
if(!is_in_current_session && in_session) 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; in_session = false;
if(session_start_bar != -1 && i > session_start_bar) 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); 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_COLOR, m_color);
ObjectSetInteger(0, obj_name, OBJPROP_STYLE, STYLE_SOLID); ObjectSetInteger(0, obj_name, OBJPROP_STYLE, STYLE_SOLID);
ObjectSetInteger(0, obj_name, OBJPROP_BACK, true); 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) if(low[i] < session_low)
session_low = low[i]; 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) 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) if(ObjectFind(0, obj_name) < 0)
{ {
ObjectCreate(0, obj_name, OBJ_RECTANGLE, 0, time[session_start_bar], session_high, time[i], session_low); 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_COLOR, m_color);
ObjectSetInteger(0, obj_name, OBJPROP_STYLE, STYLE_SOLID); ObjectSetInteger(0, obj_name, OBJPROP_STYLE, STYLE_SOLID);
ObjectSetInteger(0, obj_name, OBJPROP_BACK, true); 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 else
{ {
@@ -168,7 +196,8 @@ void CSessionBoxer::Update(const int rates_total, const datetime &time[], const
//--- Input Parameters --- //--- Input Parameters ---
input group "Display Settings" 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 bool InpPreMarket_Enable = true;
input string InpPreMarket_Start = "08:00"; input string InpPreMarket_Start = "08:00";
input string InpPreMarket_End = "09:30"; 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 bool InpCore_Enable = true;
input string InpCore_Start = "09:30"; input string InpCore_Start = "09:30";
input string InpCore_End = "16:00"; 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 bool InpPostMarket_Enable = true;
input string InpPostMarket_Start = "16:00"; input string InpPostMarket_Start = "16:00";
input string InpPostMarket_End = "20:00"; 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 --- //--- Global Variables ---
CSessionBoxer *g_pre_market_boxer; CSessionAnalyzer *g_pre_market_analyzer;
CSessionBoxer *g_core_market_boxer; CSessionAnalyzer *g_core_market_analyzer;
CSessionBoxer *g_post_market_boxer; CSessionAnalyzer *g_post_market_analyzer;
datetime g_last_bar_time; datetime g_last_bar_time;
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
@@ -210,20 +242,20 @@ int OnInit()
{ {
g_last_bar_time = 0; g_last_bar_time = 0;
g_pre_market_boxer = new CSessionBoxer(); g_pre_market_analyzer = new CSessionAnalyzer();
if(CheckPointer(g_pre_market_boxer) == POINTER_INVALID) if(CheckPointer(g_pre_market_analyzer) == POINTER_INVALID)
return INIT_FAILED; 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(); g_core_market_analyzer = new CSessionAnalyzer();
if(CheckPointer(g_core_market_boxer) == POINTER_INVALID) if(CheckPointer(g_core_market_analyzer) == POINTER_INVALID)
return INIT_FAILED; 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(); g_post_market_analyzer = new CSessionAnalyzer();
if(CheckPointer(g_post_market_boxer) == POINTER_INVALID) if(CheckPointer(g_post_market_analyzer) == POINTER_INVALID)
return INIT_FAILED; 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"); IndicatorSetString(INDICATOR_SHORTNAME, "Session Analysis");
return(INIT_SUCCEEDED); return(INIT_SUCCEEDED);
@@ -234,43 +266,43 @@ int OnInit()
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void OnDeinit(const int reason) 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(); g_pre_market_analyzer.Cleanup();
delete g_pre_market_boxer; 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(); g_core_market_analyzer.Cleanup();
delete g_core_market_boxer; 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(); g_post_market_analyzer.Cleanup();
delete g_post_market_boxer; delete g_post_market_analyzer;
} }
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Custom indicator iteration function. | //| 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) if(time[rates_total - 1] == g_last_bar_time && rates_total > 1)
return(rates_total); return(rates_total);
g_last_bar_time = time[rates_total - 1]; g_last_bar_time = time[rates_total - 1];
if(CheckPointer(g_pre_market_boxer) != POINTER_INVALID) if(CheckPointer(g_pre_market_analyzer) != POINTER_INVALID)
g_pre_market_boxer.Update(rates_total, time, high, low); g_pre_market_analyzer.Update(rates_total, time, high, low, close, tick_volume, volume);
if(CheckPointer(g_core_market_boxer) != POINTER_INVALID) if(CheckPointer(g_core_market_analyzer) != POINTER_INVALID)
g_core_market_boxer.Update(rates_total, time, high, low); g_core_market_analyzer.Update(rates_total, time, high, low, close, tick_volume, volume);
if(CheckPointer(g_post_market_boxer) != POINTER_INVALID) if(CheckPointer(g_post_market_analyzer) != POINTER_INVALID)
g_post_market_boxer.Update(rates_total, time, high, low); g_post_market_analyzer.Update(rates_total, time, high, low, close, tick_volume, volume);
ChartRedraw(); ChartRedraw();
return(rates_total); return(rates_total);
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+```
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+