mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-07-27 20:47:44 +00:00
new files added
This commit is contained in:
Toh4iem9
@@ -0,0 +1,211 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| VWAP_Bands_Pro.mq5 |
|
||||
//| Copyright 2026, xxxxxxxx|
|
||||
//+------------------------------------------------------------------+
|
||||
#property copyright "Copyright 2026, xxxxxxxx"
|
||||
#property version "2.00" // Bulletproof Sync & Gapped Drawing
|
||||
#property description "VWAP with Volume-Weighted Standard Deviation Bands."
|
||||
#property description "Bands only display for the Current Session."
|
||||
|
||||
#property indicator_chart_window
|
||||
#property indicator_buffers 8
|
||||
#property indicator_plots 8
|
||||
|
||||
// Plot 1-2: VWAP (Odd/Even for Gapped Drawing)
|
||||
#property indicator_label1 "VWAP"
|
||||
#property indicator_type1 DRAW_LINE
|
||||
#property indicator_color1 clrGold
|
||||
#property indicator_style1 STYLE_SOLID
|
||||
#property indicator_width1 2
|
||||
|
||||
#property indicator_label2 ""
|
||||
#property indicator_type2 DRAW_LINE
|
||||
#property indicator_color2 clrGold
|
||||
#property indicator_style2 STYLE_SOLID
|
||||
#property indicator_width2 2
|
||||
|
||||
// Plot 3-4: Band 1 (+/-)
|
||||
#property indicator_label3 "Upper Band 1"
|
||||
#property indicator_type3 DRAW_LINE
|
||||
#property indicator_color3 clrDodgerBlue
|
||||
#property indicator_style3 STYLE_SOLID
|
||||
|
||||
#property indicator_label4 "Lower Band 1"
|
||||
#property indicator_type4 DRAW_LINE
|
||||
#property indicator_color4 clrDodgerBlue
|
||||
#property indicator_style4 STYLE_SOLID
|
||||
|
||||
// Plot 5-6: Band 2 (+/-)
|
||||
#property indicator_label5 "Upper Band 2"
|
||||
#property indicator_type5 DRAW_LINE
|
||||
#property indicator_color5 clrOrange
|
||||
#property indicator_style5 STYLE_SOLID
|
||||
|
||||
#property indicator_label6 "Lower Band 2"
|
||||
#property indicator_type6 DRAW_LINE
|
||||
#property indicator_color6 clrOrange
|
||||
#property indicator_style6 STYLE_SOLID
|
||||
|
||||
// Plot 7-8: Band 3 (+/-)
|
||||
#property indicator_label7 "Upper Band 3"
|
||||
#property indicator_type7 DRAW_LINE
|
||||
#property indicator_color7 clrRed
|
||||
#property indicator_style7 STYLE_SOLID
|
||||
|
||||
#property indicator_label8 "Lower Band 3"
|
||||
#property indicator_type8 DRAW_LINE
|
||||
#property indicator_color8 clrRed
|
||||
#property indicator_style8 STYLE_SOLID
|
||||
|
||||
#include <MyIncludes\VWAP_Calculator.mqh>
|
||||
|
||||
//--- Input Parameters
|
||||
input group "VWAP Settings"
|
||||
input ENUM_VWAP_PERIOD InpResetPeriod = PERIOD_SESSION;
|
||||
input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK;
|
||||
input int InpTzShift = 0; // Timezone shift (Hours)
|
||||
|
||||
input group "Bands Settings"
|
||||
input double InpBand1Mult = 1.0;
|
||||
input double InpBand2Mult = 2.0;
|
||||
input double InpBand3Mult = 3.0;
|
||||
|
||||
//--- Buffers
|
||||
double BufVWAP_Odd[];
|
||||
double BufVWAP_Even[];
|
||||
double BufUp1[], BufDn1[];
|
||||
double BufUp2[], BufDn2[];
|
||||
double BufUp3[], BufDn3[];
|
||||
|
||||
//--- Calculator
|
||||
CVWAPCalculator *g_vwap;
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Init |
|
||||
//+------------------------------------------------------------------+
|
||||
int OnInit()
|
||||
{
|
||||
SetIndexBuffer(0, BufVWAP_Odd, INDICATOR_DATA);
|
||||
SetIndexBuffer(1, BufVWAP_Even, INDICATOR_DATA);
|
||||
SetIndexBuffer(2, BufUp1, INDICATOR_DATA);
|
||||
SetIndexBuffer(3, BufDn1, INDICATOR_DATA);
|
||||
SetIndexBuffer(4, BufUp2, INDICATOR_DATA);
|
||||
SetIndexBuffer(5, BufDn2, INDICATOR_DATA);
|
||||
SetIndexBuffer(6, BufUp3, INDICATOR_DATA);
|
||||
SetIndexBuffer(7, BufDn3, INDICATOR_DATA);
|
||||
|
||||
// Disable drawing for empty values (Crucial for gapped lines)
|
||||
for(int i=0; i<8; i++)
|
||||
PlotIndexSetDouble(i, PLOT_EMPTY_VALUE, EMPTY_VALUE);
|
||||
PlotIndexSetString(1, PLOT_LABEL, "VWAP (Segment)");
|
||||
|
||||
g_vwap = new CVWAPCalculator();
|
||||
if(!g_vwap.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 0))
|
||||
return INIT_FAILED;
|
||||
|
||||
IndicatorSetString(INDICATOR_SHORTNAME, "VWAP Bands Pro");
|
||||
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
|
||||
|
||||
return(INIT_SUCCEEDED);
|
||||
}
|
||||
|
||||
void OnDeinit(const int r) { if(CheckPointer(g_vwap)==POINTER_DYNAMIC) delete g_vwap; }
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Calculate |
|
||||
//+------------------------------------------------------------------+
|
||||
int OnCalculate(const int rates_total,
|
||||
const int prev_calculated,
|
||||
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(rates_total < 2)
|
||||
return 0;
|
||||
|
||||
// 1. Run Original VWAP Calculator (Fills Odd/Even properly)
|
||||
g_vwap.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, BufVWAP_Odd, BufVWAP_Even);
|
||||
|
||||
// 2. Find the Start of the Current Session
|
||||
// We look backwards until the Odd/Even status flips.
|
||||
int current_session_start = 0;
|
||||
|
||||
for(int i = rates_total - 1; i > 0; i--)
|
||||
{
|
||||
bool is_odd_now = (BufVWAP_Odd[i] != EMPTY_VALUE && BufVWAP_Odd[i] != 0);
|
||||
bool is_odd_prev = (BufVWAP_Odd[i-1] != EMPTY_VALUE && BufVWAP_Odd[i-1] != 0);
|
||||
|
||||
if(is_odd_now != is_odd_prev)
|
||||
{
|
||||
current_session_start = i;
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
// 3. Clear Old Bands if a New Session just started
|
||||
static int prev_session_start = -1;
|
||||
if(current_session_start != prev_session_start)
|
||||
{
|
||||
// Wipe everything before the current session to keep chart clean
|
||||
for(int i = 0; i < current_session_start; i++)
|
||||
{
|
||||
BufUp1[i] = EMPTY_VALUE;
|
||||
BufDn1[i] = EMPTY_VALUE;
|
||||
BufUp2[i] = EMPTY_VALUE;
|
||||
BufDn2[i] = EMPTY_VALUE;
|
||||
BufUp3[i] = EMPTY_VALUE;
|
||||
BufDn3[i] = EMPTY_VALUE;
|
||||
}
|
||||
prev_session_start = current_session_start;
|
||||
}
|
||||
|
||||
// 4. Calculate Bands strictly for the Current Session
|
||||
double cum_vol = 0;
|
||||
double cum_tpv2 = 0;
|
||||
|
||||
// We always recalc the current session to guarantee mathematical purity
|
||||
for(int i = current_session_start; i < rates_total; i++)
|
||||
{
|
||||
double tp = (high[i] + low[i] + close[i]) / 3.0;
|
||||
double vol = (InpVolumeType == VOLUME_TICK) ? (double)tick_volume[i] : (double)volume[i];
|
||||
if(vol < 1.0)
|
||||
vol = 1.0;
|
||||
|
||||
cum_vol += vol;
|
||||
cum_tpv2 += (tp * tp) * vol;
|
||||
|
||||
double vwap = (BufVWAP_Odd[i] != EMPTY_VALUE && BufVWAP_Odd[i] != 0) ? BufVWAP_Odd[i] : BufVWAP_Even[i];
|
||||
|
||||
if(cum_vol > 0 && vwap != EMPTY_VALUE && vwap != 0)
|
||||
{
|
||||
// Variance = E[P^2] - E[P]^2
|
||||
double variance = (cum_tpv2 / cum_vol) - (vwap * vwap);
|
||||
double stddev = (variance > 0) ? MathSqrt(variance) : 0.0;
|
||||
|
||||
BufUp1[i] = vwap + (InpBand1Mult * stddev);
|
||||
BufDn1[i] = vwap - (InpBand1Mult * stddev);
|
||||
BufUp2[i] = vwap + (InpBand2Mult * stddev);
|
||||
BufDn2[i] = vwap - (InpBand2Mult * stddev);
|
||||
BufUp3[i] = vwap + (InpBand3Mult * stddev);
|
||||
BufDn3[i] = vwap - (InpBand3Mult * stddev);
|
||||
}
|
||||
else
|
||||
{
|
||||
BufUp1[i] = EMPTY_VALUE;
|
||||
BufDn1[i] = EMPTY_VALUE;
|
||||
BufUp2[i] = EMPTY_VALUE;
|
||||
BufDn2[i] = EMPTY_VALUE;
|
||||
BufUp3[i] = EMPTY_VALUE;
|
||||
BufDn3[i] = EMPTY_VALUE;
|
||||
}
|
||||
}
|
||||
|
||||
return(rates_total);
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
//+------------------------------------------------------------------+
|
||||
Reference in New Issue
Block a user