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