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mql5_indicators_mt5_part3/Recursive CCI - indicator for MetaTrader 5/recursive_cci.mq5
T

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//------------------------------------------------------------------
#property copyright "© mladen, 2016, MetaQuotes Software Corp."
#property link "www.forex-tsd.com, www.mql5.com"
//------------------------------------------------------------------
#property indicator_separate_window
#property indicator_buffers 9
#property indicator_plots 5
#property indicator_label1 "CCI Ob/Os zone"
#property indicator_type1 DRAW_FILLING
#property indicator_color1 clrLimeGreen,clrDeepPink
#property indicator_label2 "CCI level up"
#property indicator_type2 DRAW_LINE
#property indicator_color2 clrYellowGreen
#property indicator_style2 STYLE_DOT
#property indicator_label3 "CCI middle level"
#property indicator_type3 DRAW_LINE
#property indicator_color3 clrSilver
#property indicator_style3 STYLE_DOT
#property indicator_label4 "CCI level down"
#property indicator_type4 DRAW_LINE
#property indicator_color4 clrHotPink
#property indicator_style4 STYLE_DOT
#property indicator_label5 "CCI"
#property indicator_type5 DRAW_COLOR_LINE
#property indicator_color5 clrSilver,clrLimeGreen,clrHotPink
#property indicator_style5 STYLE_SOLID
#property indicator_width5 2
//
//
//
//
//
enum enPrices
{
pr_close, // Close
pr_open, // Open
pr_high, // High
pr_low, // Low
pr_median, // Median
pr_typical, // Typical
pr_weighted, // Weighted
pr_average, // Average (high+low+open+close)/4
pr_medianb, // Average median body (open+close)/2
pr_tbiased, // Trend biased price
pr_tbiased2, // Trend biased (extreme) price
pr_haclose, // Heiken ashi close
pr_haopen , // Heiken ashi open
pr_hahigh, // Heiken ashi high
pr_halow, // Heiken ashi low
pr_hamedian, // Heiken ashi median
pr_hatypical, // Heiken ashi typical
pr_haweighted, // Heiken ashi weighted
pr_haaverage, // Heiken ashi average
pr_hamedianb, // Heiken ashi median body
pr_hatbiased, // Heiken ashi trend biased price
pr_hatbiased2 // Heiken ashi trend biased (extreme) price
};
enum enMaTypes
{
ma_sma, // Simple moving average
ma_ema, // Exponential moving average
ma_smma, // Smoothed MA
ma_lwma // Linear weighted MA
};
enum chgColor
{
chg_onSlope, // change color on slope change
chg_onLevel, // Change color on outer levels cross
chg_onMiddle // Change color on middle level cross
};
enum enLevelType
{
lvl_floa, // Floating levels
lvl_quan // Quantile levels
};
input ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT; // Time frame
input int CciPeriod = 50; // CCI calculating period
input enPrices CciPrice = pr_close; // Price
input int CciLevel = 1; // CCI level
input int PriceSmooth = 5; // Price smoothing
input enMaTypes PriceSmoothMethod = ma_sma; // Price smoothing method
input int LevelsPeriod = 25; // Levels period (<0 no levels, 0 same as CCI period)
input double LevelsUp = 90; // Levels up level %
input double LevelsDown = 10; // Levels down level %
input enLevelType LevelType = lvl_floa; // Levels type
input chgColor ColorOn = chg_onLevel; // Color change on :
input bool AlertsOn = false; // Turn alerts on?
input bool AlertsOnCurrent = true; // Alert on current bar?
input bool AlertsMessage = true; // Display messageas on alerts?
input bool AlertsSound = false; // Play sound on alerts?
input bool AlertsEmail = false; // Send email on alerts?
input bool AlertsNotify = false; // Send push notification on alerts?
input bool Interpolate = true; // Interpolate in multi time frame mode?
double val[],fillup[],filldn[],levelup[],levelmi[],leveldn[],colorBuffer[],count[],prices[];
int _mtfHandle = INVALID_HANDLE; ENUM_TIMEFRAMES timeFrame;
#define _mtfCall iCustom(_Symbol,timeFrame,getIndicatorName(),PERIOD_CURRENT,CciPeriod,CciPrice,CciLevel,PriceSmooth,PriceSmoothMethod,LevelsPeriod,LevelsUp,LevelsDown,LevelType,ColorOn,AlertsOn,AlertsOnCurrent,AlertsMessage,AlertsSound,AlertsEmail,AlertsNotify)
//------------------------------------------------------------------
//
//------------------------------------------------------------------
//
//
//
//
//
int OnInit()
{
SetIndexBuffer(0,fillup ,INDICATOR_DATA);
SetIndexBuffer(1,filldn ,INDICATOR_DATA);
SetIndexBuffer(2,levelup ,INDICATOR_DATA);
SetIndexBuffer(3,levelmi ,INDICATOR_DATA);
SetIndexBuffer(4,leveldn ,INDICATOR_DATA);
SetIndexBuffer(5,val ,INDICATOR_DATA);
SetIndexBuffer(6,colorBuffer,INDICATOR_COLOR_INDEX);
SetIndexBuffer(7,count ,INDICATOR_CALCULATIONS);
SetIndexBuffer(8,prices ,INDICATOR_CALCULATIONS);
for (int i=0; i<4; i++) PlotIndexSetInteger(i,PLOT_SHOW_DATA,false);
timeFrame = MathMax(_Period,TimeFrame);
if (timeFrame != _Period) _mtfHandle = _mtfCall;
IndicatorSetString(INDICATOR_SHORTNAME,timeFrameToString(timeFrame)+" level : "+(string)CciLevel+" CCI ("+(string)CciPeriod+","+(string)CciLevel+","+(string)PriceSmooth+")");
return(INIT_SUCCEEDED);
}
//
//
//
//
//
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 (Bars(_Symbol,_Period)<rates_total) return(-1);
//
//
//
//
//
if (timeFrame!=_Period)
{
double result[]; datetime currTime[],nextTime[];
if (_mtfHandle==INVALID_HANDLE) _mtfHandle = _mtfCall;
if (_mtfHandle==INVALID_HANDLE) return(0);
if (CopyBuffer(_mtfHandle,7,0,1,result)==-1) return(0);
//
//
//
//
//
#define _mtfRatio PeriodSeconds(timeFrame)/PeriodSeconds(_Period)
int i,k,n,limit = MathMin(MathMax(prev_calculated-1,0),MathMax(rates_total-(int)result[0]*_mtfRatio-1,0));
for (i=limit; i<rates_total && !_StopFlag; i++ )
{
#define _mtfCopy(_buff,_buffNo) if (CopyBuffer(_mtfHandle,_buffNo,time[i],1,result)==-1) break; _buff[i] = result[0]
_mtfCopy(fillup ,0);
_mtfCopy(filldn ,1);
_mtfCopy(levelup ,2);
_mtfCopy(levelmi ,3);
_mtfCopy(leveldn ,4);
_mtfCopy(val ,5);
_mtfCopy(colorBuffer,6);
//
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//
if (!Interpolate) continue; CopyTime(_Symbol,timeFrame,time[i ],1,currTime);
if (i<(rates_total-1)) { CopyTime(_Symbol,timeFrame,time[i+1],1,nextTime); if (currTime[0]==nextTime[0]) continue; }
for(n=1; (i-n)> 0 && time[i-n] >= currTime[0]; n++) continue;
for(k=1; (i-k)>=0 && k<n; k++)
{
#define _mtfInterpolate(_buff) _buff[i-k] = _buff[i]+(_buff[i-n]-_buff[i])*k/n
_mtfInterpolate(fillup );
_mtfInterpolate(filldn );
_mtfInterpolate(levelup);
_mtfInterpolate(leveldn);
_mtfInterpolate(levelmi);
_mtfInterpolate(val );
}
}
return(i);
}
//
//
//
//
//
int levelsPeriod = (LevelsPeriod<0) ? 1 : (LevelsPeriod==0) ? (int)CciPeriod : LevelsPeriod;
int cciLevel = MathMax(MathMin(CciLevel,25),1);
int colorOn = (levelsPeriod>1) ? ColorOn : chg_onSlope;
int i; for (i=(int)MathMax(prev_calculated-1,0); i<rates_total && !_StopFlag; i++)
{
double price = iCustomMa(PriceSmoothMethod,getPrice(CciPrice,open,close,high,low,i,rates_total),PriceSmooth,i,rates_total);
for (int l=0; l<cciLevel; l++)
price = iCci(price,CciPeriod,i,rates_total,l);
val[i] = price;
//
//
//
//
//
if (LevelType==lvl_floa)
{
int start = MathMax(i-levelsPeriod+1,0);
double min = val[ArrayMinimum(val,start,levelsPeriod)];
double max = val[ArrayMaximum(val,start,levelsPeriod)];
double range = max-min;
levelup[i] = min+LevelsUp *range/100.0;
leveldn[i] = min+LevelsDown*range/100.0;
levelmi[i] = min+0.5*range;
}
else
{
levelup[i] = iQuantile(val[i],levelsPeriod, LevelsUp ,i,rates_total);
leveldn[i] = iQuantile(val[i],levelsPeriod, LevelsDown ,i,rates_total);
levelmi[i] = iQuantile(val[i],levelsPeriod,(LevelsUp+LevelsDown)/2.0,i,rates_total);
}
switch (colorOn)
{
case chg_onLevel : colorBuffer[i] = (val[i]>levelup[i]) ? 1 : (val[i]<leveldn[i]) ? 2 : (val[i]<levelup[i] && val[i]>leveldn[i]) ? 0 : (i>0) ? colorBuffer[i-1]: 0; break;
case chg_onMiddle : colorBuffer[i] = (val[i]>levelmi[i]) ? 1 : (val[i]<levelmi[i]) ? 2 : (i>0) ? colorBuffer[i-1] : 0; break;
default : colorBuffer[i] = (i>0) ? (val[i]>val[i-1]) ? 1 : (val[i]<val[i-1]) ? 2 : colorBuffer[i-1] : 0;
}
fillup[i] = val[i];
filldn[i] = MathMin(MathMax(val[i],leveldn[i]),levelup[i]);
}
count[rates_total-1] = MathMax(rates_total-prev_calculated+1,1);
manageAlerts(time,colorBuffer,rates_total);
return(i);
}
//-------------------------------------------------------------------
//
//-------------------------------------------------------------------
//
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//
//
//
#define _cciInstances 25
double _workCci[][_cciInstances];
double iCci(double value, int period, int i, int bars, int instanceNo=0)
{
if (ArrayRange(_workCci,0)!=bars) ArrayResize(_workCci,bars);
_workCci[i][instanceNo]=value;
//
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//
//
//
double avg = 0; for(int k=0; k<period && (i-k)>=0; k++) avg += _workCci[i-k][instanceNo]; avg /= (int)period;
double dev = 0; for(int k=0; k<period && (i-k)>=0; k++) dev += MathAbs(_workCci[i-k][instanceNo]-avg); dev /= (int)period;
double cci = (dev!=0) ? (_workCci[i][instanceNo]-avg)/(0.015*dev) : 0;
return(cci);
}
//-------------------------------------------------------------------
//
//-------------------------------------------------------------------
//
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//
//
#define _quantileInstances 1
double _sortQuant[];
double _workQuant[][_quantileInstances];
double iQuantile(double value, int period, double qp, int i, int bars, int instanceNo=0)
{
if (ArrayRange(_workQuant,0)!=bars) ArrayResize(_workQuant,bars); _workQuant[i][instanceNo]=value; if (period<1) return(value);
if (ArraySize(_sortQuant)!=period) ArrayResize(_sortQuant,period);
int k=0; for (; k<period && (i-k)>=0; k++) _sortQuant[k] = _workQuant[i-k][instanceNo];
for (; k<period ; k++) _sortQuant[k] = 0;
ArraySort(_sortQuant);
//
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//
//
//
double index = (period-1.0)*qp/100.00;
int ind = (int)index;
double delta = index - ind;
if (ind == NormalizeDouble(index,5))
return( _sortQuant[ind]);
else return((1.0-delta)*_sortQuant[ind]+delta*_sortQuant[ind+1]);
}
//------------------------------------------------------------------
//
//------------------------------------------------------------------
//
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//
#define _maInstances 3
#define _maWorkBufferx1 1*_maInstances
double iCustomMa(int mode, double price, double length, int r, int bars, int instanceNo=0)
{
switch (mode)
{
case ma_sma : return(iSma(price,(int)length,r,bars,instanceNo));
case ma_ema : return(iEma(price,length,r,bars,instanceNo));
case ma_smma : return(iSmma(price,(int)length,r,bars,instanceNo));
case ma_lwma : return(iLwma(price,(int)length,r,bars,instanceNo));
default : return(price);
}
}
//
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//
//
double workSma[][_maWorkBufferx1];
double iSma(double price, int period, int r, int _bars, int instanceNo=0)
{
if (ArrayRange(workSma,0)!= _bars) ArrayResize(workSma,_bars); int k=1;
workSma[r][instanceNo+0] = price;
double avg = price; for(; k<period && (r-k)>=0; k++) avg += workSma[r-k][instanceNo+0]; avg /= (double)k;
return(avg);
}
//
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//
//
double workEma[][_maWorkBufferx1];
double iEma(double price, double period, int r, int _bars, int instanceNo=0)
{
if (ArrayRange(workEma,0)!= _bars) ArrayResize(workEma,_bars);
workEma[r][instanceNo] = price;
if (r>0 && period>1)
workEma[r][instanceNo] = workEma[r-1][instanceNo]+(2.0/(1.0+period))*(price-workEma[r-1][instanceNo]);
return(workEma[r][instanceNo]);
}
//
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//
double workSmma[][_maWorkBufferx1];
double iSmma(double price, double period, int r, int _bars, int instanceNo=0)
{
if (ArrayRange(workSmma,0)!= _bars) ArrayResize(workSmma,_bars);
workSmma[r][instanceNo] = price;
if (r>1 && period>1)
workSmma[r][instanceNo] = workSmma[r-1][instanceNo]+(price-workSmma[r-1][instanceNo])/period;
return(workSmma[r][instanceNo]);
}
//
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double workLwma[][_maWorkBufferx1];
double iLwma(double price, double period, int r, int _bars, int instanceNo=0)
{
if (ArrayRange(workLwma,0)!= _bars) ArrayResize(workLwma,_bars);
workLwma[r][instanceNo] = price; if (period<1) return(price);
double sumw = period;
double sum = period*price;
for(int k=1; k<period && (r-k)>=0; k++)
{
double weight = period-k;
sumw += weight;
sum += weight*workLwma[r-k][instanceNo];
}
return(sum/sumw);
}
//------------------------------------------------------------------
//
//------------------------------------------------------------------
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void manageAlerts(const datetime& time[], double& trend[], int bars)
{
if (!AlertsOn) return;
int whichBar = bars-1; if (!AlertsOnCurrent) whichBar = bars-2; datetime time1 = time[whichBar];
if (trend[whichBar] != trend[whichBar-1])
{
if (trend[whichBar] == 1) doAlert(time1,"up");
if (trend[whichBar] == 2) doAlert(time1,"down");
}
}
//
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//
void doAlert(datetime forTime, string doWhat)
{
static string previousAlert="nothing";
static datetime previousTime;
string message;
if (previousAlert != doWhat || previousTime != forTime)
{
previousAlert = doWhat;
previousTime = forTime;
//
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//
//
//
message = timeFrameToString(_Period)+" "+_Symbol+" at "+TimeToString(TimeLocal(),TIME_SECONDS)+" CCI state changed to "+doWhat;
if (AlertsMessage) Alert(message);
if (AlertsEmail) SendMail(_Symbol+" CCI",message);
if (AlertsNotify) SendNotification(message);
if (AlertsSound) PlaySound("alert2.wav");
}
}
//------------------------------------------------------------------
//
//------------------------------------------------------------------
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#define _pricesInstances 3
#define _pricesSize 4
double workHa[][_pricesInstances*_pricesSize];
double getPrice(int tprice, const double& open[], const double& close[], const double& high[], const double& low[], int i,int _bars, int instanceNo=0)
{
if (tprice>=pr_haclose)
{
if (ArrayRange(workHa,0)!= _bars) ArrayResize(workHa,_bars); instanceNo*=_pricesSize;
//
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//
double haOpen;
if (i>0)
haOpen = (workHa[i-1][instanceNo+2] + workHa[i-1][instanceNo+3])/2.0;
else haOpen = (open[i]+close[i])/2;
double haClose = (open[i] + high[i] + low[i] + close[i]) / 4.0;
double haHigh = MathMax(high[i], MathMax(haOpen,haClose));
double haLow = MathMin(low[i] , MathMin(haOpen,haClose));
if(haOpen <haClose) { workHa[i][instanceNo+0] = haLow; workHa[i][instanceNo+1] = haHigh; }
else { workHa[i][instanceNo+0] = haHigh; workHa[i][instanceNo+1] = haLow; }
workHa[i][instanceNo+2] = haOpen;
workHa[i][instanceNo+3] = haClose;
//
//
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switch (tprice)
{
case pr_haclose: return(haClose);
case pr_haopen: return(haOpen);
case pr_hahigh: return(haHigh);
case pr_halow: return(haLow);
case pr_hamedian: return((haHigh+haLow)/2.0);
case pr_hamedianb: return((haOpen+haClose)/2.0);
case pr_hatypical: return((haHigh+haLow+haClose)/3.0);
case pr_haweighted: return((haHigh+haLow+haClose+haClose)/4.0);
case pr_haaverage: return((haHigh+haLow+haClose+haOpen)/4.0);
case pr_hatbiased:
if (haClose>haOpen)
return((haHigh+haClose)/2.0);
else return((haLow+haClose)/2.0);
case pr_hatbiased2:
if (haClose>haOpen) return(haHigh);
if (haClose<haOpen) return(haLow);
return(haClose);
}
}
//
//
//
//
//
switch (tprice)
{
case pr_close: return(close[i]);
case pr_open: return(open[i]);
case pr_high: return(high[i]);
case pr_low: return(low[i]);
case pr_median: return((high[i]+low[i])/2.0);
case pr_medianb: return((open[i]+close[i])/2.0);
case pr_typical: return((high[i]+low[i]+close[i])/3.0);
case pr_weighted: return((high[i]+low[i]+close[i]+close[i])/4.0);
case pr_average: return((high[i]+low[i]+close[i]+open[i])/4.0);
case pr_tbiased:
if (close[i]>open[i])
return((high[i]+close[i])/2.0);
else return((low[i]+close[i])/2.0);
case pr_tbiased2:
if (close[i]>open[i]) return(high[i]);
if (close[i]<open[i]) return(low[i]);
return(close[i]);
}
return(0);
}
//-------------------------------------------------------------------
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//-------------------------------------------------------------------
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string getIndicatorName()
{
string path = MQL5InfoString(MQL5_PROGRAM_PATH);
string data = TerminalInfoString(TERMINAL_DATA_PATH)+"\\MQL5\\Indicators\\";
string name = StringSubstr(path,StringLen(data));
return(name);
}
//
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//
//
//
int _tfsPer[]={PERIOD_M1,PERIOD_M2,PERIOD_M3,PERIOD_M4,PERIOD_M5,PERIOD_M6,PERIOD_M10,PERIOD_M12,PERIOD_M15,PERIOD_M20,PERIOD_M30,PERIOD_H1,PERIOD_H2,PERIOD_H3,PERIOD_H4,PERIOD_H6,PERIOD_H8,PERIOD_H12,PERIOD_D1,PERIOD_W1,PERIOD_MN1};
string _tfsStr[]={"1 minute","2 minutes","3 minutes","4 minutes","5 minutes","6 minutes","10 minutes","12 minutes","15 minutes","20 minutes","30 minutes","1 hour","2 hours","3 hours","4 hours","6 hours","8 hours","12 hours","daily","weekly","monthly"};
string timeFrameToString(int period)
{
if (period==PERIOD_CURRENT)
period = _Period;
int i; for(i=0;i<ArraySize(_tfsPer);i++) if(period==_tfsPer[i]) break;
return(_tfsStr[i]);
}