Session Volume Profile

#property version   "1.00"

#property indicator_chart_window
#property indicator_buffers   0
#property indicator_plots     0

#include <Generic\HashMap.mqh>
#include <Generic\HashSet.mqh>

enum LineDisplayType
  {
   display_line_start,        //Session start
   display_line_left_bar      //Leftmost bar
  };

enum BarWidthType
  {
   width_1,          //0.1
   width_2,          //0.2
   width_3,          //0.3
   width_4,          //0.4
   width_5,          //0.5 (Half screen width)
   width_6,          //0.6
   width_7,          //0.7
   width_8,          //0.8
   width_9,          //0.9
   width_10          //1 (Full screen width)
  };

enum BucketSizeType
  {
   bucket_size_auto,            //Auto
   bucket_size_custom           //Custom
  };

struct XYCoord
  {
   int x;
   int y;

   XYCoord(int X=0, int Y=0):
      x(X),
      y(Y) {}
  };

struct PriceTimeCoord
  {
   datetime time;
   double   price;

   PriceTimeCoord(datetime Time=0, double Price=0):
      time(Time),
      price(Price) {}

   bool operator!=(const PriceTimeCoord &other) const
     {
      return (time != other.time) || (price != other.price);
     }
  };

struct VolumeProfile
  {
   CHashMap<long, long>  buckets;
   CHashSet<long>        updateList;
   long                  pocIdx;
   double                max;
   double                min;
   long                  maxVolumeCount;
   bool                  isNewMaxCount;
   double                bucketSize;

   VolumeProfile(double BucketSize=0, double Min=DBL_MAX, double Max=0, long MaxVolumeCount=0, bool IsNewMaxCount=false, long PocIdx=0):
      bucketSize(BucketSize),
      min(Min),
      max(Max),
      maxVolumeCount(MaxVolumeCount),
      pocIdx(PocIdx),
      isNewMaxCount(IsNewMaxCount)
     {
      buckets.Clear();
      updateList.Clear();
     }

   void Reset()
     {
      min = DBL_MAX;
      max = 0;
      maxVolumeCount = 0;
      isNewMaxCount = false;
      pocIdx = 0;
      buckets.Clear();
      updateList.Clear();
     }

   void ClearUpdates()
     {
      isNewMaxCount = false;
      updateList.Clear();
     }
  };

input group             "Indicator Identification"
input uint              InpIndicatorId             = 1;                    //Unique ID
input group             "Session Bounds Settings (draggable)"
input int               InpDefaultBars             = 5;                    //Default Bars For Initial Session Bounds
input color             InpBoundsColor             = clrMediumBlue;        //Session Bounds Color
input group             "Bucket Size Settings"
input BucketSizeType    InpBucketChoice            = bucket_size_auto;     //Bucket Size
input double            InpCustomBucketSize        = 0.0;                  //Custom Size (if chosen)
input group             "Max Width Settings"
input BarWidthType      InpMaxBarWidth             = width_1;              //Max Width
input bool              InpIsCustomMaxBarWidth     = false;                //Custom Width
input double            InpCustomMaxBarWidth       = 0.0;                  //Custom Width (if chosen)
input group             "Volume Profile Settings"
input LineDisplayType   InpLineDisplay             = display_line_start;   //Profile Display Location
input color             InpBarColor                = clrGold;              //Volume Profile Color
input color             InpBorderColor             = clrNONE;              //Border Color
input group             "POC settings"
input bool              InpShowPoc                 = true;                 //Show POC
input ENUM_LINE_STYLE   InpPocLineStyle            = STYLE_DASH;           //POC Line Style
input color             InpPocColor                = clrOrangeRed;         //POC Color
input group             "Refresh Rate Settings"
input int               InpMillisRefresh           = 1000;                 //Refresh Rate (in milliseconds)

string ProfilePrefix       = "volume_profile_";
string StartLineSuffix     = "_start";
string EndLineSuffix       = "_end";
string PocLineSuffix       = "_poc";
string BarPrefix           = "_bar_";
string StartLineLabel      = "Session Start";
string EndLineLabel        = "Session End";
string PocLabel            = "POC";
string ObjPrefix;
string StartLineName;
string EndLineName;

int EndShift = 0;

int      AtrPeriod = 14;
double   NumBucketsPerAtr = 4;

bool LastChartDescProp;
long gblLastTick;

datetime gblStart;
datetime gblEnd;

bool gblShouldRecalc = false;
VolumeProfile gblVolumeProfile;
PriceTimeCoord gblOrigin;

int OnInit()
  {
      // код доступен только после оплаты
   }

void  OnDeinit(const int  reason)
  {

   ObjectsDeleteAll(ChartID(), ObjPrefix);

   ChartSetInteger(ChartID(), CHART_SHOW_OBJECT_DESCR, LastChartDescProp);

   EventKillTimer();
  }

void OnChartEvent(const int32_t id,
                  const long &lparam,
                  const double &dparam,
                  const string &sparam)
  {

   if(id != CHARTEVENT_OBJECT_DRAG)
      return;

   if(sparam == StartLineName)
     {
      datetime start = (datetime) ObjectGetInteger(ChartID(), StartLineName, OBJPROP_TIME);
      if(start >= gblEnd)
        {
         ObjectSetInteger(ChartID(), StartLineName, OBJPROP_TIME, gblStart);
        }
      else
        {
         gblStart = start;
         gblShouldRecalc = true;
        }
      return;
     }

   if(sparam == EndLineName)
     {
      datetime end = (datetime) ObjectGetInteger(ChartID(), EndLineName, OBJPROP_TIME);
      if(end <= gblStart)
        {
         ObjectSetInteger(ChartID(), EndLineName, OBJPROP_TIME, gblEnd);
        }
      else
        {
         gblEnd   = end;
         gblShouldRecalc = true;
        }
      return;
     }
  }

int OnCalculate(const int32_t rates_total,
                const int32_t 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 int32_t &spread[])
  {
      // код доступен только после оплаты
   }

void OnTimer()
  {

   if(gblShouldRecalc)
     {
      InitVolumeProfile(gblVolumeProfile, gblStart, gblEnd);
      gblShouldRecalc = false;
     }

   e

Показано первые 50% кода (символов: 13550)