Volume weighted MA

ÿþ//------------------------------------------------------------------

#property copyright "© mladen, 2018"

#property link      "mladenfx@gmail.com"

//------------------------------------------------------------------

#property indicator_chart_window

#property indicator_buffers 2

#property indicator_plots   1

#property indicator_label1  "Volume weighted average"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDeepPink,clrMediumSeaGreen

#property indicator_width1  2



//

//--- input parameters

//



input int                 inpPeriod = 20;          // Period

input ENUM_APPLIED_PRICE  inpPrice  = PRICE_CLOSE; // Price

input ENUM_APPLIED_VOLUME inpVolume = VOLUME_TICK; // Volume to use



//

//--- indicator buffers

//

double val[],valc[]; 



//------------------------------------------------------------------

// Custom indicator initialization function

//------------------------------------------------------------------



int OnInit()

{

   //--- indicator buffers mapping

         SetIndexBuffer(0,val,INDICATOR_DATA);

         SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

   //--- indicator short name assignment

         IndicatorSetString(INDICATOR_SHORTNAME,"Volume weighted MA ("+(string)inpPeriod+")");

   return (INIT_SUCCEEDED);

}

void OnDeinit(const int reason)

{

}



//------------------------------------------------------------------

// Custom indicator iteration function

//------------------------------------------------------------------

//

//---

//



#define _setPrice(_priceType,_target,_index) \

   { \

   switch(_priceType) \

   { \

      case PRICE_CLOSE:    _target = close[_index];                                              break; \

      case PRICE_OPEN:     _target = open[_index];                                               break; \

      case PRICE_HIGH:     _target = high[_index];                                               break; \

      case PRICE_LOW:      _target = low[_index];                                                break; \

      case PRICE_MEDIAN:   _target = (high[_index]+low[_index])/2.0;                             break; \

      case PRICE_TYPICAL:  _target = (high[_index]+low[_index]+close[_index])/3.0;               break; \

      case PRICE_WEIGHTED: _target = (high[_index]+low[_index]+close[_index]+close[_index])/4.0; break; \

      default : _target = 0; \

   }}

   

//

//---

//



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[])

{

   int i=(prev_calculated>0?prev_calculated-1:0); for (; i<rates_total && !_StopFlag; i++)

   {

      double _price; _setPrice(inpPrice,_price,i);

      val[i]  = iVwma(_price,(inpVolume==VOLUME_TICK?tick_volume[i]:volume[i]),inpPeriod,i,rates_total);

      valc[i] = (i>0) ?(val[i]>val[i-1]) ? 2 :(val[i]<val[i-1]) ? 1 : valc[i-1]: 0;

   }

   return(i);

}



//------------------------------------------------------------------

// Custom function(s)

//------------------------------------------------------------------

//

//---

//



double iVwma(double price, double volume, int period, int i, int bars, int instance=0)

{

   #define ¤ instance

      #ifdef _averageInstances

            #define _functionInstances _averageInstances

      #else #define _functionInstances 1

      #endif

      struct sVwmaArrayStruct

         {

            double price;

            double volume;

            double sump;

            double sumv;

         };

      static sVwmaArrayStruct m_array[][_functionInstances];

      static int m_arraySize=0;

             if (m_arraySize<bars)

             {

                 int _res = ArrayResize(m_array,bars+500);

                 if (_res<=bars) return(0);

                     m_arraySize = _res;

             }



      //

      //---

      //

      

      if (volume==0) volume=1;

      m_array[i][¤].price =volume*price;

      m_array[i][¤].volume=volume;

      if (i>period)

            {

               m_array[i][¤].sump = m_array[i-1][¤].sump+m_array[i][¤].price-m_array[i-period][¤].price;

               m_array[i][¤].sumv = m_array[i-1][¤].sumv+volume             -m_array[i-period][¤].volume;

            }              

      else  {  m_array[i][¤].sump = m_array[i][¤].price; 

               m_array[i][¤].sumv = m_array[i][¤].volume; 

                  for(int k=1; k<period && i>=k; k++) 

                  {

                     m_array[i][¤].sump += m_array[i-k][¤].price;

                     m_array[i][¤].sumv += m_array[i-k][¤].volume; 

                  }         

            }                  

      return (m_array[i][¤].sump/m_array[i][¤].sumv);



   //

   //---

   //

            

   #undef ¤ #undef _functionInstances

}

//------------------------------------------------------------------