ATR adaptive EMA - mtf

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property version     "1.00"

#property description "ATR adaptive EMA"

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

#property indicator_chart_window

#property indicator_buffers 4

#property indicator_plots   1

#property indicator_label1  "EMA"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDeepPink,clrLimeGreen

#property indicator_width1  2

//

//---

//

enum enTimeFrames

  {

   tf_cu  = PERIOD_CURRENT, // Current time frame

   tf_m1  = PERIOD_M1,      // 1 minute

   tf_m2  = PERIOD_M2,      // 2 minutes

   tf_m3  = PERIOD_M3,      // 3 minutes

   tf_m4  = PERIOD_M4,      // 4 minutes

   tf_m5  = PERIOD_M5,      // 5 minutes

   tf_m6  = PERIOD_M6,      // 6 minutes

   tf_m10 = PERIOD_M10,     // 10 minutes

   tf_m12 = PERIOD_M12,     // 12 minutes

   tf_m15 = PERIOD_M15,     // 15 minutes

   tf_m20 = PERIOD_M20,     // 20 minutes

   tf_m30 = PERIOD_M30,     // 30 minutes

   tf_h1  = PERIOD_H1,      // 1 hour

   tf_h2  = PERIOD_H2,      // 2 hours

   tf_h3  = PERIOD_H3,      // 3 hours

   tf_h4  = PERIOD_H4,      // 4 hours

   tf_h6  = PERIOD_H6,      // 6 hours

   tf_h8  = PERIOD_H8,      // 8 hours

   tf_h12 = PERIOD_H12,     // 12 hours

   tf_d1  = PERIOD_D1,      // daily

   tf_w1  = PERIOD_W1,      // weekly

   tf_mn  = PERIOD_MN1,     // monthly

   tf_cp1 = -1,             // Next higher time frame

   tf_cp2 = -2,             // Second higher time frame

   tf_cp3 = -3              // Third higher time frame

  };

//

//---

//

input enTimeFrames inpTimeFrame         = tf_cu;       // Time frame

input int                inpEmaPeriod   = 25;          // EMA period

input ENUM_APPLIED_PRICE inpPrice       = PRICE_CLOSE; // Price

input bool               inpInterpolate = true;        // Interpolate in multi time frame mode?

//--- indicator buffers

double val[],valc[],atr[],count[];

int     _mtfHandle=INVALID_HANDLE; ENUM_TIMEFRAMES _indicatorTimeFrame; string _indicatorName;

#define _mtfCall iCustom(_Symbol,_indicatorTimeFrame,_indicatorName,0,inpEmaPeriod,inpPrice)

//+------------------------------------------------------------------+ 

//| Custom indicator initialization function                         | 

//+------------------------------------------------------------------+ 

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,val,INDICATOR_DATA);

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(2,atr,INDICATOR_CALCULATIONS);

   SetIndexBuffer(3,count,INDICATOR_CALCULATIONS);

//--- indicator short name assignment

   _indicatorTimeFrame = MathMax(timeFrameGet((int)inpTimeFrame),_Period);

   _indicatorName      = getIndicatorName();

   if(_indicatorTimeFrame!=_Period)

     {

      _mtfHandle = _mtfCall; if(_mtfHandle==INVALID_HANDLE) return(INIT_FAILED);

     }

   IndicatorSetString(INDICATOR_SHORTNAME,timeFrameToString(_indicatorTimeFrame)+" ATR adaptive EMA ("+(string)inpEmaPeriod+")");

//---

   return (INIT_SUCCEEDED);

  }

//+------------------------------------------------------------------+

//| Custom indicator de-initialization function                      |

//+------------------------------------------------------------------+

void OnDeinit(const int reason)

  {

  }

//+------------------------------------------------------------------+

//| Custom indicator iteration function                              |

//+------------------------------------------------------------------+

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(prev_calculated);

   if(_indicatorTimeFrame!=_Period)

     {

      double result[];

      if(BarsCalculated(_mtfHandle)<0)              return(prev_calculated);

      if(!timeFrameCheck(_indicatorTimeFrame,time)) return(prev_calculated);

      if(CopyBuffer(_mtfHandle,3,0,1,result)==-1)   return(prev_calculated);



      //

      //---

      //

      

      #define _mtfRatio (double)PeriodSeconds((ENUM_TIMEFRAMES)_indicatorTimeFrame)/PeriodSeconds(_Period)

      int k,n,i=MathMin(MathMax(prev_calculated-1,0),MathMax(rates_total-int(result[0]*_mtfRatio)-1,0)),_prevMark=0,_seconds=PeriodSeconds(_indicatorTimeFrame);

      for(; i<rates_total && !_StopFlag; i++)

        {

         int _currMark= int(time[i]/_seconds);

         if (_currMark!=_prevMark)

            {

               _prevMark=_currMark;

               #define _mtfCopy(_buff,_buffNo) if(CopyBuffer(_mtfHandle,_buffNo,time[i],1,result)<=0) break; _buff[i]=result[0]

                       _mtfCopy(val ,0);

                       _mtfCopy(valc,1);

            }

            else

            {

               val[i]  = val[i-1];

               valc[i] = valc[i-1];

            }



            //

            //---

            //



            if(!inpInterpolate) continue;

            int _nextMark=(i<rates_total-1) ? int(time[i+1]/_seconds) : _prevMark+1; if(_nextMark==_prevMark) continue;

            for(n=1; (i-n)> 0 && time[i-n] >= (_prevMark)*_seconds; 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(val);

            }

         }

         return(i);

     }



   //

   //---

   //

   for(int i=(int)MathMax(prev_calculated-1,0); i<rates_total && !IsStopped(); i++)

     {

      atr[i] = 0; 

         for (int k=0; k<inpEmaPeriod && (i-k-1)>=0; k++) 

            atr[i] += MathMax(high[i-k],close[i-k-1])-MathMin(low[i-k],close[i-k-1]); 

            atr[i] /= inpEmaPeriod;

      int _start = MathMax(i-inpEmaPeriod+1,0);

      double _max = atr[ArrayMaximum(atr,_start,inpEmaPeriod)];            

      double _min = atr[ArrayMinimum(atr,_start,inpEmaPeriod)];            

      double _coeff = (_min!=_max) ? 1-(atr[i]-_min)/(_max-_min) : 0.5;

      double _alpha = 2.0 / (1+inpEmaPeriod*(_coeff+1.0)/2.0);

      double _price = getPrice(inpPrice,open,close,high,low,i,rates_total);

      val[i]  = (i>0) ? val[i-1]+_alpha*(_price-val[i-1]) : _price;

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

     }

   count[rates_total-1]=MathMax(rates_total-prev_calculated+1,1);

   return(rates_total);

  }

//+------------------------------------------------------------------+

//| Custom functions                                                 |

//+------------------------------------------------------------------+

double getPrice(ENUM_APPLIED_PRICE tprice,const double &open[],const double &close[],const double &high[],const double &low[],int i,int _bars)

  {

   if(i>=0)

      switch(tprice)

        {

         case PRICE_CLOSE:     return(close[i]);

         case PRICE_OPEN:      return(open[i]);

         case PRICE_HIGH:      return(high[i]);

         case PRICE_LOW:       return(low[i]);

         case PRICE_MEDIAN:    return((high[i]+low[i])/2.0);

         case PRICE_TYPICAL:   return((high[i]+low[i]+close[i])/3.0);

         case PRICE_WEIGHTED:  return((high[i]+low[i]+close[i]+close[i])/4.0);

        }

   return(0);

  }

//

//---

//  

ENUM_TIMEFRAMES _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]);

  }

//

//---

//

ENUM_TIMEFRAMES timeFrameGet(int period)

  {

   int _shift=(period<0?MathAbs(period):0);

   if(_shift>0 || period==tf_cu) period=_Period;

   int i; for(i=0;i<ArraySize(_tfsPer);i++) if(period==_tfsPer[i]) break;



   return(_tfsPer[(int)MathMin(i+_shift,ArraySize(_tfsPer)-1)]);

  }

//

//---

//

string getIndicatorName()

  {

   string _path=MQL5InfoString(MQL5_PROGRAM_PATH); StringToLower(_path);

   string _partsA[];

   ushort _partsS=StringGetCharacter("\\",0);

   int    _partsN= StringSplit(_path,_partsS,_partsA);

   string name=_partsA[_partsN-1]; for(int n=_partsN-2; n>=0 && _partsA[n]!="indicators"; n--) name=_partsA[n]+"\\"+name;

   return(name);

  }

//

//---

//  

bool timeFrameCheck(ENUM_TIMEFRAMES _timeFrame,const datetime &time[])

  {

   if(time[0]<SeriesInfoInteger(_Symbol,_timeFrame,SERIES_FIRSTDATE))

     {

      datetime startTime,testTime[];

      if(SeriesInfoInteger(_Symbol,PERIOD_M1,SERIES_TERMINAL_FIRSTDATE,startTime))

      if(startTime>0)                       { CopyTime(_Symbol,_timeFrame,time[0],1,testTime); SeriesInfoInteger(_Symbol,_timeFrame,SERIES_FIRSTDATE,startTime); }

      if(startTime<=0 || startTime>time[0]) { Comment(MQL5InfoString(MQL5_PROGRAM_NAME)+"\nMissing data for "+timeFrameToString(_timeFrame)+" time frame\nRe-trying on next tick"); return(false); }

     }

   string _comment = ChartGetString(0,CHART_COMMENT);     

   string _shortName = MQL5InfoString(MQL5_PROGRAM_NAME);

   if (StringFind(_comment,_shortName,0)>=0) Comment("");

   return(true);

  } 

//+------------------------------------------------------------------+