CCI squeeze mtf

Author: © mladen, 2018
Price Data Components
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CCI squeeze mtf
ÿþ//------------------------------------------------------------------

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "CCI squeeze multi time frame"

#property version     "1.00"

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

#property indicator_separate_window

#property indicator_buffers 6

#property indicator_plots   2

#property indicator_label1  "CCI Histogram"

#property indicator_type1   DRAW_COLOR_HISTOGRAM

#property indicator_color1  clrLimeGreen,clrYellowGreen,clrOrange,clrOrangeRed

#property indicator_width1  2

#property indicator_label2  "CCI"

#property indicator_type2   DRAW_COLOR_LINE

#property indicator_color2  clrLimeGreen,clrYellowGreen,clrOrange,clrOrangeRed

#property indicator_width2  2

//

//---

//

enum enMaTypes

  {

   ma_sma,    // Simple moving average

   ma_ema,    // Exponential moving average

   ma_smma,   // Smoothed MA

   ma_lwma    // Linear weighted MA

  };

//

//---

//

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                inpCciPeriod       = 32;            // CCI period

input ENUM_APPLIED_PRICE inpCciPrice        = PRICE_TYPICAL; // CCI price

input int                inpMaPeriod        = 200;           // Average period

input enMaTypes          inpMaMethod        = ma_ema;        // Average method

input ENUM_APPLIED_PRICE inpMaPrice         = PRICE_TYPICAL; // Average price

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

                                                             //

//---

//

double  val[],valc[],valh[],valhc[],prices[],count[];

int     _mtfHandle=INVALID_HANDLE; ENUM_TIMEFRAMES _indicatorTimeFrame; string _indicatorName;

#define _mtfCall iCustom(_Symbol,_indicatorTimeFrame,_indicatorName,0,inpCciPeriod,inpCciPrice,inpMaPeriod,inpMaMethod,inpMaPrice)

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

//

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

int OnInit()

  {

   SetIndexBuffer(0,valh,INDICATOR_DATA);

   SetIndexBuffer(1,valhc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(2,val,INDICATOR_DATA);

   SetIndexBuffer(3,valc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(4,prices,INDICATOR_CALCULATIONS);

   SetIndexBuffer(5,count,INDICATOR_CALCULATIONS);

//

//---

//

   _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)+" CCI squeeze ("+(string)inpCciPeriod+","+(string)inpMaPeriod+")");

   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(_indicatorTimeFrame!=_Period)

     {

      double result[1];

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

      if(CopyBuffer(_mtfHandle,5,0,1,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(valh ,0); val[i]  = valh[i];

                       _mtfCopy(valhc,1); valc[i] = valhc[i];

            }

            else

            {

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

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

            }



            //

            //---

            //



            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);

                       _mtfInterpolate(valh);

            }

         }

         return(i);

     }



   //

   //---

   //

   

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

     {

      prices[i] = getPrice(inpCciPrice,open,close,high,low,i,rates_total);

      double avg = 0; for(int k=0; k<inpCciPeriod && (i-k)>=0; k++) avg +=         prices[i-k];      avg /= inpCciPeriod;

      double dev = 0; for(int k=0; k<inpCciPeriod && (i-k)>=0; k++) dev += MathAbs(prices[i-k]-avg); dev /= inpCciPeriod;

      double prc = getPrice(inpMaPrice,open,close,high,low,i,rates_total);

      double ma    = iCustomMa(inpMaMethod,prc,inpMaPeriod,i,rates_total);

         val[i] = (dev!=0) ? (prices[i]-avg)/(0.015*dev) : 0;

         if (val[i]>0)

         {

            if (prc>ma) valc[i] = 0;

            if (prc<ma) valc[i] = 1;

         }

         if (val[i]<0)

         {

            if (prc>ma) valc[i] = 2;

            if (prc<ma) valc[i] = 3;

         }

         valh[i] = val[i];

         valhc[i] = valc[i];

     }

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

   return(i);

  }

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

//| Custom functions                                                 |

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

#define _maInstances 1

#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);

     }

  }

//

//---

//

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;



   workSma[r][instanceNo+0]=price;

   double avg=price; for(k=1; k<period && (r-k)>=0; k++) avg+=workSma[r-k][instanceNo+0];

   return(avg/k);

  }

//

//---

//

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]);

  }

//

//---

//

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]);

  }

//

//---

//

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);

  }

//

//---

//  

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);

  }

//

//---

//

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

  {

   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);

  }

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

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