Nema_MACD

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

#property copyright "© mladen, 2016, MetaQuotes Software Corp."

#property link      "www.forex-tsd.com, www.mql5.com"

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

#property indicator_separate_window

#property indicator_buffers 6

#property indicator_plots   3

#property indicator_label1  "OSMA filling"

#property indicator_type1   DRAW_FILLING

#property indicator_color1  clrLightBlue,clrPeachPuff

#property indicator_label2  "MACD"

#property indicator_type2   DRAW_COLOR_LINE

#property indicator_color2  clrSilver,clrDodgerBlue,clrSandyBrown

#property indicator_style2  STYLE_SOLID

#property indicator_width2  3

#property indicator_label3  "MACD signal"

#property indicator_type3   DRAW_LINE

#property indicator_color3  clrSalmon

#property indicator_style3  STYLE_DOT



//

//

//

//

//



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

};



input ENUM_TIMEFRAMES TimeFrame       = PERIOD_CURRENT; // Time frame

input int             MacdFast        = 12;             // Fast period

input int             MacdSlow        = 26;             // Slow period

input int             MacdSignal      =  9;             // Signal period

input enPrices        NemaPrice       = pr_close;       // Price

input int             NemaDepth       =  1;             // NEMA depth

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 mtf data ?



//

//

//

//

//



double macd[],macdc[],signal[],fillu[],filld[],count[];

int _mtfHandle = INVALID_HANDLE; ENUM_TIMEFRAMES timeFrame;

#define _mtfCall iCustom(_Symbol,timeFrame,getIndicatorName(),PERIOD_CURRENT,MacdFast,MacdSlow,MacdSignal,NemaPrice,NemaDepth,AlertsOn,AlertsOnCurrent,AlertsMessage,AlertsSound,AlertsEmail,AlertsNotify)



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

//

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

//

//

//

//

//



int OnInit()

{

   SetIndexBuffer(0,fillu  ,INDICATOR_DATA);

   SetIndexBuffer(1,filld  ,INDICATOR_DATA);

   SetIndexBuffer(2,macd   ,INDICATOR_DATA); 

   SetIndexBuffer(3,macdc  ,INDICATOR_COLOR_INDEX); 

   SetIndexBuffer(4,signal ,INDICATOR_DATA);

   SetIndexBuffer(5,count  ,INDICATOR_CALCULATIONS); 

         timeFrame = MathMax(_Period,TimeFrame);

   IndicatorSetString(INDICATOR_SHORTNAME,timeFrameToString(timeFrame)+" nema macd ("+(string)MacdFast+","+(string)MacdSlow+","+(string)MacdSignal+","+(string)NemaDepth+")");

   return(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[])

{

   if (Bars(_Symbol,_Period)<rates_total) return(-1);

   

      //

      //

      //

      //

      //

      

      if (timeFrame!=_Period)

      {

         double result[]; datetime currTime[],nextTime[]; 

            if (!timeFrameCheck(timeFrame,time))         return(0);

            if (_mtfHandle==INVALID_HANDLE) _mtfHandle = _mtfCall;

            if (_mtfHandle==INVALID_HANDLE)              return(0);

            if (CopyBuffer(_mtfHandle,5,0,1,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(fillu ,0); filld[i] = 0;

                          _mtfCopy(macd  ,2);

                          _mtfCopy(macdc ,3);

                          _mtfCopy(signal,4);

                   

                          //

                          //

                          //

                          //

                          //

                   

                          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(fillu );

                                 _mtfInterpolate(macd  );

                                 _mtfInterpolate(signal);

                              }                              

                }

                return(i);

      }



   //

   //

   //

   //

   //



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

   {

      double price     = getPrice(NemaPrice,open,close,high,low,i,rates_total);

             macd[i]   = iNema(price,MacdFast,NemaDepth,i,rates_total,0)-iNema(price,MacdSlow,NemaDepth,i,rates_total,1);

             signal[i] = iNema(macd[i],MacdSignal,NemaDepth,i,rates_total,2);

             macdc[i]  = (macd[i]>signal[i]) ? 1 : (macd[i]<signal[i]) ? 2 : (i>0) ? macdc[i-1] : 0;

             fillu[i]  = macd[i]-signal[i]; 

             filld[i]  = 0;

   }

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

   manageAlerts(time,macdc,rates_total);

   return(rates_total);

}







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

//

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

//

//

//

//

//



#define _nemaInstances     3

#define _nemaInstancesSize 51

#define _nemcInstancesSize 51

#define _nema              50

double  _workNema[][_nemaInstances*_nemaInstancesSize];

double  _workNemc[][               _nemcInstancesSize];



double iNema(double value, double period, int depth, int i, int bars, int instanceNo=0)

{

   depth = MathMax(MathMin(depth,_nemcInstancesSize-1),1); 

      int cInstance = instanceNo; instanceNo *= _nemaInstancesSize;

         if (ArrayRange(_workNema,0) != bars)         ArrayResize(_workNema,bars);         

         if (ArrayRange(_workNemc,0) < cInstance+1) { ArrayResize(_workNemc,cInstance+1); _workNemc[cInstance][0]=-1; }

         if (_workNemc[cInstance][0] != depth)

            {_workNemc[cInstance][0]  = depth; for(int k=1; k<=depth; k++) _workNemc[cInstance][k] = factorial(depth)/(factorial(depth-k)*factorial(k)); }

      

   //

   //

   //

   //

   //



   _workNema[i][instanceNo+_nema] = value;

      if (period>1)

      {

         double alpha = 2.0/(1.0+period), sign=1; _workNema[i][instanceNo+_nema] = 0;

         for (int k=0; k<depth; k++, sign *= -1)

         {

            _workNema[i][instanceNo+k    ]  = (i>0) ? _workNema[i-1][instanceNo+k]+alpha*(value-_workNema[i-1][instanceNo+k]) : value; value = _workNema[i][instanceNo+k];

            _workNema[i][instanceNo+_nema] += value*sign*_workNemc[cInstance][k+1];

         }  

      }     

   return(_workNema[i][instanceNo+_nema]);

}

double factorial(int n) { double a=1; for(int i=1; i<=n; i++) a*=i; return(a); }





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

//

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

//

//

//

//

//

//



#define priceInstances 1

double workHa[][priceInstances*4];

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*=4;

         

         //

         //

         //

         //

         //

         

         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;

         //

         //

         //

         //

         //

         

         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);

}



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

//

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

//

//

//

//

//



void manageAlerts(const datetime& atime[], double& atrend[], int bars)

{

   if (!AlertsOn) return;

      int whichBar = bars-1; if (!AlertsOnCurrent) whichBar = bars-2; datetime time1 = atime[whichBar];

      if (atrend[whichBar] != atrend[whichBar-1])

      {

         if (atrend[whichBar] == 1) doAlert(time1,"up");

         if (atrend[whichBar] == 2) doAlert(time1,"down");

      }         

}   



//

//

//

//

//



void doAlert(datetime forTime, string doWhat)

{

   static string   previousAlert="nothing";

   static datetime previousTime;

   string message;

   

   if (previousAlert != doWhat || previousTime != forTime) 

   {

      previousAlert  = doWhat;

      previousTime   = forTime;



      //

      //

      //

      //

      //



      message = timeFrameToString(_Period)+" "+_Symbol+" at "+TimeToString(TimeLocal(),TIME_SECONDS)+" nema macd state changed to "+doWhat;

         if (AlertsMessage) Alert(message);

         if (AlertsEmail)   SendMail(_Symbol+" nema macd",message);

         if (AlertsNotify)  SendNotification(message);

         if (AlertsSound)   PlaySound("alert2.wav");

   }

}





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

//

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

//

//

//

//

//



string getIndicatorName()

{

   string path = MQL5InfoString(MQL5_PROGRAM_PATH);

   string data = TerminalInfoString(TERMINAL_DATA_PATH)+"\\MQL5\\Indicators\\";

   string name = StringSubstr(path,StringLen(data));

      return(name);

}



//

//

//

//

//



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]);   

}



//

//

//

//

//



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

{

   static bool warned=false;

   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"); warned=true; return(false); }

   }

   if (warned) { Comment(""); warned=false; }

   return(true);

}