NonLag MA mtf

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "NonLag MA multi time frame version"

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

#property indicator_chart_window

#property indicator_buffers 3

#property indicator_plots   1

#property indicator_label1  "NonLag MA"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDeepPink,clrLimeGreen

#property indicator_width1  2

//--- input parameters

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 double             inpPeriod      = 27;          // Period

input ENUM_APPLIED_PRICE inpPrice       = PRICE_CLOSE; // Price

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

//--- indicator buffers

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

//--- mtf handling

int     _mtfHandle=INVALID_HANDLE; ENUM_TIMEFRAMES timeFrame;

#define _mtfCall iCustom(_Symbol,timeFrame,getIndicatorName(),0,inpPeriod,inpPrice)

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

//| Custom indicator initialization function                         | 

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

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,val,INDICATOR_DATA);

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(2,count,INDICATOR_CALCULATIONS);

//---   

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

   if(timeFrame!=_Period)

     {

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

     }

//--- indicator short name assignment

   IndicatorSetString(INDICATOR_SHORTNAME,timeFrameToString(timeFrame)+" NonLag MA ("+(string)inpPeriod+")");

//---

   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(timeFrame!=_Period)

     {

      double result[];

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

      if(!timeFrameCheck((ENUM_TIMEFRAMES)timeFrame,time)) return(prev_calculated);

      if(CopyBuffer(_mtfHandle,2,0,1,result)==-1)          return(prev_calculated);



      //

      //---

      //



      #define _mtfRatio PeriodSeconds((ENUM_TIMEFRAMES)timeFrame)/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(timeFrame);

      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)==-1) 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++)

     {

      val[i]=iNonLagMa(getPrice(inpPrice,open,close,high,low,i,rates_total),inpPeriod,i,rates_total);

      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                                                 |

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

#define _length  0

#define _len     1

#define _weight  2

//

//---

//

double  nlmvalues[][3];

double  nlmprices[][1];

double  nlmalphas[][1];

//

//---

//

double iNonLagMa(double price,double length,int r,int bars,int instanceNo=0)

  {

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

   if(ArrayRange(nlmvalues,0)<instanceNo+1) ArrayResize(nlmvalues,instanceNo+1);

   nlmprices[r][instanceNo]=price;

   if(length<5 || r<3) return(nlmprices[r][instanceNo]);

//

//---

//

   if(nlmvalues[instanceNo][_length]!=length)

     {

      double Cycle = 4.0;

      double Coeff = 3.0*M_PI;

      int    Phase = (int)(length-1);



      nlmvalues[instanceNo][_length] =       length;

      nlmvalues[instanceNo][_len   ] = (int)(length*4) + Phase;

      nlmvalues[instanceNo][_weight] = 0;



      if(ArrayRange(nlmalphas,0)<(int)nlmvalues[instanceNo][_len]) ArrayResize(nlmalphas,(int)nlmvalues[instanceNo][_len]);

      for(int k=0; k<(int)nlmvalues[instanceNo][_len]; k++)

        {

         double t;

         if(k<=Phase-1)

               t = 1.0 * k/(Phase-1);

         else  t = 1.0 + (k-Phase+1)*(2.0*Cycle-1.0)/(Cycle*length-1.0);

         double beta=MathCos(M_PI*t);

         double g=1.0/(Coeff*t+1); if(t<=0.5) g=1;



         nlmalphas[k][instanceNo]        = g * beta;

         nlmvalues[instanceNo][_weight] += nlmalphas[k][instanceNo];

        }

     }

//

//---

//

   if(nlmvalues[instanceNo][_weight]>0)

     {

      double sum=0;

      for(int k=0; k<(int)nlmvalues[instanceNo][_len] && (r-k)>=0; k++) sum+=nlmalphas[k][instanceNo]*nlmprices[r-k][instanceNo];

      return( sum / nlmvalues[instanceNo][_weight]);

     }

   else return(0);

  }

//

//---

//

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);

   string _partsA[];

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

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

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

   return(name);

  }

string _toLower(string _toConvert) { StringToLower(_toConvert); return(_toConvert); }

//

//---

//

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);

  }

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