PEMACandle_Volatility_Volume

ÿþ//+------------------------------------------------------------------+ 

//|                                 PEMACandle_Volatility_Volume.mq5 | 

//|                                       Copyright © 2007, Eva Ruft | 

//|                                               briz18@rambler.ru/ | 

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

#property copyright "Copyright © 2007, Eva Ruft"

#property link      "briz18@rambler.ru"

//---- =><5@ 25@A88 8=48:0B>@0

#property version   "1.00"

//---- >B@8A>2:0 8=48:0B>@0 2 >B45;L=>< >:=5

#property indicator_separate_window 

//---- :>;8G5AB2> 8=48:0B>@=KE 1CD5@>2

#property indicator_buffers 1 

//---- 8A?>;L7>20=> 2A53> >4=> 3@0D8G5A:>5 ?>AB@>5=85

#property indicator_plots   1

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

//|  0@0<5B@K >B@8A>2:8 8=48:0B>@0              |

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

//---- >B@8A>2:0 8=48:0B>@0 2 2845 38AB>3@0<<K

#property indicator_type1   DRAW_HISTOGRAM

//---- 2 :0G5AB25 F25B0 1KG59 ;8=88 8=48:0B>@0 8A?>;L7>20= LimeGreen F25B

#property indicator_color1 clrLimeGreen

//---- ;8=8O 8=48:0B>@0 - =5?@5@K2=0O :@820O

#property indicator_style1  STYLE_SOLID

//---- B>;I8=0 ;8=88 8=48:0B>@0 @02=0 4

#property indicator_width1  4

//---- >B>1@065=85 <5B:8 8=48:0B>@0

#property indicator_label1  "PEMACandle_Volatility_Volume"

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

//|  >1JO2;5=85 :>=AB0=B                         |

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

#define RESET  0 // >=AB0=B0 4;O 2>72@0B0 B5@<8=0;C :><0=4K =0 ?5@5AGQB 8=48:0B>@0

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

//|  ?8A0=85 :;0AA>2 CA@54=5=89                 |

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

#include <SmoothAlgorithms.mqh> 

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

//---- >1JO2;5=85 ?5@5<5==KE :;0AA0 CMoving_Average 87 D09;0 SmoothAlgorithms.mqh

CMoving_Average EMA[8][5];

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

//|  %+  " + "                 |

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

input double EmaLength=30.01;                      // 3;C18=0 A3;06820=8O       

input ENUM_APPLIED_VOLUME VolumeType=VOLUME_TICK;  // >1JQ<             

input int    Shift=0;                              // A4283 8=48:0B>@0 ?> 3>@87>=B0;8 2 10@0E

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

//---- 8=48:0B>@=K9 1CD5@

double IndBuffer[];

//---- 1JO2;5=85 F5;KE ?5@5<5==KE =0G0;0 >BAGQB0 40==KE

int min_rates_total;

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

//| Volatility indicator initialization function                     | 

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

void OnInit()

  {

//---- =8F80;870F8O ?5@5<5==KE =0G0;0 >BAGQB0 40==KE

   min_rates_total=9;



//---- ?@52@0I5=85 48=0<8G5A:>3> <0AA820 2 8=48:0B>@=K9 1CD5@

   SetIndexBuffer(0,IndBuffer,INDICATOR_DATA);

//---- >ACI5AB2;5=85 A42830 8=48:0B>@0 ?> 3>@87>=B0;8 =0 Shift

   PlotIndexSetInteger(0,PLOT_SHIFT,Shift);

//---- >ACI5AB2;5=85 A42830 =0G0;0 >BAGQB0 >B@8A>2:8 8=48:0B>@0

   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,min_rates_total);

//---- CAB0=>2:0 7=0G5=89 8=48:0B>@0, :>B>@K5 =5 1C4CB 2848<K =0 3@0D8:5

   PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE);



//---- 8=8F80;870F88 ?5@5<5==>9 4;O :>@>B:>3> 8<5=8 8=48:0B>@0

   string shortname="PEMACandle_Volatility_Volume("+string(EmaLength)+")";

//--- A>740=85 8<5=8 4;O >B>1@065=8O 2 >B45;L=>< ?>4>:=5 8 2> 2A?;K20NI59 ?>4A:07:5

   IndicatorSetString(INDICATOR_SHORTNAME,shortname);

//--- >?@545;5=85 B>G=>AB8 >B>1@065=8O 7=0G5=89 8=48:0B>@0

   IndicatorSetInteger(INDICATOR_DIGITS,0);

//---- 7025@H5=85 8=8F80;870F88

  }

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

//| Volatility iteration function                                    | 

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

int OnCalculate(

                const int rates_total,    // :>;8G5AB2> 8AB>@88 2 10@0E =0 B5:CI5< B8:5

                const int prev_calculated,// :>;8G5AB2> 8AB>@88 2 10@0E =0 ?@54K4CI5< B8:5

                const datetime &time[],

                const double &open[],

                const double& high[],     // F5=>2>9 <0AA82 <0:A8<C<>2 F5=K 4;O @0AGQB0 8=48:0B>@0

                const double& low[],      // F5=>2>9 <0AA82 <8=8<C<>2 F5=K  4;O @0AGQB0 8=48:0B>@0

                const double &close[],

                const long &tick_volume[],

                const long &volume[],

                const int &spread[]

                )

  {

//---- ?@>25@:0 :>;8G5AB20 10@>2 =0 4>AB0B>G=>ABL 4;O @0AGQB0

   if(rates_total<min_rates_total) return(RESET);

   

//---- >1JO2;5=8O ;>:0;L=KE ?5@5<5==KE 

   int first,bar;

   double res[9],Volatility,O,H,L,C,V;



//---- @0AG5B AB0@B>2>3> =><5@0 first 4;O F8:;0 ?5@5AG5B0 10@>2

   if(prev_calculated>rates_total || prev_calculated<=0) // ?@>25@:0 =0 ?5@2K9 AB0@B @0AGQB0 8=48:0B>@0

     {

      first=0; // AB0@B>2K9 =><5@ 4;O @0AG5B0 2A5E 10@>2

     }

   else first=prev_calculated-1; // AB0@B>2K9 =><5@ 4;O @0AGQB0 =>2KE 10@>2



//---- A=>2=>9 F8:; @0AG5B0 8=48:0B>@0

   for(bar=first; bar<rates_total && !IsStopped(); bar++)

     {

      IndBuffer[bar]=NULL;

      res[0]=open[bar];

      res[1]=EMA[0][0].EMASeries(0,prev_calculated,rates_total,EmaLength,res[0],bar,false); 

      res[2]=EMA[1][0].EMASeries(1,prev_calculated,rates_total,EmaLength,res[1],bar,false); 

      res[3]=EMA[2][0].EMASeries(2,prev_calculated,rates_total,EmaLength,res[2],bar,false); 

      res[4]=EMA[3][0].EMASeries(3,prev_calculated,rates_total,EmaLength,res[3],bar,false); 

      res[5]=EMA[4][0].EMASeries(4,prev_calculated,rates_total,EmaLength,res[4],bar,false); 

      res[6]=EMA[5][0].EMASeries(5,prev_calculated,rates_total,EmaLength,res[5],bar,false); 

      res[7]=EMA[6][0].EMASeries(6,prev_calculated,rates_total,EmaLength,res[6],bar,false); 

      res[8]=EMA[7][0].EMASeries(7,prev_calculated,rates_total,EmaLength,res[7],bar,false);    

      O=8*res[1]-28*res[2]+56*res[3]-70*res[4]+56*res[5]-28*res[6]+8*res[7]-res[8];  

      //----

      res[0]=high[bar];

      res[1]=EMA[0][1].EMASeries(0,prev_calculated,rates_total,EmaLength,res[0],bar,false); 

      res[2]=EMA[1][1].EMASeries(1,prev_calculated,rates_total,EmaLength,res[1],bar,false); 

      res[3]=EMA[2][1].EMASeries(2,prev_calculated,rates_total,EmaLength,res[2],bar,false); 

      res[4]=EMA[3][1].EMASeries(3,prev_calculated,rates_total,EmaLength,res[3],bar,false); 

      res[5]=EMA[4][1].EMASeries(4,prev_calculated,rates_total,EmaLength,res[4],bar,false); 

      res[6]=EMA[5][1].EMASeries(5,prev_calculated,rates_total,EmaLength,res[5],bar,false); 

      res[7]=EMA[6][1].EMASeries(6,prev_calculated,rates_total,EmaLength,res[6],bar,false); 

      res[8]=EMA[7][1].EMASeries(7,prev_calculated,rates_total,EmaLength,res[7],bar,false);    

      H=8*res[1]-28*res[2]+56*res[3]-70*res[4]+56*res[5]-28*res[6]+8*res[7]-res[8];  

      //----

      res[0]=low[bar];

      res[1]=EMA[0][2].EMASeries(0,prev_calculated,rates_total,EmaLength,res[0],bar,false); 

      res[2]=EMA[1][2].EMASeries(1,prev_calculated,rates_total,EmaLength,res[1],bar,false); 

      res[3]=EMA[2][2].EMASeries(2,prev_calculated,rates_total,EmaLength,res[2],bar,false); 

      res[4]=EMA[3][2].EMASeries(3,prev_calculated,rates_total,EmaLength,res[3],bar,false); 

      res[5]=EMA[4][2].EMASeries(4,prev_calculated,rates_total,EmaLength,res[4],bar,false); 

      res[6]=EMA[5][2].EMASeries(5,prev_calculated,rates_total,EmaLength,res[5],bar,false); 

      res[7]=EMA[6][2].EMASeries(6,prev_calculated,rates_total,EmaLength,res[6],bar,false); 

      res[8]=EMA[7][2].EMASeries(7,prev_calculated,rates_total,EmaLength,res[7],bar,false);    

      L=8*res[1]-28*res[2]+56*res[3]-70*res[4]+56*res[5]-28*res[6]+8*res[7]-res[8];  

      //----

      res[0]=close[bar];

      res[1]=EMA[0][3].EMASeries(0,prev_calculated,rates_total,EmaLength,res[0],bar,false); 

      res[2]=EMA[1][3].EMASeries(1,prev_calculated,rates_total,EmaLength,res[1],bar,false); 

      res[3]=EMA[2][3].EMASeries(2,prev_calculated,rates_total,EmaLength,res[2],bar,false); 

      res[4]=EMA[3][3].EMASeries(3,prev_calculated,rates_total,EmaLength,res[3],bar,false); 

      res[5]=EMA[4][3].EMASeries(4,prev_calculated,rates_total,EmaLength,res[4],bar,false); 

      res[6]=EMA[5][3].EMASeries(5,prev_calculated,rates_total,EmaLength,res[5],bar,false); 

      res[7]=EMA[6][3].EMASeries(6,prev_calculated,rates_total,EmaLength,res[6],bar,false); 

      res[8]=EMA[7][3].EMASeries(7,prev_calculated,rates_total,EmaLength,res[7],bar,false);    

      C=8*res[1]-28*res[2]+56*res[3]-70*res[4]+56*res[5]-28*res[6]+8*res[7]-res[8]; 

      //----

      if(VolumeType==VOLUME_TICK) res[0]=double(tick_volume[bar]);

      else res[0]=double(volume[bar]);

      res[1]=EMA[0][4].EMASeries(0,prev_calculated,rates_total,EmaLength,res[0],bar,false); 

      res[2]=EMA[1][4].EMASeries(1,prev_calculated,rates_total,EmaLength,res[1],bar,false); 

      res[3]=EMA[2][4].EMASeries(2,prev_calculated,rates_total,EmaLength,res[2],bar,false); 

      res[4]=EMA[3][4].EMASeries(3,prev_calculated,rates_total,EmaLength,res[3],bar,false); 

      res[5]=EMA[4][4].EMASeries(4,prev_calculated,rates_total,EmaLength,res[4],bar,false); 

      res[6]=EMA[5][4].EMASeries(5,prev_calculated,rates_total,EmaLength,res[5],bar,false); 

      res[7]=EMA[6][4].EMASeries(6,prev_calculated,rates_total,EmaLength,res[6],bar,false); 

      res[8]=EMA[7][4].EMASeries(7,prev_calculated,rates_total,EmaLength,res[7],bar,false);    

      V=8*res[1]-28*res[2]+56*res[3]-70*res[4]+56*res[5]-28*res[6]+8*res[7]-res[8];   

      //---- 8A?@02;O5< 7=0G5=8O ?>;CG5==KE A25G5:

      double Max=MathMax(O,C);

      Max=MathMax(Max,L);

      Max=MathMax(Max,H);

      double Min=MathMin(O,C);

      Min=MathMin(Min,L);

      Min=MathMin(Min,H);

      //---- 

      Volatility=(Max-Min)/_Point; 

      IndBuffer[bar]=Volatility*V;

     }

//---                 

   return(rates_total);

  }

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