QQE - mtf

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

#property copyright   "mladen"

#property link        "mladenfx@gmail.com"

#property description "QQE - multi time frame version"

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

#property indicator_separate_window

#property indicator_buffers 5

#property indicator_plots   3

#property indicator_label1  "QQE fast"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrDarkGray

#property indicator_style1  STYLE_DOT

#property indicator_label2  "QQE slow"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrDarkGray

#property indicator_label3  "QQE"

#property indicator_type3   DRAW_COLOR_LINE

#property indicator_color3  clrDarkGray,clrDeepSkyBlue,clrLightSalmon

#property indicator_width3  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 int                inpRsiPeriod          = 14;          // RSI period

input int                inpRsiSmoothingFactor =  5;          // RSI smoothing factor

input double             inpWPFast             = 2.618;       // Fast period

input double             inpWPSlow             = 4.236;       // Slow period

input ENUM_APPLIED_PRICE inpPrice              = PRICE_CLOSE; // Price 

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

//--- buffers declarations

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

//--- mtf handling stuff

int     _mtfHandle=INVALID_HANDLE; ENUM_TIMEFRAMES timeFrame;

#define _mtfCall iCustom(_Symbol,timeFrame,getIndicatorName(),tf_cu,inpRsiPeriod,inpRsiSmoothingFactor,inpWPFast,inpWPSlow,inpPrice)

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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,levf,INDICATOR_DATA);

   SetIndexBuffer(1,levs,INDICATOR_DATA);

   SetIndexBuffer(2,val,INDICATOR_DATA);

   SetIndexBuffer(3,valc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(4,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)+" QQE ("+(string)inpRsiPeriod+","+(string)inpRsiSmoothingFactor+")");

//---

   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,4,0,1,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(levf,0);

            _mtfCopy(levs,1);

            _mtfCopy(val,2);

            _mtfCopy(valc,3);

           }

         else

           {

            levf[i] = levf[i-1];

            levs[i] = levs[i-1];

            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(levf);

            _mtfInterpolate(levs);

            _mtfInterpolate(val);

           }

        }

      return(i);

     }

//

//---

//



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

     {

      val[i]=iEma(iRsi(getPrice(inpPrice,open,close,high,low,i,rates_total),inpRsiPeriod,i,rates_total),inpRsiSmoothingFactor,i,rates_total,0);

      double _iEma = iEma((i>0 ? MathAbs(val[i-1]-val[i]) : 0),inpRsiPeriod,i,rates_total,1);

      double _iEmm = iEma(                               _iEma,inpRsiPeriod,i,rates_total,2);

      double _iEmf = _iEmm*inpWPFast;

      double _iEms = _iEmm*inpWPSlow;

      //

      //---

      //

        {

         double tr = (i>0) ? levs[i-1] : 0;

         double dv = tr;

         if(val[i] < tr) { tr = val[i] + _iEms; if((i>0 && val[i-1] < dv) && (tr > dv)) tr = dv; }

         if(val[i] > tr) { tr = val[i] - _iEms; if((i>0 && val[i-1] > dv) && (tr < dv)) tr = dv; }

         levs[i]=tr;

        }

        {

         double tr = (i>0) ? levf[i-1] : 0;

         double dv = tr;

         if(val[i] < tr) { tr = val[i] + _iEmf; if((i>0 && val[i-1] < dv) && (tr > dv)) tr = dv; }

         if(val[i] > tr) { tr = val[i] - _iEmf; if((i>0 && val[i-1] > dv) && (tr < dv)) tr = dv; }

         levf[i]=tr;

        }

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

     }

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

   return (i);

  }

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

//| Custom functions                                                 |

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

#define rsiInstances 1

#define rsiInstancesSize 3

double workRsi[][rsiInstances*rsiInstancesSize];

#define _price  0

#define _change 1

#define _changa 2

//

//---

//

double iRsi(double price,double period,int r,int bars,int instanceNo=0)

  {

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

   int z=instanceNo*rsiInstancesSize;



//

//

//

//

//



   workRsi[r][z+_price]=price;

   if(r<period)

     {

      int k; double sum=0; for(k=0; k<period && (r-k-1)>=0; k++) sum+=MathAbs(workRsi[r-k][z+_price]-workRsi[r-k-1][z+_price]);

      workRsi[r][z+_change] = (workRsi[r][z+_price]-workRsi[0][z+_price])/MathMax(k,1);

      workRsi[r][z+_changa] =                                         sum/MathMax(k,1);

     }

   else

     {

      double alpha=1.0/MathMax(period,1);

      double change=workRsi[r][z+_price]-workRsi[r-1][z+_price];

      workRsi[r][z+_change] = workRsi[r-1][z+_change] + alpha*(        change  - workRsi[r-1][z+_change]);

      workRsi[r][z+_changa] = workRsi[r-1][z+_changa] + alpha*(MathAbs(change) - workRsi[r-1][z+_changa]);

     }

   return(50.0*(workRsi[r][z+_change]/MathMax(workRsi[r][z+_changa],DBL_MIN)+1));

  }

//

//---

//

double workEma[][3];

//

//---

//

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]);

  }



//

//---

//  

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);

  }

//

//---

//

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);

  }

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