Skewness_v1

//+------------------------------------------------------------------+
//|                                                  Skewness_v1.mq4 |
//|                                     Copyright © 2009, Akif TOKUZ |
//|                                             akifusenet@gmail.com |
//| 11.08.2009: v1=>Initial release                                  |
//|                                                                  |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2009, Akif TOKUZ"
#property link      "akifusenet@gmail.com"

#property indicator_separate_window

#property indicator_buffers 1

#property indicator_color1 Red         //Skew
#property indicator_width1 1



//---- input parameters
extern datetime  StartDate=D'2009.08.06 00:00';
extern datetime  EndDate=D'2009.08.07 00:00';

//---- buffers
double Skew[];
double PVP[];
double VWAP[];

double Hist[];


datetime OpenTime = 0;  // To check if we have a new bar
int      items;         // numbers of items inside volume histogram
int      Bars_Back = 0; // Shows the starting bar for given date
double   SD;            // standart deviation



// Finds the bar number for the given date
int FindStartIndex(datetime startDate)
{
   for (int i=Bars-1; i>=0; i--)
   {      
      if (Time[i]>=StartDate) return (i);
   }
   return( 0);
} 


int init()
{
   
//---- indicators
   IndicatorBuffers(3);
   
   SetIndexStyle(0,DRAW_LINE);
   SetIndexLabel(0,"Skew");      
   SetIndexBuffer(0,Skew);
   
   SetIndexStyle(1,DRAW_NONE);
   SetIndexLabel(1,"PVP");      
   SetIndexBuffer(1,PVP);
   
   SetIndexStyle(2,DRAW_NONE);
   SetIndexLabel(2,"VWAP");      
   SetIndexBuffer(2,VWAP);
   
      
   string short_name="Skewness";
   IndicatorShortName(short_name);
   
   
   return(0);
}



  
int start()
{
   double TotalVolume=0;
   double TotalPV=0;
   int n;

   
   if (OpenTime != Open[0])
   {
      Bars_Back=FindStartIndex(StartDate);
      OpenTime = Open[0];
                             
      double max = High[iHighest( NULL , 0, MODE_HIGH, Bars_Back, 0)];
      double min =  Low[ iLowest( NULL , 0, MODE_LOW,  Bars_Back, 0)];
      items = MathRound((max - min) / Point);

      ArrayResize(Hist, items);
      ArrayInitialize(Hist, 0);

      TotalVolume=0;
      TotalPV=0;
      for (int i = Bars_Back; i >= 1; i--)
      {         
      
         if (Time[i]<EndDate) // Only calculate if we didnt reach the end date
         {
         double t1 = Low[i], t2 = Open[i], t3 = Close[i], t4 = High[i];
         if (t2 > t3) {t3 = Open[i]; t2 = Close[i];}
         double totalRange = 2*(t4 - t1) - t3 + t2;         

         if (totalRange != 0.0)
         {
            for (double Price_i = t1; Price_i <= t4; Price_i += Point)
            {
               n = MathRound((Price_i - min) / Point);

               if (t1 <= Price_i && Price_i <  t2)
               {
                  Hist[n] += MathRound(Volume[i]*2*(t2-t1)/totalRange);
               }
               if (t2 <= Price_i && Price_i <= t3)
               {
                  Hist[n] += MathRound(Volume[i]*(t3-t2)/totalRange);
               }
               if (t3 <  Price_i && Price_i <= t4)
               {
                  Hist[n] += MathRound(Volume[i]*2*(t4-t3)/totalRange);
               }
            }//for
         }else
         {
            // Check if all values are equal to each other
            n = MathRound((t3 - min) / Point);
            Hist[n] += Volume[i];                     
         }//if


         // use H+L+C/3 as average price
         TotalPV+=Volume[i]*((Low[i]+High[i]+Close[i])/3);
         TotalVolume+=Volume[i];                          
      
         if (i==Bars_Back) PVP[i]=Close[i];        
         else PVP[i]=min+ArrayMaximum(Hist)*Point;

         if (i==Bars_Back) VWAP[i]=Close[i];        
         else VWAP[i]=TotalPV/TotalVolume;
 

         SD=0;         
         for (int k = Bars_Back; k >= i; k--)
         {
            double avg=(High[k]+Close[k]+Low[k])/3;
            double diff=avg-VWAP[i];
            SD+=(Volume[k]/TotalVolume)*(diff*diff);         
          }
          SD=MathSqrt(SD);
          Skew[i]=(VWAP[i]-PVP[i])/SD;
          
        }//if for checking end date  
      }//for BARS BACK
      
   }//MAIN IF BAR START
   
   return(0);
}

int deinit()
{
   return(0);
}