t3_std_adaptive

//------------------------------------------------------------------
#property copyright "www.forex-tsd.com"
#property link      "www.forex-tsd.com"
//------------------------------------------------------------------
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_plots   1
#property indicator_label1  "T3 std adaptive"
#property indicator_type1   DRAW_COLOR_LINE
#property indicator_color1  clrLimeGreen,clrOrange
#property indicator_style1  STYLE_SOLID
#property indicator_width1  2

//
//
//
//
//

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+oprn+close)/4
};

input double   T3Period       = 15;           // T3 Calculation period
input double   T3Hot          = 0.7;          // T3 hot value
input bool     T3Original     = true;         // T3 original Tillson calculation?
input enPrices Price          = pr_close;     // Price to use
input int      AdaptivePeriod = 25;           // Period for adapting
input color    ColorFrom      = clrOrange;    // Color down
input color    ColorTo        = clrLime;      // Color Up
input int      ColorSteps     = 50;           // Color steps for drawing

//
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//
//
//
//

double t3[];
double colorBuffer[];

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
//
//
//
//
//

int cSteps;
int OnInit()
{
   SetIndexBuffer(0,t3,INDICATOR_DATA); 
   SetIndexBuffer(1,colorBuffer,INDICATOR_COLOR_INDEX); 
   cSteps = (ColorSteps>1) ? ColorSteps : 2;
      PlotIndexSetInteger(0,PLOT_COLOR_INDEXES,cSteps+1);
      for (int i=0;i<cSteps+1;i++) 
               PlotIndexSetInteger(0,PLOT_LINE_COLOR,i,gradientColor(i,cSteps+1,ColorFrom,ColorTo));
   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[])
{

   //
   //
   //
   //
   //

   for (int i=(int)MathMax(prev_calculated-1,0); i<rates_total; i++)
   {
     double price  = getPrice(Price,open,close,high,low,i,rates_total);
     double dev    = iDeviation(price,iSma(price,AdaptivePeriod,rates_total,i,0),AdaptivePeriod,rates_total,i);
     double avg    = iSma(dev,AdaptivePeriod,rates_total,i,1);
     double period = T3Period;
        if (dev!=0) period = T3Period*avg/dev;
                if (period<3) period = 3;

         //
         //
         //
         //
         //
           
         t3[i] = iT3(price,period,T3Hot,T3Original,i,rates_total,0);   
         double min = t3[i];
         double max = t3[i];
         double col = 0;
         for(int k=1;  k<ColorSteps && (i-k)>=0; k++)
         {
            min = (t3[i-k]<min) ? t3[i-k] : min;
            max = (t3[i-k]>max) ? t3[i-k] : max;
         }
         if((max-min) == 0)
               col = 50;
         else  col = 100 * (t3[i]-min)/(max-min);         
         colorBuffer[i] = MathFloor(col*cSteps/100.0);                                  
   }
   return(rates_total);
}


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

double workDev[];
double iDeviation(double price, double dMA, int period, int totalBars, int i)
{
   if (ArrayRange(workDev,0)!= totalBars) ArrayResize(workDev,totalBars); workDev[i] = price;
   double dSum = 0;
      for(int k=0; (i-k)>=0 && k<period; k++) dSum += (workDev[i-k]-dMA)*(workDev[i-k]-dMA);
   return(MathSqrt(dSum/period));
}

//
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//
//
//

double workSma[][4];
double iSma(double price, int period, int totalBars, int r, int instanceNo=0)
{
   if (ArrayRange(workSma,0)!= totalBars) ArrayResize(workSma,totalBars); instanceNo *= 2;

   //
   //
   //
   //
   //

   int k;      
   workSma[r][instanceNo] = price;
   if (r>=period)
          workSma[r][instanceNo+1] = workSma[r-1][instanceNo+1]+(workSma[r][instanceNo]-workSma[r-period][instanceNo])/period;
   else { workSma[r][instanceNo+1] = 0; for(k=0; k<period && (r-k)>=0; k++) workSma[r][instanceNo+1] += workSma[r-k][instanceNo];  
          workSma[r][instanceNo+1] /= k; }
   return(workSma[r][instanceNo+1]);
}

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

double workT3[][6];
double workT3Coeffs[][6];
#define _period 0
#define _c1     1
#define _c2     2
#define _c3     3
#define _c4     4
#define _alpha  5

//
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//
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double iT3(double price, double period, double hot, bool original, int r, int bars, int instanceNo=0)
{
   if (ArrayRange(workT3,0) != bars)                ArrayResize(workT3,bars);
   if (ArrayRange(workT3Coeffs,0) < (instanceNo+1)) ArrayResize(workT3Coeffs,instanceNo+1);

   if (workT3Coeffs[instanceNo][_period] != period)
   {
     workT3Coeffs[instanceNo][_period] = period;
        double a = hot;
            workT3Coeffs[instanceNo][_c1] = -a*a*a;
            workT3Coeffs[instanceNo][_c2] = 3*a*a+3*a*a*a;
            workT3Coeffs[instanceNo][_c3] = -6*a*a-3*a-3*a*a*a;
            workT3Coeffs[instanceNo][_c4] = 1+3*a+a*a*a+3*a*a;
            if (original)
                 workT3Coeffs[instanceNo][_alpha] = 2.0/(1.0 + period);
            else workT3Coeffs[instanceNo][_alpha] = 2.0/(2.0 + (period-1.0)/2.0);
   }
   
   //
   //
   //
   //
   //
   
   int buffer = instanceNo*6;
   if (r == 0)
      {
         workT3[r][0+buffer] = price;
         workT3[r][1+buffer] = price;
         workT3[r][2+buffer] = price;
         workT3[r][3+buffer] = price;
         workT3[r][4+buffer] = price;
         workT3[r][5+buffer] = price;
      }
   else
      {
         workT3[r][0+buffer] = workT3[r-1][0+buffer]+workT3Coeffs[instanceNo][_alpha]*(price              -workT3[r-1][0+buffer]);
         workT3[r][1+buffer] = workT3[r-1][1+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][0+buffer]-workT3[r-1][1+buffer]);
         workT3[r][2+buffer] = workT3[r-1][2+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][1+buffer]-workT3[r-1][2+buffer]);
         workT3[r][3+buffer] = workT3[r-1][3+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][2+buffer]-workT3[r-1][3+buffer]);
         workT3[r][4+buffer] = workT3[r-1][4+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][3+buffer]-workT3[r-1][4+buffer]);
         workT3[r][5+buffer] = workT3[r-1][5+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][4+buffer]-workT3[r-1][5+buffer]);
      }

   //
   //
   //
   //
   //
   
   return(workT3Coeffs[instanceNo][_c1]*workT3[r][5+buffer] + 
          workT3Coeffs[instanceNo][_c2]*workT3[r][4+buffer] + 
          workT3Coeffs[instanceNo][_c3]*workT3[r][3+buffer] + 
          workT3Coeffs[instanceNo][_c4]*workT3[r][2+buffer]);
}

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

double getPrice(enPrices price, const double& open[], const double& close[], const double& high[], const double& low[], int i, int bars)
{
   switch (price)
   {
      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_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);
   }
   return(0);
}

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
//
//
//
//
//

color getColor(int stepNo, int totalSteps, color from, color to)
{
   double stes = (double)totalSteps-1.0;
   double step = (from-to)/(stes);
   return((color)round(from-step*stepNo));
}
color gradientColor(int step, int totalSteps, color from, color to)
{
   color newBlue  = getColor(step,totalSteps,(from & 0XFF0000)>>16,(to & 0XFF0000)>>16)<<16;
   color newGreen = getColor(step,totalSteps,(from & 0X00FF00)>> 8,(to & 0X00FF00)>> 8) <<8;
   color newRed   = getColor(step,totalSteps,(from & 0X0000FF)    ,(to & 0X0000FF)    )    ;
   return(newBlue+newGreen+newRed);
}