Vortex Oscillator

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

//|                   Vortex Oscillator(barabashkakvn's edition).mq5 |

//|An adaptation of the Vortex Indicator described in the            |

//|January 2010 issue of Technical Analysis of Stocks & Commodities  |

//|This version plots the difference of VI+ - VI- to create an       |

//|oscillator indicator, as suggested by Michael Moses.              |

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

#property  copyright "Copyright 2009 under Creative Commons BY-SA License by Neil D. Rosenthal & Michael Moses"

#property  link      "http://creativecommons.org/licenses/by-sa/3.0/"

#property version   "1.000"

#property indicator_separate_window

#property indicator_buffers 10

#property indicator_plots 1

#property indicator_label1  "Vortex Oscillator" 

#property indicator_type1   DRAW_HISTOGRAM 

#property indicator_color1  clrBlue 

#property indicator_style1  STYLE_SOLID 

#property indicator_width1  1 

//--- input parameters

input int      VI_Length=14;

//--- indicator buffers 

double VortexOsc[];     //The Vortex Oscialltor - the difference betweeen VI+ and VI-

double PlusVI[];        //VI+ : + Vortex Indicator buffer

double MinusVI[];       //VI- : - Vortex Indicator buffer

double PlusVM[];        //VM+ : + Vortex Movement buffer

double MinusVM[];       //VM- : - Vorext Movement buffer

double SumPlusVM[];     //Sum of VI_Length PlusVM values

double SumMinusVM[];    //Sum of VI_Length MinusVM values

double SumTR[];         //True Range buffer

double ExtTRBuffer[];   //ATR buffer

double ExtATRBuffer[];  //ATR calculation buffer

//---

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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,VortexOsc,INDICATOR_DATA);

   SetIndexBuffer(1,PlusVI,INDICATOR_CALCULATIONS);

   SetIndexBuffer(2,MinusVI,INDICATOR_CALCULATIONS);

   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,VI_Length);

   SetIndexBuffer(3,PlusVM,INDICATOR_CALCULATIONS);

   SetIndexBuffer(4,MinusVM,INDICATOR_CALCULATIONS);

   SetIndexBuffer(5,SumPlusVM,INDICATOR_CALCULATIONS);

   SetIndexBuffer(6,SumMinusVM,INDICATOR_CALCULATIONS);

   SetIndexBuffer(7,SumTR,INDICATOR_CALCULATIONS);

   SetIndexBuffer(8,ExtTRBuffer,INDICATOR_CALCULATIONS);

   SetIndexBuffer(9,ExtATRBuffer,INDICATOR_CALCULATIONS);

   IndicatorSetInteger(INDICATOR_DIGITS,Digits());

//---

   return(INIT_SUCCEEDED);

  }

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

//| 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(rates_total<VI_Length+1)

      return(0);

   int limit=prev_calculated-1;

   if(prev_calculated==0)

     {

      limit=0;

      //--- clear caching buffers

      for(int i=limit;i<rates_total;i++)

        {

         PlusVI[i]=0.0;

         MinusVI[i]=0.0;

         PlusVM[i]=0.0;

         MinusVM[i]=0.0;

         SumPlusVM[i]=0.0;

         SumMinusVM[i]=0.0;

         SumTR[i]=0.0;

         ExtTRBuffer[i]=0.0;

         ExtATRBuffer[i]=0.0;

        }

      limit=VI_Length;

     }

   for(int i=limit;i<rates_total;i++) // left #0 ... n ... right #rates_total

     {

      //--- store the values of PlusVM and MinusVM

      PlusVM[i]=MathAbs(high[i]-low[i-1]);         // PlusVM = |Today's High - Yesterday's Low|

      MinusVM[i]=MathAbs(low[i]-high[i-1]);        // MinusVM = |Today's Low - Yesterday's High|

      //---

      ExtTRBuffer[i]=MathMax(high[i],close[i-1])-MathMin(low[i],close[i-1]);

      ExtATRBuffer[i]=ExtATRBuffer[i-1]+(ExtTRBuffer[i]-ExtTRBuffer[i-1])/1.0;

      //--- sum VI_Length values of PlusVM, MinusVM and the True Range

      for(int j=0; j<VI_Length; j++)

        {

         SumPlusVM[i]+=PlusVM[i-j];

         SumMinusVM[i]+=MinusVM[i-j];

         SumTR[i]+=ExtATRBuffer[i-j];              //Sum VI_Length values of the True Range by using a 1-period ATR

        }

      //--- draw the indicator

      PlusVI[i]=SumPlusVM[i]/SumTR[i];

      MinusVI[i]=SumMinusVM[i]/SumTR[i];

      VortexOsc[i]=PlusVI[i]-MinusVI[i];

     }

//--- return value of prev_calculated for next call

   return(rates_total);

  }

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