//+------------------------------------------------------------------+
//| Quantile based signed volume analysis |
//+------------------------------------------------------------------+
#property copyright
#property link
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_color1 DeepSkyBlue
#property indicator_color2 PaleVioletRed
#property indicator_width1 2
#property indicator_width2 2
//
//
//
//
//
extern int Periods = 20;
extern ENUM_APPLIED_PRICE Price = PRICE_CLOSE;
extern double UpQuantilePercent = 90;
extern double DownQuantilePercent = 10;
extern double AtrUpperPercent = 75;
extern double AtrLowerPercent = 25;
extern bool LimitToZeroes = true;
extern bool UseRealVolume = false;
//
//
//
//
//
double bufferUp[];
double bufferDn[];
double quantUp[];
double quantDn[];
double prices[];
double trend[];
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//
//
//
//
//
int init()
{
IndicatorBuffers(6);
SetIndexBuffer(0,bufferUp); SetIndexStyle(0,DRAW_HISTOGRAM);
SetIndexBuffer(1,bufferDn); SetIndexStyle(1,DRAW_HISTOGRAM);
SetIndexBuffer(2,quantUp);
SetIndexBuffer(3,quantDn);
SetIndexBuffer(4,prices);
//
//
//
//
//
Periods = MathMax(Periods,1);
UpQuantilePercent = MathMax(MathMin(UpQuantilePercent,100),0);
DownQuantilePercent = MathMax(MathMin(DownQuantilePercent,100),0);
IndicatorShortName("Quantile based signed volume analysis 1 ("+Periods+","+DoubleToStr(UpQuantilePercent,2)+","+DoubleToStr(DownQuantilePercent,2)+")");
return(0);
}
int deinit() { return(0); }
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//
//
//
//
//
int OnCalculate (const int rates_total, // size of input time series
const int prev_calculated, // bars handled in previous call
const datetime& time[], // Time
const double& open[], // Open
const double& high[], // High
const double& low[], // Low
const double& close[], // Close
const long& tick_volume[], // Tick Volume
const long& volume[], // Real Volume
const int& spread[] // Spread
)
{
int counted_bars=IndicatorCounted();
int i,limit;
if(counted_bars<0) return(-1);
if(counted_bars>0) counted_bars--;
limit=MathMin(Bars-counted_bars,Bars-1);
//
//
//
//
//
for(i=limit; i>=0; i--)
{
prices[i] = iMA(NULL,0,1,0,MODE_SMA,Price,i);
quantUp[i] = iQuantile(Periods,UpQuantilePercent ,i);
quantDn[i] = iQuantile(Periods,DownQuantilePercent,i);
//
//
//
//
//
bufferUp[i] = 0;
bufferDn[i] = 0;
for (int k=0; k<Periods; k++)
{
double atr = iATR(NULL,0,1,i+k);
double sign = 0;
if (prices[i+k] > Low[i+k]+atr*AtrUpperPercent/100.0 && prices[i+k]>prices[i+k+1]) sign = 1;
if (prices[i+k] < Low[i+k]+atr*AtrLowerPercent/100.0 && prices[i+k]<prices[i+k+1]) sign = -1;
if (!UseRealVolume)
{
if (prices[i+k] > quantUp[i+k]) bufferUp[i]+= sign*tick_volume[i+k]*prices[i+k]*atr;
if (prices[i+k] < quantDn[i+k]) bufferDn[i]+= sign*tick_volume[i+k]*prices[i+k]*atr;
}
else
{
if (prices[i+k] > quantUp[i+k]) bufferUp[i]+= sign*volume[i+k]*prices[i+k]*atr;
if (prices[i+k] < quantDn[i+k]) bufferDn[i]+= sign*volume[i+k]*prices[i+k]*atr;
}
}
if (LimitToZeroes)
{
bufferUp[i] = MathMax(bufferUp[i],0);
bufferDn[i] = MathMin(bufferDn[i],0);
}
}
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//
//
//
//
//
double quantileArray[];
double iQuantile(int period, double qp, int i)
{
if (ArraySize(quantileArray)!=period) ArrayResize(quantileArray,period);
for(int k=0; k<period && (i+k)<Bars; k++) quantileArray[k] = prices[i+k];
ArraySort(quantileArray);
//
//
//
//
//
double index = (period-1)*qp/100.00;
int ind = index;
double delta = index - ind;
if (ind == NormalizeDouble(index,5))
return( quantileArray[ind]);
else return((1.0-delta)*quantileArray[ind]+delta*quantileArray[ind+1]);
}
.
