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//+------------------------------------------------------------------+
//| VWAP.mq5 |
//| Copyright 2015, SOL Digital Consultoria LTDA |
//| http://www.soldigitalconsultoria.com.br |
//+------------------------------------------------------------------+
#property copyright "Copyright 2015, SOL Digital Consultoria LTDA"
#property link "http://www.soldigitalconsultoria.com.br"
#property version "1.47"
#property indicator_chart_window
#property indicator_buffers 8
#property indicator_plots 8
//--- plot VWAP
#property indicator_label1 "VWAP Daily"
#property indicator_type1 DRAW_LINE
#property indicator_color1 clrWhite
#property indicator_style1 STYLE_DASH
#property indicator_width1 2
#property indicator_label2 "VWAP Weekly"
#property indicator_type2 DRAW_LINE
#property indicator_color2 clrBlue
#property indicator_style2 STYLE_DASH
#property indicator_width2 2
#property indicator_label3 "VWAP Monthly"
#property indicator_type3 DRAW_LINE
#property indicator_color3 clrGreen
#property indicator_style3 STYLE_DASH
#property indicator_width3 2
#property indicator_label4 "VWAP Level 01"
#property indicator_type4 DRAW_LINE
#property indicator_color4 clrGray
#property indicator_style4 STYLE_DASH
#property indicator_width4 2
#property indicator_label5 "VWAP Level 02"
#property indicator_type5 DRAW_LINE
#property indicator_color5 clrYellow
#property indicator_style5 STYLE_DASH
#property indicator_width5 2
#property indicator_label6 "VWAP Level 03"
#property indicator_type6 DRAW_LINE
#property indicator_color6 clrGreen
#property indicator_style6 STYLE_DASH
#property indicator_width6 2
#property indicator_label7 "VWAP Level 04"
#property indicator_type7 DRAW_LINE
#property indicator_color7 clrBlack
#property indicator_style7 STYLE_DASH
#property indicator_width7 2
#property indicator_label8 "VWAP Level 05"
#property indicator_type8 DRAW_LINE
#property indicator_color8 clrBlue
#property indicator_style8 STYLE_DASH
#property indicator_width8 2
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
enum DATE_TYPE
{
DAILY,
WEEKLY,
MONTHLY
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
enum PRICE_TYPE
{
OPEN,
CLOSE,
HIGH,
LOW,
OPEN_CLOSE,
HIGH_LOW,
CLOSE_HIGH_LOW,
OPEN_CLOSE_HIGH_LOW
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
datetime CreateDateTime(DATE_TYPE nReturnType = DAILY, datetime dtDay = D'2025.01.01 00:00:00', int pHour = 0, int pMinute = 0, int pSecond = 0)
{
datetime dtReturnDate;
MqlDateTime timeStruct;
TimeToStruct(dtDay, timeStruct);
timeStruct.hour = pHour;
timeStruct.min = pMinute;
timeStruct.sec = pSecond;
dtReturnDate = (StructToTime(timeStruct));
if (nReturnType == WEEKLY)
{
while (timeStruct.day_of_week != 0)
{
dtReturnDate = (dtReturnDate - 86400);
TimeToStruct(dtReturnDate, timeStruct);
}
}
if (nReturnType == MONTHLY)
{
timeStruct.day = 1;
dtReturnDate = (StructToTime(timeStruct));
}
return dtReturnDate;
}
sinput string Indicator_Name = "Volume Weighted Average Price (VWAP)";
input PRICE_TYPE Price_Type = OPEN_CLOSE_HIGH_LOW;
input bool Enable_Daily = true;
input bool Enable_Weekly = false;
input bool Enable_Monthly = false;
input bool Enable_Level_01 = false;
input int VWAP_Level_01_Period = 5;
input bool Enable_Level_02 = false;
input int VWAP_Level_02_Period = 13;
input bool Enable_Level_03 = false;
input int VWAP_Level_03_Period = 20;
input bool Enable_Level_04 = false;
input int VWAP_Level_04_Period = 30;
input bool Enable_Level_05 = false;
input int VWAP_Level_05_Period = 40;
bool Show_Daily_Value = true;
bool Show_Weekly_Value = false;
bool Show_Monthly_Value = false;
double VWAP_Buffer_Daily[];
double VWAP_Buffer_Weekly[];
double VWAP_Buffer_Monthly[];
double VWAP_Buffer_01[];
double VWAP_Buffer_02[];
double VWAP_Buffer_03[];
double VWAP_Buffer_04[];
double VWAP_Buffer_05[];
double nPriceArr[];
double nTotalTPV[];
double nTotalVol[];
double nSumDailyTPV = 0, nSumWeeklyTPV = 0, nSumMonthlyTPV = 0;
double nSumDailyVol = 0, nSumWeeklyVol = 0, nSumMonthlyVol = 0;
int nIdxDaily = 0, nIdxWeekly = 0, nIdxMonthly = 0, nIdx = 0;
bool bIsFirstRun = true;
ENUM_TIMEFRAMES LastTimePeriod = PERIOD_MN1;
string sDailyStr = "";
string sWeeklyStr = "";
string sMonthlyStr = "";
string sLevel01Str = "";
string sLevel02Str = "";
string sLevel03Str = "";
string sLevel04Str = "";
string sLevel05Str = "";
datetime dtLastDay = CreateDateTime(DAILY), dtLastWeek = CreateDateTime(WEEKLY), dtLastMonth = CreateDateTime(MONTHLY);
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int OnInit()
{
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
SetIndexBuffer(0, VWAP_Buffer_Daily, INDICATOR_DATA);
SetIndexBuffer(1, VWAP_Buffer_Weekly, INDICATOR_DATA);
SetIndexBuffer(2, VWAP_Buffer_Monthly, INDICATOR_DATA);
SetIndexBuffer(3, VWAP_Buffer_01, INDICATOR_DATA);
SetIndexBuffer(4, VWAP_Buffer_02, INDICATOR_DATA);
SetIndexBuffer(5, VWAP_Buffer_03, INDICATOR_DATA);
SetIndexBuffer(6, VWAP_Buffer_04, INDICATOR_DATA);
SetIndexBuffer(7, VWAP_Buffer_05, INDICATOR_DATA);
ObjectCreate(0, "VWAP_Daily", OBJ_LABEL, 0, 0, 0);
ObjectSetInteger(0, "VWAP_Daily", OBJPROP_CORNER, 3);
ObjectSetInteger(0, "VWAP_Daily", OBJPROP_XDISTANCE, 180);
ObjectSetInteger(0, "VWAP_Daily", OBJPROP_YDISTANCE, 40);
ObjectSetInteger(0, "VWAP_Daily", OBJPROP_COLOR, indicator_color1);
ObjectSetInteger(0, "VWAP_Daily", OBJPROP_FONTSIZE, 7);
ObjectSetString(0, "VWAP_Daily", OBJPROP_FONT, "Verdana");
ObjectSetString(0, "VWAP_Daily", OBJPROP_TEXT, " ");
ObjectCreate(0, "VWAP_Weekly", OBJ_LABEL, 0, 0, 0);
ObjectSetInteger(0, "VWAP_Weekly", OBJPROP_CORNER, 3);
ObjectSetInteger(0, "VWAP_Weekly", OBJPROP_XDISTANCE, 180);
ObjectSetInteger(0, "VWAP_Weekly", OBJPROP_YDISTANCE, 60);
ObjectSetInteger(0, "VWAP_Weekly", OBJPROP_COLOR, indicator_color2);
ObjectSetInteger(0, "VWAP_Weekly", OBJPROP_FONTSIZE, 7);
ObjectSetString(0, "VWAP_Weekly", OBJPROP_FONT, "Verdana");
ObjectSetString(0, "VWAP_Weekly", OBJPROP_TEXT, " ");
ObjectCreate(0, "VWAP_Monthly", OBJ_LABEL, 0, 0, 0);
ObjectSetInteger(0, "VWAP_Monthly", OBJPROP_CORNER, 3);
ObjectSetInteger(0, "VWAP_Monthly", OBJPROP_XDISTANCE, 180);
ObjectSetInteger(0, "VWAP_Monthly", OBJPROP_YDISTANCE, 80);
ObjectSetInteger(0, "VWAP_Monthly", OBJPROP_COLOR, indicator_color3);
ObjectSetInteger(0, "VWAP_Monthly", OBJPROP_FONTSIZE, 7);
ObjectSetString(0, "VWAP_Monthly", OBJPROP_FONT, "Verdana");
ObjectSetString(0, "VWAP_Monthly", OBJPROP_TEXT, " ");
ObjectCreate(0, "VWAP_Level_01", OBJ_LABEL, 0, 0, 0);
ObjectSetInteger(0, "VWAP_Level_01", OBJPROP_CORNER, 3);
ObjectSetInteger(0, "VWAP_Level_01", OBJPROP_XDISTANCE, 180);
ObjectSetInteger(0, "VWAP_Level_01", OBJPROP_YDISTANCE, 100);
ObjectSetInteger(0, "VWAP_Level_01", OBJPROP_COLOR, indicator_color4);
ObjectSetInteger(0, "VWAP_Level_01", OBJPROP_FONTSIZE, 7);
ObjectSetString(0, "VWAP_Level_01", OBJPROP_FONT, "Verdana");
ObjectSetString(0, "VWAP_Level_01", OBJPROP_TEXT, " ");
ObjectCreate(0, "VWAP_Level_02", OBJ_LABEL, 0, 0, 0);
ObjectSetInteger(0, "VWAP_Level_02", OBJPROP_CORNER, 3);
ObjectSetInteger(0, "VWAP_Level_02", OBJPROP_XDISTANCE, 180);
ObjectSetInteger(0, "VWAP_Level_02", OBJPROP_YDISTANCE, 120);
ObjectSetInteger(0, "VWAP_Level_02", OBJPROP_COLOR, indicator_color5);
ObjectSetInteger(0, "VWAP_Level_02", OBJPROP_FONTSIZE, 7);
ObjectSetString(0, "VWAP_Level_02", OBJPROP_FONT, "Verdana");
ObjectSetString(0, "VWAP_Level_02", OBJPROP_TEXT, " ");
ObjectCreate(0, "VWAP_Level_03", OBJ_LABEL, 0, 0, 0);
ObjectSetInteger(0, "VWAP_Level_03", OBJPROP_CORNER, 3);
ObjectSetInteger(0, "VWAP_Level_03", OBJPROP_XDISTANCE, 180);
ObjectSetInteger(0, "VWAP_Level_03", OBJPROP_YDISTANCE, 140);
ObjectSetInteger(0, "VWAP_Level_03", OBJPROP_COLOR, indicator_color6);
ObjectSetInteger(0, "VWAP_Level_03", OBJPROP_FONTSIZE, 7);
ObjectSetString(0, "VWAP_Level_03", OBJPROP_FONT, "Verdana");
ObjectSetString(0, "VWAP_Level_03", OBJPROP_TEXT, " ");
ObjectCreate(0, "VWAP_Level_04", OBJ_LABEL, 0, 0, 0);
ObjectSetInteger(0, "VWAP_Level_04", OBJPROP_CORNER, 3);
ObjectSetInteger(0, "VWAP_Level_04", OBJPROP_XDISTANCE, 180);
ObjectSetInteger(0, "VWAP_Level_04", OBJPROP_YDISTANCE, 160);
ObjectSetInteger(0, "VWAP_Level_04", OBJPROP_COLOR, indicator_color7);
ObjectSetInteger(0, "VWAP_Level_04", OBJPROP_FONTSIZE, 7);
ObjectSetString(0, "VWAP_Level_04", OBJPROP_FONT, "Verdana");
ObjectSetString(0, "VWAP_Level_04", OBJPROP_TEXT, " ");
ObjectCreate(0, "VWAP_Level_05", OBJ_LABEL, 0, 0, 0);
ObjectSetInteger(0, "VWAP_Level_05", OBJPROP_CORNER, 3);
ObjectSetInteger(0, "VWAP_Level_05", OBJPROP_XDISTANCE, 180);
ObjectSetInteger(0, "VWAP_Level_05", OBJPROP_YDISTANCE, 180);
ObjectSetInteger(0, "VWAP_Level_05", OBJPROP_COLOR, indicator_color8);
ObjectSetInteger(0, "VWAP_Level_05", OBJPROP_FONTSIZE, 7);
ObjectSetString(0, "VWAP_Level_05", OBJPROP_FONT, "Verdana");
ObjectSetString(0, "VWAP_Level_05", OBJPROP_TEXT, " ");
return (INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void OnDeinit(const int pReason)
{
ObjectDelete(0, "VWAP_Daily");
ObjectDelete(0, "VWAP_Weekly");
ObjectDelete(0, "VWAP_Monthly");
ObjectDelete(0, "VWAP_Level_01");
ObjectDelete(0, "VWAP_Level_02");
ObjectDelete(0, "VWAP_Level_03");
ObjectDelete(0, "VWAP_Level_04");
ObjectDelete(0, "VWAP_Level_05");
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
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 (PERIOD_CURRENT != LastTimePeriod)
{
bIsFirstRun = true;
LastTimePeriod = PERIOD_CURRENT;
}
if (rates_total > prev_calculated || bIsFirstRun)
{
ArrayResize(nPriceArr, rates_total);
ArrayResize(nTotalTPV, rates_total);
ArrayResize(nTotalVol, rates_total);
if (Enable_Daily)
{
nIdx = nIdxDaily;
nSumDailyTPV = 0;
nSumDailyVol = 0;
}
if (Enable_Weekly)
{
nIdx = nIdxWeekly;
nSumWeeklyTPV = 0;
nSumWeeklyVol = 0;
}
if (Enable_Monthly)
{
nIdx = nIdxMonthly;
nSumMonthlyTPV = 0;
nSumMonthlyVol = 0;
}
for (; nIdx < rates_total; nIdx++)
{
if (CreateDateTime(DAILY, time[nIdx]) != dtLastDay)
{
nIdxDaily = nIdx;
nSumDailyTPV = 0;
nSumDailyVol = 0;
}
if (CreateDateTime(WEEKLY, time[nIdx]) != dtLastWeek)
{
nIdxWeekly = nIdx;
nSumWeeklyTPV = 0;
nSumWeeklyVol = 0;
}
if (CreateDateTime(MONTHLY, time[nIdx]) != dtLastMonth)
{
nIdxMonthly = nIdx;
nSumMonthlyTPV = 0;
nSumMonthlyVol = 0;
}
nPriceArr[nIdx] = 0;
nTotalTPV[nIdx] = 0;
nTotalVol[nIdx] = 0;
switch (Price_Type)
{
case OPEN:
nPriceArr[nIdx] = open[nIdx];
break;
case CLOSE:
nPriceArr[nIdx] = close[nIdx];
break;
case HIGH:
nPriceArr[nIdx] = high[nIdx];
break;
case LOW:
nPriceArr[nIdx] = low[nIdx];
break;
case HIGH_LOW:
nPriceArr[nIdx] = (high[nIdx] + low[nIdx]) / 2;
break;
case OPEN_CLOSE:
nPriceArr[nIdx] = (open[nIdx] + close[nIdx]) / 2;
break;
case CLOSE_HIGH_LOW:
nPriceArr[nIdx] = (close[nIdx] + high[nIdx] + low[nIdx]) / 3;
break;
case OPEN_CLOSE_HIGH_LOW:
nPriceArr[nIdx] = (open[nIdx] + close[nIdx] + high[nIdx] + low[nIdx]) / 4;
break;
default:
nPriceArr[nIdx] = (close[nIdx] + high[nIdx] + low[nIdx]) / 3;
break;
}
if (tick_volume[nIdx])
{
nTotalTPV[nIdx] = (nPriceArr[nIdx] * tick_volume[nIdx]);
nTotalVol[nIdx] = (double)tick_volume[nIdx];
}
else if (volume[nIdx])
{
nTotalTPV[nIdx] = (nPriceArr[nIdx] * volume[nIdx]);
nTotalVol[nIdx] = (double)volume[nIdx];
}
if (Enable_Daily && (nIdx >= nIdxDaily))
{
nSumDailyTPV += nTotalTPV[nIdx];
nSumDailyVol += nTotalVol[nIdx];
if (nSumDailyVol)
VWAP_Buffer_Daily[nIdx] = (nSumDailyTPV / nSumDailyVol);
if ((sDailyStr != "VWAP Daily: " + (string)NormalizeDouble(VWAP_Buffer_Daily[nIdx], _Digits)) && Show_Daily_Value)
{
sDailyStr = "VWAP Daily: " + (string)NormalizeDouble(VWAP_Buffer_Daily[nIdx], _Digits);
ObjectSetString(0, "VWAP_Daily", OBJPROP_TEXT, sDailyStr);
}
}
if (Enable_Weekly && (nIdx >= nIdxWeekly))
{
nSumWeeklyTPV += nTotalTPV[nIdx];
nSumWeeklyVol += nTotalVol[nIdx];
if (nSumWeeklyVol)
VWAP_Buffer_Weekly[nIdx] = (nSumWeeklyTPV / nSumWeeklyVol);
if ((sWeeklyStr != "VWAP Weekly: " + (string)NormalizeDouble(VWAP_Buffer_Weekly[nIdx], _Digits)) && Show_Weekly_Value)
{
sWeeklyStr = "VWAP Weekly: " + (string)NormalizeDouble(VWAP_Buffer_Weekly[nIdx], _Digits);
ObjectSetString(0, "VWAP_Weekly", OBJPROP_TEXT, sWeeklyStr);
}
}
if (Enable_Monthly && (nIdx >= nIdxMonthly))
{
nSumMonthlyTPV += nTotalTPV[nIdx];
nSumMonthlyVol += nTotalVol[nIdx];
if (nSumMonthlyVol)
VWAP_Buffer_Monthly[nIdx] = (nSumMonthlyTPV / nSumMonthlyVol);
if ((sMonthlyStr != "VWAP Monthly: " + (string)NormalizeDouble(VWAP_Buffer_Monthly[nIdx], _Digits)) && Show_Monthly_Value)
{
sMonthlyStr = "VWAP Monthly: " + (string)NormalizeDouble(VWAP_Buffer_Monthly[nIdx], _Digits);
ObjectSetString(0, "VWAP_Monthly", OBJPROP_TEXT, sMonthlyStr);
}
}
dtLastDay = CreateDateTime(DAILY, time[nIdx]);
dtLastWeek = CreateDateTime(WEEKLY, time[nIdx]);
dtLastMonth = CreateDateTime(MONTHLY, time[nIdx]);
}
if (Enable_Level_01)
{
int nStartPos = (prev_calculated > VWAP_Level_01_Period) ? (prev_calculated - VWAP_Level_01_Period) : VWAP_Level_01_Period;
for (nIdx = nStartPos; nIdx < rates_total; nIdx++)
{
double nSumTotalTPV = 0;
double nSumTotalVol = 0;
VWAP_Buffer_01[nIdx] = EMPTY_VALUE;
for (int nSubIdx = 1; nSubIdx < VWAP_Level_01_Period; nSubIdx++)
{
nSumTotalTPV += nTotalTPV[nIdx - nSubIdx];
nSumTotalVol += nTotalVol[nIdx - nSubIdx];
}
if (nSumTotalVol)
VWAP_Buffer_01[nIdx] = (nSumTotalTPV / nSumTotalVol);
else
VWAP_Buffer_01[nIdx] = 0;
if (sLevel01Str != "VWAP Level 01 (" + (string)VWAP_Level_01_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_01[nIdx], _Digits))
{
sLevel01Str = "VWAP Level 01 (" + (string)VWAP_Level_01_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_01[nIdx], _Digits);
ObjectSetString(0, "VWAP_Level_01", OBJPROP_TEXT, sLevel01Str);
}
}
}
if (Enable_Level_02)
{
int nStartPos = (prev_calculated > VWAP_Level_02_Period) ? (prev_calculated - VWAP_Level_02_Period) : VWAP_Level_02_Period;
for (nIdx = nStartPos; nIdx < rates_total; nIdx++)
{
double nSumTotalTPV = 0;
double nSumTotalVol = 0;
VWAP_Buffer_02[nIdx] = EMPTY_VALUE;
for (int nSubIdx = 1; nSubIdx < VWAP_Level_02_Period; nSubIdx++)
{
nSumTotalTPV += nTotalTPV[nIdx - nSubIdx];
nSumTotalVol += nTotalVol[nIdx - nSubIdx];
}
if (nSumTotalVol)
VWAP_Buffer_02[nIdx] = (nSumTotalTPV / nSumTotalVol);
else
VWAP_Buffer_02[nIdx] = 0;
if (sLevel02Str != "VWAP Level 02 (" + (string)VWAP_Level_02_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_02[nIdx], _Digits))
{
sLevel02Str = "VWAP Level 02 (" + (string)VWAP_Level_02_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_02[nIdx], _Digits);
ObjectSetString(0, "VWAP_Level_02", OBJPROP_TEXT, sLevel02Str);
}
}
}
if (Enable_Level_03)
{
int nStartPos = (prev_calculated > VWAP_Level_03_Period) ? (prev_calculated - VWAP_Level_03_Period) : VWAP_Level_03_Period;
for (nIdx = nStartPos; nIdx < rates_total; nIdx++)
{
double nSumTotalTPV = 0;
double nSumTotalVol = 0;
VWAP_Buffer_03[nIdx] = EMPTY_VALUE;
for (int nSubIdx = 1; nSubIdx < VWAP_Level_03_Period; nSubIdx++)
{
nSumTotalTPV += nTotalTPV[nIdx - nSubIdx];
nSumTotalVol += nTotalVol[nIdx - nSubIdx];
}
if (nSumTotalVol)
VWAP_Buffer_03[nIdx] = (nSumTotalTPV / nSumTotalVol);
else
VWAP_Buffer_03[nIdx] = 0;
if (sLevel03Str != "VWAP Level 03 (" + (string)VWAP_Level_03_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_03[nIdx], _Digits))
{
sLevel03Str = "VWAP Level 03 (" + (string)VWAP_Level_03_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_03[nIdx], _Digits);
ObjectSetString(0, "VWAP_Level_03", OBJPROP_TEXT, sLevel03Str);
}
}
}
if (Enable_Level_04)
{
int nStartPos = (prev_calculated > VWAP_Level_04_Period) ? (prev_calculated - VWAP_Level_04_Period) : VWAP_Level_04_Period;
for (nIdx = nStartPos; nIdx < rates_total; nIdx++)
{
double nSumTotalTPV = 0;
double nSumTotalVol = 0;
VWAP_Buffer_04[nIdx] = EMPTY_VALUE;
for (int nSubIdx = 1; nSubIdx < VWAP_Level_04_Period; nSubIdx++)
{
nSumTotalTPV += nTotalTPV[nIdx - nSubIdx];
nSumTotalVol += nTotalVol[nIdx - nSubIdx];
}
if (nSumTotalVol)
VWAP_Buffer_04[nIdx] = (nSumTotalTPV / nSumTotalVol);
else
VWAP_Buffer_04[nIdx] = 0;
if (sLevel04Str != "VWAP Level 04 (" + (string)VWAP_Level_04_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_04[nIdx], _Digits))
{
sLevel04Str = "VWAP Level 04 (" + (string)VWAP_Level_04_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_04[nIdx], _Digits);
ObjectSetString(0, "VWAP_Level_04", OBJPROP_TEXT, sLevel04Str);
}
}
}
if (Enable_Level_05)
{
int nStartPos = (prev_calculated > VWAP_Level_05_Period) ? (prev_calculated - VWAP_Level_05_Period) : VWAP_Level_05_Period;
for (nIdx = nStartPos; nIdx < rates_total; nIdx++)
{
double nSumTotalTPV = 0;
double nSumTotalVol = 0;
VWAP_Buffer_05[nIdx] = EMPTY_VALUE;
for (int nSubIdx = 1; nSubIdx < VWAP_Level_05_Period; nSubIdx++)
{
nSumTotalTPV += nTotalTPV[nIdx - nSubIdx];
nSumTotalVol += nTotalVol[nIdx - nSubIdx];
}
if (nSumTotalVol)
VWAP_Buffer_05[nIdx] = (nSumTotalTPV / nSumTotalVol);
else
VWAP_Buffer_05[nIdx] = 0;
if (sLevel05Str != "VWAP Level 05 (" + (string)VWAP_Level_05_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_05[nIdx], _Digits))
{
sLevel05Str = "VWAP Level 05 (" + (string)VWAP_Level_05_Period + "): " + (string)NormalizeDouble(VWAP_Buffer_05[nIdx], _Digits);
ObjectSetString(0, "VWAP_Level_05", OBJPROP_TEXT, sLevel05Str);
}
}
}
bIsFirstRun = false;
}
return (rates_total);
}
//+------------------------------------------------------------------+
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