264 lines
8.7 KiB
MQL5
264 lines
8.7 KiB
MQL5
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//+------------------------------------------------------------------+
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//| DeltaFusionLite.mq5 |
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//| Copyright 2025, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, MetaQuotes Ltd."
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#property link "https://www.mql5.com/en/users/francescosecchi"
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#property version "1.0"
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#property description "DeltaFusion Lite - Cumulative Delta & Net Delta"
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#property indicator_separate_window
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#property indicator_buffers 3
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#property indicator_plots 3
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#property indicator_level1 0.0
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#define EPSILON 1e-12
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#define DEFAULT_MIN_TICK 0.00001
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#define DEFAULT_TF_SECONDS 60
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#define COLOR_CUM_ASK clrGreen
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#define COLOR_CUM_BID clrRed
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#define COLOR_NET_DELTA clrBlack
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double CumAsk[];
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double CumBid[];
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double NetDelta[];
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input string ResetSession = "=== Session Reset ==="; // Section header label used to group session reset inputs
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input int ResetHourCustom = 1; // Hour of daily session reset (0-23)
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input int ResetMinuteCustom = 0; // Minute of daily session reset (0-59)
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input string CumulativeDelta = "=== Cumulative Delta ==="; // Section header label used to group cumulative delta inputs
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input int SmoothPeriod = 10; // EMA smoothing period for delta (>=1)
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datetime g_lastSession = 0;
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bool g_firstRun = true;
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double Eps() { return EPSILON; }
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double SafeDiv(double numerator, double denominator)
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{
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if(MathAbs(denominator) <= Eps())
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{
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return (numerator > Eps()) ? 1e9 : 0.0;
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}
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double result = numerator / denominator;
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if(!MathIsValidNumber(result)) return 0.0;
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return result;
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}
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double SafeNormalize(double price)
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{
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return NormalizeDouble(price, _Digits);
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}
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int GetTFSeconds()
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{
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int sec = PeriodSeconds();
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return (sec <= 0) ? DEFAULT_TF_SECONDS : sec;
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}
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double GetMinTick()
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{
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double tick = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_TICK_SIZE);
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return (tick <= 0.0) ? DEFAULT_MIN_TICK : tick;
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}
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datetime GetSessionStart()
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{
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int mm = (ResetMinuteCustom < 0) ? 0 : ((ResetMinuteCustom > 59) ? 59 : ResetMinuteCustom);
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datetime now = TimeCurrent();
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MqlDateTime md;
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TimeToStruct(now, md);
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md.hour = ResetHourCustom;
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md.min = mm;
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md.sec = 0;
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datetime sessionToday = StructToTime(md);
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if(now < sessionToday)
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{
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sessionToday -= 24 * 60 * 60;
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}
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return sessionToday;
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}
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bool IsNewSession()
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{
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datetime currentSession = GetSessionStart();
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if(currentSession != g_lastSession)
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{
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g_lastSession = currentSession;
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return true;
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}
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return false;
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}
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void SmoothEMA(const double &src[], int count, int period, double &emaOut[])
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{
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if(ArraySize(emaOut) != count)
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{
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ArrayResize(emaOut, count);
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ArraySetAsSeries(emaOut, true);
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}
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if(count <= 0) return;
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if(period <= 1)
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{
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ArrayCopy(emaOut, src, 0, 0, WHOLE_ARRAY);
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return;
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}
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double alpha = 2.0 / (period + 1.0);
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double prev = src[count - 1];
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emaOut[count - 1] = prev;
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for(int i = count - 2; i >= 0; i--)
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{
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prev = alpha * src[i] + (1.0 - alpha) * prev;
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emaOut[i] = prev;
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}
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}
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void GetTickDeltaAskBid(int i,
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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double &deltaAsk,
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double &deltaBid)
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{
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deltaAsk = 0.0;
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deltaBid = 0.0;
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if(i < 0) return;
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double o = open[i];
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double c = close[i];
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double h = high[i];
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double l = low[i];
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long tv = tick_volume[i];
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double vol = (tv > 0) ? (double)tv : 1.0;
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double spread = h - l;
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if(spread <= 0.0) return;
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double upper = MathMax(h - MathMax(o, c), 0.0);
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double lower = MathMax(MathMin(o, c) - l, 0.0);
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double body = spread - (upper + lower);
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double pu = upper / spread;
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double pl = lower / spread;
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double pb = body / spread;
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if(c > o)
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{
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deltaAsk = (pb + (pu + pl) / 2.0) * vol;
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deltaBid = ((pu + pl) / 2.0) * vol;
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}
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else if(c < o)
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{
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deltaBid = (pb + (pu + pl) / 2.0) * vol;
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deltaAsk = ((pu + pl) / 2.0) * vol;
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}
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else
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{
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deltaAsk = deltaBid = ((pu + pl) / 2.0) * vol;
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}
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}
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int OnInit()
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{
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SetIndexBuffer(0, CumAsk, INDICATOR_DATA);
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SetIndexBuffer(1, CumBid, INDICATOR_DATA);
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SetIndexBuffer(2, NetDelta, INDICATOR_DATA);
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_HISTOGRAM);
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PlotIndexSetInteger(0, PLOT_LINE_STYLE, STYLE_SOLID);
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PlotIndexSetInteger(0, PLOT_LINE_WIDTH, 2);
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PlotIndexSetInteger(0, PLOT_LINE_COLOR, COLOR_CUM_ASK);
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PlotIndexSetString(0, PLOT_LABEL, "Ask Volume");
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PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_HISTOGRAM);
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PlotIndexSetInteger(1, PLOT_LINE_STYLE, STYLE_SOLID);
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PlotIndexSetInteger(1, PLOT_LINE_WIDTH, 2);
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PlotIndexSetInteger(1, PLOT_LINE_COLOR, COLOR_CUM_BID);
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PlotIndexSetString(1, PLOT_LABEL, "Bid Volume");
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PlotIndexSetInteger(2, PLOT_DRAW_TYPE, DRAW_LINE);
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PlotIndexSetInteger(2, PLOT_LINE_STYLE, STYLE_SOLID);
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PlotIndexSetInteger(2, PLOT_LINE_WIDTH, 1);
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PlotIndexSetInteger(2, PLOT_LINE_COLOR, COLOR_NET_DELTA);
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PlotIndexSetString(2, PLOT_LABEL, "Net Delta");
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PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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PlotIndexSetDouble(2, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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ArraySetAsSeries(CumAsk, true);
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ArraySetAsSeries(CumBid, true);
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ArraySetAsSeries(NetDelta, true);
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IndicatorSetString(INDICATOR_SHORTNAME, "DeltaFusion Lite v1.0");
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IndicatorSetInteger(INDICATOR_LEVELS, 1);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 0.0);
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IndicatorSetInteger(INDICATOR_LEVELSTYLE, 0, STYLE_DASH);
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IndicatorSetInteger(INDICATOR_LEVELCOLOR, 0, clrGray);
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IndicatorSetInteger(INDICATOR_LEVELWIDTH, 0, 1);
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Print("DeltaFusion Lite initialized successfully");
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return INIT_SUCCEEDED;
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}
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void OnDeinit(const int reason)
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{
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string reason_text;
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switch(reason)
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{
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case REASON_PROGRAM: reason_text = "Program terminated"; break;
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case REASON_REMOVE: reason_text = "Indicator removed"; break;
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case REASON_RECOMPILE: reason_text = "Recompiled"; break;
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case REASON_CHARTCHANGE: reason_text = "Chart changed"; break;
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case REASON_CHARTCLOSE: reason_text = "Chart closed"; break;
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case REASON_PARAMETERS: reason_text = "Parameters changed"; break;
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case REASON_ACCOUNT: reason_text = "Account changed"; break;
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default: reason_text = "Unknown reason"; break;
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}
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Print("Indicator deinitialized: ", reason_text);
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}
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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if(rates_total <= 0) return 0;
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ArraySetAsSeries(time, true);
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ArraySetAsSeries(open, true);
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ArraySetAsSeries(high, true);
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ArraySetAsSeries(low, true);
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ArraySetAsSeries(close, true);
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ArraySetAsSeries(tick_volume, true);
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int start;
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if(prev_calculated == 0 || g_firstRun)
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{
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start = rates_total - 1;
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g_firstRun = false;
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}
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else
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{
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start = rates_total - prev_calculated;
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if(start > 0) start--;
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}
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if(start < 0) start = 0;
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if(start >= rates_total) start = rates_total - 1;
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static double dA[];
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static double dB[];
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if(ArraySize(dA) != rates_total)
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{
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ArrayResize(dA, rates_total);
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ArraySetAsSeries(dA, true);
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}
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if(ArraySize(dB) != rates_total)
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{
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ArrayResize(dB, rates_total);
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ArraySetAsSeries(dB, true);
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}
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for(int i = start; i >= 0; i--)
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{
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GetTickDeltaAskBid(i, open, high, low, close, tick_volume, dA[i], dB[i]);
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}
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static double emaA[];
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static double emaB[];
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SmoothEMA(dA, rates_total, SmoothPeriod, emaA);
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SmoothEMA(dB, rates_total, SmoothPeriod, emaB);
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for(int i2 = start; i2 >= 0; i2--)
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{
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CumAsk[i2] = (emaA[i2] > 0.0) ? emaA[i2] : EMPTY_VALUE;
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CumBid[i2] = (emaB[i2] > 0.0) ? -emaB[i2] : EMPTY_VALUE;
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NetDelta[i2] = emaA[i2] - emaB[i2];
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}
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datetime sessionStart = GetSessionStart();
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double sumAsk = 0.0, sumBid = 0.0;
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int firstIdx = -1, lastIdx = -1;
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for(int i3 = 0; i3 < rates_total; i3++)
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{
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if(time[i3] < sessionStart) break;
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if(firstIdx < 0) firstIdx = i3;
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lastIdx = i3;
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if(CumAsk[i3] != EMPTY_VALUE) sumAsk += MathAbs(CumAsk[i3]);
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if(CumBid[i3] != EMPTY_VALUE) sumBid += MathAbs(CumBid[i3]);
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}
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return rates_total;
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}
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