| #ifndef DUALEA_INDICATORS_VWAP_MQH
|
| #define DUALEA_INDICATORS_VWAP_MQH
|
| // Simple rolling-window VWAP wrapper for MQL5
|
| // Note: MT5 does not provide a native iVWAP handle; this computes a rolling VWAP over m_window bars.
|
|
|
| class CVWAP
|
| {
|
| private:
|
| string m_symbol;
|
| ENUM_TIMEFRAMES m_tf;
|
| int m_window; // bars
|
|
|
| double TypicalPrice(const int shift)
|
| {
|
| double h = iHigh(m_symbol, m_tf, shift);
|
| double l = iLow(m_symbol, m_tf, shift);
|
| double c = iClose(m_symbol,m_tf, shift);
|
| if(h==0.0 && l==0.0 && c==0.0) return 0.0;
|
| return (h + l + c) / 3.0;
|
| }
|
|
|
| public:
|
| CVWAP(): m_symbol(""), m_tf(PERIOD_CURRENT), m_window(30) {}
|
|
|
| bool Init(const string symbol, const ENUM_TIMEFRAMES tf, const int window_bars=30)
|
| {
|
| m_symbol = symbol;
|
| m_tf = tf;
|
| m_window = MathMax(1, window_bars);
|
| return true;
|
| }
|
|
|
| // Rolling VWAP over [shift .. shift+m_window-1]
|
| double Value(const int shift)
|
| {
|
| double sum_vp = 0.0;
|
| double sum_v = 0.0;
|
| int count = 0;
|
| for(int i=shift; i<shift+m_window; ++i)
|
| {
|
| datetime t = iTime(m_symbol, m_tf, i);
|
| if(t==0) break;
|
| long v_raw = (long)iVolume(m_symbol, m_tf, i);
|
| double v = (double)v_raw;
|
| if(v<=0) continue;
|
| double tp = TypicalPrice(i);
|
| if(tp<=0) continue;
|
| sum_vp += tp * v;
|
| sum_v += v;
|
| count++;
|
| }
|
| if(sum_v<=0.0 || count<=0) return 0.0;
|
| return sum_vp / sum_v;
|
| }
|
|
|
| double Slope(const int shift)
|
| {
|
| double v0 = Value(shift);
|
| double v1 = Value(shift+1);
|
| return (v0 - v1);
|
| }
|
| };
|
|
|
| #endif // DUALEA_INDICATORS_VWAP_MQH
|
