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