374 lines
13 KiB
MQL5
374 lines
13 KiB
MQL5
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//+------------------------------------------------------------------+
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//| LiquidityHeatmap.mq5 |
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//| Copyright 2024, Your Name |
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//| https://www.yourwebsite.com|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2024, Your Name"
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#property link "https://www.yourwebsite.com"
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#property version "1.00"
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#property indicator_chart_window
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#property indicator_buffers 0
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#property indicator_plots 0
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input int iBarsBack = 500; // Number of bars to analyze
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input int iRows = 50; // Number of price rows (resolution)
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input double dLiquidityFactor = 2.0; // Sensitivity (higher = smoother)
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input color clrLowLiquidity = clrDarkBlue; // Low liquidity color
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input color clrHighLiquidity = clrRed; // High liquidity color
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input bool bShowLegend = true; // Show legend on chart
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input ENUM_TIMEFRAMES tfAnalysis = PERIOD_CURRENT; // Timeframe for analysis
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//+------------------------------------------------------------------+
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//| Global variables |
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//+------------------------------------------------------------------+
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double g_dPriceMin, g_dPriceMax;
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int g_iRows;
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double g_dHeatmap[]; // Heatmap values per price level
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double g_dVolumeProfile[];
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double g_dPriceLevels[];
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int g_iHandleVolumes;
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string g_sIndicatorName = "LiquidityHeatmap";
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//+------------------------------------------------------------------+
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//| Custom indicator initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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// Set rows based on input
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g_iRows = iRows;
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// Calculate initial price range
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CalculatePriceRange();
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// Initialize arrays
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ArrayResize(g_dVolumeProfile, g_iRows);
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ArrayResize(g_dPriceLevels, g_iRows);
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ArrayResize(g_dHeatmap, g_iRows);
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// Fill price levels
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double step = (g_dPriceMax - g_dPriceMin) / g_iRows;
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for(int i = 0; i < g_iRows; i++)
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{
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g_dPriceLevels[i] = g_dPriceMin + (i * step);
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}
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// Calculate volume profile
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CalculateVolumeProfile();
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// Normalize and create heatmap colors
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NormalizeHeatmap();
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// Redraw chart
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ChartRedraw();
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Calculate price range across specified bars |
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//+------------------------------------------------------------------+
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void CalculatePriceRange()
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{
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g_dPriceMin = DBL_MAX;
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g_dPriceMax = -DBL_MAX;
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int totalBars = iBarsBack;
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int startBar = 1; // skip current incomplete bar
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int endBar = startBar + totalBars;
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for(int i = startBar; i < endBar; i++)
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{
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double high = iHigh(_Symbol, tfAnalysis, i);
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double low = iLow(_Symbol, tfAnalysis, i);
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if(high > g_dPriceMax) g_dPriceMax = high;
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if(low < g_dPriceMin) g_dPriceMin = low;
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}
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// Add some padding (2% above and below)
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double padding = (g_dPriceMax - g_dPriceMin) * 0.02;
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g_dPriceMin -= padding;
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g_dPriceMax += padding;
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}
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//+------------------------------------------------------------------+
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//| Calculate volume profile using tick volume or real volume |
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//+------------------------------------------------------------------+
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void CalculateVolumeProfile()
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{
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// Initialize volume profile array
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ArrayInitialize(g_dVolumeProfile, 0.0);
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int totalBars = iBarsBack;
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int startBar = 1;
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int endBar = startBar + totalBars;
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double step = (g_dPriceMax - g_dPriceMin) / g_iRows;
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for(int i = startBar; i < endBar; i++)
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{
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double high = iHigh(_Symbol, tfAnalysis, i);
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double low = iLow(_Symbol, tfAnalysis, i);
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long volume = iVolume(_Symbol, tfAnalysis, i);
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// Determine which price levels this bar affects
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int startRow = (int)((low - g_dPriceMin) / step);
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int endRow = (int)((high - g_dPriceMin) / step);
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// Cap to array bounds
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startRow = MathMax(0, startRow);
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endRow = MathMin(g_iRows - 1, endRow);
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// Distribute volume across price levels using linear weighting
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double volumePerRow = (double)volume / (endRow - startRow + 1);
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for(int row = startRow; row <= endRow; row++)
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{
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g_dVolumeProfile[row] += volumePerRow;
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}
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}
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// Apply smoothing
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SmoothVolumeProfile(dLiquidityFactor);
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}
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//+------------------------------------------------------------------+
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//| Smooth the volume profile using moving average |
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//+------------------------------------------------------------------+
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void SmoothVolumeProfile(double factor)
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{
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if(factor <= 0) return;
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int window = (int)factor;
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if(window < 1) window = 1;
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double smoothCopy[];
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ArrayResize(smoothCopy, g_iRows);
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ArrayCopy(smoothCopy, g_dVolumeProfile);
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for(int i = 0; i < g_iRows; i++)
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{
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double sum = 0;
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int count = 0;
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for(int j = -window; j <= window; j++)
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{
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int idx = i + j;
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if(idx >= 0 && idx < g_iRows)
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{
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sum += smoothCopy[idx];
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count++;
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}
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}
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if(count > 0)
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g_dVolumeProfile[i] = sum / count;
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}
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}
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//+------------------------------------------------------------------+
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//| Normalize heatmap values to range 0-1 for coloring |
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//+------------------------------------------------------------------+
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void NormalizeHeatmap()
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{
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double maxVol = 0;
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for(int i = 0; i < g_iRows; i++)
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{
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if(g_dVolumeProfile[i] > maxVol)
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maxVol = g_dVolumeProfile[i];
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}
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if(maxVol > 0)
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{
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for(int i = 0; i < g_iRows; i++)
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{
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g_dHeatmap[i] = g_dVolumeProfile[i] / maxVol; // 0 to 1
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}
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}
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}
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//+------------------------------------------------------------------+
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//| Custom indicator deinitialization function |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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// Remove all objects created by this indicator
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ObjectsDeleteAll(0, g_sIndicatorName);
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ChartRedraw();
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}
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//+------------------------------------------------------------------+
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//| Custom indicator iteration function |
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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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// Recalculate on new bar
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static datetime lastBarTime = 0;
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datetime currentBarTime = iTime(_Symbol, tfAnalysis, 0);
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if(currentBarTime != lastBarTime || prev_calculated == 0)
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{
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lastBarTime = currentBarTime;
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CalculatePriceRange();
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// Reinitialize arrays for new range
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ArrayResize(g_dVolumeProfile, g_iRows);
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ArrayResize(g_dPriceLevels, g_iRows);
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ArrayResize(g_dHeatmap, g_iRows);
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double step = (g_dPriceMax - g_dPriceMin) / g_iRows;
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for(int i = 0; i < g_iRows; i++)
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{
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g_dPriceLevels[i] = g_dPriceMin + (i * step);
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}
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CalculateVolumeProfile();
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NormalizeHeatmap();
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DrawHeatmap();
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}
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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//| Draw heatmap rectangles on chart |
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//+------------------------------------------------------------------+
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void DrawHeatmap()
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{
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// Delete old objects
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ObjectsDeleteAll(0, g_sIndicatorName);
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datetime startTime = iTime(_Symbol, tfAnalysis, iBarsBack);
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datetime endTime = iTime(_Symbol, tfAnalysis, 0);
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// Extend to current time + some future space
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endTime += (endTime - startTime) / 10;
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double step = (g_dPriceMax - g_dPriceMin) / g_iRows;
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for(int i = 0; i < g_iRows; i++)
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{
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double priceLow = g_dPriceLevels[i];
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double priceHigh = priceLow + step;
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double intensity = g_dHeatmap[i];
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// Get color based on intensity
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color rectColor = GetHeatmapColor(intensity);
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// Create rectangle name
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string rectName = StringFormat("%s_row_%d", g_sIndicatorName, i);
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// Create rectangle object
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if(ObjectCreate(0, rectName, OBJ_RECTANGLE, 0, startTime, priceLow, endTime, priceHigh))
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{
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ObjectSetInteger(0, rectName, OBJPROP_FILL, true);
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ObjectSetInteger(0, rectName, OBJPROP_COLOR, rectColor);
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ObjectSetInteger(0, rectName, OBJPROP_WIDTH, 1);
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ObjectSetInteger(0, rectName, OBJPROP_BACK, true);
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ObjectSetInteger(0, rectName, OBJPROP_SELECTABLE, false);
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ObjectSetInteger(0, rectName, OBJPROP_HIDDEN, true);
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}
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}
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// Draw legend if enabled
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if(bShowLegend)
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DrawLegend();
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}
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//+------------------------------------------------------------------+
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//| Map intensity (0-1) to RGB color |
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//+------------------------------------------------------------------+
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color GetHeatmapColor(double intensity)
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{
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// intensity: 0 = low liquidity (blue), 1 = high liquidity (red)
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int r = (int)(intensity * 255);
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int g = 0;
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int b = (int)((1.0 - intensity) * 255);
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// Alternative gradient: Blue -> Cyan -> Yellow -> Red
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// But simple RGB works well
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return (color)((r << 16) | (g << 8) | b);
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}
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//+------------------------------------------------------------------+
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//| Draw color legend |
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//+------------------------------------------------------------------+
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void DrawLegend()
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{
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string legendName = g_sIndicatorName + "_legend";
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ObjectDelete(0, legendName);
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// Legend position (top right corner)
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int x = 50;
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int y = 50;
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int width = 150;
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int height = 20;
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// Background
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string bgName = legendName + "_bg";
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if(ObjectCreate(0, bgName, OBJ_RECTANGLE_LABEL, 0, 0, 0))
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{
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ObjectSetInteger(0, bgName, OBJPROP_XDISTANCE, x - 5);
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ObjectSetInteger(0, bgName, OBJPROP_YDISTANCE, y - 20);
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ObjectSetInteger(0, bgName, OBJPROP_XSIZE, width + 10);
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ObjectSetInteger(0, bgName, OBJPROP_YSIZE, height + 30);
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ObjectSetInteger(0, bgName, OBJPROP_BGCOLOR, clrBlack);
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ObjectSetInteger(0, bgName, OBJPROP_BORDER_COLOR, clrWhite);
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ObjectSetInteger(0, bgName, OBJPROP_CORNER, CORNER_RIGHT_UPPER);
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ObjectSetInteger(0, bgName, OBJPROP_BACK, false);
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ObjectSetInteger(0, bgName, OBJPROP_FILL, true);
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}
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// Color bar
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for(int i = 0; i <= 100; i++)
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{
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double intensity = i / 100.0;
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color barColor = GetHeatmapColor(intensity);
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string barName = legendName + "_bar_" + IntegerToString(i);
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if(ObjectCreate(0, barName, OBJ_RECTANGLE_LABEL, 0, 0, 0))
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{
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int barX = x + (int)(i * width / 100.0);
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int barY = y;
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ObjectSetInteger(0, barName, OBJPROP_XDISTANCE, barX);
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ObjectSetInteger(0, barName, OBJPROP_YDISTANCE, barY);
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ObjectSetInteger(0, barName, OBJPROP_XSIZE, width / 100);
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ObjectSetInteger(0, barName, OBJPROP_YSIZE, height);
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ObjectSetInteger(0, barName, OBJPROP_BGCOLOR, barColor);
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ObjectSetInteger(0, barName, OBJPROP_CORNER, CORNER_RIGHT_UPPER);
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ObjectSetInteger(0, barName, OBJPROP_BACK, false);
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}
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}
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// Labels
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if(ObjectCreate(0, legendName + "_low", OBJ_LABEL, 0, 0, 0))
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{
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ObjectSetInteger(0, legendName + "_low", OBJPROP_XDISTANCE, x);
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ObjectSetInteger(0, legendName + "_low", OBJPROP_YDISTANCE, y + height + 2);
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ObjectSetString(0, legendName + "_low", OBJPROP_TEXT, "Low Liquidity");
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ObjectSetInteger(0, legendName + "_low", OBJPROP_COLOR, clrWhite);
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ObjectSetInteger(0, legendName + "_low", OBJPROP_CORNER, CORNER_RIGHT_UPPER);
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ObjectSetInteger(0, legendName + "_low", OBJPROP_FONTSIZE, 10);
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}
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if(ObjectCreate(0, legendName + "_high", OBJ_LABEL, 0, 0, 0))
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{
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ObjectSetInteger(0, legendName + "_high", OBJPROP_XDISTANCE, x + width - 60);
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ObjectSetInteger(0, legendName + "_high", OBJPROP_YDISTANCE, y + height + 2);
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ObjectSetString(0, legendName + "_high", OBJPROP_TEXT, "High Liquidity");
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ObjectSetInteger(0, legendName + "_high", OBJPROP_COLOR, clrWhite);
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ObjectSetInteger(0, legendName + "_high", OBJPROP_CORNER, CORNER_RIGHT_UPPER);
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ObjectSetInteger(0, legendName + "_high", OBJPROP_FONTSIZE, 10);
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}
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}
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||
|
|
//+------------------------------------------------------------------+
|