462 lines
20 KiB
MQL5
462 lines
20 KiB
MQL5
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//+------------------------------------------------------------------+
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//| GexMap.mq5 |
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//| MMQ — Muhammad Minhas Qamar |
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//| www.mql5.com/en/articles/23410 |
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//+------------------------------------------------------------------+
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#property copyright "MMQ — Muhammad Minhas Qamar"
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#property link "https://www.mql5.com/en/articles/23410"
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#property version "1.10"
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#property description "Dealer gamma-exposure (GEX) map: per-strike exposure, call/put walls, and the zero-gamma flip, drawn on the price chart at real strike levels."
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#property indicator_chart_window
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#property indicator_plots 0
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#property indicator_buffers 0
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#include <Canvas/Canvas.mqh>
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#include <GEX/GexData.mqh>
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#include <GEX/GexProviderNative.mqh>
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//+------------------------------------------------------------------+
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//| Inputs |
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//+------------------------------------------------------------------+
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enum ENUM_GEX_SOURCE
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{
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GEX_SOURCE_CSV = 0, // read a chain CSV from MQL5\Files
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GEX_SOURCE_NATIVE = 1 // read the broker's native option symbols
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};
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enum ENUM_GEX_THEME
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{
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GEX_THEME_DARK = 0, // dark labels/bars (for a dark chart)
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GEX_THEME_LIGHT = 1 // light labels/bars (for a light chart)
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};
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enum ENUM_GEX_SCALE
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{
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GEX_SCALE_OWN = 0, // self-contained band: always visible on any chart
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GEX_SCALE_SNAP = 1 // snap to the chart's real price axis (same-underlying only)
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};
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input ENUM_GEX_SOURCE InpSource = GEX_SOURCE_CSV; // data source
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input string InpCsvFile = "GEX\\gex_chain_sample.csv"; // CSV chain (in MQL5\Files)
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input string InpUnderlying = ""; // native: base symbol (empty = chart symbol)
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input double InpRiskFree = 0.045; // risk-free rate for the inversion
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input double InpMultiplier = 100.0; // contract multiplier (100 = US equity options)
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input int InpRefreshSec = 0; // native re-poll seconds (0 = manual, press R)
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input int InpProfileW = 260; // profile width in pixels (right margin)
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input ENUM_GEX_SCALE InpScaleMode = GEX_SCALE_OWN; // vertical scale: own band, or snap to price axis
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input double InpFillPct = 0.80; // own scale: fraction of chart height to fill
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input ENUM_GEX_THEME InpTheme = GEX_THEME_DARK; // label/bar theme
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//+------------------------------------------------------------------+
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//| Globals |
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//+------------------------------------------------------------------+
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CCanvas g_canvas;
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CGexProfile g_profile;
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string g_objName = "";
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datetime g_lastRefresh = 0;
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bool g_haveData = false;
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int g_lastW = -1, g_lastH = -1; // last canvas pixel size, to detect real resizes
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//--- own-scale band (price -> y), recomputed each draw from the strike range
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double g_bandLo = 0, g_bandHi = 0; // price bounds of the profile band
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int g_bandTop = 0, g_bandBot = 0; // pixel bounds of the profile band
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//--- resolved palette (set in OnInit from the theme)
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uint g_panel, g_grid, g_text, g_textDim, g_pos, g_neg, g_flip, g_spot, g_wall;
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//+------------------------------------------------------------------+
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//| Resolve the theme into a small ARGB palette once, so every draw |
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//| call pulls from the same consistent set of colours. The bar and |
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//| line colours read the same on either chart theme; only the panel |
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//| fill and the text swap. |
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//+------------------------------------------------------------------+
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void ResolvePalette(void)
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{
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if(InpTheme == GEX_THEME_LIGHT)
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{
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g_panel = ColorToARGB(clrWhiteSmoke, 220); // near-opaque card
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g_grid = ColorToARGB(clrSilver);
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g_text = ColorToARGB(clrBlack);
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g_textDim = ColorToARGB(clrDimGray);
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}
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else
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{
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g_panel = ColorToARGB(C'22,24,30', 225); // near-opaque card
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g_grid = ColorToARGB(C'70,74,86');
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g_text = ColorToARGB(clrWhiteSmoke);
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g_textDim = ColorToARGB(clrSilver);
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}
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g_pos = ColorToARGB(C'38,166,91', 235); // long-gamma (positive) green
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g_neg = ColorToARGB(C'207,64,64', 235); // short-gamma (negative) red
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g_flip = ColorToARGB(clrGold); // zero-gamma flip line
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g_spot = ColorToARGB(clrDeepSkyBlue); // current spot line
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g_wall = ColorToARGB(clrOrange); // call/put wall markers
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}
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//+------------------------------------------------------------------+
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//| (Re)load the chosen data source and rebuild the profile. |
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//+------------------------------------------------------------------+
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bool Reload(void)
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{
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OptionQuote quotes[];
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bool ok = false;
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if(InpSource == GEX_SOURCE_CSV)
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{
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CGexProviderCSV csv;
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ok = csv.Load(InpCsvFile, quotes);
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}
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else
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{
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string under = (InpUnderlying == "") ? _Symbol : InpUnderlying;
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CGexProviderNative nat;
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ok = nat.Load(under, InpRiskFree, quotes);
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}
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if(!ok)
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return(false);
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g_profile.Multiplier(InpMultiplier);
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g_haveData = g_profile.Build(quotes);
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return(g_haveData);
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}
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//+------------------------------------------------------------------+
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//| Set up the own-scale band: map the strike range onto a centred |
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//| vertical span covering InpFillPct of the chart height. Padded a |
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//| little beyond the strikes so spot/flip lines that sit just |
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//| outside the outermost strikes still land inside the band. Called |
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//| once per draw before any PriceY() query in own-scale mode. |
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//+------------------------------------------------------------------+
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void SetupBand(void)
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{
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int H = g_canvas.Height();
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int nk = g_profile.NStrikes();
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double lo = g_profile.Strike(0);
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double hi = g_profile.Strike(nk - 1);
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double pad = 0.06 * (hi - lo);
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g_bandLo = lo - pad;
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g_bandHi = hi + pad;
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double fill = MathMax(0.3, MathMin(0.95, InpFillPct));
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int span = (int)(H * fill);
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g_bandTop = (H - span) / 2; // centred vertically
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g_bandBot = g_bandTop + span;
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}
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//+------------------------------------------------------------------+
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//| Map a price to a y pixel, either by snapping to the chart's real |
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//| price axis (SNAP mode, for a same-underlying chart) or across |
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//| the tool's own centred band (OWN mode, which is always visible |
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//| regardless of the chart symbol). Returns false when the price |
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//| falls off-screen so callers simply skip that level. |
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//+------------------------------------------------------------------+
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bool PriceY(const double price, int &y)
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{
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if(InpScaleMode == GEX_SCALE_SNAP)
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{
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int x = 0, sub = 0;
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datetime t = TimeCurrent(); // any visible time works; only y is used
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if(!ChartTimePriceToXY(0, sub, t, price, x, y))
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return(false);
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int h = (int)ChartGetInteger(0, CHART_HEIGHT_IN_PIXELS, 0);
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if(y < -50 || y > h + 50)
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return(false); // well off-screen: don't draw it
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return(true);
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}
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//--- own scale: linear map of the strike band onto [g_bandTop, g_bandBot]
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if(g_bandHi <= g_bandLo)
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return(false);
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double f = (price - g_bandLo) / (g_bandHi - g_bandLo); // 0 at bandLo, 1 at bandHi
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if(f < -0.02 || f > 1.02)
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return(false); // outside the padded band
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y = (int)MathRound(g_bandBot - f * (g_bandBot - g_bandTop));
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Draw the GEX profile in the right margin, each bar sitting at its|
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//| strike's price level. In SNAP mode that level is the chart's own |
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//| price axis; in OWN mode it is the tool's centred band, so the |
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//| profile is visible on any chart. Bars grow leftward from the |
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//| right edge; positive (dealer long gamma) is green, negative |
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//| (short gamma) is red. Walls, spot and the flip are marked lines. |
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//+------------------------------------------------------------------+
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void DrawMap(void)
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{
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int W = g_canvas.Width();
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int H = g_canvas.Height();
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g_canvas.Erase(0); // fully transparent: the chart shows through
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if(!g_haveData || g_profile.NStrikes() < 2)
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{
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DrawTitle(W, "GEX: no data. Check CSV path / source. Press R.");
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g_canvas.Update(true);
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return;
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}
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//--- own-scale mode maps the strike range onto a centred band
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if(InpScaleMode == GEX_SCALE_OWN)
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SetupBand();
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//--- right-margin geometry
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int rightPad = 8;
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int baseX = W - rightPad; // bars anchor here and grow left
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int maxLen = MathMax(60, InpProfileW); // longest bar
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int labelX = baseX - maxLen - 10; // strike labels sit left of the bars
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//--- in own-scale mode, back the band with a faint panel so it reads as a
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//--- self-contained gauge rather than floating bars over the candles
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if(InpScaleMode == GEX_SCALE_OWN)
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{
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int px0 = labelX - 52;
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g_canvas.FillRectangle(px0, g_bandTop - 10, baseX + rightPad, g_bandBot + 10, g_panel);
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g_canvas.Rectangle(px0, g_bandTop - 10, baseX + rightPad, g_bandBot + 10, g_grid);
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g_canvas.LineVertical(baseX, g_bandTop - 10, g_bandBot + 10, g_grid); // zero line bars grow from
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}
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int nk = g_profile.NStrikes();
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double maxAbs = 1e-30;
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for(int i = 0; i < nk; i++)
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maxAbs = MathMax(maxAbs, MathAbs(g_profile.Gex(i)));
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//--- bar half-height from the on-screen spacing of adjacent strikes
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int yA, yB;
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int barH = 8;
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if(PriceY(g_profile.Strike(0), yA) && PriceY(g_profile.Strike(1), yB))
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barH = MathMax(3, (int)(MathAbs(yB - yA) * 0.42));
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//--- per-strike bars at real price levels
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g_canvas.FontSet("Segoe UI", 14);
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for(int i = 0; i < nk; i++)
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{
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int y;
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if(!PriceY(g_profile.Strike(i), y))
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continue;
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double gex = g_profile.Gex(i);
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int len = (int)MathRound(maxLen * (MathAbs(gex) / maxAbs));
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uint clr = (gex >= 0.0) ? g_pos : g_neg;
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g_canvas.FillRectangle(baseX - len, y - barH, baseX, y + barH, clr);
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//--- strike label just left of the profile
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g_canvas.TextOut(labelX, y - 10, StringFormat("%.0f", g_profile.Strike(i)), g_textDim, TA_RIGHT);
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}
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//--- reference lines drawn across the profile band at their true prices
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//--- (unlabelled: the colour key in the title card identifies them)
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int lineX0 = labelX - 40;
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DrawLevel(g_profile.Spot(), lineX0, baseX, g_spot);
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if(g_profile.Flip() > 0.0)
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DrawLevel(g_profile.Flip(), lineX0, baseX, g_flip);
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DrawLevel(g_profile.CallWall(), lineX0, baseX, g_wall);
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DrawLevel(g_profile.PutWall(), lineX0, baseX, g_wall);
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//--- title / regime card, top-left
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double net = g_profile.NetGex();
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string underName = (InpSource == GEX_SOURCE_NATIVE && InpUnderlying != "") ? InpUnderlying : _Symbol;
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string line1 = StringFormat("Gamma Exposure - %s - exp %s",
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underName, TimeToString(g_profile.Expiry(), TIME_DATE));
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string regime = (net >= 0.0) ? "NET LONG GAMMA (mean-reverting)" : "NET SHORT GAMMA (trending)";
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string line2 = StringFormat("%s net GEX %.3g flip %s",
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regime, net,
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(g_profile.Flip() > 0.0 ? StringFormat("%.2f", g_profile.Flip()) : "none"));
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DrawTitleTwo(line1, line2, (net >= 0.0) ? g_pos : g_neg);
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g_canvas.Update(true);
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}
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//+------------------------------------------------------------------+
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//| Draw one reference level (spot / flip / wall) as a plain line |
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//| across the profile band. No caption: the lines are kept clean |
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//| and the colour key in the title card names them, so they do not |
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//| clutter the profile. |
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//+------------------------------------------------------------------+
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void DrawLevel(const double price, const int x0, const int x1, const uint clr)
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{
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int y;
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if(!PriceY(price, y))
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return;
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g_canvas.LineHorizontal(x0, x1, y, clr);
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}
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//+------------------------------------------------------------------+
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//| Single-line title card (used only for the "no data" message). |
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//+------------------------------------------------------------------+
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void DrawTitle(const int W, const string text)
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{
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g_canvas.FontSet("Segoe UI", 15, FW_BOLD);
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int w = g_canvas.TextWidth(text) + 36;
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g_canvas.FillRectangle(8, 8, 8 + w, 8 + 38, g_panel);
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g_canvas.Rectangle(8, 8, 8 + w, 8 + 38, g_grid);
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g_canvas.TextOut(22, 16, text, g_text, TA_LEFT);
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}
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//+------------------------------------------------------------------+
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//| Small colour swatch + label, used to build the reference-line |
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//| key. Returns the x just past the label so keys chain left to |
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//| right. |
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//+------------------------------------------------------------------+
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int KeyItem(const int x, const int y, const uint clr, const string label)
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{
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g_canvas.FillRectangle(x, y + 3, x + 16, y + 17, clr);
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g_canvas.FontSet("Segoe UI", 13);
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g_canvas.TextOut(x + 22, y, label, g_textDim, TA_LEFT);
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return(x + 22 + g_canvas.TextWidth(label) + 20);
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}
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//+------------------------------------------------------------------+
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//| Title / regime card, top-left, on an opaque panel so it stays |
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//| readable over any candles behind it. Three rows: the heading, |
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//| the net-GEX regime verdict, and a colour key that names the |
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//| reference lines so they can stay unlabelled on the profile. |
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//+------------------------------------------------------------------+
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void DrawTitleTwo(const string line1, const string line2, const uint regimeClr)
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{
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g_canvas.FontSet("Segoe UI", 18, FW_BOLD);
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int w1 = g_canvas.TextWidth(line1);
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g_canvas.FontSet("Segoe UI", 15, FW_BOLD);
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int w2 = g_canvas.TextWidth(line2);
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int cardW = MathMax(w1, w2) + 36;
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cardW = MathMax(cardW, 360);
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int cardH = 104;
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g_canvas.FillRectangle(8, 8, 8 + cardW, 8 + cardH, g_panel);
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g_canvas.Rectangle(8, 8, 8 + cardW, 8 + cardH, g_grid);
|
||
|
|
g_canvas.FontSet("Segoe UI", 18, FW_BOLD);
|
||
|
|
g_canvas.TextOut(22, 16, line1, g_text, TA_LEFT);
|
||
|
|
g_canvas.FontSet("Segoe UI", 15, FW_BOLD);
|
||
|
|
g_canvas.TextOut(22, 46, line2, regimeClr, TA_LEFT);
|
||
|
|
|
||
|
|
//--- reference-line colour key
|
||
|
|
int kx = 22, ky = 76;
|
||
|
|
kx = KeyItem(kx, ky, g_spot, "spot");
|
||
|
|
kx = KeyItem(kx, ky, g_flip, "flip");
|
||
|
|
kx = KeyItem(kx, ky, g_wall, "walls");
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Create (or recreate) a full-chart bitmap the size of the chart. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
bool BuildCanvas(void)
|
||
|
|
{
|
||
|
|
int w = (int)ChartGetInteger(0, CHART_WIDTH_IN_PIXELS, 0);
|
||
|
|
int h = (int)ChartGetInteger(0, CHART_HEIGHT_IN_PIXELS, 0);
|
||
|
|
if(w <= 0)
|
||
|
|
w = 1200;
|
||
|
|
if(h <= 0)
|
||
|
|
h = 600;
|
||
|
|
|
||
|
|
g_canvas.Destroy();
|
||
|
|
if(g_objName != "")
|
||
|
|
ObjectDelete(0, g_objName);
|
||
|
|
|
||
|
|
g_objName = "GexMapCanvas_" + IntegerToString(ChartID());
|
||
|
|
if(!g_canvas.CreateBitmapLabel(0, 0, g_objName, 0, 0, w, h, COLOR_FORMAT_ARGB_NORMALIZE))
|
||
|
|
{
|
||
|
|
PrintFormat("GexMap: CreateBitmapLabel failed (err %d)", GetLastError());
|
||
|
|
return(false);
|
||
|
|
}
|
||
|
|
ObjectSetInteger(0, g_objName, OBJPROP_CORNER, CORNER_LEFT_UPPER);
|
||
|
|
ObjectSetInteger(0, g_objName, OBJPROP_XDISTANCE, 0);
|
||
|
|
ObjectSetInteger(0, g_objName, OBJPROP_YDISTANCE, 0);
|
||
|
|
ObjectSetInteger(0, g_objName, OBJPROP_BACK, false); // draw over the candles
|
||
|
|
g_lastW = w;
|
||
|
|
g_lastH = h;
|
||
|
|
return(true);
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Rebuild the bitmap only when the chart pixel size actually |
|
||
|
|
//| changed. A scroll or a scale change keeps the same canvas and |
|
||
|
|
//| only needs a redraw, which is far cheaper than a rebuild. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
bool RebuildIfResized(void)
|
||
|
|
{
|
||
|
|
int w = (int)ChartGetInteger(0, CHART_WIDTH_IN_PIXELS, 0);
|
||
|
|
int h = (int)ChartGetInteger(0, CHART_HEIGHT_IN_PIXELS, 0);
|
||
|
|
if(w <= 0 || h <= 0)
|
||
|
|
return(false);
|
||
|
|
if(w == g_lastW && h == g_lastH)
|
||
|
|
return(false);
|
||
|
|
return(BuildCanvas());
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Initialization |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
int OnInit(void)
|
||
|
|
{
|
||
|
|
IndicatorSetString(INDICATOR_SHORTNAME, "GEX Map");
|
||
|
|
ResolvePalette();
|
||
|
|
|
||
|
|
if(!BuildCanvas())
|
||
|
|
return(INIT_FAILED);
|
||
|
|
|
||
|
|
Reload();
|
||
|
|
DrawMap();
|
||
|
|
|
||
|
|
EventSetTimer(1);
|
||
|
|
g_lastRefresh = TimeCurrent();
|
||
|
|
return(INIT_SUCCEEDED);
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Timer: re-poll the native source on its interval and redraw when |
|
||
|
|
//| fresh data arrived. The profile is static between reloads, so |
|
||
|
|
//| the timer alone does not force redraws. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
void OnTimer(void)
|
||
|
|
{
|
||
|
|
if(InpSource == GEX_SOURCE_NATIVE && InpRefreshSec > 0 &&
|
||
|
|
TimeCurrent() - g_lastRefresh >= InpRefreshSec)
|
||
|
|
{
|
||
|
|
Reload();
|
||
|
|
g_lastRefresh = TimeCurrent();
|
||
|
|
DrawMap();
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Indicator calculation: this tool draws from the option chain, |
|
||
|
|
//| not the price series, so it does no per-bar work. We keep the |
|
||
|
|
//| required return contract only. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
int OnCalculate(const int rates_total, const int prev_calculated, const int begin, const double &price[])
|
||
|
|
{
|
||
|
|
return(rates_total);
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Chart events: R reloads the data. Because the profile is pinned |
|
||
|
|
//| to the real price axis, any chart change (scroll, zoom, scale) |
|
||
|
|
//| shifts the price-to-pixel mapping, so we rebuild-if-resized and |
|
||
|
|
//| always redraw to keep the bars locked to their strikes. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
void OnChartEvent(const int id, const long &lparam, const double &dparam, const string &sparam)
|
||
|
|
{
|
||
|
|
if(id == CHARTEVENT_KEYDOWN)
|
||
|
|
{
|
||
|
|
if((int)lparam == 'R' || (int)lparam == 'r')
|
||
|
|
{
|
||
|
|
Reload();
|
||
|
|
DrawMap();
|
||
|
|
}
|
||
|
|
}
|
||
|
|
else
|
||
|
|
if(id == CHARTEVENT_CHART_CHANGE)
|
||
|
|
{
|
||
|
|
RebuildIfResized(); // only rebuilds the bitmap on a real size change
|
||
|
|
DrawMap(); // always redraw: the price axis may have moved
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Cleanup |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
void OnDeinit(const int reason)
|
||
|
|
{
|
||
|
|
EventKillTimer();
|
||
|
|
g_canvas.Destroy();
|
||
|
|
if(g_objName != "")
|
||
|
|
ObjectDelete(0, g_objName);
|
||
|
|
ChartRedraw(0);
|
||
|
|
}
|
||
|
|
//+------------------------------------------------------------------+
|