mql5/Shared Projects/ERMT-ML/Modules-ML8x/OrderFlowAnalyzer.mqh

//+------------------------------------------------------------------+
//|                     OrderFlowAnalyzer.mqh                        |
//|            Order Flow and Market Microstructure                  |
//|         Volume Profile, Liquidity Detection, Flow Analysis       |
//+------------------------------------------------------------------+
#ifndef ORDER_FLOW_ANALYZER_MQH
#define ORDER_FLOW_ANALYZER_MQH

#include "DataTypes_v71.mqh"
#include <Arrays/ArrayObj.mqh>

//+------------------------------------------------------------------+
//| Volume Profile Level                                             |
//+------------------------------------------------------------------+
struct VolumeProfileLevel
{
   double            price;
   double            volume;
   double            buy_volume;
   double            sell_volume;
   double            delta;
   int               trades;
   bool              is_poc;     // Point of Control
   bool              is_vah;     // Value Area High
   bool              is_val;     // Value Area Low
};

//+------------------------------------------------------------------+
//| Order Flow Imbalance                                             |
//+------------------------------------------------------------------+
struct FlowImbalance
{
   datetime          time;
   double            bid_volume;
   double            ask_volume;
   double            imbalance_ratio;
   double            cumulative_delta;
   double            vpin;       // Volume-synchronized PIN
   bool              absorption_detected;
};

//+------------------------------------------------------------------+
//| Large Order Detection                                            |
//+------------------------------------------------------------------+
struct LargeOrder
{
   datetime          time;
   double            price;
   double            volume;
   bool              is_buy;
   double            impact;     // Price impact
   int               execution_time_ms;
   bool              is_institutional;
};

//+------------------------------------------------------------------+
//| Order Flow Analyzer Class                                        |
//+------------------------------------------------------------------+
class COrderFlowAnalyzer
{
private:
   //--- Configuration
   int               m_profile_period;
   double            m_liquidity_threshold;
   int               m_large_order_multiple;
   
   //--- Volume profile data
   VolumeProfileLevel m_volume_profile[];
   int               m_profile_levels;
   double            m_poc_price;
   double            m_vah_price;
   double            m_val_price;
   double            m_vwap;
   
   //--- Order flow tracking
   FlowImbalance     m_flow_history[];
   int               m_flow_buffer_size;
   double            m_cumulative_delta;
   
   //--- Large order detection
   LargeOrder        m_large_orders[];
   int               m_large_order_count;
   double            m_avg_trade_size;
   
   //--- Tick data buffer
   MqlTick           m_tick_buffer[];
   int               m_tick_count;
   datetime          m_last_update;
   
   //--- Liquidity analysis
   double            m_bid_liquidity[];
   double            m_ask_liquidity[];
   int               m_liquidity_levels;
   
   //--- Helper methods
   void              BuildVolumeProfile(string symbol);
   void              CalculateValueArea();
   void              DetectOrderAbsorption(MqlTick &tick);
   void              UpdateFlowImbalance(MqlTick &tick);
   double            CalculateVPIN(int lookback);
   void              AnalyzeLiquidity(string symbol);
   
public:
                     COrderFlowAnalyzer();
                    ~COrderFlowAnalyzer();
   
   //--- Initialization
   bool              Initialize(int profile_period, double liquidity_threshold);
   
   //--- Real-time processing
   void              ProcessTick(string symbol, MqlTick &tick);
   void              UpdateProfile(string symbol);
   
   //--- Volume profile analysis
   double            GetPOC() { return m_poc_price; }
   double            GetVAH() { return m_vah_price; }
   double            GetVAL() { return m_val_price; }
   double            GetVWAP() { return m_vwap; }
   VolumeProfileLevel GetProfileLevel(double price);
   
   //--- Order flow metrics
   double            GetFlowImbalance(string symbol);
   double            GetCumulativeDelta() { return m_cumulative_delta; }
   double            GetVPIN() { return CalculateVPIN(50); }
   bool              IsAbsorptionDetected();
   
   //--- Large order detection
   bool              DetectInstitutionalFlow(string symbol);
   int               GetLargeOrderCount(bool buy_only = false);
   double            GetAverageTradeSize() { return m_avg_trade_size; }
   
   //--- Liquidity analysis
   double            GetLiquidityScore(string symbol);
   double            GetBidDepth(int levels = 5);
   double            GetAskDepth(int levels = 5);
   double            GetSpreadQuality(string symbol);
   
   //--- Signal generation
   double            GetSignalStrength(string symbol);
   bool              CheckLiquidityConditions(double min_liquidity);
   
   //--- Market microstructure
   double            GetEffectiveSpread(string symbol);
   double            GetRealizedSpread(string symbol);
   double            GetPriceImpact(double volume, bool is_buy);
   
   //--- Export data
   void              ExportVolumeProfile(string filename);
   void              ExportFlowData(string filename);
};

//+------------------------------------------------------------------+
//| Constructor                                                      |
//+------------------------------------------------------------------+
COrderFlowAnalyzer::COrderFlowAnalyzer()
{
   m_profile_period = 20;
   m_liquidity_threshold = 1000000;
   m_large_order_multiple = 10;
   m_profile_levels = 0;
   m_poc_price = 0;
   m_vah_price = 0;
   m_val_price = 0;
   m_vwap = 0;
   m_flow_buffer_size = 1000;
   m_cumulative_delta = 0;
   m_large_order_count = 0;
   m_avg_trade_size = 0;
   m_tick_count = 0;
   m_last_update = 0;
   m_liquidity_levels = 10;
}

//+------------------------------------------------------------------+
//| Destructor                                                       |
//+------------------------------------------------------------------+
COrderFlowAnalyzer::~COrderFlowAnalyzer()
{
   ArrayFree(m_volume_profile);
   ArrayFree(m_flow_history);
   ArrayFree(m_large_orders);
   ArrayFree(m_tick_buffer);
   ArrayFree(m_bid_liquidity);
   ArrayFree(m_ask_liquidity);
}

//+------------------------------------------------------------------+
//| Initialize analyzer                                              |
//+------------------------------------------------------------------+
bool COrderFlowAnalyzer::Initialize(int profile_period, double liquidity_threshold)
{
   m_profile_period = profile_period;
   m_liquidity_threshold = liquidity_threshold;
   
   //--- Initialize arrays
   ArrayResize(m_flow_history, m_flow_buffer_size);
   ArrayResize(m_tick_buffer, 10000);
   ArrayResize(m_large_orders, 1000);
   ArrayResize(m_bid_liquidity, m_liquidity_levels);
   ArrayResize(m_ask_liquidity, m_liquidity_levels);
   
   Print("OrderFlowAnalyzer initialized: Period=", m_profile_period, 
         ", LiquidityThreshold=", m_liquidity_threshold);
   
   return true;
}

//+------------------------------------------------------------------+
//| Process incoming tick                                            |
//+------------------------------------------------------------------+
void COrderFlowAnalyzer::ProcessTick(string symbol, MqlTick &tick)
{
   //--- Store tick
   if(m_tick_count < ArraySize(m_tick_buffer))
   {
      m_tick_buffer[m_tick_count] = tick;
      m_tick_count++;
   }
   else
   {
      //--- Shift array and add new tick
      ArrayCopy(m_tick_buffer, m_tick_buffer, 0, 1);
      m_tick_buffer[ArraySize(m_tick_buffer)-1] = tick;
   }
   
   //--- Update flow imbalance
   UpdateFlowImbalance(tick);
   
   //--- Detect large orders
   if(tick.volume_real > m_avg_trade_size * m_large_order_multiple)
   {
      LargeOrder order;
      order.time = tick.time;
      order.price = tick.last;
      order.volume = tick.volume_real;
      order.is_buy = (tick.last >= tick.ask); // Simplified
      order.impact = 0; // Calculate later
      order.execution_time_ms = (int)(tick.time_msc % 1000);
      order.is_institutional = (tick.volume_real > m_liquidity_threshold / 100);
      
      if(m_large_order_count < ArraySize(m_large_orders))
      {
         m_large_orders[m_large_order_count] = order;
         m_large_order_count++;
      }
   }
   
   //--- Update average trade size
   m_avg_trade_size = m_avg_trade_size * 0.99 + tick.volume_real * 0.01;
   
   //--- Detect absorption
   DetectOrderAbsorption(tick);
   
   //--- Update profile periodically
   if(TimeCurrent() - m_last_update > 1)
   {
      UpdateProfile(symbol);
      m_last_update = TimeCurrent();
   }
}

//+------------------------------------------------------------------+
//| Build volume profile                                             |
//+------------------------------------------------------------------+
void COrderFlowAnalyzer::BuildVolumeProfile(string symbol)
{
   //--- Get price range
   double high = 0, low = DBL_MAX;
   double total_volume = 0;
   double volume_price_sum = 0;
   
   for(int i = 0; i < m_tick_count; i++)
   {
      if(m_tick_buffer[i].last > high) high = m_tick_buffer[i].last;
      if(m_tick_buffer[i].last < low) low = m_tick_buffer[i].last;
      total_volume += m_tick_buffer[i].volume_real;
      volume_price_sum += m_tick_buffer[i].volume_real * m_tick_buffer[i].last;
   }
   
   if(high == low || total_volume == 0) return;
   
   //--- Calculate VWAP
   m_vwap = volume_price_sum / total_volume;
   
   //--- Create price levels
   double tick_size = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_SIZE);
   int levels = (int)((high - low) / tick_size) + 1;
   levels = MathMin(levels, 100); // Limit levels
   
   ArrayResize(m_volume_profile, levels);
   m_profile_levels = levels;
   
   //--- Initialize levels
   for(int i = 0; i < levels; i++)
   {
      m_volume_profile[i].price = low + i * tick_size;
      m_volume_profile[i].volume = 0;
      m_volume_profile[i].buy_volume = 0;
      m_volume_profile[i].sell_volume = 0;
      m_volume_profile[i].trades = 0;
      m_volume_profile[i].is_poc = false;
      m_volume_profile[i].is_vah = false;
      m_volume_profile[i].is_val = false;
   }
   
   //--- Aggregate volume by price
   double max_volume = 0;
   int poc_index = 0;
   
   for(int i = 0; i < m_tick_count; i++)
   {
      int level_index = (int)((m_tick_buffer[i].last - low) / tick_size);
      if(level_index >= 0 && level_index < levels)
      {
         m_volume_profile[level_index].volume += m_tick_buffer[i].volume_real;
         m_volume_profile[level_index].trades++;
         
         //--- Determine buy/sell
         if(m_tick_buffer[i].last >= m_tick_buffer[i].ask)
         {
            m_volume_profile[level_index].buy_volume += m_tick_buffer[i].volume_real;
         }
         else
         {
            m_volume_profile[level_index].sell_volume += m_tick_buffer[i].volume_real;
         }
         
         //--- Track POC
         if(m_volume_profile[level_index].volume > max_volume)
         {
            max_volume = m_volume_profile[level_index].volume;
            poc_index = level_index;
         }
      }
   }
   
   //--- Mark POC
   m_volume_profile[poc_index].is_poc = true;
   m_poc_price = m_volume_profile[poc_index].price;
   
   //--- Calculate delta
   for(int i = 0; i < levels; i++)
   {
      m_volume_profile[i].delta = m_volume_profile[i].buy_volume - 
                                  m_volume_profile[i].sell_volume;
   }
   
   //--- Calculate value area
   CalculateValueArea();
}

//+------------------------------------------------------------------+
//| Calculate value area (70% of volume)                             |
//+------------------------------------------------------------------+
void COrderFlowAnalyzer::CalculateValueArea()
{
   if(m_profile_levels == 0) return;
   
   //--- Calculate total volume
   double total_volume = 0;
   for(int i = 0; i < m_profile_levels; i++)
   {
      total_volume += m_volume_profile[i].volume;
   }
   
   double value_area_volume = total_volume * 0.7;
   double accumulated_volume = 0;
   
   //--- Find POC index
   int poc_index = -1;
   for(int i = 0; i < m_profile_levels; i++)
   {
      if(m_volume_profile[i].is_poc)
      {
         poc_index = i;
         accumulated_volume = m_volume_profile[i].volume;
         break;
      }
   }
   
   if(poc_index < 0) return;
   
   //--- Expand from POC
   int upper_index = poc_index;
   int lower_index = poc_index;
   
   while(accumulated_volume < value_area_volume && 
         (upper_index < m_profile_levels - 1 || lower_index > 0))
   {
      double upper_volume = (upper_index < m_profile_levels - 1) ? 
                           m_volume_profile[upper_index + 1].volume : 0;
      double lower_volume = (lower_index > 0) ? 
                           m_volume_profile[lower_index - 1].volume : 0;
      
      if(upper_volume >= lower_volume && upper_index < m_profile_levels - 1)
      {
         upper_index++;
         accumulated_volume += upper_volume;
      }
      else if(lower_index > 0)
      {
         lower_index--;
         accumulated_volume += lower_volume;
      }
   }
   
   //--- Mark value area
   m_volume_profile[upper_index].is_vah = true;
   m_volume_profile[lower_index].is_val = true;
   m_vah_price = m_volume_profile[upper_index].price;
   m_val_price = m_volume_profile[lower_index].price;
}

//+------------------------------------------------------------------+
//| Update flow imbalance                                            |
//+------------------------------------------------------------------+
void COrderFlowAnalyzer::UpdateFlowImbalance(MqlTick &tick)
{
   static int flow_index = 0;
   
   FlowImbalance flow;
   flow.time = tick.time;
   
   //--- Classify as buy or sell based on tick
   if(tick.last >= tick.ask)
   {
      flow.ask_volume = tick.volume_real;
      flow.bid_volume = 0;
   }
   else if(tick.last <= tick.bid)
   {
      flow.bid_volume = tick.volume_real;
      flow.ask_volume = 0;
   }
   else
   {
      //--- Split volume
      double ratio = (tick.last - tick.bid) / (tick.ask - tick.bid);
      flow.ask_volume = tick.volume_real * ratio;
      flow.bid_volume = tick.volume_real * (1 - ratio);
   }
   
   //--- Calculate imbalance
   double total = flow.bid_volume + flow.ask_volume;
   if(total > 0)
   {
      flow.imbalance_ratio = (flow.ask_volume - flow.bid_volume) / total;
   }
   else
   {
      flow.imbalance_ratio = 0;
   }
   
   //--- Update cumulative delta
   m_cumulative_delta += (flow.ask_volume - flow.bid_volume);
   flow.cumulative_delta = m_cumulative_delta;
   
   //--- Calculate VPIN
   flow.vpin = CalculateVPIN(50);
   
   //--- Store in buffer
   m_flow_history[flow_index] = flow;
   flow_index = (flow_index + 1) % m_flow_buffer_size;
}

//+------------------------------------------------------------------+
//| Calculate Volume-synchronized PIN                                |
//+------------------------------------------------------------------+
double COrderFlowAnalyzer::CalculateVPIN(int lookback)
{
   if(m_tick_count < lookback) return 0;
   
   double total_buy_volume = 0;
   double total_sell_volume = 0;
   
   int start_index = MathMax(0, m_tick_count - lookback);
   
   for(int i = start_index; i < m_tick_count; i++)
   {
      if(m_tick_buffer[i].last >= m_tick_buffer[i].ask)
         total_buy_volume += m_tick_buffer[i].volume_real;
      else
         total_sell_volume += m_tick_buffer[i].volume_real;
   }
   
   double total_volume = total_buy_volume + total_sell_volume;
   
   if(total_volume > 0)
   {
      return MathAbs(total_buy_volume - total_sell_volume) / total_volume;
   }
   
   return 0;
}

//+------------------------------------------------------------------+
//| Detect order absorption                                          |
//+------------------------------------------------------------------+
void COrderFlowAnalyzer::DetectOrderAbsorption(MqlTick &tick)
{
   //--- Check recent flow history
   int recent_count = MathMin(10, m_flow_buffer_size);
   double recent_imbalance = 0;
   double price_change = 0;
   
   for(int i = 0; i < recent_count; i++)
   {
      int index = (m_flow_buffer_size + flow_index - i - 1) % m_flow_buffer_size;
      recent_imbalance += m_flow_history[index].imbalance_ratio;
   }
   
   recent_imbalance /= recent_count;
   
   //--- Check price movement
   if(m_tick_count > 10)
   {
      price_change = (tick.last - m_tick_buffer[m_tick_count-10].last) / 
                    m_tick_buffer[m_tick_count-10].last;
   }
   
   //--- Absorption detected if high volume but no price movement
   bool absorption = (MathAbs(recent_imbalance) > 0.7 && MathAbs(price_change) < 0.0001);
   
   if(absorption)
   {
      int current_index = (flow_index - 1 + m_flow_buffer_size) % m_flow_buffer_size;
      m_flow_history[current_index].absorption_detected = true;
   }
}

//+------------------------------------------------------------------+
//| Get flow imbalance                                               |
//+------------------------------------------------------------------+
double COrderFlowAnalyzer::GetFlowImbalance(string symbol)
{
   //--- Calculate recent flow imbalance
   int lookback = MathMin(20, m_tick_count);
   double total_buy = 0;
   double total_sell = 0;
   
   for(int i = m_tick_count - lookback; i < m_tick_count; i++)
   {
      if(i >= 0)
      {
         if(m_tick_buffer[i].last >= m_tick_buffer[i].ask)
            total_buy += m_tick_buffer[i].volume_real;
         else if(m_tick_buffer[i].last <= m_tick_buffer[i].bid)
            total_sell += m_tick_buffer[i].volume_real;
      }
   }
   
   double total = total_buy + total_sell;
   
   if(total > 0)
      return (total_buy - total_sell) / total;
   
   return 0;
}

//+------------------------------------------------------------------+
//| Detect institutional flow                                        |
//+------------------------------------------------------------------+
bool COrderFlowAnalyzer::DetectInstitutionalFlow(string symbol)
{
   //--- Check recent large orders
   int recent_large_orders = 0;
   datetime current_time = TimeCurrent();
   
   for(int i = 0; i < m_large_order_count; i++)
   {
      if(current_time - m_large_orders[i].time < 300) // Last 5 minutes
      {
         if(m_large_orders[i].is_institutional)
            recent_large_orders++;
      }
   }
   
   //--- Check cumulative volume
   double recent_volume = 0;
   int lookback = MathMin(100, m_tick_count);
   
   for(int i = m_tick_count - lookback; i < m_tick_count; i++)
   {
      if(i >= 0)
         recent_volume += m_tick_buffer[i].volume_real;
   }
   
   //--- Institutional flow detected if high volume and large orders
   return (recent_large_orders >= 3 || recent_volume > m_liquidity_threshold);
}

//+------------------------------------------------------------------+
//| Get liquidity score                                              |
//+------------------------------------------------------------------+
double COrderFlowAnalyzer::GetLiquidityScore(string symbol)
{
   //--- Analyze bid/ask depth
   double total_liquidity = 0;
   
   //--- Estimate from recent volume and spread
   double avg_spread = 0;
   double avg_volume = 0;
   int count = MathMin(100, m_tick_count);
   
   for(int i = m_tick_count - count; i < m_tick_count; i++)
   {
      if(i >= 0)
      {
         avg_spread += (m_tick_buffer[i].ask - m_tick_buffer[i].bid);
         avg_volume += m_tick_buffer[i].volume_real;
      }
   }
   
   if(count > 0)
   {
      avg_spread /= count;
      avg_volume /= count;
   }
   
   //--- Calculate liquidity score (0-100)
   double spread_score = MathMax(0, 100 - avg_spread * 10000); // Tighter spread = higher score
   double volume_score = MathMin(100, avg_volume / 1000);      // Higher volume = higher score
   double vpin_score = MathMax(0, 100 - GetVPIN() * 100);     // Lower VPIN = higher score
   
   return (spread_score + volume_score + vpin_score) / 3;
}

//+------------------------------------------------------------------+
//| Get signal strength based on order flow                          |
//+------------------------------------------------------------------+
double COrderFlowAnalyzer::GetSignalStrength(string symbol)
{
   //--- Get flow imbalance
   double imbalance = GetFlowImbalance(symbol);
   
   //--- Check if at important levels
   double current_price = SymbolInfoDouble(symbol, SYMBOL_BID);
   double level_importance = 0;
   
   if(MathAbs(current_price - m_poc_price) < SymbolInfoDouble(symbol, SYMBOL_POINT) * 10)
      level_importance = 0.3; // At POC
   else if(current_price >= m_val_price && current_price <= m_vah_price)
      level_importance = 0.2; // In value area
   else
      level_importance = 0.1; // Outside value area
   
   //--- Check for absorption
   bool absorption = IsAbsorptionDetected();
   double absorption_factor = absorption ? 1.5 : 1.0;
   
   //--- Calculate signal strength
   double strength = MathAbs(imbalance) * absorption_factor + level_importance;
   
   //--- Boost for institutional flow
   if(DetectInstitutionalFlow(symbol))
      strength *= 1.3;
   
   return MathMin(1.0, strength);
}

//+------------------------------------------------------------------+
//| Check if absorption detected                                     |
//+------------------------------------------------------------------+
bool COrderFlowAnalyzer::IsAbsorptionDetected()
{
   //--- Check recent flow history for absorption
   int recent_count = MathMin(5, m_flow_buffer_size);
   
   for(int i = 0; i < recent_count; i++)
   {
      int index = (m_flow_buffer_size + flow_index - i - 1) % m_flow_buffer_size;
      if(m_flow_history[index].absorption_detected)
         return true;
   }
   
   return false;
}

//+------------------------------------------------------------------+
//| Update volume profile                                            |
//+------------------------------------------------------------------+
void COrderFlowAnalyzer::UpdateProfile(string symbol)
{
   BuildVolumeProfile(symbol);
   AnalyzeLiquidity(symbol);
}

//+------------------------------------------------------------------+
//| Analyze market liquidity                                         |
//+------------------------------------------------------------------+
void COrderFlowAnalyzer::AnalyzeLiquidity(string symbol)
{
   //--- Simple liquidity estimation from volume profile
   for(int i = 0; i < m_liquidity_levels; i++)
   {
      m_bid_liquidity[i] = 0;
      m_ask_liquidity[i] = 0;
      
      //--- Estimate liquidity at each level
      if(i < m_profile_levels)
      {
         m_bid_liquidity[i] = m_volume_profile[i].sell_volume;
         m_ask_liquidity[i] = m_volume_profile[i].buy_volume;
      }
   }
}

//+------------------------------------------------------------------+
//| Get effective spread                                             |
//+------------------------------------------------------------------+
double COrderFlowAnalyzer::GetEffectiveSpread(string symbol)
{
   if(m_tick_count < 2) return 0;
   
   //--- Calculate average effective spread
   double total_spread = 0;
   int count = MathMin(100, m_tick_count - 1);
   
   for(int i = m_tick_count - count; i < m_tick_count; i++)
   {
      if(i > 0)
      {
         double mid_price = (m_tick_buffer[i].bid + m_tick_buffer[i].ask) / 2;
         double effective_spread = 2 * MathAbs(m_tick_buffer[i].last - mid_price);
         total_spread += effective_spread;
      }
   }
   
   return (count > 0) ? total_spread / count : 0;
}

//+------------------------------------------------------------------+
//| Get price impact estimate                                        |
//+------------------------------------------------------------------+
double COrderFlowAnalyzer::GetPriceImpact(double volume, bool is_buy)
{
   //--- Estimate price impact based on volume profile
   double cumulative_volume = 0;
   double weighted_price = 0;
   double current_price = is_buy ? SymbolInfoDouble(_Symbol, SYMBOL_ASK) : 
                                  SymbolInfoDouble(_Symbol, SYMBOL_BID);
   
   //--- Walk through profile levels
   for(int i = 0; i < m_profile_levels; i++)
   {
      if(is_buy && m_volume_profile[i].price > current_price)
      {
         double available = m_volume_profile[i].sell_volume;
         double take = MathMin(available, volume - cumulative_volume);
         
         weighted_price += m_volume_profile[i].price * take;
         cumulative_volume += take;
         
         if(cumulative_volume >= volume) break;
      }
      else if(!is_buy && m_volume_profile[i].price < current_price)
      {
         double available = m_volume_profile[i].buy_volume;
         double take = MathMin(available, volume - cumulative_volume);
         
         weighted_price += m_volume_profile[i].price * take;
         cumulative_volume += take;
         
         if(cumulative_volume >= volume) break;
      }
   }
   
   if(cumulative_volume > 0)
   {
      double avg_price = weighted_price / cumulative_volume;
      return MathAbs(avg_price - current_price) / current_price * 100; // Percentage impact
   }
   
   return 0;
}

#endif // ORDER_FLOW_ANALYZER_MQH