Warrior_EA/CustomIndicators/ADCumulativeDelta.mq5

//+------------------------------------------------------------------+
//|                                              ADCumulativeDelta.mq5|
//|                         Wyckoff Cumulative Delta / Flow Pressure |
//+------------------------------------------------------------------+
#property copyright "AD Institutional Indicators"
#property link      ""
#property version   "1.00"
#property description "Wyckoff Cumulative Delta — tick-volume and price-flow order-flow proxy"
#property indicator_separate_window
#property indicator_buffers 6
#property indicator_plots   6

#property indicator_minimum -2.0
#property indicator_maximum 2.0
#property indicator_level1 0

#property indicator_label1  "Pressure"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrWhite
#property indicator_width1  1

#property indicator_label2  "CumulativeDelta"
#property indicator_type2   DRAW_LINE
#property indicator_color2  clrGold
#property indicator_width2  1

#property indicator_label3  "BullishPressure"
#property indicator_type3   DRAW_LINE
#property indicator_color3  clrLime
#property indicator_width3  1

#property indicator_label4  "BearishPressure"
#property indicator_type4   DRAW_LINE
#property indicator_color4  clrRed
#property indicator_width4  1

#property indicator_label5  "Absorption"
#property indicator_type5   DRAW_LINE
#property indicator_color5  clrAqua
#property indicator_width5  1

#property indicator_label6  "Initiative"
#property indicator_type6   DRAW_LINE
#property indicator_color6  clrMagenta
#property indicator_width6  1

input int    InpLookbackPeriod       = 50;
input double InpVolumeClimaxMultiplier = 2.5;
input double InpVolumeHighMultiplier  = 1.5;
input double InpRangeClimaxMultiplier = 1.8;
input double InpRangeSignificantMult  = 1.2;
input double InpSTVolumeRatio        = 0.6;
input double InpATRMultiplier        = 0.5;
input int    InpContextMode          = 0;
input int    InpSessionType          = 5;
input int    InpSessionCount         = 1;

double ExtPressureBuffer[];
double ExtCumulativeDeltaBuffer[];
double ExtBullishPressureBuffer[];
double ExtBearishPressureBuffer[];
double ExtAbsorptionBuffer[];
double ExtInitiativeBuffer[];

double H[];
double L[];
double O[];
double C[];
double V[];
datetime T[];

int    ExtLookbackPeriod;
double ExtVolumeClimaxMultiplier;
double ExtVolumeHighMultiplier;
double ExtRangeClimaxMultiplier;
double ExtRangeSignificantMult;
double ExtSTVolumeRatio;
double ExtATRMultiplier;
int    ExtContextMode;
int    ExtSessionType;
int    ExtSessionCount;

int ClampInt(const int value, const int minValue, const int maxValue) { return (int)MathMax(minValue, MathMin(maxValue, value)); }
double ClampDouble(const double value, const double minValue, const double maxValue) { return MathMax(minValue, MathMin(maxValue, value)); }

bool IsPreviousSessionTypeMT5(const int sessionType) { return (sessionType >= 1 && sessionType <= 4); }
bool IsZigZagSessionTypeMT5(const int sessionType) { return (sessionType == 9 || sessionType == 10); }
int MapBaseCalendarTypeMT5(const int sessionType)
{
   if(sessionType == 1 || sessionType == 5) return 1;
   if(sessionType == 2 || sessionType == 6) return 2;
   if(sessionType == 3 || sessionType == 7) return 3;
   if(sessionType == 4 || sessionType == 8) return 4;
   return 1;
}

datetime DayStartMT5(const datetime t)
{
   MqlDateTime dt;
   TimeToStruct(t, dt);
   dt.hour = 0; dt.min = 0; dt.sec = 0;
   return StructToTime(dt);
}

datetime AddMonthsSafeMT5(const datetime t, const int months)
{
   MqlDateTime dt;
   TimeToStruct(t, dt);
   int m = dt.mon + months;
   while(m > 12) { m -= 12; dt.year++; }
   while(m < 1) { m += 12; dt.year--; }
   dt.mon = m; dt.day = 1; dt.hour = 0; dt.min = 0; dt.sec = 0;
   return StructToTime(dt);
}

datetime ShiftCalendarStartMT5(const datetime start, const int baseType, const int shiftCount)
{
   if(shiftCount == 0) return start;
   if(baseType == 1) return start + (datetime)(shiftCount * 86400);
   if(baseType == 2) return start + (datetime)(shiftCount * 7 * 86400);
   if(baseType == 3) return AddMonthsSafeMT5(start, shiftCount);
   return AddMonthsSafeMT5(start, shiftCount * 12);
}

datetime ResolveCalendarContextStartMT5(const datetime currentTime)
{
   int st = ExtSessionType;
   int baseType = MapBaseCalendarTypeMT5(st);
   datetime currentStart = DayStartMT5(currentTime);
   if(baseType == 2)
   {
      MqlDateTime w; TimeToStruct(currentStart, w);
      int dow = w.day_of_week;
      int back = (dow == 0) ? 6 : (dow - 1);
      currentStart -= (datetime)(back * 86400);
   }
   else if(baseType == 3)
   {
      MqlDateTime m; TimeToStruct(currentStart, m);
      m.day = 1; m.hour = 0; m.min = 0; m.sec = 0;
      currentStart = StructToTime(m);
   }
   else if(baseType == 4)
   {
      MqlDateTime y; TimeToStruct(currentStart, y);
      y.mon = 1; y.day = 1; y.hour = 0; y.min = 0; y.sec = 0;
      currentStart = StructToTime(y);
   }

   int shift = IsPreviousSessionTypeMT5(st) ? -ExtSessionCount : -(ExtSessionCount - 1);
   return ShiftCalendarStartMT5(currentStart, baseType, shift);
}

void ResetState()
{
   ArrayInitialize(ExtPressureBuffer, 0);
   ArrayInitialize(ExtCumulativeDeltaBuffer, 0);
   ArrayInitialize(ExtBullishPressureBuffer, 0);
   ArrayInitialize(ExtBearishPressureBuffer, 0);
   ArrayInitialize(ExtAbsorptionBuffer, 0);
   ArrayInitialize(ExtInitiativeBuffer, 0);
}

void SetOutputs(const int outIndex, const double pressure, const double cumulativeDelta, const double bullishPressure, const double bearishPressure, const double absorption, const double initiative)
{
   ExtPressureBuffer[outIndex] = pressure;
   ExtCumulativeDeltaBuffer[outIndex] = cumulativeDelta;
   ExtBullishPressureBuffer[outIndex] = bullishPressure;
   ExtBearishPressureBuffer[outIndex] = bearishPressure;
   ExtAbsorptionBuffer[outIndex] = absorption;
   ExtInitiativeBuffer[outIndex] = initiative;
}

int OnInit()
{
   ExtLookbackPeriod = ClampInt(InpLookbackPeriod, 5, 200);
   ExtVolumeClimaxMultiplier = ClampDouble(InpVolumeClimaxMultiplier, 1.0, 5.0);
   ExtVolumeHighMultiplier = ClampDouble(InpVolumeHighMultiplier, 0.5, 3.0);
   ExtRangeClimaxMultiplier = ClampDouble(InpRangeClimaxMultiplier, 1.0, 5.0);
   ExtRangeSignificantMult = ClampDouble(InpRangeSignificantMult, 0.5, 3.0);
   ExtSTVolumeRatio = ClampDouble(InpSTVolumeRatio, 0.1, 1.0);
   ExtATRMultiplier = ClampDouble(InpATRMultiplier, 0.1, 3.0);
   ExtContextMode = (InpContextMode == 1) ? 1 : 0;
   ExtSessionType = ClampInt(InpSessionType, 1, 10);
   ExtSessionCount = ClampInt(InpSessionCount, 1, 20);

   SetIndexBuffer(0, ExtPressureBuffer, INDICATOR_DATA);
   SetIndexBuffer(1, ExtCumulativeDeltaBuffer, INDICATOR_DATA);
   SetIndexBuffer(2, ExtBullishPressureBuffer, INDICATOR_DATA);
   SetIndexBuffer(3, ExtBearishPressureBuffer, INDICATOR_DATA);
   SetIndexBuffer(4, ExtAbsorptionBuffer, INDICATOR_DATA);
   SetIndexBuffer(5, ExtInitiativeBuffer, INDICATOR_DATA);

   ArraySetAsSeries(ExtPressureBuffer, true);
   ArraySetAsSeries(ExtCumulativeDeltaBuffer, true);
   ArraySetAsSeries(ExtBullishPressureBuffer, true);
   ArraySetAsSeries(ExtBearishPressureBuffer, true);
   ArraySetAsSeries(ExtAbsorptionBuffer, true);
   ArraySetAsSeries(ExtInitiativeBuffer, true);

   IndicatorSetInteger(INDICATOR_DIGITS, 3);
   IndicatorSetString(INDICATOR_SHORTNAME,
      "CVD(" + IntegerToString(ExtLookbackPeriod) + "," + DoubleToString(ExtVolumeClimaxMultiplier, 2) + "," + DoubleToString(ExtVolumeHighMultiplier, 2) + "," +
      DoubleToString(ExtRangeClimaxMultiplier, 2) + "," + DoubleToString(ExtRangeSignificantMult, 2) + ")");

   PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   PlotIndexSetInteger(1, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   PlotIndexSetInteger(2, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   PlotIndexSetInteger(3, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   PlotIndexSetInteger(4, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   PlotIndexSetInteger(5, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   ResetState();
   return(INIT_SUCCEEDED);
}

void OnDeinit(const int reason) {}

double ComputeATRChrono(const int i, const int period)
{
   int available = MathMin(period, i);
   if(available <= 0)
      return H[i] - L[i];

   double sum = 0.0;
   for(int k = 0; k < available; k++)
   {
      int idx = i - k;
      double hi = H[idx];
      double lo = L[idx];
      double prevClose = (idx > 0) ? C[idx - 1] : hi;
      double tr = MathMax(hi - lo, MathMax(MathAbs(hi - prevClose), MathAbs(lo - prevClose)));
      sum += tr;
   }
   return sum / available;
}

int OnCalculate(const int rates_total,
                const int prev_calculated,
                const datetime &time[],
                const double   &open[],
                const double   &high[],
                const double   &low[],
                const double   &close[],
                const long     &tick_volume[],
                const long     &volume[],
                const int      &spread[])
{
   if(rates_total < ExtLookbackPeriod + 2)
      return(0);

   ArraySetAsSeries(time, true);
   ArraySetAsSeries(high, true);
   ArraySetAsSeries(low, true);
   ArraySetAsSeries(open, true);
   ArraySetAsSeries(close, true);
   ArraySetAsSeries(tick_volume, true);
   ArraySetAsSeries(volume, true);

   ArrayResize(H, rates_total);
   ArrayResize(L, rates_total);
   ArrayResize(O, rates_total);
   ArrayResize(C, rates_total);
   ArrayResize(V, rates_total);
   ArrayResize(T, rates_total);

   ResetState();

   for(int chrono = 0; chrono < rates_total; chrono++)
   {
      int si = rates_total - 1 - chrono;
      H[chrono] = high[si];
      L[chrono] = low[si];
      O[chrono] = open[si];
      C[chrono] = close[si];
      V[chrono] = (double)MathMax(tick_volume[si], 1);
      T[chrono] = time[si];
   }

   for(int chrono = 0; chrono < rates_total && !IsStopped(); chrono++)
   {
      int si = rates_total - 1 - chrono;

      int start = 0;
      if(ExtContextMode == 0)
      {
         start = MathMax(0, chrono - ExtLookbackPeriod + 1);
      }
      else if(IsZigZagSessionTypeMT5(ExtSessionType))
      {
         start = MathMax(0, chrono - (ExtLookbackPeriod * ExtSessionCount) + 1);
      }
      else
      {
         datetime sessionStart = ResolveCalendarContextStartMT5(T[chrono]);
         for(int j = chrono; j >= 0; j--)
         {
            if(T[j] < sessionStart)
            {
               start = j + 1;
               break;
            }
            start = j;
         }
      }

      double sumRange = 0.0;
      double sumVolume = 0.0;
      double cumulativeDelta = 0.0;
      double bullishDelta = 0.0;
      double bearishDelta = 0.0;
      int count = 0;

      for(int k = start; k <= chrono; k++)
      {
         double hi = H[k];
         double lo = L[k];
         double op = O[k];
         double cl = C[k];
         double vol = MathMax(V[k], 1.0);
         double barRange = MathMax(hi - lo, 0.000001);
         double closePos = ClampDouble((cl - lo) / barRange, 0.0, 1.0);
         double bodyBias = ClampDouble((cl - op) / barRange, -1.0, 1.0);
         double priceStep = (k > 0) ? (cl - C[k - 1]) : (cl - op);
         double flowBias = ClampDouble(priceStep / barRange, -1.0, 1.0);
         double signedDelta = vol * ClampDouble(0.7 * flowBias + 0.3 * bodyBias, -1.0, 1.0);

         sumRange += barRange;
         sumVolume += vol;
         cumulativeDelta += signedDelta;
         if(signedDelta >= 0.0)
            bullishDelta += signedDelta;
         else
            bearishDelta += -signedDelta;
         count++;
      }

      if(count <= 0 || !MathIsValidNumber(sumRange) || !MathIsValidNumber(sumVolume) || sumRange <= 0.0 || sumVolume <= 0.0)
      {
         SetOutputs(si, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0);
         continue;
      }

      double avgRange = sumRange / count;
      double avgVolume = sumVolume / count;
      if(!MathIsValidNumber(avgRange) || !MathIsValidNumber(avgVolume) || avgRange <= 0.0 || avgVolume <= 0.0)
      {
         SetOutputs(si, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0);
         continue;
      }

      double absorptionSum = 0.0;
      double initiativeSum = 0.0;
      double atrNow = ComputeATRChrono(chrono, 14);
      double atrRatio = (H[chrono] - L[chrono]) / MathMax(atrNow * ExtATRMultiplier, 0.000001);

      for(int k = start; k <= chrono; k++)
      {
         double hi = H[k];
         double lo = L[k];
         double op = O[k];
         double cl = C[k];
         double vol = MathMax(V[k], 1.0);
         double barRange = MathMax(hi - lo, 0.000001);
         double closePos = ClampDouble((cl - lo) / barRange, 0.0, 1.0);
         double rangeRatio = barRange / avgRange;
         double volRatio = vol / avgVolume;
         double midpointDistance = MathAbs(closePos - 0.5) * 2.0;

         bool absorptionHit = volRatio >= ExtVolumeHighMultiplier
            && rangeRatio <= ExtRangeSignificantMult
            && closePos >= 0.35 && closePos <= 0.65;
         double absorptionScore = absorptionHit
            ? ClampDouble((volRatio / MathMax(rangeRatio, 0.000001)) / MathMax(ExtVolumeClimaxMultiplier, 0.000001), 0.0, 2.0)
            : 0.0;

         bool initiativeHit = volRatio >= ExtVolumeClimaxMultiplier
            && rangeRatio >= ExtRangeClimaxMultiplier
            && atrRatio >= 1.0
            && (closePos >= 0.70 || closePos <= 0.30);
         double initiativeScore = initiativeHit
            ? ClampDouble((volRatio * rangeRatio) / MathMax(ExtVolumeHighMultiplier, 0.000001), 0.0, 2.0) * (closePos >= 0.5 ? 1.0 : -1.0)
            : 0.0;

         if(volRatio <= ExtSTVolumeRatio && rangeRatio <= ExtRangeSignificantMult && midpointDistance <= 0.5)
            absorptionScore += 0.10 * (1.0 - midpointDistance);

         absorptionSum += absorptionScore;
         initiativeSum += initiativeScore;
      }

      double normalizedCumulativeDelta = ClampDouble((cumulativeDelta / MathMax(sumVolume, 0.000001)) * 2.0, -2.0, 2.0);
      double pressure = ClampDouble(normalizedCumulativeDelta
         + (initiativeSum / count) * 0.25
         - (absorptionSum / count) * 0.15,
         -2.0, 2.0);
      double bullishPressure = ClampDouble((bullishDelta / MathMax(sumVolume, 0.000001)) * 2.0, 0.0, 2.0);
      double bearishPressure = ClampDouble((bearishDelta / MathMax(sumVolume, 0.000001)) * 2.0, 0.0, 2.0);
      double absorption = ClampDouble(absorptionSum / count, 0.0, 2.0);
      double initiative = ClampDouble(initiativeSum / count, -2.0, 2.0);

      // Normalize: guard against NaN/Inf from edge-case inputs
      if(!MathIsValidNumber(pressure)) pressure = 0.0;
      if(!MathIsValidNumber(normalizedCumulativeDelta)) normalizedCumulativeDelta = 0.0;
      if(!MathIsValidNumber(bullishPressure)) bullishPressure = 0.0;
      if(!MathIsValidNumber(bearishPressure)) bearishPressure = 0.0;
      if(!MathIsValidNumber(absorption)) absorption = 0.0;
      if(!MathIsValidNumber(initiative)) initiative = 0.0;

      SetOutputs(si, pressure, normalizedCumulativeDelta, bullishPressure, bearishPressure, absorption, initiative);
   }

   return(rates_total);
}
//+------------------------------------------------------------------+