Warrior_EA/Mind/ModalityVolume.mqh

//+------------------------------------------------------------------+
//|                                                ModalityVolume.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| PARTICIPATION AND EFFORT-VERSUS-RESULT, from tick volume with the |
//| hour-of-day removed (Mind\VolumeProfile.mqh).                     |
//|                                                                   |
//| Wyckoff's third law asks whether the result matches the effort.   |
//| ABSORB is that comparison in log units: volume well above normal   |
//| for the hour on a bar that made little progress (a small range in |
//| ATR) reads high - somebody is taking the other side. Volume that   |
//| is normal for the hour with a wide bar reads low - the move had no |
//| one to fight. Tick volume is a proxy for participation on a CFD,  |
//| not the real thing; the book records what it turned out to be.    |
//+------------------------------------------------------------------+
#ifndef WARRIOR_MODALITYVOLUME_MQH
#define WARRIOR_MODALITYVOLUME_MQH

#include "Modality.mqh"
#include "VolumeProfile.mqh"

class CModalityVolume : public CModality
  {
protected:
   CBarCache        *m_cache;          // not owned
   CVolumeProfile   *m_profile;        // not owned

public:
                     CModalityVolume(CBarCache *cache, CVolumeProfile *profile)
                       : m_cache(cache), m_profile(profile) {}
   virtual string    Name(void) const override { return "volume"; }
   virtual bool      Read(const SBarRef &bar, SMarketContext &ctx) override;
  };
//+------------------------------------------------------------------+
bool CModalityVolume::Read(const SBarRef &bar, SMarketContext &ctx)
  {
   if(m_cache == NULL || m_profile == NULL)
      return false;
   m_profile.Update();
   const double raw = m_profile.Raw(bar.idx);
   const double det = m_profile.Detrended(bar.idx);
   if(raw == VOLPROF_NA)
      return false;
   ctx.v[CTX_RVOL_RAW] = raw;
   if(det != VOLPROF_NA)
      ctx.v[CTX_RVOL] = det;
   const double range = ctx.Has(CTX_RANGE_ATR) ? ctx.v[CTX_RANGE_ATR] : CTX_NA;
   if(det != VOLPROF_NA && range != CTX_NA)
      ctx.v[CTX_ABSORB] = det - MathLog(MathMax(range, 0.1));
   return true;
  }
#endif // WARRIOR_MODALITYVOLUME_MQH