321 lines
10 KiB
MQL5
321 lines
10 KiB
MQL5
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//+------------------------------------------------------------------+
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//| DeltaVolumeProfile.mq5 |
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//| Copyright 2022, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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// indicator settings
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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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// includes
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#include "..\..\Include\IndCommon.mqh"
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#include "..\..\Include\TickEnum.mqh"
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// inputs
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input bool ShowSplittedDelta = true;
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input COPY_TICKS TickType = INFO_TICKS; // TickType (use TRADE_TICKS if real volumes available)
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//+------------------------------------------------------------------+
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//| Class for volume delta calculation |
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//+------------------------------------------------------------------+
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class DeltaVolumeProfile
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{
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const COPY_TICKS tickType;
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const ENUM_SYMBOL_CHART_MODE barType;
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const bool delta;
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static const string prefix;
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protected:
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double price(const MqlTick &tick)
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{
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return barType == SYMBOL_CHART_MODE_LAST ? tick.last : tick.bid;
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}
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// main tick processing (on history only)
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void calcProfile(const int b, const datetime time, const MqlTick &ticks[])
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{
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const string name = prefix + (string)(ulong)time;
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const double high = iHigh(_Symbol, _Period, b);
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const double low = iLow(_Symbol, _Period, b);
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const double range = high - low;
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if(fabs(range) < DBL_EPSILON) return;
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if(ArraySize(ticks) == 0) return;
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ObjectCreate(0, name, OBJ_BITMAP, 0, time, high);
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int x1, y1, x2, y2;
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ChartTimePriceToXY(0, 0, time, high, x1, y1);
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ChartTimePriceToXY(0, 0, time, low, x2, y2);
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const int h = y2 - y1 + 1;
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const int w = (int)(ChartGetInteger(0, CHART_WIDTH_IN_PIXELS)
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/ ChartGetInteger(0, CHART_WIDTH_IN_BARS));
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if(h <= 0)
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{
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Print("Bad data: ", high, " ", low, " ", y1, " ", y2);
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DebugBreak();
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return;
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}
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uint data[];
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ArrayResize(data, w * h);
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ArrayInitialize(data, 0);
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ResourceCreate(name + (string)ChartID(), data, w, h, 0, 0, w, COLOR_FORMAT_ARGB_NORMALIZE);
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ObjectSetString(0, name, OBJPROP_BMPFILE, "::" + name + (string)ChartID());
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ObjectSetInteger(0, name, OBJPROP_XSIZE, w);
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ObjectSetInteger(0, name, OBJPROP_YSIZE, h);
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ObjectSetInteger(0, name, OBJPROP_ANCHOR, ANCHOR_UPPER);
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long plus[], minus[], max = 0;
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ArrayResize(plus, h);
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ArrayResize(minus, h);
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ArrayInitialize(plus, 0);
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ArrayInitialize(minus, 0);
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const int n = ArraySize(ticks);
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for(int j = 0; j < n; ++j)
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{
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const double p1 = price(ticks[j]);
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/*const*/ int index = (int)((high - p1) / range * (h - 1));
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if(index >= h)
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{
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Print("Correction: index=", index, " ", high, " ", p1, " ", h);
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index = h - 1;
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DebugBreak();
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}
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if(index < 0)
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{
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Print("Correction: index=", index, " ", high, " ", p1, " ", h);
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index = 0;
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DebugBreak();
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}
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// when real volumes are expected to be available, check them in the ticks
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if(tickType == TRADE_TICKS)
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{
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// accumulate volumes for buy and sell deals separately
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if((ticks[j].flags & TICK_FLAG_BUY) != 0)
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{
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plus[index] += (long)ticks[j].volume;
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}
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if((ticks[j].flags & TICK_FLAG_SELL) != 0)
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{
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minus[index] += (long)ticks[j].volume;
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}
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}
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else // tickType == INFO_TICKS or tickType == ALL_TICKS
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if(j > 0)
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{
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// when real volumes are unavailable, use price moves up/down to estimate volume change
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if((ticks[j].flags & (TICK_FLAG_ASK | TICK_FLAG_BID)) != 0)
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{
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const double d = (((ticks[j].ask + ticks[j].bid)
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- (ticks[j - 1].ask + ticks[j - 1].bid)) / _Point);
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if(d > 0)
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plus[index] += (long)d;
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else
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minus[index] -= (long)d;
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}
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}
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if(delta)
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{
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if(plus[index] > max) max = plus[index];
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if(minus[index] > max) max = minus[index];
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}
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else
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{
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if(fabs(plus[index] - minus[index]) > max) max = fabs(plus[index] - minus[index]);
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}
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}
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if(max == 0)
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{
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Print("No tick volumes for ", (string)time);
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return;
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}
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for(int i = 0; i < h; i++)
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{
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if(delta)
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{
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const int dp = (int)(plus[i] * w / 2 / max);
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const int dm = (int)(minus[i] * w / 2 / max);
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for(int j = 0; j < dp; j++)
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{
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data[i * w + w / 2 + j] = ColorToARGB(clrBlue);
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}
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for(int j = 0; j < dm; j++)
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{
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data[i * w + w / 2 - j] = ColorToARGB(clrRed);
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}
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}
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else
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{
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const int d = (int)((plus[i] - minus[i]) * w / 2 / max);
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const int sign = d > 0 ? +1 : -1;
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for(int j = 0; j < fabs(d); j++)
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{
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data[i * w + w / 2 + j * sign] = ColorToARGB(clrGreen);
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}
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}
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}
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ResourceCreate(name + (string)ChartID(), data, w, h, 0, 0, w, COLOR_FORMAT_ARGB_NORMALIZE);
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}
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public:
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DeltaVolumeProfile(const COPY_TICKS type, const bool d) :
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tickType(type), delta(d),
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barType((ENUM_SYMBOL_CHART_MODE)SymbolInfoInteger(_Symbol, SYMBOL_CHART_MODE))
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{
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}
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~DeltaVolumeProfile()
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{
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// resources are not deleted with objects,
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// so calling ObjectsDeleteAll(0, prefix, 0); is not enough
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const int n = ObjectsTotal(0, 0);
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for(int i = n - 1; i >= 0; --i)
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{
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const string name = ObjectName(0, i, 0);
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if(StringFind(name, prefix) == 0)
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{
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ObjectDelete(0, name);
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ResourceFree("::" + name + (string)ChartID());
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}
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}
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}
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// get ticks for specific bar on the history
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int createProfileBar(const int i)
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{
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MqlTick ticks[];
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const datetime time = iTime(_Symbol, _Period, i);
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// prev and next are timestamps of the bar boundaries
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const datetime prev = time;
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const datetime next = prev + PeriodSeconds();
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ResetLastError();
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const int n = CopyTicksRange(_Symbol, ticks, COPY_TICKS_ALL, prev * 1000, next * 1000 - 1);
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if(n > -1 && _LastError == 0)
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{
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calcProfile(i, time, ticks);
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}
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else
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{
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return -_LastError;
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}
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return n;
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}
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// update bars where objects with histograms located
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void updateProfileBars()
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{
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const int n = ObjectsTotal(0, 0);
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for(int i = n - 1; i >= 0; --i)
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{
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const string name = ObjectName(0, i, 0);
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if(StringFind(name, prefix) == 0)
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{
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const datetime dt = (datetime)ObjectGetInteger(0, name, OBJPROP_TIME, 0);
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const int bar = iBarShift(_Symbol, _Period, dt, true);
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if(createProfileBar(bar) < 0)
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{
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ObjectDelete(0, name);
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ResourceFree("::" + name + (string)ChartID());
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}
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}
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}
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}
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};
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static const string DeltaVolumeProfile::prefix = "DVP";
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//+------------------------------------------------------------------+
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//| Global variables |
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//+------------------------------------------------------------------+
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DeltaVolumeProfile deltas(TickType, ShowSplittedDelta);
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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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if(_Period >= PERIOD_D1)
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{
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Alert("Use intraday timeframe smaller than D1, please");
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return INIT_FAILED;
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}
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return INIT_SUCCEEDED;
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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(ON_CALCULATE_STD_FULL_PARAM_LIST)
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{
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return rates_total;
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}
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//+------------------------------------------------------------------+
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//| Helper data function |
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//+------------------------------------------------------------------+
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#define TRY_AGAIN 0xAAA
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void RequestData(const int b, const datetime time, const int count = 0)
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{
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Comment("Requesting ticks for ", time);
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if(deltas.createProfileBar(b) <= 0)
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{
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Print("No data on bar ", b, ", at ", TimeToString(time),
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". Sending event for refresh...");
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ChartSetSymbolPeriod(0, _Symbol, _Period); // refresh myself
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EventChartCustom(0, TRY_AGAIN, b, count + 1, NULL);
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}
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Comment("");
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}
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//+------------------------------------------------------------------+
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//| Chart event handler |
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//+------------------------------------------------------------------+
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void OnChartEvent(const int id, const long &lparam, const double &dparam, const string &sparam)
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{
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if(id == CHARTEVENT_CLICK)
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{
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datetime time;
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double price;
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int window;
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ChartXYToTimePrice(0, (int)lparam, (int)dparam, window, time, price);
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time += PeriodSeconds() / 2;
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const int b = iBarShift(_Symbol, _Period, time, true);
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if(b != -1 && window == 0)
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{
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RequestData(b, iTime(_Symbol, _Period, b));
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}
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}
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else if(id == CHARTEVENT_CHART_CHANGE)
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{
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deltas.updateProfileBars();
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}
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else if(id == CHARTEVENT_CUSTOM + TRY_AGAIN)
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{
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Print("Refreshing... ", (int)dparam);
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const int b = (int)lparam;
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if((int)dparam < 5)
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{
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RequestData(b, iTime(_Symbol, _Period, b), (int)dparam);
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}
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else
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{
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Print("Give up. Check tick history manually, please, then click the bar again");
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}
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}
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}
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//+------------------------------------------------------------------+
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