mql5/RollingVWAP.mq5

//+------------------------------------------------------------------+
//|                                                  RollingVWAP.mq5 |
//| VWAP Dynamique - FIFO O(1) + Écart-Type + Coloration Ternaire    |
//+------------------------------------------------------------------+
#property copyright "t00nster"
#property link      "https://heretik666.free.fr/brousoufs"
#property version   "3.00"
#property indicator_chart_window
#property indicator_buffers 9 // 3 Data + 1 Color + 5 Calculs
#property indicator_plots   3

// --- Apparence visuelle (DRAW_COLOR_LINE) ---
#property indicator_label1  "Rolling VWAP"
#property indicator_type1   DRAW_COLOR_LINE
// Index des couleurs : 0 = Vert (Hausse), 1 = Rouge (Baisse), 2 = Bleu (Neutre)
#property indicator_color1 clrLime,clrRed,clrDodgerBlue
#property indicator_style1  STYLE_SOLID
#property indicator_width1  2

//--- Plot Upper Band (+2.0 SD)
#property indicator_label2  "Rolling VWAP Upper"
#property indicator_type2   DRAW_LINE
#property indicator_color2  clrGray
#property indicator_style2  STYLE_DASH

//--- Plot Lower Band (-2.0 SD)
#property indicator_label3  "Rolling VWAP Lower"
#property indicator_type3   DRAW_LINE
#property indicator_color3  clrGray
#property indicator_style3  STYLE_DASH

// --- Paramètres ---
input int    InpVWAPPeriod = 15;    // Taille du Buffer LIFO/FIFO
input double InpTolerance  = 0.05;  // Tolérance au bruit (Delta)

// --- Buffers d'affichage ---
double VWAPBuffer[];
int VWAPColorBuffer[]; // Buffer qui stocke l'état (0, 1 ou 2)
double BufferUpper[];
double BufferLower[];


// --- Buffers de calcul (Invisibles) ---
double StdDevBuffer[]; // Index 4 (Lu par l'EA)
double SumPVBuffer[];  // Index 5
double SumVBuffer[];   // Index 4
double SumPBuffer[];   // Index 5
double SumP2Buffer[];  // Index 6

//+------------------------------------------------------------------+
int OnInit() {
   // Buffers visibles
   SetIndexBuffer(0, VWAPBuffer, INDICATOR_DATA);
   SetIndexBuffer(1, VWAPColorBuffer, INDICATOR_COLOR_INDEX);
   SetIndexBuffer(2, BufferUpper, INDICATOR_DATA);
   SetIndexBuffer(3, BufferLower, INDICATOR_DATA);
   
   // Buffers de calcul
   SetIndexBuffer(4, StdDevBuffer, INDICATOR_CALCULATIONS);
   SetIndexBuffer(5, SumPVBuffer,  INDICATOR_CALCULATIONS);
   SetIndexBuffer(6, SumVBuffer,   INDICATOR_CALCULATIONS);
   SetIndexBuffer(7, SumPBuffer,   INDICATOR_CALCULATIONS);
   SetIndexBuffer(8, SumP2Buffer,  INDICATOR_CALCULATIONS);
   
   IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
   IndicatorSetString(INDICATOR_SHORTNAME, "RVWAP(" + IntegerToString(InpVWAPPeriod) + ")");
   
   return INIT_SUCCEEDED;
}

//+------------------------------------------------------------------+
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 < InpVWAPPeriod) return 0;

   int limit = prev_calculated == 0 ? InpVWAPPeriod : prev_calculated - 1;

   // --- INITIALISATION DE LA TOUTE PREMIÈRE FENÊTRE ---
   if(prev_calculated == 0) {
      double s_pv = 0, s_v = 0, s_p = 0, s_p2 = 0;
      for(int j = 0; j < InpVWAPPeriod; j++) {
         double typ = (high[j] + low[j] + close[j]) / 3.0;
         double vol = (double)tick_volume[j];
         s_pv += typ * vol;
         s_v  += vol;
         s_p  += typ;
         s_p2 += typ * typ;
      }
      
      int init_idx = InpVWAPPeriod - 1;
      SumPVBuffer[init_idx] = s_pv;
      SumVBuffer[init_idx]  = s_v;
      SumPBuffer[init_idx]  = s_p;
      SumP2Buffer[init_idx] = s_p2;

      VWAPBuffer[init_idx] = (s_v > 0) ? NormalizeDouble((s_pv / s_v), _Digits) : NormalizeDouble(close[init_idx], _Digits);
      VWAPColorBuffer[init_idx] = 2.0; // État initial = Neutre

      double vwap = VWAPBuffer[init_idx];
      double var = (s_p2 / InpVWAPPeriod) - 2 * vwap * (s_p / InpVWAPPeriod) + (vwap * vwap);
      StdDevBuffer[init_idx] = MathSqrt(MathMax(0.0, var));

      BufferUpper[init_idx] = NormalizeDouble(vwap + (1.618 * StdDevBuffer[init_idx]), _Digits);
      BufferLower[init_idx] = NormalizeDouble(vwap - (1.618 * StdDevBuffer[init_idx]), _Digits);
   }

   // --- LE MOTEUR FIFO O(1) & LOGIQUE TERNAIRE ---
   for(int i = limit; i < rates_total; i++) {
      if (i < InpVWAPPeriod) continue;

      double head_typ = (high[i] + low[i] + close[i]) / 3.0;
      double head_vol = (double)tick_volume[i];

      int tail_idx = i - InpVWAPPeriod;
      double tail_typ = (high[tail_idx] + low[tail_idx] + close[tail_idx]) / 3.0;
      double tail_vol = (double)tick_volume[tail_idx];

      // Mise à jour de la mémoire FIFO
      SumPVBuffer[i] = NormalizeDouble(SumPVBuffer[i - 1] + (head_typ * head_vol) - (tail_typ * tail_vol), _Digits);
      SumVBuffer[i]  = NormalizeDouble(SumVBuffer[i - 1]  + head_vol - tail_vol, _Digits);
      SumPBuffer[i]  = NormalizeDouble(SumPBuffer[i - 1]  + head_typ - tail_typ, _Digits);
      SumP2Buffer[i] = NormalizeDouble(SumP2Buffer[i - 1] + (head_typ * head_typ) - (tail_typ * tail_typ), _Digits);

      // Calcul VWAP
      VWAPBuffer[i] = NormalizeDouble((SumVBuffer[i] > 0) ? (SumPVBuffer[i] / SumVBuffer[i]) : close[i], _Digits);

      // --- ARCHITECTURE TERNAIRE (Coloration de la pente) ---
      double delta = VWAPBuffer[i] - VWAPBuffer[i - 1];
      if(delta > InpTolerance) 
         VWAPColorBuffer[i] = 0; // Pente haussière franche (Vert)
      else if(delta < -InpTolerance) 
         VWAPColorBuffer[i] = 1; // Pente baissière franche (Rouge)
      else 
         VWAPColorBuffer[i] = 2; // Stagnation, bruit absorbé (Bleu)

      // Calcul Écart-Type
      double vwap = VWAPBuffer[i];
      double var = (SumP2Buffer[i] / InpVWAPPeriod) - 2 * vwap * (SumPBuffer[i] / InpVWAPPeriod) + (vwap * vwap);
      StdDevBuffer[i] = NormalizeDouble(MathSqrt(MathMax(0.0, var)), _Digits);

      BufferUpper[i] = NormalizeDouble(vwap + (1.618 * StdDevBuffer[i]), _Digits);
      BufferLower[i] = NormalizeDouble(vwap - (1.618 * StdDevBuffer[i]), _Digits);
   }

   return rates_total;
}