mql5/Experts/AnotherTriBible/Chapter4.mqh

//+------------------------------------------------------------------+
//|                                    C_Chapter4_SupplyDemand.mqh   |
//+------------------------------------------------------------------+
#property strict
#property version "1.00"

#include "AbstractChapter.mqh"

//========================
// Inputs
//========================
input int    ch4_zoneLookbackBars        = 350;
input int    ch4_baseLookbackBars        = 8;
input int    ch4_momentumAvgPeriod       = 12;
input double ch4_momentumBodyFactor      = 1.20;
input int    ch4_protectedTolerancePts   = 35;
input int    ch4_minZoneSeparationBars   = 3;
input int    ch4_refineMode              = 1;   // 0=full, 1=body, 2=half
input int    ch4_minQualityScore         = 3;   // BOS + momentum + liquidity + imbalance
input bool   ch4_requireBos              = true;
input bool   ch4_requireMomentum         = true;
input bool   ch4_requireLiquidity        = false;
input bool   ch4_requireImbalance        = false;
input bool   ch4_hideInvalidZones        = false;

//========================
// Enums
//========================
enum EZoneSide  { ZONE_DEMAND = 0, ZONE_SUPPLY = 1 };
enum EZoneType  { ZONE_OB = 0, ZONE_EXTREME = 1, ZONE_DECISIONAL = 2 };
enum EZoneState { ZONE_FRESH = 0, ZONE_TOUCHED = 1, ZONE_MITIGATED = 2, ZONE_INVALID = 3 };

struct SupplyDemandZone {
   int        id;
   EZoneSide  side;
   EZoneType  type;
   EZoneState state;

   int        leftBar;
   int        baseBar;
   int        breakBar;
   int        rightBar;

   double     fullTop;
   double     fullBottom;

   double     refinedTop;
   double     refinedBottom;

   bool       hasBos;
   bool       hasMomentum;
   bool       hasLiquidity;
   bool       hasImbalance;
   bool       isInducement;

   int        qualityScore;
   int        touchBar;
   int        mitigateBar;
   int        invalidateBar;
};

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
class C_Chapter4 : public CAbstractChapter {
private:
   FairValue fairValue;

   SupplyDemandZone zones[];
   int              nextZoneId;

   int protectedHigh;
   int protectedLow;

   string K_ZONE(int id)        { return "CH4_ZONE_" + (string)id; }
   string K_ZONE_R(int id)      { return "CH4_ZONE_R_" + (string)id; }

private:
   //========================
   // Core helpers
   //========================
   void PushZone(SupplyDemandZone &z) {
      int n = ArraySize(zones);
      ArrayResize(zones, n + 1);
      zones[n] = z;
   }

   bool ZoneExists(EZoneSide side, int baseBar, int breakBar, double top, double bottom) {
      for(int i = 0; i < ArraySize(zones); i++) {
         if(zones[i].side != side)
            continue;

         if(zones[i].baseBar != baseBar)
            continue;

         if(zones[i].breakBar != breakBar)
            continue;

         if(MathAbs(zones[i].fullTop - top) <= _Point * 2 &&
            MathAbs(zones[i].fullBottom - bottom) <= _Point * 2)
            return true;
      }

      return false;
   }

   bool HasBullImbalanceAround(int breakBar) {
      int from = breakBar - 1;
      int to   = breakBar + 1;

      if(from < 1) from = 1;
      if(to >= Bars()) to = Bars() - 1;

      for(int i = from; i <= to; i++) {
         Fvg fvg;
         fairValue.getBullFvg(fvg, i);
         if(fairValue.IsValidValue(fvg))
            return true;
      }

      return false;
   }

   bool HasBearImbalanceAround(int breakBar) {
      int from = breakBar - 1;
      int to   = breakBar + 1;

      if(from < 1) from = 1;
      if(to >= Bars()) to = Bars() - 1;

      for(int i = from; i <= to; i++) {
         Fvg fvg;
         fairValue.getBearFvg(fvg, i);
         if(fairValue.IsValidValue(fvg))
            return true;
      }

      return false;
   }

   double AvgBodySize(int endIndex, int period) {
      if(period <= 0)
         return 0.0;

      int from = endIndex - period + 1;
      if(from < 0)
         from = 0;

      double sum = 0.0;
      int count = 0;

      for(int i = from; i <= endIndex; i++) {
         if(!IsValidIndex(i))
            continue;

         sum += BodySize(i);
         count++;
      }

      if(count == 0)
         return 0.0;

      return sum / count;
   }

   bool IsBullMomentumBar(int i) {
      if(!IsBullishCandle(i))
         return false;

      double avg = AvgBodySize(i - 1, ch4_momentumAvgPeriod);
      if(avg <= 0.0)
         avg = BodySize(i);

      return BodySize(i) >= avg * ch4_momentumBodyFactor;
   }

   bool IsBearMomentumBar(int i) {
      if(!IsBearishCandle(i))
         return false;

      double avg = AvgBodySize(i - 1, ch4_momentumAvgPeriod);
      if(avg <= 0.0)
         avg = BodySize(i);

      return BodySize(i) >= avg * ch4_momentumBodyFactor;
   }

   int FindBrokenSwingHigh(int breakBar) {
      int start = breakBar - ch4_baseLookbackBars - 10;
      if(start < 0) start = 0;

      int last = -1;

      for(int i = start; i < breakBar; i++) {
         if(!IsSwingHigh(i))
            continue;

         if(BreakAboveHigh(i, breakBar))
            last = i;
      }

      return last;
   }

   int FindBrokenSwingLow(int breakBar) {
      int start = breakBar - ch4_baseLookbackBars - 10;
      if(start < 0) start = 0;

      int last = -1;

      for(int i = start; i < breakBar; i++) {
         if(!IsSwingLow(i))
            continue;

         if(BreakBelowLow(i, breakBar))
            last = i;
      }

      return last;
   }

   int FindDemandBaseBar(int breakBar) {
      int from = breakBar - ch4_baseLookbackBars;
      if(from < 0) from = 0;

      for(int i = breakBar - 1; i >= from; i--) {
         if(IsBearishCandle(i) || IsSellToBuyCandle(i) || IsDojiCandle(i, 0.20))
            return i;
      }

      return breakBar - 1;
   }

   int FindSupplyBaseBar(int breakBar) {
      int from = breakBar - ch4_baseLookbackBars;
      if(from < 0) from = 0;

      for(int i = breakBar - 1; i >= from; i--) {
         if(IsBullishCandle(i) || IsBuyToSellCandle(i) || IsDojiCandle(i, 0.20))
            return i;
      }

      return breakBar - 1;
   }

   int FindBaseStartBar(int baseBar) {
      if(!IsValidIndex(baseBar))
         return -1;

      int from = baseBar - ch4_baseLookbackBars;
      if(from < 0) from = 0;

      int left = baseBar;

      for(int i = baseBar; i >= from; i--) {
         if(RangeAt(i) <= 0.0)
            continue;

         left = i;

         if(BodySize(i) > AvgBodySize(i, 3) * 1.4)
            break;
      }

      return left;
   }

   void BuildDemandZone(int leftBar,int baseBar,int breakBar,double &fullTop,double &fullBottom,double &refinedTop,double &refinedBottom) {
      fullTop    = HighAt(baseBar);
      fullBottom = LowAt(baseBar);

      for(int i = leftBar; i <= baseBar; i++) {
         if(HighAt(i) > fullTop)       fullTop = HighAt(i);
         if(LowAt(i)  < fullBottom)    fullBottom = LowAt(i);
      }

      if(ch4_refineMode == 0) {
         refinedTop    = fullTop;
         refinedBottom = fullBottom;
      } else if(ch4_refineMode == 1) {
         refinedTop    = BodyTop(baseBar);
         refinedBottom = BodyBottom(baseBar);
      } else {
         refinedTop    = fullTop;
         refinedBottom = ZoneMid(fullTop, fullBottom);
      }
   }

   void BuildSupplyZone(int leftBar,int baseBar,int breakBar,double &fullTop,double &fullBottom,double &refinedTop,double &refinedBottom) {
      fullTop    = HighAt(baseBar);
      fullBottom = LowAt(baseBar);

      for(int i = leftBar; i <= baseBar; i++) {
         if(HighAt(i) > fullTop)       fullTop = HighAt(i);
         if(LowAt(i)  < fullBottom)    fullBottom = LowAt(i);
      }

      if(ch4_refineMode == 0) {
         refinedTop    = fullTop;
         refinedBottom = fullBottom;
      } else if(ch4_refineMode == 1) {
         refinedTop    = BodyTop(baseBar);
         refinedBottom = BodyBottom(baseBar);
      } else {
         refinedTop    = ZoneMid(fullTop, fullBottom);
         refinedBottom = fullBottom;
      }
   }

   bool NearProtectedLow(int baseBar) {
      if(!IsValidIndex(protectedLow))
         return false;

      return NearPrice(LowAt(baseBar), LowAt(protectedLow), ch4_protectedTolerancePts);
   }

   bool NearProtectedHigh(int baseBar) {
      if(!IsValidIndex(protectedHigh))
         return false;

      return NearPrice(HighAt(baseBar), HighAt(protectedHigh), ch4_protectedTolerancePts);
   }

   bool HasBullLiquidityContext(int baseBar, int breakBar) {
      if(IsValidIndex(protectedLow)) {
         int from = baseBar - 3;
         if(from < 0) from = 0;

         for(int i = from; i <= breakBar; i++) {
            if(WickBelowLow(protectedLow, i) || BreakBelowLow(protectedLow, i))
               return true;
         }
      }

      int lowA = PrevSwingLowIndex(baseBar, 1);
      int lowB = PrevSwingLowIndex(baseBar, 2);
      if(IsValidIndex(lowA) && IsValidIndex(lowB)) {
         if(NearPrice(LowAt(lowA), LowAt(lowB), ch4_protectedTolerancePts))
            return true;
      }

      return false;
   }

   bool HasBearLiquidityContext(int baseBar, int breakBar) {
      if(IsValidIndex(protectedHigh)) {
         int from = baseBar - 3;
         if(from < 0) from = 0;

         for(int i = from; i <= breakBar; i++) {
            if(WickAboveHigh(protectedHigh, i) || BreakAboveHigh(protectedHigh, i))
               return true;
         }
      }

      int highA = PrevSwingHighIndex(baseBar, 1);
      int highB = PrevSwingHighIndex(baseBar, 2);
      if(IsValidIndex(highA) && IsValidIndex(highB)) {
         if(NearPrice(HighAt(highA), HighAt(highB), ch4_protectedTolerancePts))
            return true;
      }

      return false;
   }

   EZoneType ClassifyDemandType(int baseBar, int breakBar) {
      if(NearProtectedLow(baseBar))
         return ZONE_EXTREME;

      return ZONE_DECISIONAL;
   }

   EZoneType ClassifySupplyType(int baseBar, int breakBar) {
      if(NearProtectedHigh(baseBar))
         return ZONE_EXTREME;

      return ZONE_DECISIONAL;
   }

   int ScoreZone(bool hasBos, bool hasMomentum, bool hasLiquidity, bool hasImbalance) {
      int score = 0;
      if(hasBos)       score++;
      if(hasMomentum)  score++;
      if(hasLiquidity) score++;
      if(hasImbalance) score++;
      return score;
   }

   bool PassesFilters(bool hasBos, bool hasMomentum, bool hasLiquidity, bool hasImbalance, int score) {
      if(ch4_requireBos       && !hasBos)       return false;
      if(ch4_requireMomentum  && !hasMomentum)  return false;
      if(ch4_requireLiquidity && !hasLiquidity) return false;
      if(ch4_requireImbalance && !hasImbalance) return false;

      return score >= ch4_minQualityScore;
   }

   //========================
   // Detection
   //========================
   void DetectDemandZones() {
      int end = Bars() - 1;
      if(end < 10)
         return;

      int start = end - ch4_zoneLookbackBars;
      if(start < 5) start = 5;

      for(int i = start; i <= end; i++) {
         if(!IsBullMomentumBar(i))
            continue;

         int brokenHigh = FindBrokenSwingHigh(i);
         bool hasBos = IsValidIndex(brokenHigh);

         if(ch4_requireBos && !hasBos)
            continue;

         int baseBar = FindDemandBaseBar(i);
         if(!IsValidIndex(baseBar))
            continue;

         int leftBar = FindBaseStartBar(baseBar);
         if(!IsValidIndex(leftBar))
            leftBar = baseBar;

         double fullTop, fullBottom, refinedTop, refinedBottom;
         BuildDemandZone(leftBar, baseBar, i, fullTop, fullBottom, refinedTop, refinedBottom);

         bool hasMomentum  = true;
         bool hasLiquidity = HasBullLiquidityContext(baseBar, i);
         bool hasImbalance = HasBullImbalanceAround(i);

         int score = ScoreZone(hasBos, hasMomentum, hasLiquidity, hasImbalance);
         if(!PassesFilters(hasBos, hasMomentum, hasLiquidity, hasImbalance, score))
            continue;

         if(ZoneExists(ZONE_DEMAND, baseBar, i, fullTop, fullBottom))
            continue;

         SupplyDemandZone z;
         z.id             = nextZoneId++;
         z.side           = ZONE_DEMAND;
         z.type           = ClassifyDemandType(baseBar, i);
         z.state          = ZONE_FRESH;

         z.leftBar        = leftBar;
         z.baseBar        = baseBar;
         z.breakBar       = i;
         z.rightBar       = i;

         z.fullTop        = fullTop;
         z.fullBottom     = fullBottom;
         z.refinedTop     = refinedTop;
         z.refinedBottom  = refinedBottom;

         z.hasBos         = hasBos;
         z.hasMomentum    = hasMomentum;
         z.hasLiquidity   = hasLiquidity;
         z.hasImbalance   = hasImbalance;
         z.isInducement   = false;

         z.qualityScore   = score;
         z.touchBar       = -1;
         z.mitigateBar    = -1;
         z.invalidateBar  = -1;

         PushZone(z);
      }
   }

   void DetectSupplyZones() {
      int end = Bars() - 1;
      if(end < 10)
         return;

      int start = end - ch4_zoneLookbackBars;
      if(start < 5) start = 5;

      for(int i = start; i <= end; i++) {
         if(!IsBearMomentumBar(i))
            continue;

         int brokenLow = FindBrokenSwingLow(i);
         bool hasBos = IsValidIndex(brokenLow);

         if(ch4_requireBos && !hasBos)
            continue;

         int baseBar = FindSupplyBaseBar(i);
         if(!IsValidIndex(baseBar))
            continue;

         int leftBar = FindBaseStartBar(baseBar);
         if(!IsValidIndex(leftBar))
            leftBar = baseBar;

         double fullTop, fullBottom, refinedTop, refinedBottom;
         BuildSupplyZone(leftBar, baseBar, i, fullTop, fullBottom, refinedTop, refinedBottom);

         bool hasMomentum  = true;
         bool hasLiquidity = HasBearLiquidityContext(baseBar, i);
         bool hasImbalance = HasBearImbalanceAround(i);

         int score = ScoreZone(hasBos, hasMomentum, hasLiquidity, hasImbalance);
         if(!PassesFilters(hasBos, hasMomentum, hasLiquidity, hasImbalance, score))
            continue;

         if(ZoneExists(ZONE_SUPPLY, baseBar, i, fullTop, fullBottom))
            continue;

         SupplyDemandZone z;
         z.id             = nextZoneId++;
         z.side           = ZONE_SUPPLY;
         z.type           = ClassifySupplyType(baseBar, i);
         z.state          = ZONE_FRESH;

         z.leftBar        = leftBar;
         z.baseBar        = baseBar;
         z.breakBar       = i;
         z.rightBar       = i;

         z.fullTop        = fullTop;
         z.fullBottom     = fullBottom;
         z.refinedTop     = refinedTop;
         z.refinedBottom  = refinedBottom;

         z.hasBos         = hasBos;
         z.hasMomentum    = hasMomentum;
         z.hasLiquidity   = hasLiquidity;
         z.hasImbalance   = hasImbalance;
         z.isInducement   = false;

         z.qualityScore   = score;
         z.touchBar       = -1;
         z.mitigateBar    = -1;
         z.invalidateBar  = -1;

         PushZone(z);
      }
   }

   //========================
   // Inducement tagging
   //========================
   void MarkInducementZones() {
      for(int i = 0; i < ArraySize(zones); i++) {
         zones[i].isInducement = false;
      }

      for(int i = 0; i < ArraySize(zones); i++) {
         for(int j = 0; j < ArraySize(zones); j++) {
            if(i == j)
               continue;

            if(zones[i].side != zones[j].side)
               continue;

            if(zones[i].state == ZONE_INVALID || zones[j].state == ZONE_INVALID)
               continue;

            if(zones[i].side == ZONE_DEMAND) {
               if(zones[i].baseBar < zones[j].baseBar &&
                  zones[i].fullBottom > zones[j].fullBottom &&
                  zones[i].qualityScore < zones[j].qualityScore) {
                  zones[i].isInducement = true;
               }
            } else {
               if(zones[i].baseBar < zones[j].baseBar &&
                  zones[i].fullTop < zones[j].fullTop &&
                  zones[i].qualityScore < zones[j].qualityScore) {
                  zones[i].isInducement = true;
               }
            }
         }
      }
   }

   //========================
   // Lifecycle
   //========================
   void UpdateZoneState() {
      int end = Bars() - 1;

      for(int i = 0; i < ArraySize(zones); i++) {
         if(zones[i].state == ZONE_INVALID)
            continue;

         for(int b = zones[i].breakBar + 1; b <= end; b++) {
            bool touched = PriceTouchesZone(b, zones[i].fullTop, zones[i].fullBottom);
            bool reached50 = false;
            bool invalid = false;

            if(zones[i].side == ZONE_DEMAND) {
               reached50 = LowAt(b) <= ZoneMid(zones[i].fullTop, zones[i].fullBottom);
               invalid   = PriceClosesBeyondDemand(b, zones[i].fullBottom);
            } else {
               reached50 = HighAt(b) >= ZoneMid(zones[i].fullTop, zones[i].fullBottom);
               invalid   = PriceClosesBeyondSupply(b, zones[i].fullTop);
            }

            if(touched && zones[i].touchBar < 0) {
               zones[i].touchBar = b;
               if(zones[i].state == ZONE_FRESH)
                  zones[i].state = ZONE_TOUCHED;
            }

            if(reached50 && zones[i].mitigateBar < 0) {
               zones[i].mitigateBar = b;
               if(zones[i].state != ZONE_INVALID)
                  zones[i].state = ZONE_MITIGATED;
            }

            if(invalid) {
               zones[i].invalidateBar = b;
               zones[i].state = ZONE_INVALID;
               break;
            }
         }
      }
   }

   //========================
   // Draw
   //========================
   string TypeText(EZoneType type) {
      if(type == ZONE_EXTREME)    return "EXT";
      if(type == ZONE_DECISIONAL) return "DEC";
      return "OB";
   }

   string StateText(EZoneState state) {
      if(state == ZONE_FRESH)     return "FRESH";
      if(state == ZONE_TOUCHED)   return "TOUCHED";
      if(state == ZONE_MITIGATED) return "MITIGATED";
      return "INVALID";
   }

   color ZoneColor(const SupplyDemandZone &z) {
      if(z.state == ZONE_INVALID)
         return clrSilver;

      if(z.state == ZONE_MITIGATED)
         return clrDarkGray;

      if(z.side == ZONE_DEMAND)
         return clrPaleGreen;

      return clrTomato;
   }

   string ZoneText(const SupplyDemandZone &z) {
      string txt = (z.side == ZONE_DEMAND ? "DEMAND " : "SUPPLY ");
      txt += TypeText(z.type);
      txt += " ";
      txt += StateText(z.state);

      if(z.isInducement)
         txt += " IDM";

      if(z.hasBos)        txt += " BOS";
      if(z.hasMomentum)   txt += " MOM";
      if(z.hasLiquidity)  txt += " LIQ";
      if(z.hasImbalance)  txt += " IMB";

      return txt;
   }

   void DrawZones() {
      int end = Bars() - 1;

      for(int i = 0; i < ArraySize(zones); i++) {
         SupplyDemandZone z = zones[i];

         if(ch4_hideInvalidZones && z.state == ZONE_INVALID)
            continue;

         int toIndex = end;
         if(z.invalidateBar >= 0) toIndex = z.invalidateBar;

         color fullColor = ZoneColor(z);
         string txt = ZoneText(z);

         DrawZone(
            K_ZONE(z.id),
            z.leftBar,
            toIndex,
            z.fullTop,
            z.fullBottom,
            txt,
            fullColor,
            0.06,
            6,
            false
         );

         DrawZone(
            K_ZONE_R(z.id),
            z.leftBar,
            toIndex,
            z.refinedTop,
            z.refinedBottom,
            "",
            (z.side == ZONE_DEMAND ? clrLime : clrRed),
            0.16,
            5,
            true
         );
      }
   }

public:
   C_Chapter4() {
      nextZoneId    = 1;
      protectedHigh = -1;
      protectedLow  = -1;
      ArrayResize(zones, 0);
   }

   ~C_Chapter4() {}

   void SetExternalRange(int protectedHighIndex, int protectedLowIndex) {
      protectedHigh = protectedHighIndex;
      protectedLow  = protectedLowIndex;
   }

   int GetZonesCount() const {
      return ArraySize(zones);
   }

   bool GetZone(int index, SupplyDemandZone &outZone) {
      if(index < 0 || index >= ArraySize(zones))
         return false;

      outZone = zones[index];
      return true;
   }

   int OnInit(string s, ENUM_TIMEFRAMES tf_, int lr = 3, int look = 1) {
      timeframe = tf_;
      symbol    = s;
      debug.Init(0, "Chapter4", true);

      if(swing.Init("Fractal", s, tf_, lr, look) == -1) {
         Print("Error creating Swing Indicator: ", GetLastError());
         return INIT_FAILED;
      }

      if(fairValue.Init("Fair Value Gaps", s, tf_, lr, look) == -1) {
         Print("Error creating Fair Value indicator: ", GetLastError());
         return INIT_FAILED;
      }

      return INIT_SUCCEEDED;
   }

   void OnCalculate() {
      if(!OnNewBar())
         return;

      UpdateBars(3);

      ArrayResize(zones, 0);
      nextZoneId = 1;

      DetectDemandZones();
      DetectSupplyZones();
      MarkInducementZones();
      UpdateZoneState();
      DrawZones();
   }
};
//+------------------------------------------------------------------+