mql5/Experts/AnotherTriBible/Chapter3.mqh

//+------------------------------------------------------------------+
//|                                         C_Chapter3_Liquidity.mqh |
//|                   Chapter 3 wired to your Chapter 2 exports      |
//+------------------------------------------------------------------+
#property strict
#property version "1.00"

#include "AbstractChapter.mqh"

//========================
// Inputs
//========================
input int ch3_eqTolerancePts        = 25;
input int ch3_minPoolSeparationBars = 3;
input int ch3_imbLookbackBars       = 300;
input int ch3_maxPoolsPerType       = 25;

//========================
// Enums
//========================
enum EImbalanceSide  { IMB_BULL = 0, IMB_BEAR = 1 };
enum EImbalanceState { IMB_OPEN = 0, IMB_MITIGATED = 1 };

enum ELiquiditySide  { LQ_BSL = 0, LQ_SSL = 1 };
enum ELiquidityKind  { LQ_EQUALS = 0, LQ_STRUCTURE = 1, LQ_EXTERNAL = 2 };
enum ELiquidityState { LQ_ACTIVE = 0, LQ_SWEPT = 1 };

struct ImbalanceZone {
   int             id;
   EImbalanceSide  side;
   EImbalanceState state;

   int             leftBar;
   int             rightBar;

   double          top;
   double          bottom;

   int             mitigateBar;
};

struct LiquidityPool {
   int             id;
   ELiquiditySide  side;
   ELiquidityKind  kind;
   ELiquidityState state;

   int             leftBar;
   int             rightBar;

   double          price;
   int             sweepBar;
};

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
class C_Chapter3 : public CAbstractChapter {

private:
   FairValue fairValue;

   ImbalanceZone imbalances[];
   LiquidityPool pools[];

   int nextImbId;
   int nextPoolId;

   // ERL anchors from Chapter 2
   int protectedHigh;
   int protectedLow;

private:
   //========================
   // Keys
   //========================
   string K_IMB(int id)        { return "CH3_IMB_"  + (string)id; }
   string K_POOL(int id)       { return "CH3_POOL_" + (string)id; }
   string K_ERL_HIGH()         { return "CH3_ERL_HIGH"; }
   string K_ERL_LOW()          { return "CH3_ERL_LOW"; }

   //========================
   // Helpers
   //========================
   double TolerancePrice() {
      return ch3_eqTolerancePts * _Point;
   }

   bool IsValidBar(int index) {
      return (index >= 0 && index < bar.Size());
   }

   int MinInt(int a, int b) {
      return (a < b ? a : b);
   }

   int MaxInt(int a, int b) {
      return (a > b ? a : b);
   }

   bool NearPrice(double a, double b, double tol) {
      return MathAbs(a - b) <= tol;
   }

   void DrawLevel(string key,int fromIndex,int toIndex,double price,string text,color col,int style=1) {
      if(!IsValidBar(fromIndex) || !IsValidBar(toIndex)) return;

      debug.LineWithCenteredText(
         key,
         bar.Time(fromIndex), price,
         bar.Time(toIndex),   price,
         text,
         style,
         col
      );
   }

   void PushImb(ImbalanceZone &z) {
      int n = ArraySize(imbalances);
      ArrayResize(imbalances, n + 1);
      imbalances[n] = z;
   }

   void PushPool(LiquidityPool &p) {
      int n = ArraySize(pools);
      ArrayResize(pools, n + 1);
      pools[n] = p;
   }

   bool PoolExists(ELiquiditySide side, ELiquidityKind kind, int leftBar, int rightBar, double price) {
      double tol = TolerancePrice();

      for(int i = 0; i < ArraySize(pools); i++) {
         if(pools[i].side  != side)      continue;
         if(pools[i].kind  != kind)      continue;
         if(pools[i].leftBar != leftBar) continue;
         if(pools[i].rightBar != rightBar) continue;
         if(NearPrice(pools[i].price, price, tol))
            return true;
      }

      return false;
   }

   bool ImbalanceExists(EImbalanceSide side, int leftBar, int rightBar, double top, double bottom) {
      double tol = TolerancePrice();

      for(int i = 0; i < ArraySize(imbalances); i++) {
         if(imbalances[i].side != side) continue;
         if(imbalances[i].leftBar != leftBar) continue;
         if(imbalances[i].rightBar != rightBar) continue;
         if(NearPrice(imbalances[i].top, top, tol) && NearPrice(imbalances[i].bottom, bottom, tol))
            return true;
      }

      return false;
   }

   int CountPoolsOfSide(ELiquiditySide side) {
      int count = 0;
      for(int i = 0; i < ArraySize(pools); i++) {
         if(pools[i].side == side)
            count++;
      }
      return count;
   }

   //========================
   // Imbalances
   //========================
   void DetectImbalances() {
      int end = bar.Size() - 1;
      if(end < 3) return;

      int start = end - ch3_imbLookbackBars;
      if(start < 2) start = 2;

      for(int i = start; i <= end; i++) {
         Fvg fvg;
         int l = i - 1;

         fairValue.getBullFvg(fvg, i - 1);
         if(fairValue.IsValidValue(fvg)) {
            if(!ImbalanceExists(IMB_BULL, l, i, fvg.top, fvg.bottom)) {
               ImbalanceZone z;
               z.id          = nextImbId++;
               z.side        = IMB_BULL;
               z.state       = IMB_OPEN;
               z.leftBar     = l;
               z.rightBar    = i;
               z.top         = fvg.top;
               z.bottom      = fvg.bottom;
               z.mitigateBar = -1;
               PushImb(z);
            }
         }

         fairValue.getBearFvg(fvg, i - 1);
         if(fairValue.IsValidValue(fvg)) {
            if(!ImbalanceExists(IMB_BEAR, l, i, fvg.top, fvg.bottom)) {
               ImbalanceZone z;
               z.id          = nextImbId++;
               z.side        = IMB_BEAR;
               z.state       = IMB_OPEN;
               z.leftBar     = l;
               z.rightBar    = i;
               z.top         = fvg.top;
               z.bottom      = fvg.bottom;
               z.mitigateBar = -1;
               PushImb(z);
            }
         }
      }
   }

   void UpdateImbalanceMitigation() {
      int end = bar.Size() - 1;

      for(int k = 0; k < ArraySize(imbalances); k++) {
         if(imbalances[k].state == IMB_MITIGATED) continue;

         for(int i = imbalances[k].rightBar; i <= end; i++) {
            bool touched = false;

            if(imbalances[k].side == IMB_BULL) {
               if(bar.Low(i) <= imbalances[k].top && bar.High(i) >= imbalances[k].bottom)
                  touched = true;
            } else {
               if(bar.High(i) >= imbalances[k].bottom && bar.Low(i) <= imbalances[k].top)
                  touched = true;
            }

            if(touched) {
               imbalances[k].state       = IMB_MITIGATED;
               imbalances[k].mitigateBar = i;
               break;
            }
         }
      }
   }

   void DrawImbalances() {
      int end = bar.Size() - 1;

      for(int i = 0; i < ArraySize(imbalances); i++) {
         ImbalanceZone z = imbalances[i];

         string txt = (z.side == IMB_BULL ? "IMB BULL" : "IMB BEAR");
         if(z.state == IMB_MITIGATED)
            txt += " MITIGATED";

         int toIndex = (z.mitigateBar >= 0 ? z.mitigateBar : end);

         color col = clrSilver;
         if(z.state != IMB_MITIGATED)
            col = (z.side == IMB_BULL ? clrPaleGreen : clrTomato);

         debug.RectWithCenteredText(
            symbol,
            K_IMB(z.id),
            bar.Time(z.leftBar), z.top,
            bar.Time(toIndex),   z.bottom,
            txt,
            col,
            0.06,
            6,
            false
         );
      }
   }

   //========================
   // Liquidity pools
   //========================
   void DetectEqualHighLowPools() {
      double tol = TolerancePrice();
      int end = bar.Size() - 1;
      if(end < 5) return;

      for(int i = 0; i <= end; i++) {
         // Equal highs = BSL
         if(swing.IsValidValue(swing.HighAt(i))) {
            for(int j = i + ch3_minPoolSeparationBars; j <= end; j++) {
               if(!swing.IsValidValue(swing.HighAt(j)))
                  continue;

               if(NearPrice(bar.High(i), bar.High(j), tol)) {
                  if(CountPoolsOfSide(LQ_BSL) >= ch3_maxPoolsPerType)
                     break;

                  int leftBar  = MinInt(i, j);
                  int rightBar = MaxInt(i, j);
                  double px    = MathMax(bar.High(i), bar.High(j));

                  if(!PoolExists(LQ_BSL, LQ_EQUALS, leftBar, rightBar, px)) {
                     LiquidityPool p;
                     p.id       = nextPoolId++;
                     p.side     = LQ_BSL;
                     p.kind     = LQ_EQUALS;
                     p.state    = LQ_ACTIVE;
                     p.leftBar  = leftBar;
                     p.rightBar = rightBar;
                     p.price    = px;
                     p.sweepBar = -1;
                     PushPool(p);
                  }
               }
            }
         }

         // Equal lows = SSL
         if(swing.IsValidValue(swing.LowAt(i))) {
            for(int j = i + ch3_minPoolSeparationBars; j <= end; j++) {
               if(!swing.IsValidValue(swing.LowAt(j)))
                  continue;

               if(NearPrice(bar.Low(i), bar.Low(j), tol)) {
                  if(CountPoolsOfSide(LQ_SSL) >= ch3_maxPoolsPerType)
                     break;

                  int leftBar  = MinInt(i, j);
                  int rightBar = MaxInt(i, j);
                  double px    = MathMin(bar.Low(i), bar.Low(j));

                  if(!PoolExists(LQ_SSL, LQ_EQUALS, leftBar, rightBar, px)) {
                     LiquidityPool p;
                     p.id       = nextPoolId++;
                     p.side     = LQ_SSL;
                     p.kind     = LQ_EQUALS;
                     p.state    = LQ_ACTIVE;
                     p.leftBar  = leftBar;
                     p.rightBar = rightBar;
                     p.price    = px;
                     p.sweepBar = -1;
                     PushPool(p);
                  }
               }
            }
         }
      }
   }

   void DetectStructureLiquidity() {
      // Internal structure highs/lows can also act as liquidity
      // We take visible swing highs/lows that have not yet been tagged as equals.
      int end = bar.Size() - 1;
      if(end < 3) return;

      for(int i = 1; i < end - 1; i++) {
         if(swing.IsValidValue(swing.HighAt(i))) {
            if(CountPoolsOfSide(LQ_BSL) < ch3_maxPoolsPerType) {
               if(!PoolExists(LQ_BSL, LQ_STRUCTURE, i, i, bar.High(i))) {
                  LiquidityPool p;
                  p.id       = nextPoolId++;
                  p.side     = LQ_BSL;
                  p.kind     = LQ_STRUCTURE;
                  p.state    = LQ_ACTIVE;
                  p.leftBar  = i;
                  p.rightBar = i;
                  p.price    = bar.High(i);
                  p.sweepBar = -1;
                  PushPool(p);
               }
            }
         }

         if(swing.IsValidValue(swing.LowAt(i))) {
            if(CountPoolsOfSide(LQ_SSL) < ch3_maxPoolsPerType) {
               if(!PoolExists(LQ_SSL, LQ_STRUCTURE, i, i, bar.Low(i))) {
                  LiquidityPool p;
                  p.id       = nextPoolId++;
                  p.side     = LQ_SSL;
                  p.kind     = LQ_STRUCTURE;
                  p.state    = LQ_ACTIVE;
                  p.leftBar  = i;
                  p.rightBar = i;
                  p.price    = bar.Low(i);
                  p.sweepBar = -1;
                  PushPool(p);
               }
            }
         }
      }
   }

   void DetectExternalRangeLiquidity() {
      if(IsValidBar(protectedHigh)) {
         if(!PoolExists(LQ_BSL, LQ_EXTERNAL, protectedHigh, protectedHigh, bar.High(protectedHigh))) {
            LiquidityPool p;
            p.id       = nextPoolId++;
            p.side     = LQ_BSL;
            p.kind     = LQ_EXTERNAL;
            p.state    = LQ_ACTIVE;
            p.leftBar  = protectedHigh;
            p.rightBar = protectedHigh;
            p.price    = bar.High(protectedHigh);
            p.sweepBar = -1;
            PushPool(p);
         }
      }

      if(IsValidBar(protectedLow)) {
         if(!PoolExists(LQ_SSL, LQ_EXTERNAL, protectedLow, protectedLow, bar.Low(protectedLow))) {
            LiquidityPool p;
            p.id       = nextPoolId++;
            p.side     = LQ_SSL;
            p.kind     = LQ_EXTERNAL;
            p.state    = LQ_ACTIVE;
            p.leftBar  = protectedLow;
            p.rightBar = protectedLow;
            p.price    = bar.Low(protectedLow);
            p.sweepBar = -1;
            PushPool(p);
         }
      }
   }

   void UpdatePoolSweeps() {
      int end = bar.Size() - 1;

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

         for(int b = pools[i].rightBar; b <= end; b++) {
            bool swept = false;

            if(pools[i].side == LQ_BSL) {
               if(bar.High(b) > pools[i].price)
                  swept = true;
            } else {
               if(bar.Low(b) < pools[i].price)
                  swept = true;
            }

            if(swept) {
               pools[i].state    = LQ_SWEPT;
               pools[i].sweepBar = b;
               break;
            }
         }
      }
   }

   void DrawPool(const LiquidityPool &p) {
      int end = bar.Size() - 1;
      int toIndex = (p.sweepBar >= 0 ? p.sweepBar : end);

      string txt;
      color  col;
      int    style = 1;

      if(p.side == LQ_BSL) {
         txt = "BSL";
         col = clrTomato;
      } else {
         txt = "SSL";
         col = clrDeepSkyBlue;
      }

      if(p.kind == LQ_EQUALS)    txt += " EQ";
      if(p.kind == LQ_STRUCTURE) txt += " SH/SL";
      if(p.kind == LQ_EXTERNAL)  txt += " ERL";

      if(p.state == LQ_SWEPT) {
         txt += " SWEPT";
         col = clrSilver;
      }

      DrawLevel(K_POOL(p.id), p.leftBar, toIndex, p.price, txt, col, style);
   }

   void DrawPools() {
      for(int i = 0; i < ArraySize(pools); i++)
         DrawPool(pools[i]);
   }

   void DrawERLAnchorsOnly() {
      int end = bar.Size() - 1;

      if(IsValidBar(protectedHigh)) {
         DrawLevel(K_ERL_HIGH(), protectedHigh, end, bar.High(protectedHigh), "ERL HIGH", clrTomato, 1);
      }

      if(IsValidBar(protectedLow)) {
         DrawLevel(K_ERL_LOW(), protectedLow, end, bar.Low(protectedLow), "ERL LOW", clrDeepSkyBlue, 1);
      }
   }

public:
   C_Chapter3();
   ~C_Chapter3() {}

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

   void OnCalculate();
   int OnInit(string s, ENUM_TIMEFRAMES tf_, int lr = 3, int look = 1);
};

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
C_Chapter3::C_Chapter3() {
   nextImbId     = 1;
   nextPoolId    = 1;
   protectedHigh = -1;
   protectedLow  = -1;

   ArrayResize(imbalances, 0);
   ArrayResize(pools, 0);
}

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int C_Chapter3::OnInit(string s, ENUM_TIMEFRAMES tf_, int lr = 3, int look = 1) {
   timeframe = tf_;
   symbol    = s;
   debug.Init(0, "Chapter3", true);

   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 C_Chapter3::OnCalculate() {
   if(OnNewBar())
      return;

   bar.UpdateFromMonthsBack(symbol, timeframe, 3);

   ArrayResize(imbalances, 0);
   ArrayResize(pools, 0);

   nextImbId  = 1;
   nextPoolId = 1;

   DetectImbalances();
   UpdateImbalanceMitigation();

   DetectEqualHighLowPools();
   DetectStructureLiquidity();
   DetectExternalRangeLiquidity();
   UpdatePoolSweeps();

   DrawERLAnchorsOnly();
   DrawPools();
   DrawImbalances();
}
//+------------------------------------------------------------------+