feat: Add vwap with stdev channel

sibvic · Oct 3, 2024 · 29894d4 · 29894d4
1 parent d30b76f
commit 29894d4
Showing 1 changed file with 131 additions and 1 deletion.
diff --git a/snippets/Streams/Averages/VwapOnStream.mqh b/snippets/Streams/Averages/VwapOnStream.mqh
@@ -1,14 +1,136 @@
-// Vwap on stream v1.1
+// Vwap on stream v1.2
 
 #include <Streams/AOnStream.mqh>
 #include <Streams/interfaces/IIntStream.mqh>
+#include <Streams/interfaces/IBoolStream.mqh>
 #include <Streams/interfaces/IDateTimeStream.mqh>
 #include <Streams/VolumeStream.mqh>
 #include <Streams/DateTimeStream.mqh>
+#include <Array/Array.mqh>
+#include <Array/FloatArray.mqh>
 
 #ifndef VwapOnStream_IMP
 #define VwapOnStream_IMP
 
+class VwapStdev : public AOnStream
+{
+   IIntStream* volume;
+   IBoolStream* anchor;
+   double stdev;
+public:
+   VwapStdev(IStream *source, IIntStream* volume, IBoolStream* anchor, double stdev)
+      :AOnStream(source)
+   {
+      this.volume = volume;
+      volume.AddRef();
+      this.anchor = anchor;
+      anchor.AddRef();
+      this.stdev = stdev;
+   }
+
+   ~VwapStdev()
+   {
+      volume.Release();
+      anchor.Release();
+   }
+
+   bool GetValue(const int period, double &val, double &upper, double &lower)
+   {
+      int totalBars = volume.Size();
+      if (period > totalBars)
+         return false;
+
+      double sum1 = 0;
+      double sum2 = 0;
+      FloatArray* arr = new FloatArray(0, 0);
+      for (int i = period; i < Size(); ++i)
+      {
+         int current;
+         if (!anchor.GetValue(i, current))
+         {
+            val = EMPTY_VALUE;
+            upper = EMPTY_VALUE;
+            lower = EMPTY_VALUE;
+            return false;
+         }
+         if (current == 1)
+         {
+            break;
+         }
+         double value;
+         if (!_source.GetValue(i, value))
+         {
+            val = EMPTY_VALUE;
+            upper = EMPTY_VALUE;
+            lower = EMPTY_VALUE;
+            return false;
+         }
+         int volumeValue;
+         if (!volume.GetValue(i, volumeValue))
+         {
+            val = EMPTY_VALUE;
+            upper = EMPTY_VALUE;
+            lower = EMPTY_VALUE;
+            return false;
+         }
+         sum1 += value * volumeValue;
+         sum2 += volumeValue;
+         arr.Push(sum2 != 0 ? sum1 / sum2 : 0);
+      }
+      if (sum2 == 0)
+      {
+         val = EMPTY_VALUE;
+         upper = EMPTY_VALUE;
+         lower = EMPTY_VALUE;
+         return false;
+      }
+      val = sum2 != 0 ? sum1 / sum2 : 0;
+      double stdevValue = Array::Stdev(arr);
+      delete arr;
+      upper = val + stdevValue * stdev;
+      lower = val - stdevValue * stdev;
+      return true;
+   }
+   bool GetValue(const int period, double &val)
+   {
+      int totalBars = volume.Size();
+      if (period > totalBars)
+         return false;
+
+      double sum1 = 0;
+      double sum2 = 0;
+      for (int i = period; i < Size(); ++i)
+      {
+         int current;
+         if (!anchor.GetValue(i, current))
+         {
+            val = EMPTY_VALUE;
+            return false;
+         }
+         if (current == 1)
+         {
+            break;
+         }
+         double value;
+         if (!_source.GetValue(i, value))
+         {
+            val = EMPTY_VALUE;
+            return false;
+         }
+         int volumeValue;
+         if (!volume.GetValue(i, volumeValue))
+         {
+            val = EMPTY_VALUE;
+            return false;
+         }
+         sum1 += value * volumeValue;
+         sum2 += volumeValue;
+      }
+      val = sum2 != 0 ? sum1 / sum2 : 0;
+      return true;
+   }
+};
+
 class VwapOnStream : public AOnStream
 {
    IIntStream* _volume;
@@ -94,6 +216,14 @@ public:
    {
       return new VwapOnStream(source, volume, dates);
    }
+
+   static VwapStdev* Create(const string symbol, ENUM_TIMEFRAMES timeframe, IStream *source, IBoolStream* anchor, double stdev)
+   {
+      VolumeStream* volume = new VolumeStream(symbol, timeframe);
+      VwapStdev* stream = new VwapStdev(source, volume, anchor, stdev);
+      volume.Release();
+      return stream;
+   }
 };
 
 #endif