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Chart.mqh
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Chart.mqh
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//+------------------------------------------------------------------+
//| EA31337 framework |
//| Copyright 2016-2020, 31337 Investments Ltd |
//| https://github.com/EA31337 |
//+------------------------------------------------------------------+
/*
This file is free software: you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation, either version 3 of the License, or
(at your option) any later version.
This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
You should have received a copy of the GNU General Public License
along with this program. If not, see <https://www.gnu.org/licenses/>.
*/
/**
* @file
* Class to provide chart, timeframe and timeseries operations.
*
* @docs
* - https://www.mql5.com/en/docs/chart_operations
* - https://www.mql5.com/en/docs/series
*/
// Class dependencies.
class Chart;
class Market;
// Prevents processing this includes file for the second time.
#ifndef CHART_MQH
#define CHART_MQH
// Includes.
#include "Convert.mqh"
#include "Market.mqh"
// Define type of periods.
// @see: https://docs.mql4.com/constants/chartconstants/enum_timeframes
enum ENUM_TIMEFRAMES_INDEX {
M1 = 0, // 1 minute
M2 = 1, // 2 minutes (non-standard)
M3 = 2, // 3 minutes (non-standard)
M4 = 3, // 4 minutes (non-standard)
M5 = 4, // 5 minutes
M6 = 5, // 6 minutes (non-standard)
M10 = 6, // 10 minutes (non-standard)
M12 = 7, // 12 minutes (non-standard)
M15 = 8, // 15 minutes
M20 = 9, // 20 minutes (non-standard)
M30 = 10, // 30 minutes
H1 = 11, // 1 hour
H2 = 12, // 2 hours (non-standard)
H3 = 13, // 3 hours (non-standard)
H4 = 14, // 4 hours
H6 = 15, // 6 hours (non-standard)
H8 = 16, // 8 hours (non-standard)
H12 = 17, // 12 hours (non-standard)
D1 = 18, // Daily
W1 = 19, // Weekly
MN1 = 20, // Monthly
// This item should be the last one.
// Used to calculate the number of enum items.
FINAL_ENUM_TIMEFRAMES_INDEX = 21
};
// Define type of periods using bitwise operators.
enum ENUM_TIMEFRAMES_BITS {
M1B = 1 << 0, // =1: 1 minute
M5B = 1 << 1, // =2: 5 minutes
M15B = 1 << 2, // =4: 15 minutes
M30B = 1 << 3, // =8: 30 minutes
H1B = 1 << 4, // =16: 1 hour
H4B = 1 << 5, // =32: 4 hours
D1B = 1 << 6, // =64: Daily
W1B = 1 << 7, // =128: Weekly
MN1B = 1 << 8, // =256: Monthly
};
// Chart conditions.
enum ENUM_CHART_CONDITION {
CHART_COND_ASK_BAR_PEAK = 1, // Ask price on current bar's peak
CHART_COND_ASK_GT_BAR_HIGH = 2, // Ask price > bar's high price
CHART_COND_ASK_GT_BAR_LOW = 3, // Ask price > bar's low price
CHART_COND_ASK_LT_BAR_HIGH = 4, // Ask price < bar's high price
CHART_COND_ASK_LT_BAR_LOW = 5, // Ask price < bar's low price
CHART_COND_BAR_CLOSE_GT_PP_PP = 6, // Current bar's close price > Pivot point (main line)
CHART_COND_BAR_CLOSE_GT_PP_R1 = 7, // Current bar's close price > Pivot point (R1)
CHART_COND_BAR_CLOSE_GT_PP_R2 = 8, // Current bar's close price > Pivot point (R2)
CHART_COND_BAR_CLOSE_GT_PP_R3 = 9, // Current bar's close price > Pivot point (R3)
CHART_COND_BAR_CLOSE_GT_PP_R4 = 10, // Current bar's close price > Pivot point (R4)
CHART_COND_BAR_CLOSE_GT_PP_S1 = 11, // Current bar's close price > Pivot point (S1)
CHART_COND_BAR_CLOSE_GT_PP_S2 = 12, // Current bar's close price > Pivot point (S2)
CHART_COND_BAR_CLOSE_GT_PP_S3 = 13, // Current bar's close price > Pivot point (S3)
CHART_COND_BAR_CLOSE_GT_PP_S4 = 14, // Current bar's close price > Pivot point (S4)
CHART_COND_BAR_CLOSE_LT_PP_PP = 15, // Current bar's close price < Pivot point (main line)
CHART_COND_BAR_CLOSE_LT_PP_R1 = 16, // Current bar's close price < Pivot point (R1)
CHART_COND_BAR_CLOSE_LT_PP_R2 = 17, // Current bar's close price < Pivot point (R2)
CHART_COND_BAR_CLOSE_LT_PP_R3 = 18, // Current bar's close price < Pivot point (R3)
CHART_COND_BAR_CLOSE_LT_PP_R4 = 19, // Current bar's close price < Pivot point (R4)
CHART_COND_BAR_CLOSE_LT_PP_S1 = 20, // Current bar's close price < Pivot point (S1)
CHART_COND_BAR_CLOSE_LT_PP_S2 = 21, // Current bar's close price < Pivot point (S2)
CHART_COND_BAR_CLOSE_LT_PP_S3 = 22, // Current bar's close price < Pivot point (S3)
CHART_COND_BAR_CLOSE_LT_PP_S4 = 23, // Current bar's close price < Pivot point (S4)
CHART_COND_BAR_HIGHEST_CURR_20 = 24, // Is current bar has highest price out of 20 bars
CHART_COND_BAR_HIGHEST_CURR_50 = 25, // Is current bar has highest price out of 50 bars
CHART_COND_BAR_HIGHEST_PREV_20 = 26, // Is previous bar has highest price out of 20 bars
CHART_COND_BAR_HIGHEST_PREV_50 = 27, // Is previous bar has highest price out of 50 bars
CHART_COND_BAR_HIGH_GT_OPEN = 28, // Current bar's high price > current open
CHART_COND_BAR_HIGH_LT_OPEN = 29, // Current bar's high price < current open
CHART_COND_BAR_INDEX_EQ_ARG, // Current bar's index equals argument value
CHART_COND_BAR_INDEX_GT_ARG, // Current bar's index greater than argument value
CHART_COND_BAR_INDEX_LT_ARG, // Current bar's index lower than argument value
CHART_COND_BAR_LOWEST_CURR_20, // Is current bar has lowest price out of 20 bars
CHART_COND_BAR_LOWEST_CURR_50, // Is current bar has lowest price out of 50 bars
CHART_COND_BAR_LOWEST_PREV_20, // Is previous bar has lowest price out of 20 bars
CHART_COND_BAR_LOWEST_PREV_50, // Is previous bar has lowest price out of 50 bars
CHART_COND_BAR_LOW_GT_OPEN, // Current bar's low price > current open
CHART_COND_BAR_LOW_LT_OPEN, // Current bar's low price < current open
CHART_COND_BAR_NEW, // On new bar
/* @fixme
CHART_COND_BAR_NEW_DAY = 37, // On new daily bar
CHART_COND_BAR_NEW_HOUR = 38, // On new hourly bar
CHART_COND_BAR_NEW_MONTH = 49, // On new monthly bar
CHART_COND_BAR_NEW_WEEK = 50, // On new weekly bar
CHART_COND_BAR_NEW_YEAR = 51, // On new yearly bar
*/
FINAL_ENUM_CHART_CONDITION_ENTRY
};
// Define type of periods.
// @see: https://docs.mql4.com/constants/chartconstants/enum_timeframes
#define TFS 21
const ENUM_TIMEFRAMES arr_tf[TFS] = {
PERIOD_M1, PERIOD_M2, PERIOD_M3, PERIOD_M4, PERIOD_M5, PERIOD_M6,
PERIOD_M10, PERIOD_M12, PERIOD_M15, PERIOD_M20, PERIOD_M30,
PERIOD_H1, PERIOD_H2, PERIOD_H3, PERIOD_H4, PERIOD_H6, PERIOD_H8, PERIOD_H12,
PERIOD_D1, PERIOD_W1, PERIOD_MN1
};
#ifndef __MQLBUILD__
// Defines chart timeframes
// @docs
// - https://docs.mql4.com/constants/chartconstants/enum_timeframes
// - https://www.mql5.com/en/docs/constants/chartconstants/enum_timeframes
enum ENUM_TIMEFRAMES {
PERIOD_CURRENT = 0, // Current timeframe.
PERIOD_M1 = 1, // 1 minute.
PERIOD_M2 = 2, // 2 minutes.
PERIOD_M3 = 3, // 3 minutes.
PERIOD_M4 = 4, // 4 minutes.
PERIOD_M5 = 5, // 5 minutes.
PERIOD_M6 = 6, // 6 minutes.
PERIOD_M10 = 10, // 10 minutes.
PERIOD_M12 = 12, // 12 minutes.
PERIOD_M15 = 15, // 15 minutes.
PERIOD_M20 = 20, // 20 minutes.
PERIOD_M30 = 30, // 30 minutes.
PERIOD_H1 = 60, // 1 hour.
PERIOD_H2 = 120, // 2 hours.
PERIOD_H3 = 180, // 3 hours.
PERIOD_H4 = 240, // 4 hours.
PERIOD_H6 = 360, // 6 hours.
PERIOD_H8 = 480, // 8 hours.
PERIOD_H12 = 720, // 12 hours.
PERIOD_D1 = 1440, // 1 day.
PERIOD_W1 = 10080, // 1 week.
PERIOD_MN1 = 43200 // 1 month.
}
#endif
// Pivot Point calculation method.
enum ENUM_PP_TYPE {
PP_CAMARILLA = 1, // A set of eight very probable levels which resemble support and resistance values for a current trend.
PP_CLASSIC = 2, // Classic pivot point
PP_FIBONACCI = 3, // Fibonacci pivot point
PP_FLOOR = 4, // Most basic and popular type of pivots used in Forex trading technical analysis.
PP_TOM_DEMARK = 5, // Tom DeMark's pivot point (predicted lows and highs of the period).
PP_WOODIE = 6, // Woodie's pivot point are giving more weight to the Close price of the previous period.
FINAL_ENUM_PP_TYPE_ENTRY
};
// Struct for storing OHLC values.
struct OHLC {
datetime time;
double open, high, low, close;
};
struct ChartParams {
ENUM_TIMEFRAMES tf;
ENUM_TIMEFRAMES_INDEX tfi;
ENUM_PP_TYPE pp_type;
// Constructor.
void ChartParams(ENUM_TIMEFRAMES _tf = PERIOD_CURRENT)
: tf(_tf), tfi(Chart::TfToIndex(_tf)), pp_type(PP_CLASSIC) {};
void ChartParams(ENUM_TIMEFRAMES_INDEX _tfi)
: tfi(_tfi), tf(Chart::IndexToTf(_tfi)), pp_type(PP_CLASSIC) {};
void SetPP(ENUM_PP_TYPE _pp) { pp_type = _pp; }
void SetTf(ENUM_TIMEFRAMES _tf) { tf = _tf; tfi = Chart::TfToIndex(_tf); };
};
// Struct for pivot points.
struct PivotPoints {
double pp, s1, s2, s3, s4, r1, r2, r3, r4;
};
/**
* Class to provide chart, timeframe and timeseries operations.
*/
class Chart : public Market {
protected:
// Structs.
ChartParams cparams;
OHLC ohlc_saves[];
// Stores information about the prices, volumes and spread.
MqlRates rates[];
// Stores indicator instances.
// @todo
//Dict<long, Indicator> indis;
// Variables.
datetime last_bar_time;
// Current tick index (incremented every OnTick()).
int tick_index;
// Current bar index (incremented every OnTick() if IsNewBar() is true).
int bar_index;
public:
/**
* Class constructor.
*/
void Chart(ChartParams &_cparams, string _symbol = NULL)
: cparams(_cparams.tf),
Market(_symbol),
last_bar_time(GetBarTime()),
tick_index(-1),
bar_index(-1)
{
// Save the first OHLC values.
SaveOHLC();
}
void Chart(ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, string _symbol = NULL)
: cparams(_tf),
Market(_symbol),
last_bar_time(GetBarTime()),
tick_index(-1),
bar_index(-1)
{
// Save the first OHLC values.
SaveOHLC();
}
Chart(ENUM_TIMEFRAMES_INDEX _tfi, string _symbol = NULL)
: cparams(_tfi),
Market(_symbol),
last_bar_time(GetBarTime()),
tick_index(-1),
bar_index(-1)
{
// Save the first OHLC values.
SaveOHLC();
}
/**
* Class constructor.
*/
~Chart() {
}
long GetId() {
return ChartID();
}
/**
* Get the current timeframe.
*/
ENUM_TIMEFRAMES GetTf() {
return cparams.tf;
}
/**
* Convert period to proper chart timeframe value.
*
*/
static ENUM_TIMEFRAMES IndexToTf(ENUM_TIMEFRAMES_INDEX index) {
// @todo: Convert it into a loop and using tf constant, see: TfToIndex().
switch (index) {
case M1: return PERIOD_M1; // For 1 minute.
case M2: return PERIOD_M2; // For 2 minutes (non-standard).
case M3: return PERIOD_M3; // For 3 minutes (non-standard).
case M4: return PERIOD_M4; // For 4 minutes (non-standard).
case M5: return PERIOD_M5; // For 5 minutes.
case M6: return PERIOD_M6; // For 6 minutes (non-standard).
case M10: return PERIOD_M10; // For 10 minutes (non-standard).
case M12: return PERIOD_M12; // For 12 minutes (non-standard).
case M15: return PERIOD_M15; // For 15 minutes.
case M20: return PERIOD_M20; // For 20 minutes (non-standard).
case M30: return PERIOD_M30; // For 30 minutes.
case H1: return PERIOD_H1; // For 1 hour.
case H2: return PERIOD_H2; // For 2 hours (non-standard).
case H3: return PERIOD_H3; // For 3 hours (non-standard).
case H4: return PERIOD_H4; // For 4 hours.
case H6: return PERIOD_H6; // For 6 hours (non-standard).
case H8: return PERIOD_H8; // For 8 hours (non-standard).
case H12: return PERIOD_H12; // For 12 hours (non-standard).
case D1: return PERIOD_D1; // Daily.
case W1: return PERIOD_W1; // Weekly.
case MN1: return PERIOD_MN1; // Monthly.
default: return NULL;
}
}
/**
* Convert timeframe constant to index value.
*/
static ENUM_TIMEFRAMES_INDEX TfToIndex(ENUM_TIMEFRAMES _tf) {
_tf = (_tf == 0 || _tf == PERIOD_CURRENT) ? (ENUM_TIMEFRAMES) _Period : _tf;
for (int i = 0; i < ArraySize(arr_tf); i++) {
if (arr_tf[i] == _tf) {
return (ENUM_TIMEFRAMES_INDEX) i;
}
}
return NULL;
}
ENUM_TIMEFRAMES_INDEX TfToIndex() {
return TfToIndex(cparams.tf);
}
/**
* Returns text representation of the timeframe constant.
*/
static string TfToString(const ENUM_TIMEFRAMES _tf) {
return StringSubstr(EnumToString((_tf == 0 || _tf == PERIOD_CURRENT ? (ENUM_TIMEFRAMES) _Period : _tf)), 7);
}
string TfToString() {
return TfToString(cparams.tf);
}
/**
* Returns text representation of the timeframe index.
*/
static string IndexToString(ENUM_TIMEFRAMES_INDEX _tfi) {
return TfToString(IndexToTf(_tfi));
}
/**
* Validate whether given timeframe is valid.
*/
static bool IsValidTf(ENUM_TIMEFRAMES _tf, string _symbol = NULL) {
return Chart::iOpen(_symbol, _tf) > 0;
}
bool IsValidTf() {
static bool is_valid = false;
return is_valid ? is_valid : GetOpen() > 0;
}
/**
* Validate whether given timeframe index is valid.
*/
static bool IsValidTfIndex(ENUM_TIMEFRAMES_INDEX _tfi, string _symbol = NULL) {
return IsValidTf(IndexToTf(_tfi), _symbol);
}
bool IsValidTfIndex() {
return IsValidTfIndex(cparams.tfi, symbol);
}
/* Timeseries */
/* @see: https://docs.mql4.com/series */
/**
* Returns open time price value for the bar of indicated symbol.
*
* If local history is empty (not loaded), function returns 0.
*/
static datetime iTime(string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, uint _shift = 0) {
#ifdef __MQL4__
return ::iTime(_symbol, _tf, _shift); // Same as: Time[_shift]
#else // __MQL5__
datetime _arr[];
// ENUM_TIMEFRAMES _tf = MQL4::TFMigrate(_tf);
return (_shift >=0 && ::CopyTime(_symbol, _tf, _shift, 1, _arr) > 0) ? _arr[0] : -1;
#endif
}
datetime GetBarTime(ENUM_TIMEFRAMES _tf, uint _shift = 0) {
return Chart::iTime(symbol, _tf, _shift);
}
datetime GetBarTime(unsigned int _shift = 0) {
return Chart::iTime(symbol, cparams.tf, _shift);
}
datetime GetLastBarTime() {
return last_bar_time;
}
/**
* Returns open price value for the bar of indicated symbol.
*
* If local history is empty (not loaded), function returns 0.
*/
static double iOpen(string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, uint _shift = 0) {
#ifdef __MQL4__
return ::iOpen(_symbol, _tf, _shift); // Same as: Open[_shift]
#else // __MQL5__
double _arr[];
ArraySetAsSeries(_arr, true);
return (_shift >= 0 && CopyOpen(_symbol, _tf, _shift, 1, _arr) > 0) ? _arr[0] : -1;
#endif
}
double GetOpen(ENUM_TIMEFRAMES _tf, uint _shift = 0) {
return Chart::iOpen(symbol, _tf, _shift);
}
double GetOpen(uint _shift = 0) {
return Chart::iOpen(symbol, cparams.tf, _shift);
}
/**
* Returns close price value for the bar of indicated symbol.
*
* If local history is empty (not loaded), function returns 0.
*
* @see https://docs.mql4.com/series/iclose
*/
static double iClose(string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, int _shift = 0) {
#ifdef __MQL4__
return ::iClose(_symbol, _tf, _shift); // Same as: Close[_shift]
#else // __MQL5__
double _arr[];
ArraySetAsSeries(_arr, true);
return (_shift >= 0 && CopyClose(_symbol, _tf, _shift, 1, _arr) > 0) ? _arr[0] : -1;
#endif
}
double GetClose(ENUM_TIMEFRAMES _tf, int _shift = 0) {
return Chart::iClose(symbol, _tf, _shift);
}
double GetClose(int _shift = 0) {
return Chart::iClose(symbol, cparams.tf, _shift);
}
/**
* Returns low price value for the bar of indicated symbol.
*
* If local history is empty (not loaded), function returns 0.
*/
static double iLow(string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, uint _shift = 0) {
#ifdef __MQL4__
return ::iLow(_symbol, _tf, _shift); // Same as: Low[_shift]
#else // __MQL5__
double _arr[];
ArraySetAsSeries(_arr, true);
return (_shift >= 0 && CopyLow(_symbol, _tf, _shift, 1, _arr) > 0) ? _arr[0] : -1;
#endif
}
double GetLow(ENUM_TIMEFRAMES _tf, uint _shift = 0) {
return Chart::iLow(symbol, _tf, _shift);
}
double GetLow(uint _shift = 0) {
return Chart::iLow(symbol, cparams.tf, _shift);
}
/**
* Returns low price value for the bar of indicated symbol.
*
* If local history is empty (not loaded), function returns 0.
*/
static double iHigh(string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, uint _shift = 0) {
#ifdef __MQL4__
return ::iHigh(_symbol, _tf, _shift); // Same as: High[_shift]
#else // __MQL5__
double _arr[];
ArraySetAsSeries(_arr, true);
return (_shift >= 0 && CopyHigh(_symbol, _tf, _shift, 1, _arr) > 0) ? _arr[0] : -1;
#endif
}
double GetHigh(ENUM_TIMEFRAMES _tf, uint _shift = 0) {
return iHigh(symbol, _tf, _shift);
}
double GetHigh(uint _shift = 0) {
return iHigh(symbol, cparams.tf, _shift);
}
/**
* Returns the current price value given applied price type.
*/
static double iPrice(ENUM_APPLIED_PRICE _ap, string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, int _shift = 0) {
double _result = EMPTY_VALUE;
switch (_ap) {
// Close price.
case PRICE_CLOSE:
_result = Chart::iClose(_symbol, _tf, _shift);
break;
// Open price.
case PRICE_OPEN:
_result = Chart::iOpen(_symbol, _tf, _shift);
break;
// The maximum price for the period.
case PRICE_HIGH:
_result = Chart::iHigh(_symbol, _tf, _shift);
break;
// The minimum price for the period.
case PRICE_LOW:
_result = Chart::iLow(_symbol, _tf, _shift);
break;
// Median price: (high + low)/2.
case PRICE_MEDIAN:
_result = (Chart::iHigh(_symbol, _tf, _shift) + Chart::iLow(_symbol, _tf, _shift)) / 2;
break;
// Typical price: (high + low + close)/3.
case PRICE_TYPICAL:
_result = (Chart::iHigh(_symbol, _tf, _shift) + Chart::iLow(_symbol, _tf, _shift) + Chart::iClose(_symbol, _tf, _shift)) / 3;
break;
// Weighted close price: (high + low + close + close)/4.
case PRICE_WEIGHTED:
_result = (Chart::iHigh(_symbol, _tf, _shift) + Chart::iLow(_symbol, _tf, _shift) + Chart::iClose(_symbol, _tf, _shift) + Chart::iClose(_symbol, _tf, _shift)) / 4;
break;
}
return _result;
}
double GetPrice(ENUM_APPLIED_PRICE _ap, int _shift = 0) {
return Chart::iPrice(_ap, symbol, cparams.tf, _shift);
}
/**
* Returns the price value given applied price type.
*/
static double GetAppliedPrice(ENUM_APPLIED_PRICE _ap, double o, double h, double c, double l) {
switch (_ap) {
case PRICE_CLOSE:
return c;
case PRICE_OPEN:
return o;
case PRICE_HIGH:
return h;
case PRICE_LOW:
return l;
case PRICE_MEDIAN:
return (h + l) / 2;
case PRICE_TYPICAL:
return (h + l + c) / 3;
case PRICE_WEIGHTED:
return (h + l + c + c) / 4;
}
return EMPTY_VALUE;
}
/**
* Returns tick volume value for the bar.
*
* If local history is empty (not loaded), function returns 0.
*/
static long iVolume(string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, uint _shift = 0) {
#ifdef __MQL4__
return ::iVolume(_symbol, _tf, _shift); // Same as: Volume[_shift]
#else // __MQL5__
long _arr[];
ArraySetAsSeries(_arr, true);
return (_shift >= 0 && CopyTickVolume(_symbol, _tf, _shift, 1, _arr) > 0) ? _arr[0] : -1;
#endif
}
long GetVolume(ENUM_TIMEFRAMES _tf, uint _shift = 0) {
return iVolume(symbol, _tf, _shift);
}
long GetVolume(uint _shift = 0) {
return iVolume(symbol, cparams.tf, _shift);
}
/**
* Returns the shift of the maximum value over a specific number of periods depending on type.
*/
static int iHighest(string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, int _type = MODE_HIGH, uint _count = WHOLE_ARRAY, int _start = 0) {
#ifdef __MQL4__
return ::iHighest(_symbol, _tf, _type, _count, _start);
#else // __MQL5__
if (_start < 0) return (-1);
_count = (_count <= 0 ? Chart::iBars(_symbol, _tf) : _count);
double arr_d[];
long arr_l[];
datetime arr_dt[];
ArraySetAsSeries(arr_d, true);
switch (_type) {
case MODE_OPEN:
CopyOpen(_symbol, _tf, _start, _count, arr_d);
break;
case MODE_LOW:
CopyLow(_symbol, _tf, _start, _count, arr_d);
break;
case MODE_HIGH:
CopyHigh(_symbol, _tf, _start, _count, arr_d);
break;
case MODE_CLOSE:
CopyClose(_symbol, _tf, _start, _count, arr_d);
break;
case MODE_VOLUME:
ArraySetAsSeries(arr_l, true);
CopyTickVolume(_symbol, _tf, _start, _count, arr_l);
return (ArrayMaximum(arr_l, 0, _count) + _start);
case MODE_TIME:
ArraySetAsSeries(arr_dt, true);
CopyTime(_symbol, _tf, _start, _count, arr_dt);
return (ArrayMaximum(arr_dt, 0, _count) + _start);
default:
break;
}
return (ArrayMaximum(arr_d, 0, _count) + _start);
#endif
}
int GetHighest(ENUM_TIMEFRAMES _tf, int type, int _count = WHOLE_ARRAY, int _start = 0) {
return iHighest(symbol, _tf, type, _count, _start);
}
int GetHighest(int type, int _count = WHOLE_ARRAY, int _start = 0) {
return iHighest(symbol, cparams.tf, type, _count, _start);
}
/**
* Returns the shift of the lowest value over a specific number of periods depending on type.
*/
static int iLowest(string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, int _type = MODE_LOW, unsigned int _count = WHOLE_ARRAY, int _start = 0) {
#ifdef __MQL4__
return ::iLowest(_symbol, _tf, _type, _count, _start);
#else // __MQL5__
if (_start < 0) return (-1);
_count = (_count <= 0 ? iBars(_symbol, _tf) : _count);
double arr_d[];
long arr_l[];
datetime arr_dt[];
ArraySetAsSeries(arr_d, true);
switch (_type) {
case MODE_OPEN:
CopyOpen(_symbol, _tf, _start, _count, arr_d);
break;
case MODE_LOW:
CopyLow(_symbol, _tf, _start, _count, arr_d);
break;
case MODE_HIGH:
CopyHigh(_symbol, _tf, _start, _count, arr_d);
break;
case MODE_CLOSE:
CopyClose(_symbol, _tf, _start, _count, arr_d);
break;
case MODE_VOLUME:
ArraySetAsSeries(arr_l, true);
CopyTickVolume(_symbol, _tf, _start, _count, arr_l);
return (ArrayMinimum(arr_l, 0, _count) + _start);
case MODE_TIME:
ArraySetAsSeries(arr_dt, true);
CopyTime(_symbol, _tf, _start, _count, arr_dt);
return (ArrayMinimum(arr_dt, 0, _count) + _start);
default:
break;
}
return (ArrayMinimum(arr_d, 0, _count) + _start);
#endif
}
int GetLowest(int _type, int _count = WHOLE_ARRAY, int _start = 0) {
return iLowest(symbol, cparams.tf, _type, _count, _start);
}
/**
* Returns the number of bars on the specified chart.
*/
static uint iBars(string _symbol = NULL, ENUM_TIMEFRAMES _tf = PERIOD_CURRENT) {
#ifdef __MQL4__
// In MQL4, for the current chart, the information about the amount of bars is in the Bars predefined variable.
return ::iBars(_symbol, _tf);
#else // _MQL5__
// ENUM_TIMEFRAMES _tf = MQL4::TFMigrate(_tf);
return ::Bars(_symbol, _tf);
#endif
}
uint GetBars() {
return iBars(symbol, cparams.tf);
}
/**
* Search for a bar by its time.
*
* Returns the index of the bar which covers the specified time.
*/
static int iBarShift(string _symbol, ENUM_TIMEFRAMES _tf, datetime _time, bool _exact = false) {
#ifdef __MQL4__
return ::iBarShift(_symbol, _tf, _time, _exact);
#else // __MQL5__
if (_time < 0) return (-1);
datetime arr[], _time0;
// ENUM_TIMEFRAMES _tf = MQL4::TFMigrate(_tf);
CopyTime(_symbol, _tf, 0, 1, arr);
_time0 = arr[0];
if (CopyTime(_symbol,_tf, _time, _time0, arr) > 0) {
if (ArraySize(arr) > 2 ) {
return ArraySize(arr) - 1;
} else {
return _time < _time0 ? 1 : 0;
}
} else {
return -1;
}
#endif
}
int GetBarShift(datetime _time, bool _exact = false) {
return iBarShift(symbol, cparams.tf, _time, _exact);
}
/**
* Get peak price at given number of bars.
*
* In case of error, check it via GetLastError().
*/
double GetPeakPrice(int bars, int mode, int index, ENUM_TIMEFRAMES timeframe = PERIOD_CURRENT) {
int ibar = -1;
// @todo: Add symbol parameter.
double peak_price = GetOpen(0);
switch (mode) {
case MODE_HIGH:
ibar = iHighest(symbol, timeframe, MODE_HIGH, bars, index);
return ibar >= 0 ? GetHigh(timeframe, ibar) : false;
case MODE_LOW:
ibar = iLowest(symbol, timeframe, MODE_LOW, bars, index);
return ibar >= 0 ? GetLow(timeframe, ibar) : false;
default:
return false;
}
}
double GetPeakPrice(int bars, int mode = MODE_HIGH, int index = 0) {
return GetPeakPrice(bars, mode, index, cparams.tf);
}
/**
* List active timeframes.
*
* @param
* _all bool If true, return also non-active timeframes.
*
* @return
* Returns textual representation of list of timeframes.
*/
static string ListTimeframes(bool _all = false, string _prefix = "Timeframes: ") {
string output = _prefix;
for (ENUM_TIMEFRAMES_INDEX _tfi = 0; _tfi < FINAL_ENUM_TIMEFRAMES_INDEX; _tfi++ ) {
if (_all) {
output += StringFormat("%s: %s; ", IndexToString(_tfi), IsValidTfIndex(_tfi) ? "On" : "Off");
} else {
output += IsValidTfIndex(_tfi) ? IndexToString(_tfi) + "; " : "";
}
}
return output;
}
/* Chart */
/**
* Sets a flag hiding indicators.
*
* After the Expert Advisor has been tested and the appropriate chart opened, the flagged indicators will not be drawn in the testing chart.
* Every indicator called will first be flagged with the current hiding flag.
* It must be noted that only those indicators can be drawn in the testing chart that are directly called from the expert under test.
*
* @param
* _hide bool Flag for hiding indicators when testing. Set true to hide created indicators, otherwise false.
*/
static void HideTestIndicators(bool _hide = false) {
#ifdef __MQL4__
::HideTestIndicators(_hide);
#else // __MQL5__
::TesterHideIndicators(_hide);
#endif
}
/* Calculation methods */
/**
* Calculate modelling quality.
*
* @see:
* - https://www.mql5.com/en/articles/1486
* - https://www.mql5.com/en/articles/1513
*/
static double CalcModellingQuality(ENUM_TIMEFRAMES TimePr = NULL) {
int i;
int nBarsInM1 = 0;
int nBarsInPr = 0;
int nBarsInNearPr = 0;
ENUM_TIMEFRAMES TimeNearPr = PERIOD_M1;
double ModellingQuality = 0;
long StartGen = 0;
long StartBar = 0;
long StartGenM1 = 0;
long HistoryTotal = 0;
datetime modeling_start_time = D'1971.01.01 00:00';
if (TimePr == NULL) TimePr = (ENUM_TIMEFRAMES) Period();
if (TimePr == PERIOD_M1) TimeNearPr = PERIOD_M1;
if (TimePr == PERIOD_M5) TimeNearPr = PERIOD_M1;
if (TimePr == PERIOD_M15) TimeNearPr = PERIOD_M5;
if (TimePr == PERIOD_M30) TimeNearPr = PERIOD_M15;
if (TimePr == PERIOD_H1) TimeNearPr = PERIOD_M30;
if (TimePr == PERIOD_H4) TimeNearPr = PERIOD_H1;
if (TimePr == PERIOD_D1) TimeNearPr = PERIOD_H4;
if (TimePr == PERIOD_W1) TimeNearPr = PERIOD_D1;
if (TimePr == PERIOD_MN1) TimeNearPr = PERIOD_W1;
// 1 minute.
double nBars = fmin(iBars(NULL, TimePr) * TimePr, iBars(NULL,PERIOD_M1));
for (i = 0; i < nBars;i++) {
if (Chart::iOpen(NULL,PERIOD_M1, i) >= 0.000001) {
if (Chart::iTime(NULL, PERIOD_M1, i) >= modeling_start_time)
{
nBarsInM1++;
}
}
}
// Nearest time.
nBars = iBars(NULL, TimePr);
for (i = 0; i < nBars;i++) {
if (Chart::iOpen(NULL,TimePr, i) >= 0.000001) {
if (Chart::iTime(NULL, TimePr, i) >= modeling_start_time)
nBarsInPr++;
}
}
// Period time.
nBars = fmin(iBars(NULL, TimePr) * TimePr/TimeNearPr, iBars(NULL, TimeNearPr));
for (i = 0; i < nBars;i++) {
if (Chart::iOpen(NULL, TimeNearPr, (int)i) >= 0.000001) {
if (Chart::iTime(NULL, TimeNearPr, i) >= modeling_start_time)
nBarsInNearPr++;
}
}
HistoryTotal = nBarsInPr;
nBarsInM1 = nBarsInM1 / TimePr;
nBarsInNearPr = nBarsInNearPr * TimeNearPr / TimePr;
StartGenM1 = HistoryTotal - nBarsInM1;
StartBar = HistoryTotal - nBarsInPr;
StartBar = 0;
StartGen = HistoryTotal - nBarsInNearPr;
if(TimePr == PERIOD_M1) {
StartGenM1 = HistoryTotal;
StartGen = StartGenM1;
}
if((HistoryTotal - StartBar) != 0) {
ModellingQuality = ((0.25 * (StartGen-StartBar) +
0.5 * (StartGenM1 - StartGen) +
0.9 * (HistoryTotal - StartGenM1)) / (HistoryTotal - StartBar)) * 100;
}
return (ModellingQuality);
}
/**
* Calculates pivot points in different systems.
*/
static void CalcPivotPoints(string _symbol, ENUM_TIMEFRAMES _tf, ENUM_PP_TYPE _type, double &PP, double &S1, double &S2, double &S3, double &S4, double &R1, double &R2, double &R3, double &R4) {
double _open = Chart::iOpen(_symbol, _tf, 1);
double _high = Chart::iHigh(_symbol, _tf, 1);
double _low = Chart::iLow(_symbol, _tf, 1);
double _close = Chart::iClose(_symbol, _tf, 1);
double _range = _high - _low;
switch (_type) {
case PP_CAMARILLA:
// A set of eight very probable levels which resemble support and resistance values for a current trend.
// S1 = C - (H - L) * 1.1 / 12 (1.0833)
// S2 = C - (H - L) * 1.1 / 6 (1.1666)
// S3 = C - (H - L) * 1.1 / 4 (1.25)
// S4 = C - (H - L) * 1.1 / 2 (1.5)
// R1 = (H - L) * 1.1 / 12 + C (1.0833)
// R2 = (H - L) * 1.1 / 6 + C (1.1666)
// R3 = (H - L) * 1.1 / 4 + C (1.25)
// R4 = (H - L) * 1.1 / 2 + C (1.5)
PP = (_high + _low + _close) / 3;
S1 = _close - _range * 1.1 / 12;
S2 = _close - _range * 1.1 / 6;
S3 = _close - _range * 1.1 / 4;
S4 = _close - _range * 1.1 / 2;
R1 = _close + _range * 1.1 / 12;
R2 = _close + _range * 1.1 / 6;
R3 = _close + _range * 1.1 / 4;
R4 = _close + _range * 1.1 / 2;
break;
case PP_CLASSIC:
PP = (_high + _low + _close) / 3;
S1 = (2 * PP) - _high;
S2 = PP - _range;
S3 = PP - _range * 2;
S4 = PP - _range * 3;
R1 = (2 * PP) - _low;
R2 = PP + _range;
R3 = PP + _range * 2;
R4 = PP + _range * 3;
break;
case PP_FIBONACCI:
PP = (_high + _low + _close) / 3;
S1 = PP - 0.382 * _range;
S2 = PP - 0.618 * _range;
S3 = PP - _range;
S4 = S1 - _range; // ?
R1 = PP + 0.382 * _range;
R2 = PP + 0.618 * _range;
R3 = PP + _range;
R4 = R1 + _range; // ?
break;
case PP_FLOOR:
// Most basic and popular type of pivots used in Forex trading technical analysis.
// Pivot (P) = (H + L + C) / 3
// Support (S1) = (2 * P) - H
// S2 = P - H + L
// S3 = L - 2 * (H - P)
// Resistance (R1) = (2 * P) - L
// R2 = P + H - L
// R3 = H + 2 * (P - L)
PP = (_high + _low + _close) / 3;
S1 = (2 * PP) - _high;
S2 = PP - _range;
S3 = _low - 2 * (_high - PP);
S4 = S3; // ?
R1 = (2 * PP) - _low;
R2 = PP + _range;
R3 = _high + 2 * (PP - _low);
R4 = R3;
break;
case PP_TOM_DEMARK:
// Tom DeMark's pivot point (predicted lows and highs of the period).
// If Close < Open Then X = H + 2 * L + C
// If Close > Open Then X = 2 * H + L + C
// If Close = Open Then X = H + L + 2 * C
// New High = X / 2 - L
// New Low = X / 2 - H
if (_close < _open) PP = (_high + (2 * _low) + _close) / 4;
else if (_close > _open) PP = ((2 * _high) + _low + _close) / 4;
else if (_close == _open) PP = (_high + _low + (2 * _close)) / 4;
S1 = (2 * PP) - _high;
S2 = PP - _range;
S3 = S1 - _range;
S4 = S2 - _range; // ?
R1 = (2 * PP) - _low;
R2 = PP + _range;
R3 = R1 + _range;
R4 = R2 + _range; // ?
break;
case PP_WOODIE:
// Woodie's pivot point are giving more weight to the Close price of the previous period.
// They are similar to floor pivot points, but are calculated in a somewhat different way.
// Pivot (P) = (H + L + 2 * C) / 4
// Support (S1) = (2 * P) - H
// S2 = P - H + L
// Resistance (R1) = (2 * P) - L
// R2 = P + H - L
PP = (_high + _low + (2 * _close)) / 4;
S1 = (2 * PP) - _high;
S2 = PP - _range;
S3 = S1 - _range;
S4 = S2 - _range; // ?
R1 = (2 * PP) - _low;
R2 = PP + _range;
R3 = R1 + _range;
R4 = R2 + _range; // ?
break;
}
PP = NormalizePrice(_symbol, PP);
S1 = NormalizePrice(_symbol, S1);
S2 = NormalizePrice(_symbol, S2);
S3 = NormalizePrice(_symbol, S3);
S4 = NormalizePrice(_symbol, S4);
R1 = NormalizePrice(_symbol, R1);
R2 = NormalizePrice(_symbol, R2);
R3 = NormalizePrice(_symbol, R3);
R4 = NormalizePrice(_symbol, R4);
}
void CalcPivotPoints(PivotPoints &_pp, ENUM_PP_TYPE _type = FINAL_ENUM_PP_TYPE_ENTRY) {
if (_type == FINAL_ENUM_PP_TYPE_ENTRY) {
_type = cparams.pp_type;
}
Chart::CalcPivotPoints(symbol, cparams.tf, _type, _pp.pp, _pp.s1, _pp.s2, _pp.s3, _pp.s4, _pp.r1, _pp.r2, _pp.r3, _pp.r4);
}
/**
* Returns bar's range size in pips.
*/
double GetBarRangeSize(uint _bar) {
return (Chart::GetHigh(_bar) - Chart::GetLow(_bar)) / Market::GetPointsPerPip();
}
/**
* Returns bar's candle size in pips.
*/
double GetBarCandleSize(uint _bar) {
return (Chart::GetClose((int)_bar)- Chart::GetOpen(_bar)) / Market::GetPointsPerPip();
}