Creating My First Indicator: Relative Volume

[windowshopr]

I'm attempting to create my first MQL5 indicator, the Relative Volume. Relative Volume is just the current tick's volume / average volume over past n bars. Simple.

I've read the two articles for newbies (here and here), but am just a bit unclear on some things that I will be able to decipher on my own once I get some help with this indicator.

This is what I have so far:

//+------------------------------------------------------------------+
//|                                             _Relative_Volume.mq5 |
//|                                                      windowshopr |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "windowshopr"
#property link      "https://www.mql5.com"
#property version   "1.00"
#property indicator_separate_window
#property indicator_minimum 0
#property indicator_buffers 1
#property indicator_plots   1

//--- plot Relative_Volume
#property indicator_label1  "Relative_Volume"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrDarkTurquoise
#property indicator_style1  STYLE_SOLID
#property indicator_width1  1

//--- input parameters
input int      length=14;

//--- indicator buffers
double         Relative_VolumeBuffer[];



//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
{
   SetIndexBuffer(0,Relative_VolumeBuffer,INDICATOR_DATA);
   IndicatorSetString(INDICATOR_SHORTNAME,"Relative Volume ("+(string)length+")");
   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,length);
   return(INIT_SUCCEEDED);
}



//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
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[])
{
   // Make sure we have at least "length" bars showing
   if(rates_total<length) return(prev_calculated);
   // or
   //if(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);
   // or
   //if(Bars(_Symbol,_Period)<rates_total) return(-1);

   // Define some local variables, one for the final relative_volume,
   // and the other for the current sum of "length" recent volumes
   long sum_of_recent_volumes = 0;
   int relative_volume = 0;
   
   // Start at the current rates_total bar, and work backwards "length" bars
   // (summing the volume of the recent "length" bars)
   for(int bar=rates_total; bar>rates_total-length; bar--)
   {
      sum_of_recent_volumes += volume[bar];
   }
   
   // Calculate the current relative volume (current tick's total volume / average of previous "length" bars volumes)
   relative_volume = volume[0] / (sum_of_recent_volumes/length);

   // Set the element of the indicator buffer with the value we have calculated
   Relative_VolumeBuffer[rates_total]=relative_volume;

   return(rates_total);
}

...which currently results in this (wrong) output:

Can I get some assistance in programming this simple indicator to help me better understand the buffers and rates_total and how these arrays are loc'd, etc. Thanks!!!

[windowshopr]

After reading a bit more from the book Expert Advisor Programming for MetaTrader 5, I was able to get it closer to working, but still not quite there.

My updated OnCalculate() code is below:

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[])
{
   // Make sure we have at least "length" bars showing
   if(rates_total<length) return(prev_calculated);
   // or
   //if(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);
   // or
   //if(Bars(_Symbol,_Period)<rates_total) return(-1);
   
   ArraySetAsSeries(Relative_VolumeBuffer, true);
   ArraySetAsSeries(volume, true);
   
   int bars = rates_total - 1;
   if(prev_calculated > 0) bars = rates_total - (prev_calculated - 1);

   for(int i = bars; i >= 0; i--)
   {
      long sum_of_recent_volumes = 0;
      int relative_volume = 0;
      
      for(int j=1; j<length+1; j++)
      {
         sum_of_recent_volumes += tick_volume[i];
      }
      Relative_VolumeBuffer[i] = tick_volume[i] / (sum_of_recent_volumes/length);
   }

   return(rates_total);
}

So the first loop iterates over all the uncalculated bars, and the inner loop attempts to calculate the relative volume for those bars.

However, the output is just 1.00:

[windowshopr]

Oh my, silly mistake, I had `i` as the locator for tick_volume[i] when it should have been tick_volume[j], so I made that change to line 76 and it results in this output:

...which still isn't correct. When I overlay the volume with a 14 period moving average on it, we should be seeing a spike in relative volume everywhere the tick volume > the ma. I've highlighted some key areas where we should be seeing a spike in relative volume but we don't:

I'll try to keep working on it, but I'm stuck now.

[windowshopr]

I THINK I FOUND THE WINNER!

//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
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[])
{
   // Make sure we have at least "length" bars showing
   if(rates_total<length) return(prev_calculated);
   // or
   //if(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);
   // or
   //if(Bars(_Symbol,_Period)<rates_total) return(-1);
   
   ArraySetAsSeries(Relative_VolumeBuffer, true);
   ArraySetAsSeries(tick_volume, true);
   
   int bars = rates_total - 1;
   if(prev_calculated > 0) bars = rates_total - (prev_calculated - 1);

   for(int i=bars; i>=0; i--)
   {
      float sum_of_recent_volumes = 0;
      float relative_volume = 0;
      
      for(int j=1; j<length+1; j++)
      {
         sum_of_recent_volumes += tick_volume[j];
      }
      Relative_VolumeBuffer[i] = tick_volume[i] / (sum_of_recent_volumes/(float)length);
   }

   return(rates_total);
}

Have to be mindful of integer math/casting `length` to a float, and using appropriate data types for the variables. This results in this output, which is much more accurate:

Thanks for letting me work through this one haha and I hope it helps some other newbies some day!

[William Roeder]

   int bars = rates_total - 1;
   if(prev_calculated > 0) bars = rates_total - (prev_calculated - 1);

   for(int i=bars; i>=0; i--){
      ⋮
      for(int j=1; j<length+1; j++){
         sum_of_recent_volumes += tick_volume[j];

Still wrong.

1. For a specific i, you need to sum j over [i … i + length-1]. You are summing over [1 … length+1]. The same bars for every candle!
2. Your look back is length-1.
             How to do your lookbacks correctly #9 — #14 & #19 (2016)