All orders
Rules
Specification
Предлагаю переделать с mql4 на mql5 индикатор. Текст ниже:
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_color1 Red
#property indicator_color2 Blue
#property indicator_width1 2
#property indicator_width2 1
#property indicator_minimum -1
#property indicator_maximum 1
#define TWO_SYMBOLS 2
#define MAX_POINTS 1000000
extern string Symbol1 = "EURUSD";
extern string Symbol2 = "GBPUSD";
extern int Depth = 288;
extern int Shift = 0;
extern double ExpKoef = 0.01;
string Symbols[TWO_SYMBOLS];
double BaseMatrix[TWO_SYMBOLS][MAX_POINTS], MOMatrix[TWO_SYMBOLS][MAX_POINTS];
double CvarMatrix[TWO_SYMBOLS][TWO_SYMBOLS];
double Means[TWO_SYMBOLS], SVector[TWO_SYMBOLS];
int Times[MAX_POINTS], Shifts[TWO_SYMBOLS];
int MatrixRows;
int CurrPos, CurrTime;
double Exp;
double Buffer[], Buffer2[];
datetime GetStartTime( datetime StartTime )
{
datetime Tmp;
int Pos;
for (int i = 0; i < TWO_SYMBOLS; i++)
{
Pos = iBarShift(Symbols[i], Period(), StartTime);
Tmp = iTime(Symbols[i], Period(), Pos);
if (Tmp > StartTime)
StartTime = Tmp;
}
return(StartTime);
}
double GetPrice( string Symb, int time )
{
double Price;
Price = iClose(Symb, Period(), iBarShift(Symb, Period(), time));
return(Price);
}
int GetNextTime( int CurrTime )
{
static int Pos[TWO_SYMBOLS];
int i, MinTime, Tmp = -1;
for (i = 0; i < TWO_SYMBOLS; i++)
{
Pos[i] = iBarShift(Symbols[i], Period(), CurrTime) - 1;
if (Pos[i] >= 0)
Tmp = i;
}
if (Tmp < 0)
return(Time[0]);
MinTime = iTime(Symbols[Tmp], Period(), Pos[Tmp]);
i = Tmp - 1;
while (i >= 0)
{
if (Pos[i] >= 0)
{
Tmp = iTime(Symbols[i], Period(), Pos[i]);
if (Tmp < MinTime)
MinTime = Tmp;
}
i--;
}
return(MinTime);
}
void GetBaseMatrix()
{
int i, NextTime;
NextTime = GetNextTime(CurrTime);
while (NextTime < Time[0])
{
CurrTime = NextTime;
for (i = 0; i < TWO_SYMBOLS; i++)
BaseMatrix[i][MatrixRows + Shifts[i]] = MathLog(GetPrice(Symbols[i], CurrTime));
Times[MatrixRows] = CurrTime;
MatrixRows++;
NextTime = GetNextTime(CurrTime);
}
return;
}
void GetMeans( int Pos, int Len)
{
int i, j;
double Sum;
for (i = 0; i < TWO_SYMBOLS;, i++)
{
Sum = 0;
for (j = Pos; j > Pos - Len; j--)
Sum += BaseMatrix[i][j];
Means[i] = Sum / Len;
}
return;
}
void GetMOMatrix( int Pos, int Len)
{
int i, j;
for (i = 0; i < TWO_SYMBOLS;, i++)
for (j = Pos; j > Pos - Len; j--)
MOMatrix[i][j] = BaseMatrix[i][j] - Means[i];
return;
}
void GetCvarMatrix( int Pos, int Len )
{
int i, j, k;
double Cvar;
GetMeans(Pos, Len);
GetMOMatrix(Pos, Len);
for (i = 0; i < TWO_SYMBOLS; i++)
{
Cvar = 0;
for (k = Pos; k > Pos - Len; k--)
Cvar += MOMatrix[i][k] * MOMatrix[i][k];
CvarMatrix[i][i] = Cvar / Len;
}
Cvar = 0;
for (k = Pos; k > Pos - Len; k--)
Cvar += MOMatrix[0][k] * MOMatrix[1][k];
Cvar /= Len;
CvarMatrix[0][1] = Cvar;
return;
}
bool RealSymbol( string Symb )
{
return(MarketInfo(Symb, MODE_BID) != 0);
}
string iIF( bool Cond, string Str1, string Str2 )
{
if (Cond)
return(Str1);
return(Str2);
}
void init()
{
Symbols[0] = iIF(Shift < 0, Symbol2, Symbol1);
Symbols[1] = iIF(Shift < 0, Symbol1, Symbol2);
Shifts[0] = 0;
Shifts[1] = MathAbs(Shift);
for (int i = 0; i < TWO_SYMBOLS; i++)
if (!RealSymbol(Symbols[i]))
Symbols[i] = Symbol();
IndicatorDigits(8);
SetIndexStyle(0, DRAW_LINE, DRAW_LINE);
SetIndexBuffer(0, Buffer);
SetIndexBuffer(1, Buffer2);
SetIndexLabel(0, "Correlation");
SetIndexLabel(1, "Exponential (ExpKoef = " + DoubleToStr(ExpKoef, 3) + ")");
IndicatorShortName("Correlation (" + Depth + " bars): " + Symbols[0] + "(t) && " + Symbols[1] + "(t - " + Shifts[1] + ")");
CurrTime = GetStartTime(0);
MatrixRows = 0;
GetBaseMatrix();
CurrPos = Depth + Shifts[1];
GetCvarMatrix(CurrPos - 1, Depth);
Exp = GetCorrelation();
return;
}
void GetNextMeans( int Pos, int Len )
{
int Pos2 = Pos - Len;
for (int i = 0; i < TWO_SYMBOLS; i++)
{
SVector[i] = (BaseMatrix[i][Pos2] - BaseMatrix[i][Pos]) / Len;
Means[i] -= SVector[i];
}
return;
}
void GetNextCvarMatrix2( int Pos, int Len )
{
int i, j;
int Pos2 = Pos - Len;
double Tmp1[TWO_SYMBOLS], Tmp2[TWO_SYMBOLS], Tmp3[TWO_SYMBOLS];
GetNextMeans(Pos, Len);
for (i = 0; i < TWO_SYMBOLS; i++)
{
Tmp1[i] = SVector[i];
Tmp2[i] = BaseMatrix[i][Pos] - Means[i];
Tmp3[i] = BaseMatrix[i][Pos2] - Means[i];
CvarMatrix[i][i] += Tmp1[i] * Tmp1[i] + (Tmp2[i] * Tmp2[i] - Tmp3[i] * Tmp3[i]) / Len;
if (CvarMatrix[i][i] < 0)
CvarMatrix[i][i] = 0;
}
CvarMatrix[0][1] += Tmp1[0] * Tmp1[1] + (Tmp2[0] * Tmp2[1] - Tmp3[0] * Tmp3[1]) / Len;
return;
}
double GetCorrelation()
{
double Res = 0;
double Var = MathSqrt(CvarMatrix[0][0] * CvarMatrix[1][1]);
if (Var != 0)
Res = CvarMatrix[0][1] / Var;
return(Res);
}
void start()
{
static int PrevTime = 0;
double Corr;
int Pos;
if (PrevTime == 0)
{
PrevTime = Time[0];
while (CurrPos < MatrixRows)
{
GetNextCvarMatrix2(CurrPos, Depth);
Corr = GetCorrelation();
Exp = Corr * ExpKoef + Exp * (1 - ExpKoef);
Pos = iBarShift(Symbol(), Period(), Times[CurrPos]);
Buffer[Pos] = Corr;
Buffer2[Pos] = Exp;
CurrPos++;
}
}
if (PrevTime != Time[0])
{
PrevTime = Time[0];
GetBaseMatrix();
while (CurrPos < MatrixRows)
{
GetCvarMatrix(CurrPos, Depth);
Corr = GetCorrelation();
Exp = Corr * ExpKoef + Exp * (1 - ExpKoef);
Pos = iBarShift(Symbol(), Period(), Times[CurrPos]);
Buffer[Pos] = Corr;
Buffer2[Pos] = Exp;
CurrPos++;
}
}
return;
}