IMPORTANTE ! VWAP no EA

Carlos Martins 2020.06.24 22:59
Amigos,
Procurei aqui dentro do forum informações para calculo de VWAP, achei alguns indicadores, alguns itens para download que não é possível entender como funciona. Resumindo não achei nada que faça o calculo da Vwap, achei a formula para calcular, tentei fazer mais os valores não batem.
A VWAP é muito importante para o mercado brasileiro, principalmente quando trabalhamos com o Dolar futuro. Então acredito que seja de grande valia para esse forum termos um função que possamos chamar dentro do EA.
Se alguém já fez uma função ou possuir algum informação e puder compartilhar agradeço !
Kl_ Urt 2020.06.24 23:33 #1
Carlos Martins:
Amigos,
Se alguém já fez uma função ou possuir algum informação e puder compartilhar agradeço !
#property indicator_chart_window
#property indicator_buffers 3
#property indicator_plots   3

#property indicator_label1  "VWAP Daily"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrRed
#property indicator_style1  STYLE_DASH
#property indicator_width1  2

#property indicator_label2  "VWAP Weekly"
#property indicator_type2   DRAW_LINE
#property indicator_color2  clrBlue
#property indicator_style2  STYLE_DASH
#property indicator_width2  2

#property indicator_label3  "VWAP Monthly"
#property indicator_type3   DRAW_LINE
#property indicator_color3  clrGreen
#property indicator_style3  STYLE_DASH
#property indicator_width3  2
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
enum DATE_TYPE 
  {
   DAILY,
   WEEKLY,
   MONTHLY
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
enum PRICE_TYPE 
  {
   OPEN,
   CLOSE,
   HIGH,
   LOW,
   OPEN_CLOSE,
   HIGH_LOW,
   CLOSE_HIGH_LOW,
   OPEN_CLOSE_HIGH_LOW
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
datetime CreateDateTime(DATE_TYPE nReturnType=DAILY,datetime dtDay=D'2000.01.01 00:00:00',int pHour=0,int pMinute=0,int pSecond=0) 
  {
   datetime    dtReturnDate;
   MqlDateTime timeStruct;

   TimeToStruct(dtDay,timeStruct);
   timeStruct.hour = pHour;
   timeStruct.min  = pMinute;
   timeStruct.sec  = pSecond;
   dtReturnDate=(StructToTime(timeStruct));

   if(nReturnType==WEEKLY) 
     {
      while(timeStruct.day_of_week!=0) 
        {
         dtReturnDate=(dtReturnDate-86400);
         TimeToStruct(dtReturnDate,timeStruct);
        }
     }

   if(nReturnType==MONTHLY) 
     {
      timeStruct.day=1;
      dtReturnDate=(StructToTime(timeStruct));
     }

   return dtReturnDate;
  }

sinput  string      Indicator_Name      = "Volume Weighted Average Price (VWAP)";
input   PRICE_TYPE  Price_Type          = CLOSE_HIGH_LOW;
input   bool        Calc_Every_Tick     = false;
input   bool        Enable_Daily        = true;
input   bool        Show_Daily_Value    = true;
input   bool        Enable_Weekly       = false;
input   bool        Show_Weekly_Value   = false;
input   bool        Enable_Monthly      = false;
input   bool        Show_Monthly_Value  = false;

double          VWAP_Buffer_Daily[],VWAP_Buffer_Weekly[],VWAP_Buffer_Monthly[];
double          nPriceArr[],nTotalTPV[],nTotalVol[];
double          nSumDailyTPV = 0, nSumWeeklyTPV = 0, nSumMonthlyTPV = 0;
double          nSumDailyVol = 0, nSumWeeklyVol = 0, nSumMonthlyVol = 0;
int             nIdxDaily=0,nIdxWeekly=0,nIdxMonthly=0,nIdx=0;
bool            bIsFirstRun=true;
string          sDailyStr = "", sWeeklyStr  = "", sMonthlyStr = "";
datetime        dtLastDay = CreateDateTime(DAILY), dtLastWeek = CreateDateTime(WEEKLY), dtLastMonth = CreateDateTime(MONTHLY);
ENUM_TIMEFRAMES LastTimePeriod=PERIOD_MN1;
int             nStringYDistance=40;
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int OnInit() 
  {
   IndicatorSetInteger(INDICATOR_DIGITS,_Digits);

   SetIndexBuffer(0,VWAP_Buffer_Daily,INDICATOR_DATA);
   SetIndexBuffer(1,VWAP_Buffer_Weekly,INDICATOR_DATA);
   SetIndexBuffer(2,VWAP_Buffer_Monthly,INDICATOR_DATA);

   if(Show_Daily_Value) 
     {
      ObjectCreate(0,"VWAP_Daily",OBJ_LABEL,0,0,0);
      ObjectSetInteger(0,"VWAP_Daily",OBJPROP_CORNER,3);
      ObjectSetInteger(0,"VWAP_Daily",OBJPROP_XDISTANCE,180);
      ObjectSetInteger(0,"VWAP_Daily",OBJPROP_YDISTANCE,nStringYDistance);
      ObjectSetInteger(0,"VWAP_Daily",OBJPROP_COLOR,indicator_color1);
      ObjectSetInteger(0,"VWAP_Daily",OBJPROP_FONTSIZE,7);
      ObjectSetString(0,"VWAP_Daily",OBJPROP_FONT,"Verdana");
      ObjectSetString(0,"VWAP_Daily",OBJPROP_TEXT," ");
      nStringYDistance=nStringYDistance+20;
     }

   if(Show_Weekly_Value) 
     {
      ObjectCreate(0,"VWAP_Weekly",OBJ_LABEL,0,0,0);
      ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_CORNER,3);
      ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_XDISTANCE,180);
      ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_YDISTANCE,nStringYDistance);
      ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_COLOR,indicator_color2);
      ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_FONTSIZE,7);
      ObjectSetString(0,"VWAP_Weekly",OBJPROP_FONT,"Verdana");
      ObjectSetString(0,"VWAP_Weekly",OBJPROP_TEXT," ");
      nStringYDistance=nStringYDistance+20;
     }

   if(Show_Monthly_Value) 
     {
      ObjectCreate(0,"VWAP_Monthly",OBJ_LABEL,0,0,0);
      ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_CORNER,3);
      ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_XDISTANCE,180);
      ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_YDISTANCE,nStringYDistance);
      ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_COLOR,indicator_color3);
      ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_FONTSIZE,7);
      ObjectSetString(0,"VWAP_Monthly",OBJPROP_FONT,"Verdana");
      ObjectSetString(0,"VWAP_Monthly",OBJPROP_TEXT," ");
     }

   return(INIT_SUCCEEDED);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void OnDeinit(const int pReason) 
  {
   if(Show_Daily_Value) ObjectDelete(0,"VWAP_Daily");
   if(Show_Weekly_Value) ObjectDelete(0,"VWAP_Weekly");
   if(Show_Monthly_Value) ObjectDelete(0,"VWAP_Monthly");
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
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[]) 
  {

   if(PERIOD_CURRENT!=LastTimePeriod) 
     {
      bIsFirstRun=true;
      LastTimePeriod=PERIOD_CURRENT;
     }

   if(rates_total>prev_calculated || bIsFirstRun || Calc_Every_Tick) 
     {
      ArrayResize(nPriceArr,rates_total);
      ArrayResize(nTotalTPV,rates_total);
      ArrayResize(nTotalVol,rates_total);

      if(Enable_Daily)   {nIdx = nIdxDaily;   nSumDailyTPV = 0;   nSumDailyVol = 0;}
      if(Enable_Weekly)  {nIdx = nIdxWeekly;  nSumWeeklyTPV = 0;  nSumWeeklyVol = 0;}
      if(Enable_Monthly) {nIdx = nIdxMonthly; nSumMonthlyTPV = 0; nSumMonthlyVol = 0;}

      for(; nIdx<rates_total; nIdx++) 
        {
         VWAP_Buffer_Daily[nIdx]=EMPTY_VALUE;
         VWAP_Buffer_Weekly[nIdx]=EMPTY_VALUE;
         VWAP_Buffer_Monthly[nIdx]=EMPTY_VALUE;

         if(CreateDateTime(DAILY,time[nIdx])!=dtLastDay) 
           {
            nIdxDaily=nIdx;
            nSumDailyTPV = 0;
            nSumDailyVol = 0;
           }
         if(CreateDateTime(WEEKLY,time[nIdx])!=dtLastWeek) 
           {
            nIdxWeekly=nIdx;
            nSumWeeklyTPV = 0;
            nSumWeeklyVol = 0;
           }
         if(CreateDateTime(MONTHLY,time[nIdx])!=dtLastMonth) 
           {
            nIdxMonthly=nIdx;
            nSumMonthlyTPV = 0;
            nSumMonthlyVol = 0;
           }

         nPriceArr[nIdx] = 0;
         nTotalTPV[nIdx] = 0;
         nTotalVol[nIdx] = 0;

         switch(Price_Type) 
           {
            case OPEN:
               nPriceArr[nIdx]=open[nIdx];
               break;
            case CLOSE:
               nPriceArr[nIdx]=close[nIdx];
               break;
            case HIGH:
               nPriceArr[nIdx]=high[nIdx];
               break;
            case LOW:
               nPriceArr[nIdx]=low[nIdx];
               break;
            case HIGH_LOW:
               nPriceArr[nIdx]=(high[nIdx]+low[nIdx])/2;
               break;
            case OPEN_CLOSE:
               nPriceArr[nIdx]=(open[nIdx]+close[nIdx])/2;
               break;
            case CLOSE_HIGH_LOW:
               nPriceArr[nIdx]=(close[nIdx]+high[nIdx]+low[nIdx])/3;
               break;
            case OPEN_CLOSE_HIGH_LOW:
               nPriceArr[nIdx]=(open[nIdx]+close[nIdx]+high[nIdx]+low[nIdx])/4;
               break;
            default:
               nPriceArr[nIdx]=(close[nIdx]+high[nIdx]+low[nIdx])/3;
               break;
           }

         if(tick_volume[nIdx]) 
           {
            nTotalTPV[nIdx] = (nPriceArr[nIdx] * tick_volume[nIdx]);
            nTotalVol[nIdx] = (double)tick_volume[nIdx];
              } else if(volume[nIdx]) {
            nTotalTPV[nIdx] = (nPriceArr[nIdx] * volume[nIdx]);
            nTotalVol[nIdx] = (double)volume[nIdx];
           }

         if(Enable_Daily && (nIdx>=nIdxDaily)) 
           {
            nSumDailyTPV += nTotalTPV[nIdx];
            nSumDailyVol += nTotalVol[nIdx];

            if(nSumDailyVol)
               VWAP_Buffer_Daily[nIdx]=(nSumDailyTPV/nSumDailyVol);

            if((sDailyStr!="VWAP Daily: "+(string)NormalizeDouble(VWAP_Buffer_Daily[nIdx],_Digits)) && Show_Daily_Value) 
              {
               sDailyStr="VWAP Daily: "+(string)NormalizeDouble(VWAP_Buffer_Daily[nIdx],_Digits);
               ObjectSetString(0,"VWAP_Daily",OBJPROP_TEXT,sDailyStr);
              }
           }

         if(Enable_Weekly && (nIdx>=nIdxWeekly)) 
           {
            nSumWeeklyTPV += nTotalTPV[nIdx];
            nSumWeeklyVol += nTotalVol[nIdx];

            if(nSumWeeklyVol)
               VWAP_Buffer_Weekly[nIdx]=(nSumWeeklyTPV/nSumWeeklyVol);

            if((sWeeklyStr!="VWAP Weekly: "+(string)NormalizeDouble(VWAP_Buffer_Weekly[nIdx],_Digits)) && Show_Weekly_Value) 
              {
               sWeeklyStr="VWAP Weekly: "+(string)NormalizeDouble(VWAP_Buffer_Weekly[nIdx],_Digits);
               ObjectSetString(0,"VWAP_Weekly",OBJPROP_TEXT,sWeeklyStr);
              }
           }

         if(Enable_Monthly && (nIdx>=nIdxMonthly)) 
           {
            nSumMonthlyTPV += nTotalTPV[nIdx];
            nSumMonthlyVol += nTotalVol[nIdx];

            if(nSumMonthlyVol)
               VWAP_Buffer_Monthly[nIdx]=(nSumMonthlyTPV/nSumMonthlyVol);

            if((sMonthlyStr!="VWAP Monthly: "+(string)NormalizeDouble(VWAP_Buffer_Monthly[nIdx],_Digits)) && Show_Monthly_Value) 
              {
               sMonthlyStr="VWAP Monthly: "+(string)NormalizeDouble(VWAP_Buffer_Monthly[nIdx],_Digits);
               ObjectSetString(0,"VWAP_Monthly",OBJPROP_TEXT,sMonthlyStr);
              }
           }

         dtLastDay=CreateDateTime(DAILY,time[nIdx]);
         dtLastWeek=CreateDateTime(WEEKLY,time[nIdx]);
         dtLastMonth=CreateDateTime(MONTHLY,time[nIdx]);
        }

      bIsFirstRun=false;
     }

   return(rates_total);
  }
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