//============================================================== // THIS CODE IS PROVIDED "AS IS" WITHOUT WARRANTY OF ANY KIND, // EITHER EXPRESSED OR IMPLIED, INCLUDING BUT NOT LIMITED TO // THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR // A PARTICULAR PURPOSE. //============================================================== using System; using System.Drawing; using ForexStrategyBuilder.Infrastructure.Entities; using ForexStrategyBuilder.Infrastructure.Enums; using ForexStrategyBuilder.Infrastructure.Interfaces; namespace ForexStrategyBuilder.Indicators.Store { public class VWAP : Indicator { public VWAP() { IndicatorName = "VWAP"; PossibleSlots = SlotTypes.Open | SlotTypes.OpenFilter | SlotTypes.Close | SlotTypes.CloseFilter; IndicatorAuthor = "NAYA +237674724684"; IndicatorVersion = "1.0"; IndicatorDescription = "Volume Weighted Average Price based on OHLC average."; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; IndParam.IndicatorType = TypeOfIndicator.Indicator; IndParam.ExecutionTime = ExecutionTime.DuringTheBar; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; switch (slotType) { case SlotTypes.Open: IndParam.ListParam[0].ItemList = new[] { "Enter the market at VWAP" }; break; case SlotTypes.OpenFilter: IndParam.ListParam[0].ItemList = new[] { "VWAP rises", "VWAP falls", "The bar opens above VWAP", "The bar opens below VWAP", "The bar opens above VWAP after opening below it", "The bar opens below VWAP after opening above it", "The position opens above VWAP", "The position opens below VWAP" }; break; case SlotTypes.Close: IndParam.ListParam[0].ItemList = new[] { "Exit the market at VWAP" }; break; case SlotTypes.CloseFilter: IndParam.ListParam[0].ItemList = new[] { "VWAP rises", "VWAP falls", "The bar closes below VWAP", "The bar closes above VWAP" }; break; default: IndParam.ListParam[0].ItemList = new[] { "Not Defined" }; break; } IndParam.ListParam[0].Index = 0; IndParam.ListParam[0].Text = IndParam.ListParam[0].ItemList[IndParam.ListParam[0].Index]; IndParam.ListParam[0].Enabled = true; IndParam.ListParam[0].ToolTip = "Logic of application of VWAP."; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "Period"; IndParam.NumParam[0].Value = 14; IndParam.NumParam[0].Min = 2; IndParam.NumParam[0].Max = 200; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "VWAP calculation period."; IndParam.NumParam[1].Caption = "Shift"; IndParam.NumParam[1].Value = 0; IndParam.NumParam[1].Min = 0; IndParam.NumParam[1].Max = 2; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "How many bars to shift with."; // The CheckBox parameters IndParam.CheckParam[0].Caption = "Use previous bar value"; IndParam.CheckParam[0].Enabled = true; IndParam.CheckParam[0].ToolTip = "Use the indicator value from the previous bar."; } public override void Calculate(IDataSet dataSet) { DataSet = dataSet; // Reading the parameters var period = (int)IndParam.NumParam[0].Value; var shift = (int)IndParam.NumParam[1].Value; var previous = IndParam.CheckParam[0].Checked ? 1 : 0; // TimeExecution IndParam.ExecutionTime = ExecutionTime.DuringTheBar; // Calculate average price (OHLC/4) double[] avgPrice = new double[Bars]; for (int bar = 0; bar < Bars; bar++) { avgPrice[bar] = (Open[bar] + High[bar] + Low[bar] + Close[bar]) / 4; } // Calculate VWAP double[] vwap = new double[Bars]; for (int bar = period; bar < Bars; bar++) { double sumPV = 0; double sumV = 0; for (int i = bar - period + 1; i <= bar; i++) { sumPV += avgPrice[i] * Volume[i]; sumV += Volume[i]; } vwap[bar] = sumV != 0 ? sumPV / sumV : avgPrice[bar]; } // Apply shift double[] shiftedVWAP = new double[Bars]; for (int bar = 0; bar < Bars; bar++) { if (bar >= shift) shiftedVWAP[bar] = vwap[bar - shift]; else shiftedVWAP[bar] = vwap[0]; } var firstBar = period + shift + previous + 2; // Saving the components if (SlotType == SlotTypes.Open || SlotType == SlotTypes.Close) { Component = new IndicatorComp[2]; Component[1] = new IndicatorComp { Value = new double[Bars] }; for (var bar = firstBar; bar < Bars; bar++) { var value = shiftedVWAP[bar - previous]; var previousValue = shiftedVWAP[bar - previous - 1]; var open = Open[bar]; var tempVal = value; if (High[bar - 1] < previousValue && open > value || Low[bar - 1] > previousValue && open < value || Close[bar - 1] < value && open > value || Close[bar - 1] > value && open < value) tempVal = open; Component[1].Value[bar] = tempVal; } } else { Component = new IndicatorComp[3]; Component[1] = new IndicatorComp { ChartType = IndChartType.NoChart, FirstBar = firstBar, Value = new double[Bars] }; Component[2] = new IndicatorComp { ChartType = IndChartType.NoChart, FirstBar = firstBar, Value = new double[Bars] }; } Component[0] = new IndicatorComp { CompName = "VWAP Value", DataType = IndComponentType.IndicatorValue, ChartType = IndChartType.Line, ChartColor = Color.Blue, FirstBar = firstBar, Value = shiftedVWAP }; switch (SlotType) { case SlotTypes.Open: Component[1].CompName = "Position opening price"; Component[1].DataType = IndComponentType.OpenPrice; break; case SlotTypes.OpenFilter: Component[1].DataType = IndComponentType.AllowOpenLong; Component[1].CompName = "Is long entry allowed"; Component[2].DataType = IndComponentType.AllowOpenShort; Component[2].CompName = "Is short entry allowed"; break; case SlotTypes.Close: Component[1].CompName = "Position closing price"; Component[1].DataType = IndComponentType.ClosePrice; break; case SlotTypes.CloseFilter: Component[1].DataType = IndComponentType.ForceCloseLong; Component[1].CompName = "Close out long position"; Component[2].DataType = IndComponentType.ForceCloseShort; Component[2].CompName = "Close out short position"; break; } if (SlotType == SlotTypes.OpenFilter || SlotType == SlotTypes.CloseFilter) { switch (IndParam.ListParam[0].Text) { case "VWAP rises": IndicatorRisesLogic(firstBar, previous, shiftedVWAP, ref Component[1], ref Component[2]); break; case "VWAP falls": IndicatorFallsLogic(firstBar, previous, shiftedVWAP, ref Component[1], ref Component[2]); break; case "The bar opens above VWAP": BarOpensAboveIndicatorLogic(firstBar, previous, shiftedVWAP, ref Component[1], ref Component[2]); break; case "The bar opens below VWAP": BarOpensBelowIndicatorLogic(firstBar, previous, shiftedVWAP, ref Component[1], ref Component[2]); break; case "The bar opens above VWAP after opening below it": BarOpensAboveIndicatorAfterOpeningBelowLogic(firstBar, previous, shiftedVWAP, ref Component[1], ref Component[2]); break; case "The bar opens below VWAP after opening above it": BarOpensBelowIndicatorAfterOpeningAboveLogic(firstBar, previous, shiftedVWAP, ref Component[1], ref Component[2]); break; case "The position opens above VWAP": Component[0].PosPriceDependence = PositionPriceDependence.BuyHigherSellLower; Component[1].DataType = IndComponentType.Other; Component[1].ShowInDynInfo = false; Component[2].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; break; case "The position opens below VWAP": Component[0].PosPriceDependence = PositionPriceDependence.BuyLowerSellHigher; Component[1].DataType = IndComponentType.Other; Component[1].ShowInDynInfo = false; Component[2].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; break; case "The bar closes below VWAP": BarClosesBelowIndicatorLogic(firstBar, previous, shiftedVWAP, ref Component[1], ref Component[2]); break; case "The bar closes above VWAP": BarClosesAboveIndicatorLogic(firstBar, previous, shiftedVWAP, ref Component[1], ref Component[2]); break; } } } public override void SetDescription() { EntryPointLongDescription = "at " + ToString(); EntryPointShortDescription = "at " + ToString(); ExitPointLongDescription = "at " + ToString(); ExitPointShortDescription = "at " + ToString(); switch (IndParam.ListParam[0].Text) { case "VWAP rises": EntryFilterLongDescription = ToString() + " rises"; EntryFilterShortDescription = ToString() + " falls"; ExitFilterLongDescription = ToString() + " rises"; ExitFilterShortDescription = ToString() + " falls"; break; case "VWAP falls": EntryFilterLongDescription = ToString() + " falls"; EntryFilterShortDescription = ToString() + " rises"; ExitFilterLongDescription = ToString() + " falls"; ExitFilterShortDescription = ToString() + " rises"; break; case "The bar opens above VWAP": EntryFilterLongDescription = "the bar opens above the " + ToString(); EntryFilterShortDescription = "the bar opens below the " + ToString(); break; case "The bar opens below VWAP": EntryFilterLongDescription = "the bar opens below the " + ToString(); EntryFilterShortDescription = "the bar opens above the " + ToString(); break; case "The position opens above VWAP": EntryFilterLongDescription = "the position opening price is higher than the " + ToString(); EntryFilterShortDescription = "the position opening price is lower than the " + ToString(); break; case "The position opens below VWAP": EntryFilterLongDescription = "the position opening price is lower than the " + ToString(); EntryFilterShortDescription = "the position opening price is higher than the " + ToString(); break; case "The bar opens above VWAP after opening below it": EntryFilterLongDescription = "the bar opens above the " + ToString() + " after opening below it"; EntryFilterShortDescription = "the bar opens below the " + ToString() + " after opening above it"; break; case "The bar opens below VWAP after opening above it": EntryFilterLongDescription = "the bar opens below the " + ToString() + " after opening above it"; EntryFilterShortDescription = "the bar opens above the " + ToString() + " after opening below it"; break; case "The bar closes above VWAP": ExitFilterLongDescription = "the bar closes above the " + ToString(); ExitFilterShortDescription = "the bar closes below the " + ToString(); break; case "The bar closes below VWAP": ExitFilterLongDescription = "the bar closes below the " + ToString(); ExitFilterShortDescription = "the bar closes above the " + ToString(); break; } } public override string ToString() { return string.Format("{0}{1} ({2}, {3})", IndicatorName, IndParam.CheckParam[0].Checked ? "*" : "", IndParam.NumParam[0].ValueToString, IndParam.NumParam[1].ValueToString); } } }