Category Trend  Published on 10/12/2023

VWAP Angle Histogram

Description

This indicator represents the Angle of the VWAP (Volume Weighted Average Price) using a histogram.

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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using cAlgo.API;
using cAlgo.API.Collections;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

namespace cAlgo
{
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class VWAPAngleHistorgram : Indicator
    {

        [Parameter("VWAP TF", DefaultValue = "Daily")]
        public TimeFrame TF { get; set; }
        [Parameter("Open Period Wait Bars", DefaultValue = 5)]
        public int WaitBars { get; set; }


        [Parameter("Signal Period", DefaultValue = 55)]
        public int SignalPeriod { get; set; }
        [Parameter("Signal Type", DefaultValue = MovingAverageType.Weighted)]
        public MovingAverageType MaType { get; set; }

        [Output("White", PlotType = PlotType.Histogram, LineColor = "White", Thickness = 4)]
        public IndicatorDataSeries White { get; set; }
        [Output("Up Bullish", PlotType = PlotType.Histogram, LineColor = "Lime", Thickness = 4)]
        public IndicatorDataSeries StrongBullish { get; set; }
        [Output("Down Bullish", PlotType = PlotType.Histogram, LineColor = "Green", Thickness = 4)]
        public IndicatorDataSeries WeakBullish { get; set; }
        [Output("Down Bearish", PlotType = PlotType.Histogram, LineColor = "Red", Thickness = 4)]
        public IndicatorDataSeries StrongBearish { get; set; }
        [Output("Up Bearish", PlotType = PlotType.Histogram, LineColor = "DarkSalmon", Thickness = 4)]
        public IndicatorDataSeries WeakBearish { get; set; }

        [Output("Signal", PlotType = PlotType.Line, LineColor = "DeepSkyBlue", Thickness = 1)]
        public IndicatorDataSeries Signal { get; set; }


        private MovingAverage ma, signal;
        private AverageTrueRange atr;
        private IndicatorDataSeries BarsVolume, ResVwap, ResAngle;
        private Bars bars;

        protected override void Initialize()
        {
            bars = MarketData.GetBars(TF);
            BarsVolume = CreateDataSeries();
            ResVwap = CreateDataSeries();
            ResAngle = CreateDataSeries();

            ma = Indicators.MovingAverage(ResVwap, 1, MovingAverageType.Simple);
            atr = Indicators.AverageTrueRange(500, MovingAverageType.Simple);

            signal = Indicators.MovingAverage(ResAngle, SignalPeriod, MaType);

        }

        public override void Calculate(int index)
        {
            BarsVolume[index] = Bars.ClosePrices[index] * Bars.TickVolumes[index];

            int startIndex = Bars.OpenTimes.GetIndexByTime(bars.OpenTimes[bars.OpenTimes.GetIndexByTime(Bars.OpenTimes[index])]);

            double cptv = 0, cv = 0;

            for (int i = index; i >= startIndex; --i)
            {
                cptv += BarsVolume[i];
                cv += Bars.TickVolumes[i];
            }

            ResVwap[index] = cptv / cv;


            var indexbars = bars.OpenTimes.GetIndexByTime(Bars.OpenTimes[index]);

            var atrRange = atr.Result[index];
            var CoteOpposePlus = ((ma.Result[index]) - (ma.Result[index - (1)]));
            var CoteOpposeMinus = (ma.Result[index - (1)]) - (ma.Result[index]);
            var CoteOppose = (ma.Result[index]) > (ma.Result[index - (1)]) ? CoteOpposePlus / atrRange : CoteOpposeMinus / atrRange;
            var Hypothenuse = Math.Sqrt((CoteOppose * CoteOppose) + (1 * 1));
            var cos = (1 / Hypothenuse);

            if (Bars.OpenTimes[index] <= bars.OpenTimes[indexbars] + (Bars.OpenTimes[index] - Bars.OpenTimes[index - WaitBars]))
            {
                ResAngle[index] = 0;
                //if (Bars.OpenTimes[index] == bars.OpenTimes[indexbars])
                IndicatorArea.DrawRectangle("OpenZone" + index, index - WaitBars, 500, index + WaitBars, -500, Color.FromArgb(255 / 2 / WaitBars, Color.DeepSkyBlue)).IsFilled = true;
            }
            else
                ResAngle[index] = (ma.Result[index]) > (ma.Result[index - (1)]) ? (0 + (Math.Acos(cos) * 100)) : (0 - (Math.Acos(cos) * 100));

            Signal[index] = signal.Result.Last(0);

            //Histogram
            double HistogramValue = ResAngle[index];
            double prevHistogramValue = ResAngle[index - 1];
            if (HistogramValue > 0)
            {
                if (prevHistogramValue >= HistogramValue)
                {
                    WeakBullish[index] = HistogramValue;
                    StrongBullish[index] = 0;
                    WeakBearish[index] = 0;
                    StrongBearish[index] = 0;
                    White[index] = 0;
                }
                else
                {
                    StrongBullish[index] = HistogramValue;
                    WeakBullish[index] = 0;
                    WeakBearish[index] = 0;
                    StrongBearish[index] = 0;
                    White[index] = 0;
                }
            }
            else if (HistogramValue < -0)
            {
                if (HistogramValue <= prevHistogramValue)
                {
                    StrongBearish[index] = HistogramValue;
                    WeakBearish[index] = 0;
                    StrongBullish[index] = 0;
                    WeakBullish[index] = 0;
                    White[index] = 0;
                }
                else
                {
                    WeakBearish[index] = HistogramValue;
                    StrongBearish[index] = 0;
                    StrongBullish[index] = 0;
                    WeakBullish[index] = 0;
                    White[index] = 0;
                }
            }
            else
            {
                if (HistogramValue <= prevHistogramValue)
                {
                    White[index] = HistogramValue;
                    WeakBearish[index] = 0;
                    WeakBearish[index] = 0;
                    StrongBullish[index] = 0;
                    WeakBullish[index] = 0;
                }
                else
                {
                    WeakBearish[index] = 0;
                    White[index] = HistogramValue;
                    StrongBearish[index] = 0;
                    StrongBullish[index] = 0;
                    WeakBullish[index] = 0;
                }
            }

        }
    }
}

YE
YesOrNot

Joined on 10.10.2022 Blocked

  • Distribution: Free
  • Language: C#
  • Trading platform: cTrader Automate
  • File name: VWAP Angle Historgram.algo
  • Rating: 5
  • Installs: 605
  • Modified: 10/12/2023 20:12
Comments
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SE
seakelver02 · 4 months ago

Great.