WmiVol.mq4

#property copyright "Copyright 2014, Murad Ismayilov"
#property link      "http://www.mql4.com/ru/users/wmlab"
#property version   "1.00"
#property strict
#property indicator_separate_window
#property indicator_minimum 0
#property indicator_maximum 1
#property indicator_buffers 2
#property indicator_color1 clrRed
#property indicator_color2 clrGreen
#property indicator_width1 2
#property indicator_width2 2
#property indicator_style1 STYLE_SOLID
#property indicator_style2 STYLE_SOLID

double BufLowVol[];
double BufHighVol[];

double barVols[1];
double avgVol;

int OnInit() { 
  int barsInDay = 1440 / (PeriodSeconds() / 60);
  if (barsInDay == 0)
    return(INIT_FAILED);
    
  SetIndexBuffer(0, BufLowVol);
  SetIndexBuffer(1, BufHighVol);
  SetIndexStyle(0, DRAW_HISTOGRAM);
  SetIndexStyle(1, DRAW_HISTOGRAM);
  SetIndexShift(0, barsInDay);
  SetIndexShift(1, barsInDay);
  
  ArrayResize(barVols, barsInDay);
  int barCounts[1];  
  ArrayResize(barCounts, barsInDay);
  for (int i = 0; i < barsInDay; i++) {
    barVols[i] = 0.0;
    barCounts[i] = 0;
  }
  
  for (int iBar = 1; iBar <= Bars; iBar++) {
    int barOfDay = iBarOfDay(iTime(NULL, 0, iBar));
    barVols[barOfDay] += GetVol(iBar);
    barCounts[barOfDay]++;
  }
  
  for (int i = 0; i < barsInDay; i++) {
    if (barCounts[i] != 0)
      barVols[i] /= barCounts[i];
  }
  
  double minVol = barVols[ArrayMinimum(barVols)];
  double maxVol = barVols[ArrayMaximum(barVols)];
  
  avgVol = 0.0;
  for (int i = 0; i < barsInDay; i++) {
      if (maxVol > minVol)
        barVols[i] = (barVols[i] - minVol) / (maxVol - minVol);
        
      avgVol += barVols[i];
  }
  
  avgVol /= barsInDay;
  
  /* ƒÎˇ ÓÚ·‰ÍË 
  Print("PeriodSeconds() = ", PeriodSeconds());
  Print("barsInDay = ", barsInDay);
  Print("iBarOfDay(D'2014.02.25 00:00:00') = ", iBarOfDay(D'2014.02.25 00:00:00'));
  Print("iBarOfDay(D'2014.02.25 00:01:00') = ", iBarOfDay(D'2014.02.25 00:01:00'));
  Print("iBarOfDay(D'2014.02.25 01:00:00') = ", iBarOfDay(D'2014.02.25 01:00:00'));  
  Print("iBarOfDay(D'2014.02.25 23:59:30') = ", iBarOfDay(D'2014.02.25 23:59:30'));
  Print("Bars = ", Bars);
  Print("barVols[0] = ", barVols[0], " barCounts[0] = ", barCounts[0]);
  Print("barVols[M] = ", barVols[barsInDay / 2], " barCounts[M] = ", barCounts[barsInDay / 2]);
  Print("minVolIndex = ", ArrayMinimum(barVols), " maxVolIndex = ", ArrayMaximum(barVols));
  Print("minVol = ", minVol, " maxVol = ", maxVol, " avgVol = ", avgVol);
  for (int i = 0; i < barsInDay; i++)
    Print("barVols[", i , "] = ", barVols[i]);
  */  

  return(INIT_SUCCEEDED);
}

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[]) {
                
  int limit = rates_total - prev_calculated;
  if (prev_calculated > 0)
    limit++;
  for(int iBar = 0; iBar < limit; iBar++) {
    int barOfDay = iBarOfDay(iTime(NULL, 0, iBar));
    double vol = barVols[barOfDay];
    if (vol >= avgVol) {
      BufLowVol[iBar] = EMPTY_VALUE;
      BufHighVol[iBar] = vol;
    }
    else {
      BufLowVol[iBar] = vol;
      BufHighVol[iBar] = EMPTY_VALUE;
    }
  }
                
  return(rates_total);
}

int iBarOfDay(datetime timeOpenBar) {
  int minutesInPeriod = PeriodSeconds() / 60;
  double minutesSinceMidnight = MathMod(timeOpenBar / 60, 1440);
  int barsSinceMidnight = (int)MathFloor(minutesSinceMidnight / minutesInPeriod);
  return (barsSinceMidnight);
}

double GetVol(int iBar) {
  return (iHigh(NULL, 0, iBar) - iLow(NULL, 0, iBar));
}