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studies3.cpp
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#include "sierrachart.h"
#include "scstudyfunctions.h"
/***********************************************************************/
SCSFExport scsf_ChaikinOsc(SCStudyInterfaceRef sc)
{
SCSubgraphRef Oscillator = sc.Subgraph[0];
SCSubgraphRef Overbought = sc.Subgraph[2];
SCSubgraphRef Oversold = sc.Subgraph[3];
SCInputRef LongMALength = sc.Input[2];
SCInputRef ShortMALength = sc.Input[3];
SCInputRef Divisor = sc.Input[4];
SCInputRef OverboughtValue = sc.Input[5];
SCInputRef OversoldValue = sc.Input[6];
if(sc.SetDefaults)
{
sc.GraphName = "Chaikin Oscillator";
Oscillator.Name = "Oscillator";
Oscillator.DrawStyle = DRAWSTYLE_LINE;
Oscillator.PrimaryColor = RGB(0,255,0);
Overbought.Name = "Overbought";
Overbought.DrawStyle = DRAWSTYLE_LINE;
Overbought.PrimaryColor = RGB(255,255,0);
Overbought.DrawZeros = false;
Oversold.Name = "Oversold";
Oversold.DrawStyle = DRAWSTYLE_LINE;
Oversold.PrimaryColor = RGB(255,127,0);
Oversold.DrawZeros = false;
LongMALength.Name = "Long MovAvg Length";
LongMALength.SetInt(10);
LongMALength.SetIntLimits(1,MAX_STUDY_LENGTH);
ShortMALength.Name = "Short MovAvg Length";
ShortMALength.SetInt(3);
ShortMALength.SetIntLimits(1,MAX_STUDY_LENGTH);
Divisor.Name = "Divisor";
Divisor.SetFloat(1);
Divisor.SetFloatLimits(.00001f, (float)MAX_STUDY_LENGTH);
OverboughtValue.Name = "Overbought";
OverboughtValue.SetInt(0);
OversoldValue.Name = "Oversold";
OversoldValue.SetInt(0);
sc.FreeDLL = 0;
sc.AutoLoop = 1;
return;
}
sc.DataStartIndex = max(LongMALength.GetInt(),ShortMALength.GetInt()) - 1;
sc.AccumulationDistribution(sc.BaseDataIn, Oscillator.Arrays[0], sc.Index);
sc.ExponentialMovAvg(Oscillator.Arrays[0], Oscillator.Arrays[1], sc.Index, LongMALength.GetInt());
sc.ExponentialMovAvg(Oscillator.Arrays[0], Oscillator.Arrays[2], sc.Index, ShortMALength.GetInt());
Oscillator[sc.Index] = (Oscillator.Arrays[2][sc.Index] - Oscillator.Arrays[1][sc.Index]) / Divisor.GetInt();
Overbought[sc.Index] = (float)OverboughtValue.GetInt();
Oversold[sc.Index] = (float)OversoldValue.GetInt();
}
/*==========================================================================*/
SCSFExport scsf_HistoricalVolatilityRatio(SCStudyInterfaceRef sc)
{
SCSubgraphRef HVR = sc.Subgraph[0];
SCFloatArrayRef TempLog = sc.Subgraph[0].Arrays[0];
SCFloatArrayRef TempShort = sc.Subgraph[0].Arrays[1];
SCFloatArrayRef TempLong = sc.Subgraph[0].Arrays[2];
SCInputRef ShortLength = sc.Input[2];
SCInputRef LongLength = sc.Input[3];
SCFloatArrayRef Close = sc.Close;
// Configuration
if (sc.SetDefaults)
{
sc.GraphName = "Historical Volatility Ratio";
HVR.Name = "HVR";
HVR.DrawStyle = DRAWSTYLE_LINE;
HVR.PrimaryColor = RGB(0,255,0);
ShortLength.Name = "Short Length";
ShortLength.SetInt(6);
ShortLength.SetIntLimits(1, INT_MAX);
LongLength.Name = "Long Length";
LongLength.SetInt(100);
LongLength.SetIntLimits(1, INT_MAX);
//During development set this flag to 1, so the DLL can be modified. When development is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
sc.AutoLoop = 1;
return;
}
const float BIAS_DIVISION_FLOAT = (float)10e-10;
// Data Processing
sc.DataStartIndex = max(LongLength.GetInt(), ShortLength.GetInt()) + 1;
if (sc.Index < sc.DataStartIndex)
return;
TempLog[sc.Index] = logf(Close[sc.Index] / (Close[sc.Index - 1] + BIAS_DIVISION_FLOAT));
sc.StdDeviation(TempLog, TempShort, sc.Index, ShortLength.GetInt());
sc.StdDeviation(TempLog, TempLong, sc.Index, LongLength.GetInt());
HVR[sc.Index] = TempShort[sc.Index] / (TempLong[sc.Index] + BIAS_DIVISION_FLOAT);
}
/*==========================================================================*/
SCSFExport scsf_CurrentPriceLine(SCStudyInterfaceRef sc)
{
SCSubgraphRef CPL = sc.Subgraph[0];
SCInputRef NumberOfBarsBack = sc.Input[0];
SCInputRef InputData = sc.Input[1];
SCInputRef Version = sc.Input[2];
SCInputRef DisplayCPLOnBars = sc.Input[3];
SCInputRef ProjectForward = sc.Input[4];
SCInputRef UseLastFromCurrentQuoteData = sc.Input [5];
if(sc.SetDefaults)
{
sc.GraphName = "Current Price Line";
CPL.Name = "CPL";
CPL.DrawStyle = DRAWSTYLE_LINE;
CPL.PrimaryColor = RGB(0,255,0);
CPL.DrawZeros = false;
CPL.LineStyle = LINESTYLE_DOT;
sc.GraphRegion = 0;
NumberOfBarsBack.Name = "Number of Bars to Display On. 0 = Current Date";
NumberOfBarsBack.SetInt(0);
NumberOfBarsBack.SetIntLimits(0,MAX_STUDY_LENGTH);
InputData.Name = "Input Data";
InputData.SetInputDataIndex(SC_LAST);
DisplayCPLOnBars.Name = "Display Current Price Line on Chart Bars";
DisplayCPLOnBars.SetYesNo(true);
ProjectForward.Name = "Forward Project Current Price Line";
ProjectForward.SetYesNo(false);
UseLastFromCurrentQuoteData.Name = "Use Last Trade Price From Current Quote Data";
UseLastFromCurrentQuoteData.SetYesNo(false);
Version.SetInt(2);
sc.AutoLoop = 0;
//During development set this flag to 1, so the DLL can be modified. When development is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
return;
}
if (Version.GetInt() < 1)
InputData.SetInputDataIndex(SC_LAST);
if(Version.GetInt() < 2)
DisplayCPLOnBars.SetYesNo(true);
Version.SetInt(2);
SCFloatArrayRef InputDataArray = sc.BaseData[InputData.GetInputDataIndex()];
float LineValue;
if(UseLastFromCurrentQuoteData.GetYesNo())
LineValue = sc.LastTradePrice;
else
LineValue = InputDataArray[sc.ArraySize - 1];
int &PriorLineStartIndex = sc.PersistVars->i1;
if(DisplayCPLOnBars.GetYesNo())
{
int TodayDate = sc.BaseDateTimeIn[sc.ArraySize-1].GetDate();
int BarsBack = NumberOfBarsBack.GetInt();
if (BarsBack == 0)
{
for (int Index = sc.ArraySize - 1; sc.BaseDateTimeIn[Index].GetDate() == TodayDate && Index >= 0; Index--)
{
CPL[Index] = LineValue;
}
}
else
{
int StartingIndex = sc.ArraySize - BarsBack;
for (int Index = sc.UpdateStartIndex - BarsBack; Index < sc.ArraySize; ++Index)
{
if(Index >= StartingIndex)
break;
CPL[Index] = 0;
}
for (int Index = sc.ArraySize - 1; BarsBack > 0 && Index >=0; Index--)
{
CPL[Index] = LineValue;
BarsBack--;
}
}
}
else if (PriorLineStartIndex != 0)
{
//Clear prior array elements for when projecting forward
for(int Index = PriorLineStartIndex; Index < sc.ArraySize; Index ++)
CPL[Index] = 0.0;
}
if (ProjectForward.GetYesNo())
{
CPL.ExtendedArrayElementsToGraph = 10;
for(int Index = 0; Index < 10; Index++)
{
CPL[sc.ArraySize + Index] = LineValue;
}
PriorLineStartIndex = sc.ArraySize;
}
else
CPL.ExtendedArrayElementsToGraph = 0;
}
/*==========================================================================*/
SCSFExport scsf_OutOfSequence(SCStudyInterfaceRef sc)
{
SCSubgraphRef OOOT = sc.Subgraph[0];
if(sc.SetDefaults)
{
sc.GraphName = "Out of Order Timestamps Detector";
OOOT.Name = "OoOT";
OOOT.PrimaryColor = RGB(255,0,0);
OOOT.DrawStyle = DRAWSTYLE_BACKGROUND;
OOOT.LineWidth = 5;
OOOT.DrawZeros = false;
sc.GraphRegion = 0;
sc.DisplayStudyInputValues= false;
sc.ScaleRangeType= SCALE_INDEPENDENT;
//During development set this flag to 1, so the DLL can be modified. When development is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
sc.AutoLoop = 1;
return;
}
sc.DataStartIndex = 0;
if (sc.Index <= 0)
return;
double prevDateTime = sc.BaseDateTimeIn[sc.Index-1];
double curDateTime = sc.BaseDateTimeIn[sc.Index];
if(curDateTime < prevDateTime)
OOOT.Data[sc.Index] = 1;
else
OOOT.Data[sc.Index] = 0;
return;
}
/************************************************************
* MoneyFlowIndex
*
* typical price: (high + low + close )/3
* money flow: typical price * volume
* money ratio: positive money flow / negative money flow
************************************************************/
SCSFExport scsf_MoneyFlowIndex(SCStudyInterfaceRef sc)
{
SCSubgraphRef MFI = sc.Subgraph[0];
SCInputRef Length = sc.Input[2];
if (sc.SetDefaults)
{
sc.GraphName = "Money Flow Index";
sc.GraphRegion = 1;
sc.ValueFormat = 3;
MFI.DrawStyle = DRAWSTYLE_LINE;
MFI.Name = "MFI";
MFI.PrimaryColor = RGB(0,255,0);
MFI.DrawZeros = true;
Length.Name = "Length";
Length.SetInt(14);
Length.SetIntLimits(1,MAX_STUDY_LENGTH);
//During development set this flag to 1, so the DLL can be modified. When development is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
sc.AutoLoop = 1;
return;
}
const double BIAS_DIVISION_DOUBLE = (double)10e-20;
double typ_price,prev_typ_price, money_flow,volume, N_pos_mon_flow, N_neg_mon_flow, d_mfi, money_ratio;
sc.DataStartIndex = Length.GetInt();
//if (sc.Index < sc.DataStartIndex)
// return;
N_pos_mon_flow=0;
N_neg_mon_flow=0;
prev_typ_price = (sc.Index - Length.GetInt() -1)== 0 ? 0 : sc.HLCAvg[sc.Index-Length.GetInt()];
for(int nn= 0; nn < Length.GetInt();nn++)
{
volume = sc.Volume[sc.Index-Length.GetInt()+1+nn];
typ_price = sc.HLCAvg[sc.Index-Length.GetInt()+1+nn];
money_flow = typ_price * volume;
N_pos_mon_flow += typ_price > prev_typ_price ? money_flow : 0;
N_neg_mon_flow += typ_price < prev_typ_price ? money_flow : 0;
prev_typ_price = typ_price;
}
money_ratio = N_pos_mon_flow / (N_neg_mon_flow+BIAS_DIVISION_DOUBLE);
d_mfi = 100.0 - (100.0 / (1.0+money_ratio));
MFI[sc.Index] = (float)d_mfi;
}
/************************************************************************/
SCSFExport scsf_VolumeWeightedAveragePrice(SCStudyInterfaceRef sc)
{
SCSubgraphRef VWAPSubgraph = sc.Subgraph[0];
SCFloatArrayRef CumulativePriceTimesVolume = VWAPSubgraph.Arrays[0];
SCFloatArrayRef CumulativeVolume = VWAPSubgraph.Arrays[1];
SCFloatArrayRef SumOfStandardDeviationCalc = VWAPSubgraph.Arrays[2];
SCSubgraphRef SD1Top = sc.Subgraph[1];
SCSubgraphRef SD1Bottom = sc.Subgraph[2];
SCSubgraphRef SD2Top = sc.Subgraph[3];
SCSubgraphRef SD2Bottom = sc.Subgraph[4];
SCSubgraphRef SD3Top = sc.Subgraph[5];
SCSubgraphRef SD3Bottom = sc.Subgraph[6];
SCSubgraphRef SD4Top = sc.Subgraph[7];
SCSubgraphRef SD4Bottom = sc.Subgraph[8];
SCInputRef InputData = sc.Input[0];
SCInputRef TimePeriodType = sc.Input[3];
SCInputRef TimePeriodLength = sc.Input[4];
SCInputRef Version = sc.Input[5];
SCInputRef DistanceMultiplier = sc.Input[6];
SCInputRef KeepStdDevCalc = sc.Input[7];
SCInputRef ContinuousNonResetting = sc.Input[8];
SCInputRef BaseOnUnderlyingData = sc.Input[9];
SCInputRef UseFixedOffset = sc.Input[10];
SCInputRef StartDateTime = sc.Input[11];
if(sc.SetDefaults)
{
sc.GraphName = "Volume Weighted Average Price";
sc.GraphRegion = 0;
sc.ValueFormat = VALUEFORMAT_INHERITED;
sc.AutoLoop = 1;
sc.ScaleRangeType=SCALE_SAMEASREGION;
VWAPSubgraph.Name = "VWAP";
VWAPSubgraph.DrawStyle = DRAWSTYLE_DASH;
VWAPSubgraph.LineWidth = 2;
VWAPSubgraph.PrimaryColor = RGB (237, 13, 255);
VWAPSubgraph.DrawZeros = false;
SD1Top.Name = "Top Band 1";
SD1Top.DrawStyle = DRAWSTYLE_DASH;
SD1Top.LineWidth = 2;
SD1Top.PrimaryColor = RGB (192, 192, 192);
SD1Top.DrawZeros = false;
SD1Bottom.Name = "Bottom Band 1";
SD1Bottom.DrawStyle = DRAWSTYLE_DASH;
SD1Bottom.LineWidth = 2;
SD1Bottom.PrimaryColor = RGB (192, 192, 192);
SD1Bottom.DrawZeros = false;
SD2Top.Name = "Top Band 2";
SD2Top.DrawStyle = DRAWSTYLE_IGNORE;
SD2Top.LineWidth = 2;
SD2Top.PrimaryColor = RGB (192, 192, 192);
SD2Top.DrawZeros = false;
SD2Bottom.Name = "Bottom Band 2";
SD2Bottom.DrawStyle = DRAWSTYLE_IGNORE;
SD2Bottom.LineWidth = 2;
SD2Bottom.PrimaryColor = RGB (192, 192, 192);
SD2Bottom.DrawZeros = false;
SD3Top.Name = "Top Band 3";
SD3Top.DrawStyle = DRAWSTYLE_IGNORE;
SD3Top.LineWidth = 2;
SD3Top.PrimaryColor = RGB (192, 192, 192);
SD3Top.DrawZeros = false;
SD3Bottom.Name = "Bottom Band 3";
SD3Bottom.DrawStyle = DRAWSTYLE_IGNORE;
SD3Bottom.LineWidth = 2;
SD3Bottom.PrimaryColor = RGB (192, 192, 192);
SD3Bottom.DrawZeros = false;
SD4Top.Name = "Top Band 4";
SD4Top.DrawStyle = DRAWSTYLE_IGNORE;
SD4Top.LineWidth = 2;
SD4Top.PrimaryColor = RGB (192, 192, 192);
SD4Top.DrawZeros = false;
SD4Bottom.Name = "Bottom Band 4";
SD4Bottom.DrawStyle = DRAWSTYLE_IGNORE;
SD4Bottom.LineWidth = 2;
SD4Bottom.PrimaryColor = RGB (192, 192, 192);
SD4Bottom.DrawZeros = false;
InputData.Name = "Input Data";
InputData.SetInputDataIndex(SC_LAST);
TimePeriodType.Name = "Time Period Type";
TimePeriodType.SetTimePeriodType(TIME_PERIOD_LENGTH_UNIT_DAYS);
TimePeriodLength.Name = "Time Period Length";
TimePeriodLength.SetInt(1);
DistanceMultiplier.Name = "Std. Deviation Distance Multiplier/Fixed Offset";
DistanceMultiplier.SetFloat(0.5);
KeepStdDevCalc.Name = "Continuous Non Resetting Std. Deviation Lines";
KeepStdDevCalc.SetYesNo(0);
ContinuousNonResetting.Name = "Continuous Non Resetting Mode";
ContinuousNonResetting.SetYesNo(0);
BaseOnUnderlyingData.Name = "Base On Underlying Data";
BaseOnUnderlyingData.SetYesNo(0);
UseFixedOffset.Name = "Use Fixed Offset Instead of Std. Deviation";
UseFixedOffset.SetYesNo(0);
StartDateTime.Name = "Start Date-Time";
StartDateTime.SetDateTime(0.0);
Version.SetInt(3);
//During development set this flag to 1, so the DLL can be modified. When development is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
return;
}
if(Version.GetInt() < 2)
{
TimePeriodType.SetTimePeriodType(TIME_PERIOD_LENGTH_UNIT_DAYS);
TimePeriodLength.SetInt(1);
Version.SetInt(2);
}
if(Version.GetInt() < 3)
{
DistanceMultiplier.SetFloat(0.5);
Version.SetInt(3);
}
sc.DataStartIndex = 1;
SCDateTime & PriorCurrentPeriodStartDateTime = sc.PersistVars->scdt1;
if(sc.Index == 0)
{
PriorCurrentPeriodStartDateTime = 0.0;
CumulativePriceTimesVolume[sc.Index] = 0;
CumulativeVolume[sc.Index] = 0;
SumOfStandardDeviationCalc[sc.Index] = 0;
if (BaseOnUnderlyingData.GetYesNo())
sc.MaintainVolumeAtPriceData = 1;
else
sc.MaintainVolumeAtPriceData = 0;
}
if (StartDateTime.GetDate() != 0 && sc.BaseDateTimeIn[sc.Index] < StartDateTime.GetDateTime())
return;
SCDateTime CurrentPeriodStartDateTime = sc.GetStartOfPeriodForDateTime(sc.BaseDateTimeIn[sc.Index], TimePeriodType.GetTimePeriodType(), TimePeriodLength.GetInt(), 0);
if(!ContinuousNonResetting.GetYesNo() && CurrentPeriodStartDateTime != PriorCurrentPeriodStartDateTime)
{
CumulativePriceTimesVolume[sc.Index - 1] = 0;
CumulativeVolume[sc.Index - 1] = 0;
if (!KeepStdDevCalc.GetYesNo())
SumOfStandardDeviationCalc[sc.Index - 1] = 0;
}
PriorCurrentPeriodStartDateTime = CurrentPeriodStartDateTime;
float CurrentPrice = sc.BaseDataIn[InputData.GetInputDataIndex()][sc.Index];
if (BaseOnUnderlyingData.GetYesNo())
{
if ((int)sc.VolumeAtPriceForBars->GetNumberOfBars() < sc.ArraySize)
return;
int CurrentVAPPriceInTicks = INT_MIN; // This will be incremented from the lowest to highest price tick in the bar
const s_VolumeAtPriceV2 *p_VolumeAtPrice;
CumulativePriceTimesVolume[sc.Index] = CumulativePriceTimesVolume[sc.Index - 1];
CumulativeVolume[sc.Index] = CumulativeVolume[sc.Index -1];
while (sc.VolumeAtPriceForBars->GetNextHigherVAPElement(sc.Index, CurrentVAPPriceInTicks, &p_VolumeAtPrice))
{
float Price = p_VolumeAtPrice->PriceInTicks * sc.TickSize;
CumulativePriceTimesVolume[sc.Index] += (Price * p_VolumeAtPrice->Volume);
CumulativeVolume[sc.Index] += p_VolumeAtPrice->Volume;
}
}
else
{
CumulativePriceTimesVolume[sc.Index] = CumulativePriceTimesVolume[sc.Index - 1] + sc.Volume[sc.Index] * CurrentPrice;
CumulativeVolume[sc.Index] = CumulativeVolume[sc.Index -1] + sc.Volume[sc.Index];
}
float VolumeWeightedAveragePrice = 0.0f;
if (CumulativeVolume[sc.Index] != 0.0f)
VolumeWeightedAveragePrice = CumulativePriceTimesVolume[sc.Index] / CumulativeVolume[sc.Index];
VWAPSubgraph[sc.Index] = VolumeWeightedAveragePrice;
float Diff = CurrentPrice - VolumeWeightedAveragePrice;
SumOfStandardDeviationCalc[sc.Index] = Diff * Diff * sc.Volume[sc.Index] + SumOfStandardDeviationCalc[sc.Index - 1];
float StdDevDistance;
if (UseFixedOffset.GetYesNo())
StdDevDistance = DistanceMultiplier.GetFloat();
else
StdDevDistance = CumulativeVolume[sc.Index] <= 0 ? 0 :
sqrt(SumOfStandardDeviationCalc[sc.Index] / CumulativeVolume[sc.Index]) * DistanceMultiplier.GetFloat();
SD1Top[sc.Index] = VWAPSubgraph[sc.Index] + 1 * StdDevDistance;
SD1Bottom[sc.Index] = VWAPSubgraph[sc.Index] - 1 * StdDevDistance;
SD2Top[sc.Index] = VWAPSubgraph[sc.Index] + 2 * StdDevDistance;
SD2Bottom[sc.Index] = VWAPSubgraph[sc.Index] - 2 * StdDevDistance;
SD3Top[sc.Index] = VWAPSubgraph[sc.Index] + 3 * StdDevDistance;
SD3Bottom[sc.Index] = VWAPSubgraph[sc.Index] - 3 * StdDevDistance;
SD4Top[sc.Index] = VWAPSubgraph[sc.Index] + 4 * StdDevDistance;
SD4Bottom[sc.Index] = VWAPSubgraph[sc.Index] - 4 * StdDevDistance;
}
/**********************************************************************************************************************/
SCSFExport scsf_MovingLinearRegressionLine(SCStudyInterfaceRef sc)
{
SCSubgraphRef MLR = sc.Subgraph[0];
SCInputRef InputData = sc.Input[0];
SCInputRef Length = sc.Input[2];
if(sc.SetDefaults)
{
sc.GraphName = "Moving Linear Regression";
sc.GraphRegion = 0;
sc.ValueFormat = 3;
sc.AutoLoop = 1;
MLR.Name = "MLR";
MLR.DrawStyle = DRAWSTYLE_LINE;
MLR.PrimaryColor = RGB(0,255,0);
MLR.DrawZeros = false;
InputData.Name = "Input Data";
InputData.SetInputDataIndex(SC_LAST);
Length.Name = "Length";
Length.SetInt(14);
Length.SetIntLimits(1, MAX_STUDY_LENGTH);
//During development set this flag to 1, so the DLL can be modified. When development is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
return;
}
sc.DataStartIndex = Length.GetInt()-1;
sc.LinearRegressionIndicator(sc.BaseDataIn[InputData.GetInputDataIndex()], MLR, Length.GetInt());
}
/************************************************************/
SCSFExport scsf_MACD(SCStudyInterfaceRef sc)
{
SCSubgraphRef MACD = sc.Subgraph[0];
SCSubgraphRef MovAvgOfMACD = sc.Subgraph[1];
SCSubgraphRef MACDDiff = sc.Subgraph[2];
SCSubgraphRef RefLine = sc.Subgraph[3];
SCInputRef InputData = sc.Input[0];
SCInputRef FastLength = sc.Input[3];
SCInputRef SlowLength = sc.Input[4];
SCInputRef MACDLength = sc.Input[5];
SCInputRef MovingAverageType = sc.Input[6];
if(sc.SetDefaults)
{
sc.GraphName = "MACD";
sc.AutoLoop = 1;
sc.GraphRegion = 1;
sc.ValueFormat = 3;
MACD.Name = "MACD";
MACD.DrawStyle = DRAWSTYLE_LINE;
MACD.DrawZeros = true;
MACD.PrimaryColor = RGB(0,255,0);
MovAvgOfMACD.Name = "MA of MACD";
MovAvgOfMACD.DrawStyle = DRAWSTYLE_LINE;
MovAvgOfMACD.DrawZeros = true;
MovAvgOfMACD.PrimaryColor = RGB(255,0,255);
MACDDiff.Name = "MACD Diff";
MACDDiff.DrawStyle = DRAWSTYLE_BAR;
MACDDiff.DrawZeros = true;
MACDDiff.PrimaryColor = RGB(255,255,0);
RefLine.Name = "Line";
RefLine.DrawStyle = DRAWSTYLE_LINE;
RefLine.DrawZeros = true;
RefLine.PrimaryColor = RGB(255,127,0);
InputData.Name = "Input Data";
InputData.SetInputDataIndex(SC_LAST);
FastLength.Name ="Fast Moving Average Length";
FastLength.SetInt(12);
FastLength.SetIntLimits(1,MAX_STUDY_LENGTH);
SlowLength.Name = "Slow Moving Average Length";
SlowLength.SetInt(26);
SlowLength.SetIntLimits(1,MAX_STUDY_LENGTH);
MACDLength.Name = "MACD Moving Average Length";
MACDLength.SetInt(9);
MACDLength.SetIntLimits(1,MAX_STUDY_LENGTH);
MovingAverageType.Name = "Moving Average Type";
MovingAverageType.SetMovAvgType(MOVAVGTYPE_EXPONENTIAL);
return;
}
if (MovingAverageType.GetMovAvgType()==MOVAVGTYPE_EXPONENTIAL)
sc.DataStartIndex = 2;
else
sc.DataStartIndex = MACDLength.GetInt() + max(FastLength.GetInt(), SlowLength.GetInt());
sc.MACD(sc.BaseDataIn[InputData.GetInputDataIndex()], MACD, sc.Index, FastLength.GetInt(), SlowLength.GetInt(), MACDLength.GetInt(), MovingAverageType.GetInt());
MovAvgOfMACD[sc.Index] = MACD.Arrays[2][sc.Index];
MACDDiff[sc.Index] = MACD.Arrays[3][sc.Index];
RefLine[sc.Index] = 0;
}
/************************************************************/
SCSFExport scsf_StandardErrorBands(SCStudyInterfaceRef sc)
{
SCSubgraphRef UpperBand = sc.Subgraph[0];
SCSubgraphRef MidBand = sc.Subgraph[1];
SCSubgraphRef LowerBand = sc.Subgraph[2];
SCInputRef InputData = sc.Input[0];
SCInputRef Length = sc.Input[2];
SCInputRef StandardDeviations = sc.Input[3];
if(sc.SetDefaults)
{
sc.GraphName = "Standard Error Bands";
sc.GraphRegion = 0;
sc.ValueFormat = 3;
MidBand.Name = "Middle Band";
MidBand.DrawStyle = DRAWSTYLE_LINE;
MidBand.DrawZeros = false;
MidBand.PrimaryColor = RGB(255,0,255);
LowerBand.Name = "Bottom Band";
LowerBand.DrawStyle = DRAWSTYLE_LINE;
LowerBand.DrawZeros = false;
LowerBand.PrimaryColor = RGB(255,255,0);
UpperBand.Name = "Top Band";
UpperBand.DrawStyle = DRAWSTYLE_LINE;
UpperBand.DrawZeros = false;
UpperBand.PrimaryColor = RGB(0,255,0);
InputData.Name = "Input Data";
InputData.SetInputDataIndex(SC_LAST);
Length.Name = "Length";
Length.SetInt(14);
Length.SetIntLimits(1,MAX_STUDY_LENGTH);
StandardDeviations.Name = "Standard Deviations";
StandardDeviations.SetFloat(2.0f);
StandardDeviations.SetFloatLimits(.001f,(float)MAX_STUDY_LENGTH);
//During development set this flag to 1, so the DLL can be modified. When development is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
sc.AutoLoop = 1;
return;
}
sc.DataStartIndex = Length.GetInt()-1;
sc.LinearRegressionIndicator(sc.BaseDataIn[InputData.GetInputDataIndex()], MidBand, Length.GetInt());
double StandardErrorValue = sc.GetStandardError(sc.BaseDataIn[InputData.GetInputDataIndex()], Length.GetInt());
UpperBand[sc.Index] = (float)(MidBand[sc.Index] + StandardErrorValue * StandardDeviations.GetFloat());
LowerBand[sc.Index] = (float)(MidBand[sc.Index] - StandardErrorValue * StandardDeviations.GetFloat());
}
/***********************************************************************************************************************/
SCSFExport scsf_BollingerBands(SCStudyInterfaceRef sc)
{
SCSubgraphRef UpperBand = sc.Subgraph[0];
SCSubgraphRef MidBand = sc.Subgraph[1];
SCSubgraphRef LowerBand = sc.Subgraph[2];
SCInputRef InputData = sc.Input[0];
SCInputRef Length = sc.Input[3];
SCInputRef StandardDeviations = sc.Input[4];
SCInputRef VersionCheck = sc.Input[5];
SCInputRef MAType = sc.Input[6];
if(sc.SetDefaults)
{
sc.GraphName = "Bollinger Bands";
sc.GraphRegion = 0;
sc.ValueFormat = 3;
sc.AutoLoop = true;
MidBand.Name = "Middle Band";
MidBand.DrawStyle = DRAWSTYLE_LINE;
MidBand.PrimaryColor = RGB(255,0,255);
UpperBand.Name = "Upper Band";
UpperBand.DrawStyle = DRAWSTYLE_LINE;
UpperBand.PrimaryColor = RGB(0,255,0);
LowerBand.Name = "Lower Band";
LowerBand.DrawStyle = DRAWSTYLE_LINE;
LowerBand.PrimaryColor = RGB(255,255,0);
InputData.Name = "Input Data";
InputData.SetInputDataIndex(SC_HLC);
Length.Name = "Length";
Length.SetInt(10);
Length.SetIntLimits(1,MAX_STUDY_LENGTH);
StandardDeviations.Name = "Standard Deviations";
StandardDeviations.SetFloat(2.0f);
StandardDeviations.SetFloatLimits(.0001f,(float)MAX_STUDY_LENGTH);
VersionCheck.SetInt(1);
MAType.Name = "Moving Average Type";
MAType.SetMovAvgType(MOVAVGTYPE_SIMPLE);
//During development set this flag to 1, so the DLL can be modified. When development is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
return;
}
// version check
if (VersionCheck.GetInt() != 1)
{
MAType.SetMovAvgType(MOVAVGTYPE_SIMPLE);
VersionCheck.SetInt(1);
}
sc.DataStartIndex = Length.GetInt()-1;
sc.BollingerBands(sc.BaseDataIn[InputData.GetInputDataIndex()],MidBand,Length.GetInt(),StandardDeviations.GetFloat(),MAType.GetMovAvgType());
UpperBand[sc.Index] = MidBand.Arrays[0][sc.Index];
LowerBand[sc.Index] = MidBand.Arrays[1][sc.Index];
}
/************************************************************************************************************************/
SCSFExport scsf_PositiveVolumeIndex(SCStudyInterfaceRef sc)
{
SCSubgraphRef PVI = sc.Subgraph[0];
SCInputRef InputData = sc.Input[0];
SCInputRef InitialValue = sc.Input[2];
if(sc.SetDefaults)
{
sc.GraphName = "Positive Volume Index";
sc.GraphRegion = 1;
sc.ValueFormat = 3;
sc.AutoLoop = 1; // true
PVI.Name = "PVI";
PVI.DrawStyle = DRAWSTYLE_LINE;
PVI.PrimaryColor = RGB(0,255,0);
PVI.DrawZeros = false;
InputData.Name = "Input Data";
InputData.SetInputDataIndex(SC_LAST);
InitialValue.Name = "Initial Value";
InitialValue.SetFloat(2.5f);
InitialValue.SetFloatLimits(.01f,(float)MAX_STUDY_LENGTH);
//During development set this flag to 1, so the DLL can be modified. When developmsent is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
return;
}
float prev_PVI;
float prev_data;
float data;
float PVIval;
float volume;
float prev_volume;
sc.DataStartIndex = 0;
int pos = sc.Index;
if(pos == 0)// We are starting a new PVI study
{
PVI[0] = InitialValue.GetFloat();
pos++;
}
volume = sc.Volume[pos];
prev_volume = sc.Volume[pos-1];
prev_PVI = PVI[pos-1];
if(volume > prev_volume) // current volume less then equal to previous volume.
{
data = sc.BaseDataIn[InputData.GetInputDataIndex()][pos];
prev_data = sc.BaseDataIn[InputData.GetInputDataIndex()][pos-1];
PVIval = prev_PVI + ((data-prev_data) / prev_data * prev_PVI );
}
else
{
PVIval = prev_PVI;
}
PVI[pos] = PVIval;
}
/************************************************************************************************************************/
SCSFExport scsf_NegativeVolumeIndex(SCStudyInterfaceRef sc)
{
SCSubgraphRef NVI = sc.Subgraph[0];
SCInputRef InputData = sc.Input[0];
SCInputRef InitialValue = sc.Input[2];
if(sc.SetDefaults)
{
sc.GraphName = "Negative Volume Index";
sc.GraphRegion = 1;
sc.ValueFormat = 3;
sc.AutoLoop= true;
NVI.Name = "NVI";
NVI.DrawStyle = DRAWSTYLE_LINE;
NVI.PrimaryColor = RGB(0,255,0);
NVI.DrawZeros = false;
InputData.Name = "Input Data";
InputData.SetInputDataIndex(SC_LAST);
InitialValue.Name = "Initial Value";
InitialValue.SetFloat(2.5f);
InitialValue.SetFloatLimits(0.01f,(float)MAX_STUDY_LENGTH);
//During development set this flag to 1, so the DLL can be modified. When development is completed, set it to 0 to improve performance.
sc.FreeDLL = 0;
return;
}
sc.DataStartIndex = 0;
float prev_NVI;
float prev_data;
float data;
float NVIval;
float volume;
float prev_volume;
int pos = sc.Index;
if(pos == 0)// We are starting a new NVI study
{
NVI[0] = InitialValue.GetFloat();
pos++;
}
volume = sc.Volume[pos];
prev_volume = sc.Volume[pos-1];
prev_NVI = NVI[pos-1];
if(volume < prev_volume) // current volume greater then equal to previous volume.
{
data = sc.BaseDataIn[InputData.GetInputDataIndex()][pos];
prev_data = sc.BaseDataIn[InputData.GetInputDataIndex()][pos-1];
NVIval = prev_NVI + ((data-prev_data) / prev_data * prev_NVI);
}
else
{
NVIval = prev_NVI;
}
NVI[pos] = NVIval;
}
/************************************************************************************************************************/
SCSFExport scsf_DoubleStochasticNew(SCStudyInterfaceRef sc)
{
SCSubgraphRef DS = sc.Subgraph[0];
SCSubgraphRef Line1 = sc.Subgraph[5];
SCSubgraphRef Line2 = sc.Subgraph[6];
SCInputRef Length = sc.Input[0];
SCInputRef EMALength = sc.Input[2];
SCInputRef MovAvgType = sc.Input[3];
SCInputRef Line1Value = sc.Input[4];
SCInputRef Line2Value = sc.Input[5];
if(sc.SetDefaults)
{
sc.GraphName = "Double Stochastic";
sc.GraphRegion = 1;
sc.ValueFormat = 3;
sc.AutoLoop = true;
DS.Name = "DS";
DS.DrawStyle = DRAWSTYLE_LINE;
DS.PrimaryColor = RGB(0,255,0);
DS.DrawZeros = false;
Line1.Name = "Line 1";
Line1.DrawStyle = DRAWSTYLE_LINE;
Line1.PrimaryColor = RGB(0,255,0);
Line1.DrawZeros = false;