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Attachments: New to coding MT4, a few question about converting my indie
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New to coding MT4, a few question about converting my indie

  • Post #1
  • Quote
  • First Post: Edited Feb 22, 2019 9:26am Feb 21, 2019 10:43am | Edited Feb 22, 2019 9:26am
Hello all.

I am new to coding in MT4. I have done a TON of coding in NinjaTrader 7, which is done using C#.

I have an indicator I created a long time ago in NT7 that I want to rebuild in MT4. This indicator is a VWAP(Volume-Weighted-Average-Price), combined with a PVP(Peak-Volume-Price) indicator. The PVP also has a histogram associated with it.

My original indicator did the standard calculations using VOLUME like you would expect, for both the PVP and the VWAP. But I also created a PWAP(Price-Weighted-Average-Price) and a PVP that uses price instead of volume. They actually look EXTREMELY similar. I will be recreating the Price version of this indie for use in FX.

If for any reason someone uses NT7 and wants to DL it, you can find it HERE. Attached below are images of the indicator... I have allowed two different ways to produce the histogram, one of which draws it with horizontal lines, the other draws it with rectangles, so drawing is something I will need to do.

I don't expect any single person to answer every question, but if you know how to accomplish one of these things, it would be appreciated.

So here are my questions on things I need to do:

  1. NT7 has a particular structure, where you can perform a calculation each time a bar ends... I.e., OnBarUpdate() {...}. So everything inside this function, will calculate as the bar closes. Is there a way to do this in MT4? I only want the indie to be calculated obviously when I put it on a chart, and then once on bar close. In MT4, is it as simple as wrapping it in some function?
  2. I will be creating this indicator for Daily, Weekly and Monthly. In NT7, there are ways to delineate the start of a Day, Week and Month. I.e., at the start of a Day(if(Bars.FirstBarOfSession) {...}). This would allow me to do something at the close of the first bar that represents the start of the day. I will want to do this for the start of the week and month also... when that FIRST bar closes so I can start collecting stats.
  3. Is there a similar easy way to detect the last bar of a given period? Similar to End of a day, week or month?
  4. I will need to draw both a histogram, and a line(seen in attached images). What's the best way to accomplish this?
  5. I used lists in NinjaTrader, which is just like an array, where I can store many items in it. I used this to store the values for my histogram. Does MT4 have something similar to an array that I can use?


I will need some other things, but I think the above should at least get me started.

Thanks!!!

Attached Image(s) (click to enlarge)
Click to Enlarge Name: 2019-02-21_090927_lines.png Size: 89 KB
Click to Enlarge Name: 2019-02-21_090927_rects.png Size: 74 KB
  • Post #2
  • Quote
  • Edited 2:44am Feb 26, 2019 2:31am | Edited 2:44am
Most of the developers here moving from MQ4 to C#, so you're some kind of unique.

1.) There is nothing like that in MQ4. The most common way is to save the time of the last processed tick. On the next incoming tick you can check with iBarShift (https://docs.mql4.com/series/ibarshift) the bar index for that tick time. If the time is still at barindex = 0 then the bar is not closed. barindex > 0 tells you that the bar is closed already. That's only one of many possible ways to check this.

2 + 3.) You can use a similar approach. If you want to know the start of the higher timeframe you can use iTime (https://docs.mql4.com/series/itime). The Ende would be the start time + Periodseconds (https://docs.mql4.com/common/periodseconds) - 1 will give you the end of the bar in that timeframe. To get the bars in lower timeframe you can use again iBarshift with the calculated start/end of higher timeframe or you can copy then into an array with CopyRates (https://docs.mql4.com/series/copyrates). If you don't need the rates (which includes all informations per bar) you can use the other Copy methods, e.g. CopyClose for only closing price.

4.) That's a tricky part, because MT4 is not good in painting at all. Lines can be drawn via Buffers. The horizontal histogram can be draw via multiple Trendlines (https://docs.mql4.com/constants/obje...ject/obj_trend). I'm personal don't use it because you have to add tons of objects to the chart. For that i made an own library to paint directly into the chart (this is much to complex to describe here)

5.) Use classes. Then you have a CList. Or you handle your Objects in the array by yourself with Array* Functions (https://docs.mql4.com/array/arrayresize)

I hope this helps you to kickstart. Feel free to ask me here or per PM.

Maybe this one helps you without programming
Attached File(s)
File Type: ex4 TM_MarketStatisticsV2.ex4   150 KB | 297 downloads
Quoting JensItzig
I hope this helps you to kickstart.
So just after creating this thread, I read:
THIS

I also read THIS thread, in particular found these articles helpful: 1, 2, 3, 4, 5

Even after reading that, your commentary helps a TON! I figured out a few things I didn't understand before from some of your post.

I think Clists are only available for MT5? I see the issue with arrays as they don't have a lot of cool built in methods you can use, like Lists do. That's why I didn't use arrays much in NT7, as the lists let you just push and pop things into them. I guess for arrays in MT4 I'd have to create my own functions to add things to arrays, or remove things from arrays... I was looking into it and seems like I'd need to resize them first. But, seems doable.

The indicator you posted is pretty cool, although I still want to build my own.
Weird platform issue I'm noticing, and is slowing down my debugging a bit... Just wondering what it is that makes the platform behave this way?

First thing I'm doing right now, is just making sure I can delineate various starts of time, I.e., start of day, week, etc...

So I managed to get it to work for a Daily start, and the way I did it was:
Inserted Code
   Counted_bars=IndicatorCounted(); // Number of counted bars
   i=Bars-Counted_bars-1;           // Index of the first uncounted
   while(i>=0)                      // Loop for uncounted bars
     {
      datetime dayOpenTime=iTime(Symbol(),PERIOD_D1,i);
      if(Time[i]==dayOpenTime)
        {
         ObjectCreate("oLine"+dayOpenTime,OBJ_VLINE,0,Time[i],0);
        }
      //Comment(dayOpenTime+"   ");
      //PVPBuffer[i]=High[i];             // Value of 0 buffer on i bar
      i--;                          // Calculating index of the next bar
     }

So here, I'm simply adding a D1 TF to my chart with iTime. I think check if the current bar on for example my hourly chart is equal to that Daily OPen time, and if so, draw a vertical line.... this works.

But the issue here, is when I INITIALLY add it to a chart, the vertical lines do not show up. I thought this was a problem with the script. But instead, it appears to be a problem with the way the program loads the bars from the other/higher TF?

What happens, if I switch the chart from the hourly that I am working with, to a D1 chart, the red lines show up on that D1 chart. THEN... if I switch back to the Hourly chart, the lines appear where they should.

I checked the amount of D1 bars on the hourly chart before doing all that switching back and fourth with:
Inserted Code
   int nr_of_bars_on_Chart=iBars(Symbol(), PERIOD_D1);
   Comment(nr_of_bars_on_Chart+"   ");
When I run this, it shows up as having plenty of D1 bars on the chart. But it still won't load without switching back and fourth.

It's not the biggest deal, at least I know what is happening(which I found out through luck), jsut wondering why it behaves this way?
Attached File(s)
File Type: mq4 Pelt_MarketStats_Daily_v1.0.mq4   3 KB | 248 downloads
Ignore all of that. I see the problem is incorrect use of the iTime function. I still haven't figure out exactly how it works, but the lines weren't actually being placed on my chart, they were just left over objects when I switched back from a daily.

I did write a push() function however so I can just push things into the array... it references the array, takes in a value, resizes the array +1, then adds a new value to it.

Just need to figure out how to properly get the indicator to recognize start of day,week,month with the iTime function.
Ugh... Finally figured out the part about getting the start of Day, weekly and month should be the same. I'm glad cause I wanted to figure it out by using the added timeframes instead of using quirky math to do it(if you know what I mean).

If anyone else has this problem...

YOu need to start with something like:
Inserted Code
int shift=iBarShift( NULL,PERIOD_D1,Time[i] );

The above will give you the amount your bars need to be offset from the current bar being processed(by "i"), which will then be used in the next step:
Inserted Code
dayOpenTime=iTime(NULL,PERIOD_D1, shift);

The above will return the time of the opening bar for that TF.

So...
I've figured out how to delineate days, weeks and months.
I've also setup processing my script, so it only does things on the OPEN of a NEW BAR(or closing of last bar).
I've also go my push() function so that I can add things to an array easily.

Coming along nicely... albeit slowly.
Got BASIC pvp stuff working. It's just the simple calculation that creates the distribution using only the Close price and its volume calculation. I intent to add some other calculation types in(to include price only calcs).

As far as PVP goes, need to add in other calc modes, and then figure out how to best draw a histogram. Then after that its on to creating the PWAP/VWAP.

I had initially created my indie and was mostly used for plotting futures. The price movement is in standard points or tics, where you would hit certain values more than once so you could see the more important areas.

Something I had not considered... is that the way PVP works, is that you sum up volume(or price) at each price level(you can use all price levels in a bar, or just close price, median, or anything else)....

But thing about FX I'm just realizing, is that since the chart is divided up into pipettes, if you take the price to include the pipette values, its rare that values will be hit more than once... especially when you plot this on larger charts.

I could only use the whole pip value for price(ignore the pipette value).

The above is probably a terrible explanation, but its something I have to think about.
Attached Image
Quoting forrestang
{quote} I think Clists are only available for MT5?
No. You can use the OO features also in MT4.
If you want the first bar in a given timeframe for the D1 then i would use following functions.

datetime timeOfInterest = D'03.03.2019 11:41:32';
int barD1 = iBarShift(NULL, PERIOD_D1, timeOfInterest);
datetime startOfDay = iTime(NULL, PERIOD_D1, barD1);
int barInCurrentTimeframe = iBarShift(NULL, 0, startOfDay);

Please keep in mind that iBarShift has 2 mode. Here we use teh not exact mode and you get the bar that is nearest to the given time. So it could be you get a bar before the real start of the day because it's nearer (e.g. you have 23:59 bar of the day before and then the first bar ot the day is the 0:02 bar). So i mostly recheck the time of the bar in the lower timeframe with this and decrease barcount to be surely with the time at the given day:

datetime startOfDayInLowerTF = iTime(NULL, 0, barInCurrentTimeframe);
if (startOfDayInLowerTF < startOfDay) barInCurrentTimeframe--;
  • Post #10
  • Quote
  • Edited 10:37pm Mar 4, 2019 10:11pm | Edited 10:37pm
Quoting JensItzig
If you want the first bar in a given timeframe for the D1 then i would use following functions. datetime timeOfInterest = D'03.03.2019 11:41:32'; int barD1 = iBarShift(NULL, PERIOD_D1, timeOfInterest); datetime startOfDay = iTime(NULL, PERIOD_D1, barD1); int barInCurrentTimeframe = iBarShift(NULL, 0, startOfDay); Please keep in mind that iBarShift has 2 mode. Here we use teh not exact mode and you get the bar that is nearest to the given time. So it could be you get a bar before the real start of the day because it's nearer (e.g. you have 23:59...
I think I get what you're saying here. I was under the impression that using iBarShift() would always do like a left-scan to find the nearest D1 open time? But I guess it just looks for the CLOSEST D1 open, whether that be left OR right?

I think what I am using it for at the moment should work. As I am just looking to discover the D1 open bar on the lower TF, so that I can reset/clear my arrays, and reset all the calculations for the next period.

What I am doing is something like this:
Inserted Code
         int shift=iBarShift(NULL,PERIOD_D1,Time[i+1]);  //Get offset from D1 Open
         dayOpenTime=iTime(NULL,PERIOD_D1,shift);        //Get open Time of DailyBar,
         if(Time[i+1]==dayOpenTime) //Start of Day
           {
            string datestring=TimeToStr(Time[i+1],TIME_DATE);
            ObjectCreate("oLine"+datestring,OBJ_VLINE,0,Time[i+1],0);
            ArrayFree(PxpArr); ArrayFree(PxpPrices); ArrayFree(PxpCnt); //Clear Arrays
           }

So since I'm checking on EVERY BAR what the shift is... and THEN asking IF the current Time[0] is equal to the dayOpenTime(), that I should always be guaranteed to get the correct D1 open?
I looked around(google) and couldn't find it, but it seems like there is no obvious way to do code folding in metaeditor.

Is it possible to fold code away so it takes up less space?

Or is the only solutio to use an alternate editor? I've got vsCode, and I hear people use that, so I guess i could do that...
I haven't put as much time into this lately, but still working on it slowly from time to time.

Got the basic histogram of the pvp working.
Attached Image (click to enlarge)
Click to Enlarge Name: pvp.png Size: 9 KB
Got the VWAP(or XWAP) working.

Still have quite a few things to add, like the various 'Typical Price' modes. Right now it's all based on Close price, but I'll add a Median, HLC/3, OHLC/4 for both vWap and PvP. Also need to add the other SDs for the VWAP.

I also have a different calculation for the PvP building, where it will distribute the volume of a bar among the entire bar evenly, instead of just one of the Typical Prices above.

And then an alternate way to display the histogram, drawn with rectangles instead of lines which will just make it 'look' cooler.

However I do have one irritating thing I need to figure out with my current histogram? Right now I have the values of the histogram in two arrays. One array has the price, and the other has the corresponding volume at each price. I loop through and individually draw each onto the screen, and set its width relative to the volume present. Each one of these drawings needs a text string id. What I should be able to use, is simply the price from the array + the Time of the first bar of that day.

The issue, is that this will leave out some of the drawings. Its acting like It's finding a new bar on a different day, that has the same ID... effectively erasing the prior one that should still remain. I temporarily fixed this by adding Time[i] to the ID's string, but this adds a bunch of additional, redundant lines that don't need to be there. That's all probably confusing the way I explained it.
Attached Image (click to enlarge)
Click to Enlarge Name: stats.png Size: 16 KB
Quoting JensItzig
Most of the developers here moving from MQ4 to C#, so you're some kind of unique. 1.) There is nothing like that in MQ4. The most common way is to save the time of the last processed tick. On the next incoming tick you can check with iBarShift (https://docs.mql4.com/series/ibarshift) the bar index for that tick time. If the time is still at barindex = 0 then the bar is not closed. barindex > 0 tells you that the bar is closed already. That's only one of many possible ways to check this. 2 + 3.) You can use a similar approach....
Hi JensIzig,
I was thinking to try out your market statistics indicator, but it appears to be expired now. do you plan to renew the indicator?
thanks.
  • Post #15
  • Quote
  • Last Post: Jun 3, 2020 9:40pm Jun 3, 2020 9:40pm
Quoting cmanFX
{quote} Hi JensIzig, I was thinking to try out your market statistics indicator, but it appears to be expired now. do you plan to renew the indicator? thanks.
No problem. Here it comes.
Attached File(s)
File Type: ex4 TM_MarketStatisticsV2.ex4   147 KB | 383 downloads
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