Market Statistics (Volume Histogram, VWAP with SD bands) | Forex Factory

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Market Statistics (Volume Histogram, VWAP with SD bands)

  • #1
  • First Post: Edited Apr 30, 2023 2:25pm Aug 10, 2009 12:50am | Edited Apr 30, 2023 2:25pm
After I read Jperl's excellent market statistics series at Traders Laboratory, I decided to code them in MQL for metatrader. Here is a summary document:
Attached File(s)
File Type: pdf Trading_With_Market_Statistics.pdf   557 KB | 6,745 downloads | Uploaded Jun 20, 2019 4:35am


Here is my google drive link for some of the videos: Drive
They are in swf format, so it is a bit tricky to play them back. You are on your own there.
UPDATE: Someone(@mxqorlinz7489) had uploaded them into youtube some time ago. I downloaded and added them to the google drive.

PVP represent Peak Volume Price and shows the price from StartDate with highest volume.

VWAP is the average of the volume distribution.

SD stands for Standart Deviation and you can plot 3 SD bands around VWAP.

I hope this will be helpful for someone.


Have a nice one.

Akif,



Drag indicator:
Attached Image (click to enlarge)
Click to Enlarge Name: USDJPYM5-1.png Size: 61 KB
Attached Image (click to enlarge)
Click to Enlarge Name: USDJPYM5.png Size: 65 KB
Attached File(s)
File Type: mq4 Akif_Market_Statistics_Drag_v6_NoExpire.mq4   40 KB | 1,904 downloads | Uploaded Oct 6, 2021 11:50am



Rectangle Indicator:
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSDM30-Rectangle.png Size: 57 KB

Attached File(s)
File Type: mq4 Akif_Rectangle_Market_Statistics_v3_NoExpire.mq4   27 KB | 1,705 downloads | Uploaded Oct 6, 2021 11:50am


Akif,
  • #2
  • Aug 11, 2009 10:49pm Aug 11, 2009 10:49pm
bless u Akift....i read that about Jperl 2weeks ago but unfortunately i couldnt get the indicators since they only worked in ensign...

thanks for bringing these in mq4.

regards
  • #3
  • Aug 12, 2009 5:36am Aug 12, 2009 5:36am
Akift could you please post the ex4 file as well ?

kindest regards
  • #4
  • Aug 12, 2009 7:56am Aug 12, 2009 7:56am
Inserted Code
datetime OpenTime = 0;  // To check if we have a new bar

int start()
{
...  
   if (OpenTime != Open[0])
   {
...
      OpenTime = Open[0];
...
Akiff, could you elaborate on this bit of code please?
I'm rather curious...
  • #5
  • Aug 12, 2009 8:14pm Aug 12, 2009 8:14pm
Quoting billi-on-air
Akift could you please post the ex4 file as well ?

kindest regards
normally people will need mq4 file.

compiled yourself pls to .ex4
  • #6
  • Aug 12, 2009 11:04pm Aug 12, 2009 11:04pm
Quoting akukaya
normally people will need mq4 file.

compiled yourself pls to .ex4
i loaded the mq4 into the indicators file but nothing came on the chart...nd i dont know how to compile an ex4 file otherwise i would have done it...

anyone with an ex4 ,please just post it as im sure i wont be the only one with this problem...

kindest regards
  • #7
  • Edited 7:29pm Aug 13, 2009 2:03pm | Edited 7:29pm
The platform does the compilation for you (ie. creates the ex4). You will need to stop and restart your trading platform after copying the file to the "experts/indicators" folder. Then look in your Navigator window (Ctrl-N toggles the Navigator on and off). Specifically, the Custom Indicators section should display all of the ex4 files in the "experts/indicators" folder. Drag and drop the Custom Indi to your chart and you should be in business.
  • #8
  • Aug 14, 2009 6:21am Aug 14, 2009 6:21am
Thats what i talking about Snowy...but from now on u should be Tin-Tin ...!
simply well explained and that's all it takes...i wish we had another 1000 people like u on this forum because most people here assume every knows everything but we are in a fast growing market where NuBiz are looking to understand the market through the use of forums!

i commend you for that and thanks a million from me personally and the newbie coming after me who will find that explanation useful !

God bless U coz u rock !
  • #9
  • Aug 18, 2009 5:54am Aug 18, 2009 5:54am
Quoting Irtron
Inserted Code
datetime OpenTime = 0;  // To check if we have a new bar

int start()
{
...  
   if (OpenTime != Open[0])
   {
...
      OpenTime = Open[0];
...
Akiff, could you elaborate on this bit of code please?
I'm rather curious...
What wouldnt change about an incomplete bar(current bar or "ZERO BAR"). Its open value...Its high, its low and its close can change until it gets closed but only its open remain same starting from its beginning.

By checking this i m not doing any calculation until bar completes.

Sorry for answering late. I posted these indicators to another forum (I hope its ok to give link here) and I was busy with improvements and answering. YOu can follow from there.

Thanks for interest.

Akif,
  • #10
  • Aug 18, 2009 7:35am Aug 18, 2009 7:35am
Quoting akift
What wouldnt change about an incomplete bar(current bar or "ZERO BAR"). Its open value...Its high, its low and its close can change until it gets closed but only its open remain same starting from its beginning.

By checking this i m not doing any calculation until bar completes.
Yeah, the idea is rather obvious. What puzzles me is why you compare time value with price? Are you aware of implications of casting a double (Open[0]) to an unsigned integer (OpenTime)?
Let me assure you that the code in the quote won't work. The odds of getting OpenTime == Open[0] are trifling, OpenTime != Open[0] is always true.
  • #11
  • Aug 18, 2009 8:34am Aug 18, 2009 8:34am
Quoting Irtron
Yeah, the idea is rather obvious. What puzzles me is why you compare time value with price? Are you aware of implications of casting a double (Open[0]) to an unsigned integer (OpenTime)?
Let me assure you that the code in the quote won't work. The odds of getting OpenTime == Open[0] are trifling, OpenTime != Open[0] is always true.
You are right Irtron.

As I already written in code header I looked at another indicator's code for the histogram. And at that time it looked strange to me also why he is comparing datetime with open. And then I thought why he is checking Open[0], starting time of current bar should not change also(thinking naively time[0] will show the time for the first tick of the current bar.I tried smtg on that, ,it didnt work so I revert back to original)

But you are right that condition is always true. So it doesnt help to relieve the pain on CPU as intended. I changed datetime to double tested and now it looks ok. Thank you very much

P.S. Please forgive these errors as this is my FIRST indicator

Akif,
  • #12
  • Aug 18, 2009 8:36am Aug 18, 2009 8:36am
Quoting akift
What wouldnt change about an incomplete bar(current bar or "ZERO BAR"). Its open value...Its high, its low and its close can change until it gets closed but only its open remain same starting from its beginning.

By checking this i m not doing any calculation until bar completes.

Sorry for answering late. I posted these indicators to another forum (I hope its ok to give link here) and I was busy with improvements and answering....
Open values can be the same. I would suggest to use Time[0] for checking if the bar is completed and use datetime type for that variable.

Anyway, good work Akif.
  • #13
  • Aug 18, 2009 8:46am Aug 18, 2009 8:46am
Quoting dreamtrader
I would suggest to use Time[0] for checking if the bar is completed and use datetime type for that variable.

Anyway, good work Akif.
As I stated in upper at that time I tried Time[0] somehow it didnt work. Maybe I didnt code it right. Maybe Irtron knows the reason or the proper way to check the new candle.

Quoting dreamtrader
Open values can be the same.
Yes I think I should also check on that also. I will fix it.
  • #14
  • Aug 18, 2009 6:27pm Aug 18, 2009 6:27pm
You may do it this way:

First, declare lastBarCheckTime as global variable:

datetime lastBarCheckTime;

Then, before your program logic in the start() function, put in

if(lastBarCheckTime == Time[0]){
return(0);
} else {
lastBarCheckTime = Time[0];
}

It will always do nothing and "return" until there is a new bar.
Hope this helps.
  • #15
  • Jan 20, 2010 9:22pm Jan 20, 2010 9:22pm
A caution to other traders: don't download this indi.

I've never ever had issues with my MT4s with freezing, bugs, etc over the say 6 months it's on this one specific PC, yet the included indi froze my MT4. Giving it many minutes to recover and trying to display the experts tab of the terminal window to see any error messages did not work and I had to force a termination of that MT4 session. When I reentered MT4, another currency window within MT4 failed to show up (the first one in my bottom tabs), taking months of carefully plotted trend lines, fibos, SRs trades, and highlighted areas with it. Am looking for it now and trying to restore, but downloaders beware.
  • #16
  • Jan 29, 2010 10:30am Jan 29, 2010 10:30am
Quoting Beljevina
A caution to other traders: don't download this indi.

I've never ever had issues with my MT4s with freezing, bugs, etc over the say 6 months it's on this one specific PC, yet the included indi froze my MT4. Giving it many minutes to recover and trying to display the experts tab of the terminal window to see any error messages did not work and I had to force a termination of that MT4 session. When I reentered MT4, another currency window within MT4 failed to show up (the first one in my bottom tabs), taking months of carefully plotted trend lines,...
I am sorry for the trouble beljevina,

But I think you installed the v1 indicator posted in my first post. Later I improved and fixed this indicator a lot and continuously posted it in another forum. sorry that I forgot to update it here. Version 4_1 should be working fine at least there should be no lockups.

Sorry again. You can check the other forum for the intermediate updates.

Have a nice one.

Akif,
  • #17
  • Sep 21, 2010 8:16pm Sep 21, 2010 8:16pm
Hi akift

Thanks for the indicator.

At the present time I'm working my way through jperl's thread. It looks promising and I hope to incorporate his use of VWAP into my own trading.

Did you make much progress yourself using this in the Forex market?

Thanks

Greg
  • #18
  • Sep 22, 2010 1:25am Sep 22, 2010 1:25am
(subscribed)

Excellent work on the indy akift!!!

Jperl is worth his weight in gold... a true one of kind trader/teacher... very rare.
  • #19
  • Dec 14, 2014 2:17am Dec 14, 2014 2:17am
good work
  • #20
  • Jun 10, 2015 7:46am Jun 10, 2015 7:46am
Is it possible to get Market Statistics Indicator to show Vwap for each day separately like shown below? Thanks!
Attached Image (click to enlarge)
Click to Enlarge Name: 000576.png Size: 69 KB
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