Compression Project

Quoting Mindsphere

Disliked

...this is a hotly debated topic, but volume in forex (which is actually just tick volume) is not a good indicator of true volume.

Ignored

Quoting robdee

Disliked

I also looked back to earlier in the year when my broker switched to decimal pricing and variable spreads. The number of tics per period jumped up dramatically, they were feeding me a lot more data every hour than before.

Ignored

//+-----------------------------------------------------------+
//| INDICATOR for volume compression          Compression.mq4 |
//| copy to [experts\indicators] and recompile or restart MT4 |
//+-----------------------------------------------------------+
//| Free software for personal non-commercial use only.       |
//| No guarantees are expressed or implied.                   |
//| Feedback welcome via Forex Factory private message.       |
//+-----------------------------------------------------------+
#property copyright "Copyright © 2010 Robert Dee"
#property link      "www.forexfactory.com/member.php?u=12983"

/**
   ==== NOTES ABOUT 'COMPRESSION' AS AN IDEA TO DESCRIBE MARKET ACTIVITY ====

   compression is measured in tics per point (tics of volume / range of candle)
   in other words how many tics of volume are 'compressed' into the candle
   basically high compression means a lots of activity but not much price movement

   for example: a candle with volume = 1632 tics, range = 136 points (13.6 pips) 
                therefore compression = (1632 tics / 136 points) = 12 tics/point

   small candles with exceptionally high compression are interesting and useful
   exceptional compression highlights trading activity 'hiding' in smaller candles
   when the pressure blows out the price will move away on larger 'low compression' candles
**/

#define INDICATOR_VERSION    20101001
#define INDICATOR_NAME       "Compression"
#define RELEASE_LEVEL        "Public"
#define MT4_BUILD            226

#property indicator_separate_window
#property indicator_buffers 3

#property indicator_color1 Green     // Compression histogram colour
#property indicator_color2 Gold      // LessCompression histogram colour
#property indicator_color3 Black     // MaxCompression histogram colour
#property indicator_width1 2
#property indicator_width2 2
#property indicator_width3 2

extern string CurrencySymbol = "";    // "" means use the chart symbol (eg EURUSD)
extern int    TimeFrame      = 0;     // 1 5 15 30 60 240 1440 10080 43200 (0 means use the chart timeframe)
extern string SymbolLabel    = "_symbollabel"; // name of textlabel for currency symbol (user creates a textlabel with this name)

// persistent variables
double Compression[];
double LessCompression[];
double MaxCompression[];
double VolumeArray[];    // not a display buffer
double lastcompression;
string period;

//+------------------------------------------------------------------+
//| init() sets up the display buffers once when indicator is loaded
//+------------------------------------------------------------------+
int init()
{
// TimeFrame validation
   if(TimeFrame == 0) TimeFrame = Period();
   if(TimeFrame > 0) // if a timeframe value has been input
      {
      if(TimeFrame < 5) TimeFrame = 1;
      if(TimeFrame > 5 && TimeFrame < 15) TimeFrame = 5;
      if(TimeFrame > 15 && TimeFrame < 30) TimeFrame = 15;
      if(TimeFrame > 30 && TimeFrame < 60) TimeFrame = 30;
      if(TimeFrame > 60 && TimeFrame < 240) TimeFrame = 60;
      if(TimeFrame > 240 && TimeFrame < 1440) TimeFrame = 240;
      if(TimeFrame > 1440 && TimeFrame < 10080) TimeFrame = 1440;
      if(TimeFrame > 10080 && TimeFrame < 43200) TimeFrame = 10080;
      if(TimeFrame > 43200) TimeFrame = 43200;   
      }
   switch(TimeFrame){case 1: period = "M1"; break; case 5: period = "M5"; break; case 15: period = "M15"; break; case 30: period = "M30"; break; case 60: period = "H1"; break; case 240: period = "H4"; break; case 1440: period = "D1"; break; case 10080: period = "W1"; break; case 43200: period = "MN1"; break; default: period = "Unknown"; break;}
// find currency symbol
   if(CurrencySymbol == "") CurrencySymbol = Symbol();
// Compression style
   SetIndexStyle(0,DRAW_HISTOGRAM);
// LessCompression style
   SetIndexStyle(1,DRAW_HISTOGRAM);
// MaxCompression style
   SetIndexStyle(2,DRAW_HISTOGRAM);
// setup indicator buffers
   SetIndexEmptyValue(0,0);
   SetIndexEmptyValue(1,0);
   SetIndexEmptyValue(2,0);
   SetIndexBuffer(0,Compression);
   SetIndexBuffer(1,LessCompression);
   SetIndexBuffer(2,MaxCompression);
// names for DataWindow and indicator subwindow label
   IndicatorDigits(1);
   IndicatorShortName(INDICATOR_NAME+" ("+CurrencySymbol+","+period+")");
   SetIndexLabel(0,"Compression");
   SetIndexLabel(1,"");
   SetIndexLabel(2,"MaxCompression");
// message to the experts log (shows in reverse order)
   Print("Copyright © 2010 Robert Dee, All Rights Reserved");   
   Print("Free software for personal non-commercial use only. No guarantees are expressed or implied.");
   Print(INDICATOR_NAME+" indicator version V"+INDICATOR_VERSION+" for "+RELEASE_LEVEL+" release, compiled with MetaTrader4 Build "+MT4_BUILD);
// VolumeArray setup
   ArraySetAsSeries(VolumeArray,True); // not a display buffer
return(0);
}

//+------------------------------------------------------------------+
//| start() function is called once every time price changes (tic)
//+------------------------------------------------------------------+
int start()
{
int      shift, bars = iBars(CurrencySymbol,TimeFrame);
double   multi = MathPow(10,MarketInfo(CurrencySymbol,MODE_DIGITS));
double   range, compression, uband;
ArrayResize(VolumeArray, bars);

shift = bars-1;
while(shift >= 0)
   {
   // force redraw of candles
   Compression[shift] = 0;
   LessCompression[shift] = 0;
   MaxCompression[shift] = 0;
   range = iHigh(CurrencySymbol,TimeFrame,shift) - iLow(CurrencySymbol,TimeFrame,shift); // find the range of this candle (High - Low)
   if(range == 0) range = MarketInfo(CurrencySymbol,MODE_POINT);                         // prevent divide by zero errors, make the range at least one point
   compression = iVolume(CurrencySymbol,TimeFrame,shift) / range / multi;                // find the compression (Volume / Range)
   if(compression > lastcompression) {Compression[shift] = compression; LessCompression[shift] = 0;}
   if(compression < lastcompression) {Compression[shift] = compression; LessCompression[shift] = compression; }
   lastcompression = compression;                                                        // remember this compression to compare next time
   VolumeArray[shift] = iVolume(CurrencySymbol,TimeFrame,shift);                         // load volumes into a hidden buffer for later analysis
   shift--; // move forward one candle
   }

///////////////////
// MAX COMPRESSION
// MaxCompression is compression greater or equal to 2 standard deviations above SMA16
// this uses MT4 built-in Bollinger Bands on the Compression array to calculate the deviations
shift = bars-1;
while(shift >= 0)
   {
   uband = iBandsOnArray(Compression,0,16,2,0,MODE_UPPER,shift);
   if(Compression[shift] >= uband-0.1) MaxCompression[shift] = Compression[shift];
   shift--; // move forward one candle
   }

///////////////////////
// UPDATE SYMBOL LABEL
if(ObjectFind(SymbolLabel) >= 0) ObjectSetText(SymbolLabel, CurrencySymbol+","+period);

} // end of start()

//+------------------------------------------------------------------+
//| deinit() does the cleanup once when the indicator is shutdown
//+------------------------------------------------------------------+
void deinit()
{
int i = 0, bars = iBars(CurrencySymbol,TimeFrame);
while(i < bars)  // cleanup all the buffers
   {
   Compression[i] = 0;
   LessCompression[i] = 0;
   MaxCompression[i] = 0;
   VolumeArray[i] = 0;
   i++;
   }
}

// compression means (volume / candle range)
// compression values in buffer 0 (there are no zero values)
    
double compression = iCustom(Symbol(),Period(),"Compression",0,shift);

// less compression means it is less than previous value
// less compression values in buffer 1 (there are zero values)
    
double lesscompression = iCustom(Symbol(),Period(),"Compression",1,shift);

// max compression means a value 2 std deviations above sma16
// maxcompression values in buffer 2 (there are zero values)
    
double maxcompression = iCustom(Symbol(),Period(),"Compression",2,shift);

Quoting robdee

Disliked

This means I'm now looking for Risk-OFF trades. Watching for the sell-down of riskier asset classes globally and repatriation of USD to drive up the dollar...

Ignored