//+------------------------------------------------------------------+

//| VWAP_Lite.mq5 |
//| Copyright 2016, SOL Digital Consultoria LTDA |
//| http://www.soldigitalconsultoria.com.br |
//+------------------------------------------------------------------+
#property copyright "Copyright 2016, SOL Digital Consultoria LTDA"
#property link "http://www.soldigitalconsultoria.com.br"
#property version "1.49"

#property indicator_chart_window
#property indicator_buffers 3
#property indicator_plots 3

#property indicator_label1 "VWAP Daily"

#property indicator_type1 DRAW_LINE
#property indicator_color1 clrRed
#property indicator_style1 STYLE_DASH
#property indicator_width1 2

#property indicator_label2 "VWAP Weekly"

#property indicator_type2 DRAW_LINE
#property indicator_color2 clrBlue
#property indicator_style2 STYLE_DASH
#property indicator_width2 2

#property indicator_label3 "VWAP Monthly"

#property indicator_type3 DRAW_LINE
#property indicator_color3 clrGreen
#property indicator_style3 STYLE_DASH
#property indicator_width3 2
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
enum DATE_TYPE
{
DAILY,
WEEKLY,
MONTHLY
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
enum PRICE_TYPE
{
OPEN,
CLOSE,
HIGH,
LOW,
OPEN_CLOSE,
HIGH_LOW,
CLOSE_HIGH_LOW,
OPEN_CLOSE_HIGH_LOW
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
datetime CreateDateTime(DATE_TYPE nReturnType=DAILY,datetime dtDay=D'2000.01.01
00:00:00',int pHour=0,int pMinute=0,int pSecond=0)
{
 datetime dtReturnDate;
MqlDateTime timeStruct;

TimeToStruct(dtDay,timeStruct);
timeStruct.hour = pHour;
timeStruct.min = pMinute;
timeStruct.sec = pSecond;
dtReturnDate=(StructToTime(timeStruct));

if(nReturnType==WEEKLY)
{
while(timeStruct.day_of_week!=0)
{
dtReturnDate=(dtReturnDate-86400);
TimeToStruct(dtReturnDate,timeStruct);
}
}

if(nReturnType==MONTHLY)
{
timeStruct.day=1;
dtReturnDate=(StructToTime(timeStruct));
}

return dtReturnDate;
}

sinput string Indicator_Name = "Volume Weighted Average Price (VWAP)";

input PRICE_TYPE Price_Type = CLOSE_HIGH_LOW;
input bool Calc_Every_Tick = false;
input bool Enable_Daily = true;
input bool Show_Daily_Value = true;
input bool Enable_Weekly = false;
input bool Show_Weekly_Value = false;
input bool Enable_Monthly = false;
input bool Show_Monthly_Value = false;

double VWAP_Buffer_Daily[],VWAP_Buffer_Weekly[],VWAP_Buffer_Monthly[];
double nPriceArr[],nTotalTPV[],nTotalVol[];
double nSumDailyTPV = 0, nSumWeeklyTPV = 0, nSumMonthlyTPV = 0;
double nSumDailyVol = 0, nSumWeeklyVol = 0, nSumMonthlyVol = 0;
int nIdxDaily=0,nIdxWeekly=0,nIdxMonthly=0,nIdx=0;
bool bIsFirstRun=true;
string sDailyStr = "", sWeeklyStr = "", sMonthlyStr = "";
datetime dtLastDay = CreateDateTime(DAILY), dtLastWeek =
CreateDateTime(WEEKLY), dtLastMonth = CreateDateTime(MONTHLY);
ENUM_TIMEFRAMES LastTimePeriod=PERIOD_MN1;
int nStringYDistance=40;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int OnInit()
{
IndicatorSetInteger(INDICATOR_DIGITS,_Digits);

SetIndexBuffer(0,VWAP_Buffer_Daily,INDICATOR_DATA);
SetIndexBuffer(1,VWAP_Buffer_Weekly,INDICATOR_DATA);
SetIndexBuffer(2,VWAP_Buffer_Monthly,INDICATOR_DATA);
 if(Show_Daily_Value)
{
ObjectCreate(0,"VWAP_Daily",OBJ_LABEL,0,0,0);
ObjectSetInteger(0,"VWAP_Daily",OBJPROP_CORNER,3);
ObjectSetInteger(0,"VWAP_Daily",OBJPROP_XDISTANCE,180);
ObjectSetInteger(0,"VWAP_Daily",OBJPROP_YDISTANCE,nStringYDistance);
ObjectSetInteger(0,"VWAP_Daily",OBJPROP_COLOR,indicator_color1);
ObjectSetInteger(0,"VWAP_Daily",OBJPROP_FONTSIZE,7);
ObjectSetString(0,"VWAP_Daily",OBJPROP_FONT,"Verdana");
ObjectSetString(0,"VWAP_Daily",OBJPROP_TEXT," ");
nStringYDistance=nStringYDistance+20;
}

if(Show_Weekly_Value)
{
ObjectCreate(0,"VWAP_Weekly",OBJ_LABEL,0,0,0);
ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_CORNER,3);
ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_XDISTANCE,180);
ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_YDISTANCE,nStringYDistance);
ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_COLOR,indicator_color2);
ObjectSetInteger(0,"VWAP_Weekly",OBJPROP_FONTSIZE,7);
ObjectSetString(0,"VWAP_Weekly",OBJPROP_FONT,"Verdana");
ObjectSetString(0,"VWAP_Weekly",OBJPROP_TEXT," ");
nStringYDistance=nStringYDistance+20;
}

if(Show_Monthly_Value)
{
ObjectCreate(0,"VWAP_Monthly",OBJ_LABEL,0,0,0);
ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_CORNER,3);
ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_XDISTANCE,180);
ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_YDISTANCE,nStringYDistance);
ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_COLOR,indicator_color3);
ObjectSetInteger(0,"VWAP_Monthly",OBJPROP_FONTSIZE,7);
ObjectSetString(0,"VWAP_Monthly",OBJPROP_FONT,"Verdana");
ObjectSetString(0,"VWAP_Monthly",OBJPROP_TEXT," ");
}

return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void OnDeinit(const int pReason)
{
if(Show_Daily_Value) ObjectDelete(0,"VWAP_Daily");
if(Show_Weekly_Value) ObjectDelete(0,"VWAP_Weekly");
if(Show_Monthly_Value) ObjectDelete(0,"VWAP_Monthly");
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
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[])
{

if(PERIOD_CURRENT!=LastTimePeriod)
{
bIsFirstRun=true;
LastTimePeriod=PERIOD_CURRENT;
}

if(rates_total>prev_calculated || bIsFirstRun || Calc_Every_Tick)

{
ArrayResize(nPriceArr,rates_total);
ArrayResize(nTotalTPV,rates_total);
ArrayResize(nTotalVol,rates_total);

if(Enable_Daily) {nIdx = nIdxDaily; nSumDailyTPV = 0; nSumDailyVol =

0;}
if(Enable_Weekly) {nIdx = nIdxWeekly; nSumWeeklyTPV = 0; nSumWeeklyVol =
0;}
if(Enable_Monthly) {nIdx = nIdxMonthly; nSumMonthlyTPV = 0; nSumMonthlyVol =
0;}

for(; nIdx<rates_total; nIdx++)

{
VWAP_Buffer_Daily[nIdx]=EMPTY_VALUE;
VWAP_Buffer_Weekly[nIdx]=EMPTY_VALUE;
VWAP_Buffer_Monthly[nIdx]=EMPTY_VALUE;

if(CreateDateTime(DAILY,time[nIdx])!=dtLastDay)
{
nIdxDaily=nIdx;
nSumDailyTPV = 0;
nSumDailyVol = 0;
}
if(CreateDateTime(WEEKLY,time[nIdx])!=dtLastWeek)
{
nIdxWeekly=nIdx;
nSumWeeklyTPV = 0;
nSumWeeklyVol = 0;
}
if(CreateDateTime(MONTHLY,time[nIdx])!=dtLastMonth)
{
nIdxMonthly=nIdx;
nSumMonthlyTPV = 0;
nSumMonthlyVol = 0;
}

nPriceArr[nIdx] = 0;
nTotalTPV[nIdx] = 0;
nTotalVol[nIdx] = 0;

switch(Price_Type)
{
case OPEN:
nPriceArr[nIdx]=open[nIdx];
break;
case CLOSE:
 nPriceArr[nIdx]=close[nIdx];
break;
case HIGH:
nPriceArr[nIdx]=high[nIdx];
break;
case LOW:
nPriceArr[nIdx]=low[nIdx];
break;
case HIGH_LOW:
nPriceArr[nIdx]=(high[nIdx]+low[nIdx])/2;
break;
case OPEN_CLOSE:
nPriceArr[nIdx]=(open[nIdx]+close[nIdx])/2;
break;
case CLOSE_HIGH_LOW:
nPriceArr[nIdx]=(close[nIdx]+high[nIdx]+low[nIdx])/3;
break;
case OPEN_CLOSE_HIGH_LOW:
nPriceArr[nIdx]=(open[nIdx]+close[nIdx]+high[nIdx]+low[nIdx])/4;
break;
default:
nPriceArr[nIdx]=(close[nIdx]+high[nIdx]+low[nIdx])/3;
break;
}

if(tick_volume[nIdx])
{
nTotalTPV[nIdx] = (nPriceArr[nIdx] * tick_volume[nIdx]);
nTotalVol[nIdx] = (double)tick_volume[nIdx];
} else if(volume[nIdx]) {
nTotalTPV[nIdx] = (nPriceArr[nIdx] * volume[nIdx]);
nTotalVol[nIdx] = (double)volume[nIdx];
}

if(Enable_Daily && (nIdx>=nIdxDaily))

{
nSumDailyTPV += nTotalTPV[nIdx];
nSumDailyVol += nTotalVol[nIdx];

if(nSumDailyVol)
VWAP_Buffer_Daily[nIdx]=(nSumDailyTPV/nSumDailyVol);

if((sDailyStr!="VWAP Daily: "+

(string)NormalizeDouble(VWAP_Buffer_Daily[nIdx],_Digits)) && Show_Daily_Value)
{
sDailyStr="VWAP Daily: "+
(string)NormalizeDouble(VWAP_Buffer_Daily[nIdx],_Digits);
ObjectSetString(0,"VWAP_Daily",OBJPROP_TEXT,sDailyStr);
}
}

if(Enable_Weekly && (nIdx>=nIdxWeekly))

{
nSumWeeklyTPV += nTotalTPV[nIdx];
nSumWeeklyVol += nTotalVol[nIdx];

if(nSumWeeklyVol)
VWAP_Buffer_Weekly[nIdx]=(nSumWeeklyTPV/nSumWeeklyVol);
 if((sWeeklyStr!="VWAP Weekly: "+
(string)NormalizeDouble(VWAP_Buffer_Weekly[nIdx],_Digits)) && Show_Weekly_Value)
{
sWeeklyStr="VWAP Weekly: "+
(string)NormalizeDouble(VWAP_Buffer_Weekly[nIdx],_Digits);
ObjectSetString(0,"VWAP_Weekly",OBJPROP_TEXT,sWeeklyStr);
}
}

if(Enable_Monthly && (nIdx>=nIdxMonthly))

{
nSumMonthlyTPV += nTotalTPV[nIdx];
nSumMonthlyVol += nTotalVol[nIdx];

if(nSumMonthlyVol)
VWAP_Buffer_Monthly[nIdx]=(nSumMonthlyTPV/nSumMonthlyVol);

if((sMonthlyStr!="VWAP Monthly: "+

(string)NormalizeDouble(VWAP_Buffer_Monthly[nIdx],_Digits)) && Show_Monthly_Value)
{
sMonthlyStr="VWAP Monthly: "+
(string)NormalizeDouble(VWAP_Buffer_Monthly[nIdx],_Digits);
ObjectSetString(0,"VWAP_Monthly",OBJPROP_TEXT,sMonthlyStr);
}
}

dtLastDay=CreateDateTime(DAILY,time[nIdx]);
dtLastWeek=CreateDateTime(WEEKLY,time[nIdx]);
dtLastMonth=CreateDateTime(MONTHLY,time[nIdx]);
}

bIsFirstRun=false;
}

return(rates_total);
}
//+------------------------------------------------------------------+