-- More information about this indicator can be found at:
-- http://fxcodebase.com/code/viewtopic.php?f=17&t=11788
-- Id: 5569

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function Init()
    indicator:name("Spread Normalized indicator");
    indicator:description("Spread Normalized indicator");
    indicator:requiredSource(core.Bar);
    indicator:type(core.Oscillator);
    
    indicator.parameters:addInteger("Period", "Period", "", 20);
    indicator.parameters:addString("INST1", "First market", "", "");
    indicator.parameters:setFlag("INST1", core.FLAG_INSTRUMENTS);
    indicator.parameters:addString("INST2", "Second market", "", "");
    indicator.parameters:setFlag("INST2", core.FLAG_INSTRUMENTS);
    indicator.parameters:addBoolean("MarketsDirectCorrelation", "Markets direct correlation", "", true);

    indicator.parameters:addGroup("Display");
    indicator.parameters:addColor("clr", "Color", "", core.rgb(255, 0, 0));
    indicator.parameters:addInteger("widthLinReg", "Line width", "Line width", 1, 1, 5);
    indicator.parameters:addInteger("styleLinReg", "Line style", "Line style", core.LINE_SOLID);
    indicator.parameters:setFlag("styleLinReg", core.FLAG_LINE_STYLE);
end

local source;
local barSize;
local SN;
local MVA;
local SprStream;
local loading = false;
local offset;
local weekoffset;
local SqrtPeriod;

local last = nil;
-- data table
local data = {};

-- add a new item into the data table
-- index        - is the index of the item in the table
-- instrument   - the instrument name
-- weight       - the weigth of the instrument
function AddCollectionItem(index, instrument, weight)
    local t, coll, from, to, tmp;
    t = {};
    t.instrument = instrument;
    t.data = nil;
    t.loading = false;
    t.weight = weight;
    t.rqfrom = nil;
    t.rqto = nil;
    data[index] = t;

    if first == nil or first > index then
        first = index;
    end
    if last == nil or last < index then
        last = index;
    end
end

-- initialize the collection of the instruments
function InitCollection()
    SymbolCount=0;
    SymbolsName="";
    AddCollectionItem(1, instance.parameters.INST1, 1);
    AddCollectionItem(2, instance.parameters.INST2, 1);
end

-- prepare the indicator
function Prepare(nameOnly)
    source = instance.source;
    SqrtPeriod=math.sqrt(instance.parameters.Period);
    host = core.host;
    barSize = source:barSize();
    offset = host:execute("getTradingDayOffset");
    weekoffset = host:execute("getTradingWeekOffset");

    InitCollection();

    local name = profile:id();
    instance:name(name);
    if nameOnly then
        return;
    end
    SprStream=instance:addInternalStream(source:first(), 0);
    MVA = core.indicators:create("MVA", SprStream, instance.parameters.Period);
    SN = instance:addStream("SN", core.Line, name .. ".SN", "SN", instance.parameters.clr, 0);
    SN:setPrecision(math.max(2, instance.source:getPrecision()));
    SN:setWidth(instance.parameters.widthLinReg);
    SN:setStyle(instance.parameters.styleLinReg);
end

local p = {};
local w = {};

-- get the price of the specified instrument
function GetPrice(index, date)
    local t;

    local from, to, tmp;

    t = data[index];

    assert(t ~= nil, "internal error!");

    if t.data == nil then
        -- data is not loaded yet at all
        if source:isAlive() then
            to = 0;
        else
            to = source:date(source:size() - 1);
        end
        from = source:date(source:first());
        t.data = host:execute("getHistory", index, t.instrument, barSize, from, to, source:isBid());
        t.rqfrom = from;
        t.rqto = to;
        t.loading = true;
        loading = true;
        return 0, 0;
    elseif date < t.rqfrom then
        -- requested date is before the first item of the collection
        -- we have ever requested
        from = date;
        to = t.data:date(0);
        host:execute("extendHistory", index, t.data, from, to);
        t.rqfrom = from;
        t.loading = true;
        loading = true;
        return 0, 0;
    elseif not(source:isAlive()) and date > t.rqto then
        -- requested date is after the last item of the collection
        -- we have ever requested
        to = date;
        from = t.data:date(t.data:size() - 1);
        host:execute("extendHistory", index, t.data, from, to);
        t.rqto = to;
        t.loading = true;
        loading = true;
        return 0, 0;
    end

    local p;
    p = core.findDate (t.data, date, false);
    if p < 0 then
        return 0, 0;
    end
    return t.data.close[p], t.weight;
end

local lastdate = nil;

-- the function which is called to calculate the period
function Update(period, mode)

    if loading or period <= source:first() then
        return ;
    end

    -- do not calculate for the floating candle
    period = period - 1;

    if lastdate ~= nil and source:date(period) == lastdate then
        return ;
    end

    lastdate = source:date(period);

    local i, x, absent, a, b;
    absent = false;
    for i = first, last, 1 do
        a, b = GetPrice(i, lastdate);
        if a == 0 then
            absent = true;
        end
        p[i] = a;
        w[i] = b;
    end

    if loading then
        SN:setBookmark(1, period);
        return ;
    end

    if absent then
        if SN:hasData(period - 1) then
            SprStream[period]=SprStream[period-1];
        end
    else
        if instance.parameters.MarketsDirectCorrelation then
         SprStream[period]=p[2]-p[1];
        else
         SprStream[period]=p[1]-p[2];
        end
    end
    MVA:update(mode);
    local sDev=math.abs(SprStream[period])/SqrtPeriod;
    SN[period]=(MVA.DATA[period]-SprStream[period])/sDev;

    period = period + 1;

    if period > 0 and period == source:size() - 1 then
        SN[period] = SN[period - 1];
    end
end

function AsyncOperationFinished(cookie)

    local t;
    t = data[cookie];
    t.loading = false;
    for i = first, last, 1 do
        if data[i].loading then
            return ;
        end
    end
    loading = false;

    local period;
    period = SN:getBookmark(1);

    if (period < 0) then
        period = 0;
    end
    instance:updateFrom(period);
end