-- -- Synthetic instrument indicator -- "synthetic.lua" -- -- for further details see here: https://fxcodebase.com/code/viewtopic.php?f=17&t=75486 -- -- -- Original code by: SM Webb January 2025 aka Steve_W per fxcodebase -- -- Calculate an average or sum of N selectable instruments -- "Geometric mean" -> product of N instruments raised to power 1/N instruments -- "Linear Product" -> product of N instruments -- "Sum Pips" -> sum of N instruments in Pips (similar to N simultaneous trades) -- "Sum P/L" -> sum of N instruments in P/L (as above but using PipCost to give sum in currency) -- "Harmonic Mean" -> N / (sum N inverted instruments) -- "RMS" -> sqrt(average of sum N squared instruments) -- "Heronian Mean" -> special mean only applied to instrument 1 & 2 -- each instrument is defined as normal/inverted/disabled in calculation -- -- The option "Linear Product" is useful for conversion of price - eg. XAUGBP = XAUUSD / GBPUSD -- -- "Geometric mean" should be considered as a "strength" - it is not a real price value -- examples: -- 1) US stocks strength Close= (SPX500.close x NAS100.close x US30.close)^(1/3) -- 2) USD currency strength Close = (1/EURUSD.close x USDJPY.close x 1/GBPUSD.close x USDCAD.close x 1/AUDUSD.close x 1/NZDUSD.close x USDCHF.close)^(1/7) -- -- The calculation is performed using same method on OHLC candle values to give an estimate of high/low swings (this is not exact actual value) -- For example: -- 1) US stocks strength High = (SPX500.high x NAS100.high x US30.high)^(1/3) -- 2) USD currency strength High = (1/EURUSD.low x USDJPY.high x 1/GBPUSD.low x USDCAD.high x 1/AUDUSD.low x 1/NZDUSD.low x USDCHF.high)^(1/7) -- -- The calculation also includes summed volume data for the selected instruments -- -- Pre-configured instrument basket options are provided - these are down to personal preference and may be adapted by editing code --------------------------------- -- see section near end of file: -- Code uses a modified version of Managed streams Class from here: https://fxcodebase.com/code/viewtopic.php?f=17&t=4037&p=124465&hilit=better_volume.lua#p124465 -- Better Volume Indicator (modified to reconstruct the volume from lower time-frame bars) -- Copyright (c) 2012 Steven Dickinson -- http://robocod.blogspot.co.uk/ --------------------------------- -- History -- Version 1.0 SM Webb 1/1/2025: First release - mostly debugged -- Version 2.0 SM Webb 24/1/2025: " added: Sum Pips, Sum P/L, Harmonic Mean, Overlay, % Change, Basket Options, Code Tidy"; -- Version 2.1 SM Webb 25/1/2025: " improved stability, bug fixes, added: RMS, Heronian, energy complex"; -- code version, revision, author and version details local VERSION = 2; local REVISION = 1; local REV_AUTHOR = "Steve_W"; local VERSION_TXT = "v" .. VERSION .. "." .. REVISION .. " improved stability, bug fixes, added: RMS, Heronian, energy complex"; -- global constants local MAX_INSTRUMENTS = 15; -- maximum number of instruments that may be used by indicator - edit value to needs... -- currency strengths for majors require ~7, but this could be extended for EUR or USD to include exotics or lesser currencies eg. USDNOK, USDSEK local TF = {"Chart", "m1", "m5", "m15", "m30", "H1", "H2", "H4", "H6", "H8", "D1", "W1", "M1"}; local SELECTION = { "User List", -- user defines the basket "USD", "EUR", "GBP", "CAD", "AUD", "NZD", "JPY", "CHF", -- majors "NOK", "SEK", "ZAR", "HUF", "TRY", -- exotics "USD Extended", "EUR Extended", "US Stock Indices", "European Stock Indices", "Asia Stock Indices", -- stock indices by region "Risk-On", "Safe Haven", -- risk on/off feeling "North America", "Europe", "Australasia", "Asia", "Latin America", "Scandinavia", -- currency baskets by region "Commodity Currencies USD", "Commodity Currencies USD & EUR", -- specialty currency baskets "Oil", "Energy Complex", -- energy "Monetary Metals", "Gold Majors", "Silver Majors", -- money "Metals Complex", -- metals commodities "Softs"}; -- other commodities -- global variables local name; local signal = {}; local source = {}; local stream = {}; local pip_cost = {}; local point_size = {}; local overlay = {}; local instrument = {}; local polarity = {}; local o, h, l, c, m, t, w, v = {}; -- internal data streams: OHLC, Median, Typical, Weighted, Volume local first; local loading; local num_instruments; -- Parameters function Init() local i; indicator:name("Synthetic Instrument v" .. VERSION .. "." .. REVISION); indicator:description("Instrument constructed from geometric mean of other instruments"); indicator:requiredSource(core.Bar); indicator:type(core.Oscillator); indicator.parameters:addGroup("Source Data"); indicator.parameters:addString("bid_ask_data", "Price Type", "", "Bid"); indicator.parameters:addStringAlternative("bid_ask_data", "Bid", "", "Bid"); indicator.parameters:addStringAlternative("bid_ask_data", "Ask", "", "Ask"); indicator.parameters:addString("source_period", "Source Period", "for each instrument stream", "Chart"); for i = 1, table.getn(TF), 1 do indicator.parameters:addStringAlternative("source_period", TF[i], "", TF[i]); end indicator.parameters:addString("selection", "Basket Selection", "built in basket of instruments, expand list by editing code, user must be subscribed to required instruments", "User List"); for i = 1, table.getn(SELECTION), 1 do indicator.parameters:addStringAlternative("selection", SELECTION[i], "", SELECTION[i]); end indicator.parameters:addGroup("User List"); for i = 1, MAX_INSTRUMENTS, 1 do indicator.parameters:addString("instrument" .. i, "User Instrument " .. i, "", ""); indicator.parameters:setFlag("instrument" .. i, core.FLAG_INSTRUMENTS); end indicator.parameters:addGroup("Calculation"); indicator.parameters:addString("calculation_method", "Calculation Method", "", "Geometric Mean"); indicator.parameters:addStringAlternative("calculation_method", "Geometric Mean", "", "Geometric Mean"); indicator.parameters:addStringAlternative("calculation_method", "Harmonic Mean", "", "Harmonic Mean"); indicator.parameters:addStringAlternative("calculation_method", "RMS", "", "RMS"); indicator.parameters:addStringAlternative("calculation_method", "Cubic Mean", "", "Cubic Mean"); indicator.parameters:addStringAlternative("calculation_method", "Linear Product", "", "Linear Product"); indicator.parameters:addStringAlternative("calculation_method", "Sum Pips", "", "Sum Pips"); indicator.parameters:addStringAlternative("calculation_method", "Sum P/L", "", "Sum P/L"); indicator.parameters:addStringAlternative("calculation_method", "Heronian Mean", "", "Heronian Mean"); for i = 1, MAX_INSTRUMENTS, 1 do local default = "Disabled"; if i == 1 then default = "Normal" end indicator.parameters:addString("polarity" .. i, "Polarity " .. i, "polarity used in the product or left out of calculation", default); indicator.parameters:addStringAlternative("polarity" .. i, "Normal", "", "Normal"); indicator.parameters:addStringAlternative("polarity" .. i, "Inverted", "", "Inverted"); indicator.parameters:addStringAlternative("polarity" .. i, "Disabled", "", "Disabled"); end indicator.parameters:addGroup("Display"); indicator.parameters:addString("display_mode", "Display Mode", "", "Candles"); indicator.parameters:addStringAlternative("display_mode", "Candles", "", "Candles"); indicator.parameters:addStringAlternative("display_mode", "Open", "", "Open"); indicator.parameters:addStringAlternative("display_mode", "High", "", "High"); indicator.parameters:addStringAlternative("display_mode", "Low", "", "Low"); indicator.parameters:addStringAlternative("display_mode", "Close", "", "Close"); indicator.parameters:addStringAlternative("display_mode", "Median", "", "Median"); indicator.parameters:addStringAlternative("display_mode", "Typical", "", "Typical"); indicator.parameters:addStringAlternative("display_mode", "Weighted", "", "Weighted"); indicator.parameters:addStringAlternative("display_mode", "Volume", "", "Volume"); indicator.parameters:addStringAlternative("display_mode", "Percentage Change", "", "Percentage Change"); indicator.parameters:addBoolean("overlay_source", "Overlay Chart Instrument", "", false); indicator.parameters:addBoolean("overlay_invert", "Invert Overlay", "", false); indicator.parameters:addInteger("lookback", "Lookback Last N Bars", "normalisation period for overlay and percentage change", 200, 0, 1000); indicator.parameters:addInteger("levels", "Upper/Lower Levels for Percentage Change", "for use on percentage change display", 5, 0, 200); indicator.parameters:addColor("synthetic_colour", "Synthetic Line Colour", "", core.rgb(0, 128, 255)); -- blue indicator.parameters:addColor("overlay_colour", "Overlay Line Colour", "", core.rgb(255, 255, 0)); -- yellow indicator.parameters:addInteger("synthetic_width", "Synthetic Line Width", "", 2, 1, 5); indicator.parameters:addInteger("overlay_width", "Overlay Line Width", "", 2, 1, 5); indicator.parameters:addInteger("synthetic_style", "Synthetic Line Style", "", core.LINE_SOLID); indicator.parameters:setFlag("synthetic_style", core.FLAG_LINE_STYLE); indicator.parameters:addInteger("overlay_style", "Overlay Line Style", "", core.LINE_SOLID); indicator.parameters:setFlag("overlay_style", core.FLAG_LINE_STYLE); indicator.parameters:addGroup("About"); indicator.parameters:addInteger("version", "Version", VERSION_TXT, VERSION, VERSION, VERSION); indicator.parameters:addInteger("revision", "Revision", VERSION_TXT, REVISION, REVISION, REVISION); indicator.parameters:addString("rev_author", "Revision Author", "for this code revision", REV_AUTHOR); end -- Indicator instance initialization function Prepare(nameOnly) loading = false; -- create custom basket? - edit code to expand options, user must be subscribed to required instruments local missing_subscriptions = ""; if instance.parameters.selection ~= "User List" then missing_subscriptions = Configure_inbuilt() end -- special case for Heronian mean if instance.parameters.calculation_method == "Heronian Mean" then for i = 3, MAX_INSTRUMENTS, 1 do instance.parameters:setString("polarity" .. i, ""); -- blank the polarity to make it more obvious Heronian only applies to first two instruments end end -- fabricate profile name+configuration text name = profile:id() .. "("; name = name .. instance.parameters.calculation_method .. ", "; name = name .. instance.parameters.display_mode .. ", "; if instance.parameters.selection ~= "User List" then name = name .. instance.parameters.selection .. " Basket, " end local i; num_instruments = 0; for i = 1, MAX_INSTRUMENTS, 1 do instrument[i] = instance.parameters:getString("instrument" .. i); -- extract instrument polarity[i] = instance.parameters:getString("polarity" .. i); -- extract polarity if instrument[i] == "" then -- delete polarity if instrument is missing polarity[i] = ""; -- user must define both if switching back from a basket to user instruments instance.parameters:setString("polarity" .. i, ""); end --if polarity[i] == "" then -- delete instrument if polarity is missing -- instrument[i] = ""; -- user must define both if switching back from a basket to user instruments -- instance.parameters:setString("instrument" .. i, ""); -- NOTE: this bit of code causes a crash and indicator is removed from chart --end -- to do with core.FLAG_INSTRUMENTS in prepare... I don't have a solution if polarity[i] == "Normal" then name = name .. " " .. instrument[i]; num_instruments = num_instruments + 1; elseif polarity[i] == "Inverted" then name = name .. " 1/" .. instrument[i]; num_instruments = num_instruments + 1; end end name = name .. ")"; if missing_subscriptions ~= "" then -- the user need to add these instruments to their subscription list - no errors thrown for not doing so name = name .. " Missing Subcriptions for: " .. missing_subscriptions; end instance:name(name); if nameOnly then return end source = instance.source first = source:first(); -- setup required managed streams local tf = instance.parameters.source_period; local row; if tf == "Chart" then tf = source:barSize() end local max_dps = 0; for i = 1, MAX_INSTRUMENTS, 1 do if polarity[i] ~= "Disabled" and polarity[i] ~= "" and instrument[i] ~= "" then stream[i] = ManagedStream.new(instrument[i], i, tf, instance.parameters.bid_ask_data == "Bid"); row = core.host:findTable("Offers"):find("Instrument", instrument[i]); point_size[i] = row.PointSize; pip_cost[i] = row.PipCost; if -math.log10(point_size[i]) > max_dps then max_dps = -math.log10(point_size[i]) + 1 end -- the +1 sets precision to 0.1 pips rather than 1 pip without end end -- internal streams for calculation o = instance:addInternalStream(first, 0); -- open h = instance:addInternalStream(first, 0); -- high l = instance:addInternalStream(first, 0); -- low c = instance:addInternalStream(first, 0); -- close m = instance:addInternalStream(first, 0); -- median t = instance:addInternalStream(first, 0); -- typical w = instance:addInternalStream(first, 0); -- weighted v = instance:addInternalStream(first, 0); -- volume if instance.parameters.display_mode == "Volume" then signal = instance:addStream("signal", core.Bar, name, "signal", instance.parameters.synthetic_colour, first); signal:setPrecision(0); elseif instance.parameters.display_mode == "Candles" then instance:createCandleGroup("Synthetic", "Synthetic", o, h, l, c, v); else signal = instance:addStream("signal", core.Line, name, "signal", instance.parameters.synthetic_colour, first); signal:setWidth(instance.parameters.synthetic_width); signal:setStyle(instance.parameters.synthetic_style); if instance.parameters.calculation_method == "Sum P/L" then signal:setPrecision(2); -- nearest account currency 0.00 elseif instance.parameters.calculation_method == "Sum Pips" then signal:setPrecision(1); -- nearest 0.1 pips else signal:setPrecision(max_dps); -- the instrument with the most decimal points end if instance.parameters.display_mode == "Percentage Change" then signal:addLevel(0); signal:addLevel(-instance.parameters.levels); signal:addLevel(instance.parameters.levels); end end if instance.parameters.overlay_source == true and instance.parameters.display_mode ~= "Volume" and instance.parameters.display_mode ~= "Percentage Change" then overlay = instance:addStream("overlay", core.Line, name, "overlay", instance.parameters.overlay_colour, first); overlay:setWidth(instance.parameters.overlay_width); overlay:setStyle(instance.parameters.overlay_style); overlay:setPrecision(instance.source:getPrecision()); end end -- Compute indicator function Update(period, mode) local i; if loading == true then return end if period <= first then return end -- Calculate the 'from' and 'to' for the ManagedStream local from; local to; from = source:date(first); if source:isAlive() then -- Subscribe so we always get the latest data to = 0; else -- Use the end of the source to = source:date(source:size() - 1); end -- Update the ManagedStream for i = 1, MAX_INSTRUMENTS, 1 do if polarity[i] ~= "Disabled" and polarity[i] ~= "" and instrument[i] ~= "" then if stream[i]:update(from, to) == true then return end end end if instance.parameters.display_mode == "Percentage Change" and period < source:size() - instance.parameters.lookback then return end -- perform desired calculation local date_of_period = source:date(period); if instance.parameters.calculation_method == "Sum Pips" or instance.parameters.calculation_method == "Sum P/L" then -- perform "Sum Pips" or "Sum P/L" o[period] = 0; h[period] = 0; l[period] = 0; c[period] = 0; m[period] = 0; t[period] = 0; w[period] = 0; v[period] = 0; if num_instruments > 0 then local scale; for i = 1, MAX_INSTRUMENTS, 1 do if polarity[i] ~= "Disabled" and polarity[i] ~= "" and instrument[i] ~= "" then scale = 1 / point_size[i]; if instance.parameters.calculation_method == "Sum P/L" then scale = scale * pip_cost[i] end if polarity[i] == "Normal" then o[period] = o[period] + stream[i]:getPrice(date_of_period, "Open") * scale; h[period] = h[period] + stream[i]:getPrice(date_of_period, "High") * scale; l[period] = l[period] + stream[i]:getPrice(date_of_period, "Low") * scale; c[period] = c[period] + stream[i]:getPrice(date_of_period, "Close") * scale; m[period] = m[period] + stream[i]:getPrice(date_of_period, "Median") * scale; t[period] = t[period] + stream[i]:getPrice(date_of_period, "Typical") * scale; w[period] = w[period] + stream[i]:getPrice(date_of_period, "Weighted") * scale; v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); -- volume is sum for all selected instruments end if polarity[i] == "Inverted" then o[period] = o[period] - stream[i]:getPrice(date_of_period, "Open") * scale; h[period] = h[period] - stream[i]:getPrice(date_of_period, "Low") * scale; l[period] = l[period] - stream[i]:getPrice(date_of_period, "High") * scale; c[period] = c[period] - stream[i]:getPrice(date_of_period, "Close") * scale; m[period] = m[period] - stream[i]:getPrice(date_of_period, "Median") * scale; t[period] = t[period] - stream[i]:getPrice(date_of_period, "Typical") * scale; w[period] = w[period] - stream[i]:getPrice(date_of_period, "Weighted") * scale; v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); end end end end elseif instance.parameters.calculation_method == "Geometric Mean" or instance.parameters.calculation_method == "Linear Product" then -- perform the "Geometric Mean" or "Linear Product" calculation o[period] = 1; -- start with value of '1' followed by multiplication in formula... h[period] = 1; l[period] = 1; c[period] = 1; m[period] = 1; t[period] = 1; w[period] = 1; v[period] = 0; -- zero volume if num_instruments > 0 then for i = 1, MAX_INSTRUMENTS, 1 do if polarity[i] == "Normal" then o[period] = o[period] * stream[i]:getPrice(date_of_period, "Open"); h[period] = h[period] * stream[i]:getPrice(date_of_period, "High"); l[period] = l[period] * stream[i]:getPrice(date_of_period, "Low"); c[period] = c[period] * stream[i]:getPrice(date_of_period, "Close"); m[period] = m[period] * stream[i]:getPrice(date_of_period, "Median"); t[period] = t[period] * stream[i]:getPrice(date_of_period, "Typical"); w[period] = w[period] * stream[i]:getPrice(date_of_period, "Weighted"); v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); end if polarity[i] == "Inverted" then o[period] = o[period] / stream[i]:getPrice(date_of_period, "Open"); h[period] = h[period] / stream[i]:getPrice(date_of_period, "Low"); l[period] = l[period] / stream[i]:getPrice(date_of_period, "High"); c[period] = c[period] / stream[i]:getPrice(date_of_period, "Close"); m[period] = m[period] / stream[i]:getPrice(date_of_period, "Median"); t[period] = t[period] / stream[i]:getPrice(date_of_period, "Typical"); w[period] = w[period] / stream[i]:getPrice(date_of_period, "Weighted"); v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); end end if instance.parameters.calculation_method == "Geometric Mean" then o[period] = math.pow(o[period], 1 / num_instruments); -- geometric mean to linearise the multiplications above[for example trendlines will be more linear] h[period] = math.pow(h[period], 1 / num_instruments); -- see https://en.wikipedia.org/wiki/Geometric_mean l[period] = math.pow(l[period], 1 / num_instruments); c[period] = math.pow(c[period], 1 / num_instruments); m[period] = math.pow(m[period], 1 / num_instruments); t[period] = math.pow(t[period], 1 / num_instruments); w[period] = math.pow(w[period], 1 / num_instruments); end end elseif instance.parameters.calculation_method == "Harmonic Mean" then -- perform Harmonic Mean calculation: see https://en.wikipedia.org/wiki/Harmonic_mean o[period] = 0; h[period] = 0; l[period] = 0; c[period] = 0; m[period] = 0; t[period] = 0; w[period] = 0; v[period] = 0; if num_instruments > 0 then for i = 1, MAX_INSTRUMENTS, 1 do if polarity[i] == "Normal" then o[period] = o[period] + 1 / stream[i]:getPrice(date_of_period, "Open"); h[period] = h[period] + 1 / stream[i]:getPrice(date_of_period, "Low"); l[period] = l[period] + 1 / stream[i]:getPrice(date_of_period, "High"); c[period] = c[period] + 1 / stream[i]:getPrice(date_of_period, "Close"); m[period] = m[period] + 1 / stream[i]:getPrice(date_of_period, "Median"); t[period] = t[period] + 1 / stream[i]:getPrice(date_of_period, "Typical"); w[period] = w[period] + 1 / stream[i]:getPrice(date_of_period, "Weighted"); v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); end if polarity[i] == "Inverted" then o[period] = o[period] + stream[i]:getPrice(date_of_period, "Open"); h[period] = h[period] + stream[i]:getPrice(date_of_period, "High"); l[period] = l[period] + stream[i]:getPrice(date_of_period, "Low"); c[period] = c[period] + stream[i]:getPrice(date_of_period, "Close"); m[period] = m[period] + stream[i]:getPrice(date_of_period, "Median"); t[period] = t[period] + stream[i]:getPrice(date_of_period, "Typical"); w[period] = w[period] + stream[i]:getPrice(date_of_period, "Weighted"); v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); end end o[period] = num_instruments / o[period]; h[period] = num_instruments / h[period]; l[period] = num_instruments / l[period]; c[period] = num_instruments / c[period]; m[period] = num_instruments / m[period]; t[period] = num_instruments / t[period]; w[period] = num_instruments / w[period]; end elseif instance.parameters.calculation_method == "RMS" then o[period] = 0; h[period] = 0; l[period] = 0; c[period] = 0; m[period] = 0; t[period] = 0; w[period] = 0; v[period] = 0; if num_instruments > 0 then for i = 1, MAX_INSTRUMENTS, 1 do if polarity[i] == "Normal" then o[period] = o[period] + math.pow(stream[i]:getPrice(date_of_period, "Open"), 2); h[period] = h[period] + math.pow(stream[i]:getPrice(date_of_period, "Low"), 2); l[period] = l[period] + math.pow(stream[i]:getPrice(date_of_period, "High"), 2); c[period] = c[period] + math.pow(stream[i]:getPrice(date_of_period, "Close"), 2); m[period] = m[period] + math.pow(stream[i]:getPrice(date_of_period, "Median"), 2); t[period] = t[period] + math.pow(stream[i]:getPrice(date_of_period, "Typical"), 2); w[period] = w[period] + math.pow(stream[i]:getPrice(date_of_period, "Weighted"), 2); v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); end if polarity[i] == "Inverted" then o[period] = o[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Open"), 2); h[period] = h[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "High"), 2); l[period] = l[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Low"), 2); c[period] = c[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Close"), 2); m[period] = m[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Median"), 2); t[period] = t[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Typical"), 2); w[period] = w[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Weighted"), 2); v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); end end o[period] = math.sqrt(o[period] / num_instruments); h[period] = math.sqrt(h[period] / num_instruments); l[period] = math.sqrt(l[period] / num_instruments); c[period] = math.sqrt(c[period] / num_instruments); m[period] = math.sqrt(m[period] / num_instruments); t[period] = math.sqrt(t[period] / num_instruments); w[period] = math.sqrt(w[period] / num_instruments); end elseif instance.parameters.calculation_method == "Cubic Mean" then o[period] = 0; h[period] = 0; l[period] = 0; c[period] = 0; m[period] = 0; t[period] = 0; w[period] = 0; v[period] = 0; if num_instruments > 0 then for i = 1, MAX_INSTRUMENTS, 1 do if polarity[i] == "Normal" then o[period] = o[period] + math.pow(stream[i]:getPrice(date_of_period, "Open"), 3); h[period] = h[period] + math.pow(stream[i]:getPrice(date_of_period, "Low"), 3); l[period] = l[period] + math.pow(stream[i]:getPrice(date_of_period, "High"), 3); c[period] = c[period] + math.pow(stream[i]:getPrice(date_of_period, "Close"), 3); m[period] = m[period] + math.pow(stream[i]:getPrice(date_of_period, "Median"), 3); t[period] = t[period] + math.pow(stream[i]:getPrice(date_of_period, "Typical"), 3); w[period] = w[period] + math.pow(stream[i]:getPrice(date_of_period, "Weighted"), 3); v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); end if polarity[i] == "Inverted" then o[period] = o[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Open"), 3); h[period] = h[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "High"), 3); l[period] = l[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Low"), 3); c[period] = c[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Close"), 3); m[period] = m[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Median"), 3); t[period] = t[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Typical"), 3); w[period] = w[period] + math.pow(1 / stream[i]:getPrice(date_of_period, "Weighted"), 3); v[period] = v[period] + stream[i]:getPrice(date_of_period, "Volume"); end end o[period] = math.pow(o[period] / num_instruments, 1 / 3); h[period] = math.pow(h[period] / num_instruments, 1 / 3); l[period] = math.pow(l[period] / num_instruments, 1 / 3); c[period] = math.pow(c[period] / num_instruments, 1 / 3); m[period] = math.pow(m[period] / num_instruments, 1 / 3); t[period] = math.pow(t[period] / num_instruments, 1 / 3); w[period] = math.pow(w[period] / num_instruments, 1 / 3); end elseif instance.parameters.calculation_method == "Heronian Mean" then -- no idea if this might be useful, but it is coded in if num_instruments == 2 and polarity[1] ~= "Disabled" and polarity[2] ~= "Disabled" then -- special case, only applies to first 2 instruments o[period] = Heronian(date_of_period, "Open"); h[period] = Heronian(date_of_period, "High"); l[period] = Heronian(date_of_period, "Low"); c[period] = Heronian(date_of_period, "Close"); m[period] = Heronian(date_of_period, "Median"); t[period] = Heronian(date_of_period, "Typical"); w[period] = Heronian(date_of_period, "Weighted"); v[period] = stream[1]:getPrice(date_of_period, "Volume") + stream[2]:getPrice(date_of_period, "Volume"); end end -- number of bars to lookback for % change and overlay normalisation local offset = instance.parameters.lookback; if source:size() - offset < first then offset = source:size() - first end if instance.parameters.display_mode == "Open" then signal[period] = o[period]; elseif instance.parameters.display_mode == "High" then signal[period] = h[period]; elseif instance.parameters.display_mode == "Low" then signal[period] = l[period]; elseif instance.parameters.display_mode == "Close" then signal[period] = c[period]; elseif instance.parameters.display_mode == "Median" then signal[period] = m[period]; elseif instance.parameters.display_mode == "Typical" then signal[period] = t[period]; elseif instance.parameters.display_mode == "Weighted" then signal[period] = w[period]; elseif instance.parameters.display_mode == "Volume" then signal[period] = v[period]; elseif instance.parameters.display_mode == "Percentage Change" then signal[period] = c[period] / c[source:size() - offset] * 100 - 100; end if instance.parameters.overlay_source == true and period == source:size() - 1 and instance.parameters.display_mode ~= "Volume" and instance.parameters.display_mode ~= "Percentage Change" then local i; local min1, max1; local min2, max2; min1, max1 = mathex.minmax(c, c:size() - offset, c:size() - 1); min2, max2 = mathex.minmax(source.close, source:size() - offset, source:size() - 1); if instance.parameters.overlay_invert == true then for i = 0, source:size() - 1, 1 do overlay[period - i] = ((-source.close[period - i] + max2) / (max2 - min2)) * (max1 - min1) + (min1 + max1) / 2 - (max1 - min1) / 2; end else for i = 0, source:size() - 1, 1 do overlay[period - i] = ((source.close[period - i] - min2) / (max2 - min2)) * (max1 - min1) + (min1 + max1) / 2 - (max1 - min1) / 2; end end end --[[ if instance.parameters.display_mode == "Volume" then -- test code if v[period] > v[period - 1] then if c[period] > c[period - 1] then signal:setColor(period, core.rgb(255, 0, 0)) end if c[period] < c[period - 1] then signal:setColor(period, core.rgb(0, 255, 0)) end end end ]]-- end -- utility function to calculate Heronian mean - hard coded to first two instruments function Heronian(date, price_type) local a = stream[1]:getPrice(date, price_type); local b = stream[2]:getPrice(date, price_type); if polarity[1] == "Inverted" then a = 1 / a end if polarity[2] == "Inverted" then b = 1 / b end return (a + math.sqrt(a * b) + b) / 3; end -- Handle asynchronous events function AsyncOperationFinished(cookie, success, message) local i; if stream[cookie]:async(cookie, success) == true then loading = true; -- something is still loading... return 0; end loading = false; -- everything must have been loaded at this point instance:updateFrom(first); -- update the chart return core.ASYNC_REDRAW; end -- configure the inbuilt basket selection - update user instruments so they reflect the selection as if this was done manually -- returns string with list of unsubscribed instruments and disables those streams to prevent an error function Configure_inbuilt() -- reset parameters for user instruments to default local i; for i = 1, MAX_INSTRUMENTS, 1 do instance.parameters:setString("instrument" .. i, "EUR/USD"); instance.parameters:setString("polarity" .. i, ""); end instance.parameters:setString("polarity" .. 1, "Normal"); -- Note: the configured "calculation_method" is left unchanged -- ie. since user may wish to alter it and custom defining here would reset the value each time it is changed -- For instance, normally currency strengths are defined as a "Geometric Mean" but "Harmonic Mean", or "Sum Pips", etc..., could be desired -- re-configure parameters for desired selection if instance.parameters.selection == "USD" then -- USD strength instance.parameters:setString("instrument" .. 1, "AUD/USD"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "USD/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "USD/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/USD"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "USD/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "GBP/USD"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "NZD/USD"); instance.parameters:setString("polarity" .. 7, "Inverted"); end if instance.parameters.selection == "EUR" then -- EUR strength instance.parameters:setString("instrument" .. 1, "EUR/AUD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "EUR/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "EUR/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/USD"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "EUR/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "EUR/GBP"); instance.parameters:setString("polarity" .. 6, "Normal"); instance.parameters:setString("instrument" .. 7, "EUR/NZD"); instance.parameters:setString("polarity" .. 7, "Normal"); end if instance.parameters.selection == "GBP" then -- GBP strength instance.parameters:setString("instrument" .. 1, "GBP/AUD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "GBP/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "GBP/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "GBP/USD"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "GBP/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "EUR/GBP"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "GBP/NZD"); instance.parameters:setString("polarity" .. 7, "Normal"); end if instance.parameters.selection == "CAD" then -- CAD strength instance.parameters:setString("instrument" .. 1, "AUD/CAD"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "USD/CAD"); instance.parameters:setString("polarity" .. 2, "Inverted"); instance.parameters:setString("instrument" .. 3, "CAD/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/CAD"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "CAD/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "GBP/CAD"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "NZD/CAD"); instance.parameters:setString("polarity" .. 7, "Inverted"); end if instance.parameters.selection == "AUD" then -- AUD strength instance.parameters:setString("instrument" .. 1, "AUD/USD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "AUD/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "AUD/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/AUD"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "AUD/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "GBP/AUD"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "AUD/NZD"); instance.parameters:setString("polarity" .. 7, "Normal"); end if instance.parameters.selection == "NZD" then -- NZD strength instance.parameters:setString("instrument" .. 1, "NZD/USD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "NZD/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "NZD/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/NZD"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "NZD/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "GBP/NZD"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "AUD/NZD"); instance.parameters:setString("polarity" .. 7, "Inverted"); end if instance.parameters.selection == "JPY" then -- JPY strength instance.parameters:setString("instrument" .. 1, "USD/JPY"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "AUD/JPY"); instance.parameters:setString("polarity" .. 2, "Inverted"); instance.parameters:setString("instrument" .. 3, "CHF/JPY"); instance.parameters:setString("polarity" .. 3, "Inverted"); instance.parameters:setString("instrument" .. 4, "EUR/JPY"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "CAD/JPY"); instance.parameters:setString("polarity" .. 5, "Inverted"); instance.parameters:setString("instrument" .. 6, "GBP/JPY"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "NZD/JPY"); instance.parameters:setString("polarity" .. 7, "Inverted"); end if instance.parameters.selection == "CHF" then -- CHF strength instance.parameters:setString("instrument" .. 1, "USD/CHF"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "AUD/CHF"); instance.parameters:setString("polarity" .. 2, "Inverted"); instance.parameters:setString("instrument" .. 3, "CHF/JPY"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/CHF"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "CAD/CHF"); instance.parameters:setString("polarity" .. 5, "Inverted"); instance.parameters:setString("instrument" .. 6, "GBP/CHF"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "NZD/CHF"); instance.parameters:setString("polarity" .. 7, "Inverted"); end if instance.parameters.selection == "NOK" then -- NOK strength instance.parameters:setString("instrument" .. 1, "USD/NOK"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "EUR/NOK"); instance.parameters:setString("polarity" .. 2, "Inverted"); end if instance.parameters.selection == "SEK" then -- SEK strength instance.parameters:setString("instrument" .. 1, "USD/SEK"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "EUR/SEK"); instance.parameters:setString("polarity" .. 2, "Inverted"); end if instance.parameters.selection == "ZAR" then -- ZAR strength instance.parameters:setString("instrument" .. 1, "USD/ZAR"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "ZAR/JPY"); instance.parameters:setString("polarity" .. 2, "Normal"); end if instance.parameters.selection == "HUF" then -- HUF strength instance.parameters:setString("instrument" .. 1, "USD/HUF"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "EUR/HUF"); instance.parameters:setString("polarity" .. 2, "Inverted"); end if instance.parameters.selection == "TRY" then -- TRY strength instance.parameters:setString("instrument" .. 1, "USD/TRY"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "EUR/TRY"); instance.parameters:setString("polarity" .. 2, "Inverted"); end if instance.parameters.selection == "USD Extended" then -- USD strength, extended instruments instance.parameters:setString("instrument" .. 1, "AUD/USD"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "USD/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "USD/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/USD"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "USD/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "GBP/USD"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "NZD/USD"); instance.parameters:setString("polarity" .. 7, "Inverted"); instance.parameters:setString("instrument" .. 8, "USD/HKD"); instance.parameters:setString("polarity" .. 8, "Normal"); instance.parameters:setString("instrument" .. 9, "USD/HUF"); instance.parameters:setString("polarity" .. 9, "Normal"); instance.parameters:setString("instrument" .. 10, "USD/MXN"); instance.parameters:setString("polarity" .. 10, "Normal"); instance.parameters:setString("instrument" .. 11, "USD/NOK"); instance.parameters:setString("polarity" .. 11, "Normal"); instance.parameters:setString("instrument" .. 12, "USD/SEK"); instance.parameters:setString("polarity" .. 12, "Normal"); instance.parameters:setString("instrument" .. 13, "USD/TRY"); instance.parameters:setString("polarity" .. 13, "Normal"); instance.parameters:setString("instrument" .. 14, "USD/ZAR"); instance.parameters:setString("polarity" .. 14, "Normal"); end if instance.parameters.selection == "EUR Extended" then -- EUR strength, extended instruments instance.parameters:setString("instrument" .. 1, "EUR/AUD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "EUR/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "EUR/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/USD"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "EUR/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "EUR/GBP"); instance.parameters:setString("polarity" .. 6, "Normal"); instance.parameters:setString("instrument" .. 7, "EUR/NZD"); instance.parameters:setString("polarity" .. 7, "Normal"); instance.parameters:setString("instrument" .. 8, "EUR/HUF"); instance.parameters:setString("polarity" .. 8, "Normal"); instance.parameters:setString("instrument" .. 9, "EUR/NOK"); instance.parameters:setString("polarity" .. 9, "Normal"); instance.parameters:setString("instrument" .. 10, "EUR/SEK"); instance.parameters:setString("polarity" .. 10, "Normal"); instance.parameters:setString("instrument" .. 11, "EUR/TRY"); instance.parameters:setString("polarity" .. 11, "Normal"); end if instance.parameters.selection == "US Stock Indices" then -- US stocks strength instance.parameters:setString("instrument" .. 1, "NAS100"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "US30"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "SPX500"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "US2000"); instance.parameters:setString("polarity" .. 4, "Normal"); end if instance.parameters.selection == "European Stock Indices" then -- EU stocks strength instance.parameters:setString("instrument" .. 1, "GER30"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "FRA40"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "UK100"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "ESP35"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "EUSTX50"); instance.parameters:setString("polarity" .. 5, "Normal"); end if instance.parameters.selection == "Asia Stock Indices" then -- Asia stocks strength instance.parameters:setString("instrument" .. 1, "AUS200"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "HKG33"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "JPN225"); instance.parameters:setString("polarity" .. 3, "Normal"); end if instance.parameters.selection == "Risk-On" then -- Risk-On strength instance.parameters:setString("instrument" .. 1, "USEquities"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "EMBasket"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "USDOLLAR"); instance.parameters:setString("polarity" .. 3, "Inverted"); instance.parameters:setString("instrument" .. 4, "JPYBasket"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "VOLX"); instance.parameters:setString("polarity" .. 5, "Inverted"); end if instance.parameters.selection == "Safe Haven" then -- Safe Havens USD, JPY & CHF strength instance.parameters:setString("instrument" .. 1, "AUD/USD"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "USD/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "EUR/USD"); instance.parameters:setString("polarity" .. 3, "Inverted"); instance.parameters:setString("instrument" .. 4, "GBP/USD"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "NZD/USD"); instance.parameters:setString("polarity" .. 5, "Inverted"); instance.parameters:setString("instrument" .. 6, "AUD/JPY"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "EUR/JPY"); instance.parameters:setString("polarity" .. 7, "Inverted"); instance.parameters:setString("instrument" .. 8, "CAD/JPY"); instance.parameters:setString("polarity" .. 8, "Inverted"); instance.parameters:setString("instrument" .. 9, "GBP/JPY"); instance.parameters:setString("polarity" .. 9, "Inverted"); instance.parameters:setString("instrument" .. 10, "NZD/JPY"); instance.parameters:setString("polarity" .. 10, "Inverted"); instance.parameters:setString("instrument" .. 11, "AUD/CHF"); instance.parameters:setString("polarity" .. 11, "Inverted"); instance.parameters:setString("instrument" .. 12, "EUR/CHF"); instance.parameters:setString("polarity" .. 12, "Inverted"); instance.parameters:setString("instrument" .. 13, "CAD/CHF"); instance.parameters:setString("polarity" .. 13, "Inverted"); instance.parameters:setString("instrument" .. 14, "GBP/CHF"); instance.parameters:setString("polarity" .. 14, "Inverted"); instance.parameters:setString("instrument" .. 15, "NZD/CHF"); instance.parameters:setString("polarity" .. 15, "Inverted"); end if instance.parameters.selection == "North America" then -- USD+CAD strength instance.parameters:setString("instrument" .. 1, "AUD/USD"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "USD/CHF"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "EUR/USD"); instance.parameters:setString("polarity" .. 3, "Inverted"); instance.parameters:setString("instrument" .. 4, "USD/JPY"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "GBP/USD"); instance.parameters:setString("polarity" .. 5, "Inverted"); instance.parameters:setString("instrument" .. 6, "NZD/USD"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "AUD/CAD"); instance.parameters:setString("polarity" .. 7, "Inverted"); instance.parameters:setString("instrument" .. 8, "CAD/CHF"); instance.parameters:setString("polarity" .. 8, "Normal"); instance.parameters:setString("instrument" .. 9, "EUR/CAD"); instance.parameters:setString("polarity" .. 9, "Inverted"); instance.parameters:setString("instrument" .. 10, "CAD/JPY"); instance.parameters:setString("polarity" .. 10, "Normal"); instance.parameters:setString("instrument" .. 11, "GBP/CAD"); instance.parameters:setString("polarity" .. 11, "Inverted"); instance.parameters:setString("instrument" .. 12, "NZD/CAD"); instance.parameters:setString("polarity" .. 12, "Inverted"); end if instance.parameters.selection == "Europe" then -- EUR+GBP+HUF+NOK+SEK strength instance.parameters:setString("instrument" .. 1, "EUR/AUD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "EUR/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "EUR/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/USD"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "EUR/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "EUR/NZD"); instance.parameters:setString("polarity" .. 6, "Normal"); instance.parameters:setString("instrument" .. 7, "GBP/AUD"); instance.parameters:setString("polarity" .. 7, "Normal"); instance.parameters:setString("instrument" .. 8, "GBP/CAD"); instance.parameters:setString("polarity" .. 8, "Normal"); instance.parameters:setString("instrument" .. 9, "GBP/CHF"); instance.parameters:setString("polarity" .. 9, "Normal"); instance.parameters:setString("instrument" .. 10, "GBP/USD"); instance.parameters:setString("polarity" .. 10, "Normal"); instance.parameters:setString("instrument" .. 11, "GBP/JPY"); instance.parameters:setString("polarity" .. 11, "Normal"); instance.parameters:setString("instrument" .. 12, "GBP/NZD"); instance.parameters:setString("polarity" .. 12, "Normal"); instance.parameters:setString("instrument" .. 13, "USD/HUF"); instance.parameters:setString("polarity" .. 13, "Inverted"); instance.parameters:setString("instrument" .. 14, "USD/NOK"); instance.parameters:setString("polarity" .. 14, "Inverted"); instance.parameters:setString("instrument" .. 15, "USD/SEK"); instance.parameters:setString("polarity" .. 15, "Inverted"); end if instance.parameters.selection == "Australasia" then -- AUD+NZD strength instance.parameters:setString("instrument" .. 1, "AUD/USD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "AUD/CAD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "AUD/CHF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/AUD"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "AUD/JPY"); instance.parameters:setString("polarity" .. 5, "Normal"); instance.parameters:setString("instrument" .. 6, "GBP/AUD"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "NZD/USD"); instance.parameters:setString("polarity" .. 7, "Normal"); instance.parameters:setString("instrument" .. 8, "NZD/CAD"); instance.parameters:setString("polarity" .. 8, "Normal"); instance.parameters:setString("instrument" .. 9, "NZD/CHF"); instance.parameters:setString("polarity" .. 9, "Normal"); instance.parameters:setString("instrument" .. 10, "EUR/NZD"); instance.parameters:setString("polarity" .. 10, "Inverted"); instance.parameters:setString("instrument" .. 11, "NZD/JPY"); instance.parameters:setString("polarity" .. 11, "Normal"); instance.parameters:setString("instrument" .. 12, "GBP/NZD"); instance.parameters:setString("polarity" .. 12, "Inverted"); end if instance.parameters.selection == "Asia" then -- JPY+HKD+KRW+TWD+INR strength instance.parameters:setString("instrument" .. 1, "USD/JPY"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "AUD/JPY"); instance.parameters:setString("polarity" .. 2, "Inverted"); instance.parameters:setString("instrument" .. 3, "CHF/JPY"); instance.parameters:setString("polarity" .. 3, "Inverted"); instance.parameters:setString("instrument" .. 4, "EUR/JPY"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "CAD/JPY"); instance.parameters:setString("polarity" .. 5, "Inverted"); instance.parameters:setString("instrument" .. 6, "GBP/JPY"); instance.parameters:setString("polarity" .. 6, "Inverted"); instance.parameters:setString("instrument" .. 7, "NZD/JPY"); instance.parameters:setString("polarity" .. 7, "Inverted"); instance.parameters:setString("instrument" .. 8, "USD/HKD"); instance.parameters:setString("polarity" .. 8, "Inverted"); instance.parameters:setString("instrument" .. 9, "USD/KRW"); instance.parameters:setString("polarity" .. 9, "Inverted"); instance.parameters:setString("instrument" .. 10, "USD/TWD"); instance.parameters:setString("polarity" .. 10, "Inverted"); instance.parameters:setString("instrument" .. 11, "USD/INR"); instance.parameters:setString("polarity" .. 11, "Inverted"); end if instance.parameters.selection == "Latin America" then -- MXN+CLP+COP instance.parameters:setString("instrument" .. 1, "USD/MXN"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "USD/CLP"); instance.parameters:setString("polarity" .. 2, "Inverted"); instance.parameters:setString("instrument" .. 3, "USD/COP"); instance.parameters:setString("polarity" .. 3, "Inverted"); end if instance.parameters.selection == "Scandinavia" then -- Scandinavia strength instance.parameters:setString("instrument" .. 1, "USD/NOK"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "EUR/NOK"); instance.parameters:setString("polarity" .. 2, "Inverted"); instance.parameters:setString("instrument" .. 3, "USD/SEK"); instance.parameters:setString("polarity" .. 3, "Inverted"); instance.parameters:setString("instrument" .. 4, "EUR/SEK"); instance.parameters:setString("polarity" .. 4, "Inverted"); end if instance.parameters.selection == "Commodity Currencies USD" then -- Commodity currency strength versus USD instance.parameters:setString("instrument" .. 1, "USD/CAD"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "AUD/USD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "NZD/USD"); instance.parameters:setString("polarity" .. 3, "Normal"); end if instance.parameters.selection == "Commodity Currencies USD & EUR" then -- Commodity currency strength versus USD & EUR instance.parameters:setString("instrument" .. 1, "USD/CAD"); instance.parameters:setString("polarity" .. 1, "Inverted"); instance.parameters:setString("instrument" .. 2, "AUD/USD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "NZD/USD"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "EUR/CAD"); instance.parameters:setString("polarity" .. 4, "Inverted"); instance.parameters:setString("instrument" .. 5, "EUR/AUD"); instance.parameters:setString("polarity" .. 5, "Inverted"); instance.parameters:setString("instrument" .. 6, "EUR/NZD"); instance.parameters:setString("polarity" .. 6, "Inverted"); end if instance.parameters.selection == "Oil" then -- Oil strength instance.parameters:setString("instrument" .. 1, "USOil"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "UKOil"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "USOilSpot"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "UKOilSpot"); instance.parameters:setString("polarity" .. 4, "Normal"); end if instance.parameters.selection == "Energy Complex" then -- Energy complex instance.parameters:setString("instrument" .. 1, "USOil"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "UKOil"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "NGAS"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "GasolineF"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "HeatingOilF"); instance.parameters:setString("polarity" .. 5, "Normal"); end if instance.parameters.selection == "Monetary Metals" then -- Copper, Silver & Gold strength instance.parameters:setString("instrument" .. 1, "XAU/USD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "XAG/USD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "Copper"); instance.parameters:setString("polarity" .. 3, "Normal"); end if instance.parameters.selection == "Gold Majors" then -- Gold strength averaged across majors ie XAUUSD, XAUGBP, XAUEUR... etc... instance.parameters:setString("instrument" .. 1, "XAU/USD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "XAU/USD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "EUR/USD"); instance.parameters:setString("polarity" .. 3, "Inverted"); instance.parameters:setString("instrument" .. 4, "XAU/USD"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "GBP/USD"); instance.parameters:setString("polarity" .. 5, "Inverted"); instance.parameters:setString("instrument" .. 6, "XAU/USD"); instance.parameters:setString("polarity" .. 6, "Normal"); instance.parameters:setString("instrument" .. 7, "USD/CAD"); instance.parameters:setString("polarity" .. 7, "Normal"); instance.parameters:setString("instrument" .. 8, "XAU/USD"); instance.parameters:setString("polarity" .. 8, "Normal"); instance.parameters:setString("instrument" .. 9, "AUD/USD"); instance.parameters:setString("polarity" .. 9, "Inverted"); instance.parameters:setString("instrument" .. 10, "XAU/USD"); instance.parameters:setString("polarity" .. 10, "Normal"); instance.parameters:setString("instrument" .. 11, "NZD/USD"); instance.parameters:setString("polarity" .. 11, "Inverted"); instance.parameters:setString("instrument" .. 12, "XAU/USD"); instance.parameters:setString("polarity" .. 12, "Normal"); instance.parameters:setString("instrument" .. 13, "USD/JPY"); instance.parameters:setString("polarity" .. 13, "Normal"); instance.parameters:setString("instrument" .. 14, "XAU/USD"); instance.parameters:setString("polarity" .. 14, "Normal"); instance.parameters:setString("instrument" .. 15, "USD/CHF"); instance.parameters:setString("polarity" .. 15, "Normal"); end if instance.parameters.selection == "Silver Majors" then -- Silver strength averaged across majors ie XAGUSD, XAGGBP, XAGEUR... etc... instance.parameters:setString("instrument" .. 1, "XAG/USD"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "XAG/USD"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "EUR/USD"); instance.parameters:setString("polarity" .. 3, "Inverted"); instance.parameters:setString("instrument" .. 4, "XAG/USD"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "GBP/USD"); instance.parameters:setString("polarity" .. 5, "Inverted"); instance.parameters:setString("instrument" .. 6, "XAG/USD"); instance.parameters:setString("polarity" .. 6, "Normal"); instance.parameters:setString("instrument" .. 7, "USD/CAD"); instance.parameters:setString("polarity" .. 7, "Normal"); instance.parameters:setString("instrument" .. 8, "XAG/USD"); instance.parameters:setString("polarity" .. 8, "Normal"); instance.parameters:setString("instrument" .. 9, "AUD/USD"); instance.parameters:setString("polarity" .. 9, "Inverted"); instance.parameters:setString("instrument" .. 10, "XAG/USD"); instance.parameters:setString("polarity" .. 10, "Normal"); instance.parameters:setString("instrument" .. 11, "NZD/USD"); instance.parameters:setString("polarity" .. 11, "Inverted"); instance.parameters:setString("instrument" .. 12, "XAG/USD"); instance.parameters:setString("polarity" .. 12, "Normal"); instance.parameters:setString("instrument" .. 13, "USD/JPY"); instance.parameters:setString("polarity" .. 13, "Normal"); instance.parameters:setString("instrument" .. 14, "XAG/USD"); instance.parameters:setString("polarity" .. 14, "Normal"); instance.parameters:setString("instrument" .. 15, "USD/CHF"); instance.parameters:setString("polarity" .. 15, "Normal"); end if instance.parameters.selection == "Metals Complex" then -- Metals Complex excluding Gold + Silver instance.parameters:setString("instrument" .. 1, "AlumSpot"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "LeadSpot"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "NickelSpot"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "ZincSpot"); instance.parameters:setString("polarity" .. 4, "Normal"); instance.parameters:setString("instrument" .. 5, "Copper"); instance.parameters:setString("polarity" .. 5, "Normal"); end if instance.parameters.selection == "Softs" then -- Softs instance.parameters:setString("instrument" .. 1, "WHEATF"); instance.parameters:setString("polarity" .. 1, "Normal"); instance.parameters:setString("instrument" .. 2, "CORNF"); instance.parameters:setString("polarity" .. 2, "Normal"); instance.parameters:setString("instrument" .. 3, "CoffeeNYF"); instance.parameters:setString("polarity" .. 3, "Normal"); instance.parameters:setString("instrument" .. 4, "SugarNYF"); instance.parameters:setString("polarity" .. 4, "Normal"); end -- disable all instruments that have not been subscribed to ... local instrument; local missing = ""; for i = 1, MAX_INSTRUMENTS, 1 do instrument = instance.parameters:getString("instrument" .. i); if instrument == "" then instance.parameters:setString("polarity" .. i, "Disabled"); elseif core.host:findTable("Offers"):find("Instrument", instrument) == nil then instance.parameters:setString("polarity" .. i, "Disabled"); instance.parameters:setString("instrument" .. i, "EUR/USD"); -- set parameter to default instrument to prevent crash with undefined instrument missing = missing .. " " .. instrument; end end return missing; end -- -- Code uses a modified version of Managed streams Class from here: https://fxcodebase.com/code/viewtopic.php?f=17&t=4037&p=124465&hilit=better_volume.lua#p124465 -- Better Volume Indicator (modified to reconstruct the volume from lower time-frame bars) -- Copyright (c) 2012 Steven Dickinson -- http://robocod.blogspot.co.uk/ -- --############################################################################# -- ManagedStream class --############################################################################# ManagedStream = {}; -- Factory method to create a new ManagedStream object function ManagedStream.new(instrument, cookie, barSize, bidOrAsk, extend) -- Create the data object local data = {}; -- Add the __index metamethod to the table, setting it to ManagedStream -- this causes all objects constructed by 'new' to inherit the methods setmetatable(data, {__index = ManagedStream}); data.instrument = instrument; data.cookie = cookie; data.barSize = barSize; data.bidOrAsk = bidOrAsk; data.loading = false; data.stream = nil; data.requestedFrom = 0; data.requestedTo = 0; data.extend = extend; return data; end -- Use 'update' method to update the ManagedStream object from Update() function ManagedStream:update(from, to) if not self.loading then if self.stream == nil then -- No data yet, so we load the history self.loading = true; self.requestedFrom = from; self.requestedTo = to; if self.extend then -- Only load the default duration, it will get extended later self.stream = core.host:execute("getHistory", self.cookie, self.instrument, self.barSize, 0, to, self.bidOrAsk); else -- Attempt to load the whole date range self.stream = core.host:execute("getHistory", self.cookie, self.instrument, self.barSize, from, to, self.bidOrAsk); end else if from < self.requestedFrom then -- Required 'from' is earlier start date/time, so extend to the left self.loading = true; self.requestedFrom = from; core.host:execute("extendHistory", self.cookie, self.stream, from, self.stream:date(self.stream:first())); elseif to ~= 0 and to > self.requestedTo then -- Required 'to' is later start date/time, so extend to the right self.loading = true; self.requestedTo = to; core.host:execute("extendHistory", self.cookie, self.stream, self.stream:date(self.stream:size() - 1), to); elseif self.extend and self.stream:size() > 0 and from < self.stream:date(self.stream:first()) then -- Didn't load all history last time, so extend now self.loading = true; self.requestedFrom = from; self.extend = false; core.host:execute("extendHistory", self.cookie, self.stream, from, self.stream:date(self.stream:first())); end end end return self.loading; end -- Use 'async' method to update the ManagedStream object from AsyncOperationFinished() function ManagedStream:async(cookie, success) if cookie == self.cookie and success then self.loading = false; end return self.loading; end -- Index the ManagedStream by date and return the period function ManagedStream:getPeriod(date) -- TODO: this is O(log2(N)) search. Maybe possible to optimize it since we -- usually don't do random access of the stream, but use it in a linear fashion -- i.e. the requested date is usually very close to the last requested date. return core.findDate(self.stream, date, false); end -- Index the ManagedStream by date and return the close price (or -1 if not available) -- NOTE: This can be used with bar_stream and tick_stream -- modifications by SM Webb for Volume and Weighted function ManagedStream:getPrice(date, type) local period = self:getPeriod(date); if period >= 0 then if self.stream:isBar() then if not type or type == "Close" then return self.stream.close[period]; elseif type == "Open" then return self.stream.open[period]; elseif type == "High" then return self.stream.high[period]; elseif type == "Low" then return self.stream.low[period]; elseif type == "Median" then return (self.stream.high[period] + self.stream.low[period]) / 2; elseif type == "Typical" then return (self.stream.high[period] + self.stream.low[period] + self.stream.close[period]) / 3; elseif type == "Weighted" then return (self.stream.high[period] + self.stream.low[period] + 2 * self.stream.close[period]) / 4; elseif type == "Volume" then return (self.stream.volume[period]); else return self.stream.close[period]; end else return self.stream[period]; end else return -1; end end -- Index the ManagedStream by date and return the open, high, low and close (or -1 if not available) -- NOTE: This can only be used with bar_stream function ManagedStream:getCandle(date) local period = self:getPeriod(date); if period >= 0 then return self.stream.open[period], self.stream.high[period], self.stream.low[period], self.stream.close[period]; else return -1, -1, -1, -1; end end