-- Id: 14593

-- More information about this indicator can be found at:
-- http://fxcodebase.com/code/viewtopic.php?f=17&t=62412

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-- Indicator profile initialization routine
-- Defines indicator profile properties and indicator parameters
-- TODO: Add minimal and maximal value of numeric parameters and default color of the streams
function Init()
    indicator:name("VOLUME FLOW INDICATOR with Real volume/Transactions");
    indicator:description("VOLUME FLOW INDICATOR with Real volume/Transactions");
    indicator:requiredSource(core.Bar);
    indicator:type(core.Oscillator);
    indicator.parameters:addGroup("Calculation");	
    indicator.parameters:addString("Ind", "Type of indicator", "", "Volume");
    indicator.parameters:addStringAlternative("Ind", "Volume", "", "Volume");
    indicator.parameters:addStringAlternative("Ind", "Transactions", "", "Transactions");
    indicator.parameters:addInteger("Period", "Period", "Period", 130);
    indicator.parameters:addDouble("Coef", "Coef", "Coef", 0.2);
    indicator.parameters:addDouble("VCoef", "VCoef", "VCoef", 2.5);
    indicator.parameters:addInteger("SmoothingPeriods", "SmoothingPeriods", "SmoothingPeriods", 3);
	indicator.parameters:addGroup("Style");	
    indicator.parameters:addColor("VFI_color", "Color of VFI", "Color of VFI", core.rgb(255, 0, 0));
	indicator.parameters:addInteger("width", "Line width", "", 1, 1, 5);
    indicator.parameters:addInteger("style", "Line style", "", core.LINE_SOLID);
    indicator.parameters:setFlag("style", core.FLAG_LINE_STYLE);
end

-- Indicator instance initialization routine
-- Processes indicator parameters and creates output streams
-- TODO: Refine the first period calculation for each of the output streams.
-- TODO: Calculate all constants, create instances all subsequent indicators and load all required libraries
-- Parameters block
local Period;
local Coef;
local VCoef;
local SmoothingPeriods;
local myVFI;
local first;
local source = nil;

-- Streams block
local VFI = nil;
local INTER;
local MA;
local DirectionalVolume;
local EMA;
local Ind;

local FirstStart;
local LastTime;
-- Routine
function Prepare(nameOnly)
    Period = instance.parameters.Period;
    Coef = instance.parameters.Coef;
    VCoef = instance.parameters.VCoef;
    SmoothingPeriods = instance.parameters.SmoothingPeriods;
    source = instance.source;
	
	  local name = profile:id() .. "(" .. source:name() .. ", " .. tostring(Period) .. ", " .. tostring(Coef) .. ", " .. tostring(VCoef) .. ", " .. tostring(SmoothingPeriods) .. ")";
    instance:name(name);
	
	if   (nameOnly) then
        return;
    end
	
	
    first = source:first();
     if instance.parameters.Ind=="Volume" then
      Ind=core.indicators:create("REAL VOLUME", source);
     else
      Ind=core.indicators:create("TRANSACTIONS", source);
     end
     FirstStart=true;
     LastTime=0;
	
	INTER = instance:addInternalStream(0, 0);
	
	MA = core.indicators:create("MVA", Ind.DATA, Period);
	DirectionalVolume = instance:addInternalStream(0, 0);
    myVFI = instance:addInternalStream(0, 0);
	if SmoothingPeriods  > 0 then
	EMA = core.indicators:create("EMA", myVFI, SmoothingPeriods);
	end
  

    if (not (nameOnly)) then
	
	    if SmoothingPeriods  > 0 then
        VFI = instance:addStream("VFI", core.Line, name, "VFI", instance.parameters.VFI_color, EMA.DATA:first());
    	else
		 VFI = instance:addStream("VFI", core.Line, name, "VFI", instance.parameters.VFI_color, MA.DATA:first()+Period);
		end
        VFI:setPrecision(math.max(2, instance.source:getPrecision()));
    	
		VFI:setWidth(instance.parameters.width);
        VFI:setStyle(instance.parameters.style);
    end
end

function AsyncOperationFinished(cookie, success, message)

end

-- Indicator calculation routine
-- TODO: Add your code for calculation output values
function Update(period, mode)

	 if period < first +1  then
	return;
	end
        Ind:update(mode);
        if not(Ind.DATA:hasData(period)) then
            if period==first+1 then
                FirstStart=true;
            end    
            return;
        elseif FirstStart then
            FirstStart=false;
            instance:updateFrom(first);    
        elseif LastTime~=source:date(period) and period==source:size()-1 then
            LastTime=source:date(period);
            instance:updateFrom(period-10);
        end
	
	  INTER[period] = math.log(source.typical[period])-math.log(source.typical[period-1]);
	  
	 if period < first+1 +30   then
	return;
	end
      
    local VINTER=mathex.stdev (INTER, period-30+1, period);
    local CutOff=Coef*VINTER*source.close[period];
	
	MA:update(mode);
	if period <  MA.DATA:first()+1 then
	return;
	end
	
	local VAve=MA.DATA[period-1];
    local VMax=VAve*VCoef;
	
	local VC;
	
	if Ind.DATA[period] < VMax  then
	VC = Ind.DATA[period];
	else
    VC =  VMax;
    end	 
	
    local MF =  source.typical[period] -  source.typical[period-1];
	if MF > CutOff then
	DirectionalVolume[period]=VC;
	elseif  MF < -CutOff then
	DirectionalVolume[period]=-VC;
	else
	DirectionalVolume[period]=0;
	end
	
	if period <  MA.DATA:first()+Period then
	return;
	end
	
    if VAve ~= 0 then 
    myVFI[period]=  mathex.sum (DirectionalVolume, period-Period+1, period)/ VAve ;  
    else
	myVFI[period] = 0;
	end	
	
	if SmoothingPeriods > 0 then
	
	    EMA:update(mode);
		
	    if period <  EMA.DATA:first()  then
		return;
		end
	    VFI[period] = EMA.DATA[period]
	else
    VFI[period] = myVFI[period];
	end   
    
end