Trying to add the standard deviation bands to a VWAP indicator

Krimelio 2023.03.22 20:12
Hello Im a beginner at MQL5, so im trying to add the first deviation bands to a VWAP indicator code I found, but is not plotting on the chart, i am missing something?
//+------------------------------------------------------------------+
//|                                                     VWAP 2.0.mq5 |
//|                                  Copyright 2023, MetaQuotes Ltd. |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2023, MetaQuotes Ltd."
#property link      "https://www.mql5.com"
#property version   "1.00"
#property indicator_chart_window
#property indicator_buffers    10
#property indicator_plots      10

//--- plot vwap
#property indicator_label1     "VWAP Daily"
#property indicator_type1      DRAW_COLOR_LINE
#property indicator_color1     clrYellow
#property indicator_style1     STYLE_DASH
#property indicator_width1     2

#property indicator_label2     "VWAP Weekly"
#property indicator_type2      DRAW_COLOR_LINE
#property indicator_color2     clrBlue
#property indicator_style2     STYLE_DASH
#property indicator_width2     2

#property indicator_label3     "VWAP Monthly"
#property indicator_type3      DRAW_COLOR_LINE
#property indicator_color3     clrGreen
#property indicator_style3     STYLE_DASH
#property indicator_width3     2

#property indicator_label4     "VWAP Level 01"
#property indicator_type4      DRAW_COLOR_LINE
#property indicator_color4     clrGray
#property indicator_style4     STYLE_DASH
#property indicator_width4     2

#property indicator_label5     "VWAP Level 02"
#property indicator_type5      DRAW_COLOR_LINE
#property indicator_color5     clrYellow
#property indicator_style5     STYLE_DASH
#property indicator_width5     2

#property indicator_label6    "VWAP Level 03"
#property indicator_type6      DRAW_COLOR_LINE
#property indicator_color6     clrGreenYellow
#property indicator_style6     STYLE_DASH
#property indicator_width6     2

#property indicator_label7     "VWAP Level 04"
#property indicator_type7      DRAW_COLOR_LINE
#property indicator_color7     clrDarkCyan
#property indicator_style7     STYLE_DASH
#property indicator_width7     2

#property indicator_label8     "VWAP Level 05"
#property indicator_type8      DRAW_COLOR_LINE
#property indicator_color8     clrBlueViolet
#property indicator_style8     STYLE_DASH
#property indicator_width8     2

//--- Standard Deviation
#property indicator_label9    "VWAP 1st Standard Deviation Upper Band"
#property indicator_type9     DRAW_COLOR_LINE
#property indicator_color9    clrAquamarine
#property indicator_style9    STYLE_DASH
#property indicator_width9    2

#property indicator_label10   "VWAP 1st Standard Deviation Lower Band"
#property indicator_type10    DRAW_COLOR_LINE
#property indicator_color10   clrAquamarine
#property indicator_style10   STYLE_DASH
#property indicator_width10   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                Enable_Daily             = true;
input     bool                Enable_Weekly            = false;
input     bool                Enable_Monthly           = false;
input     bool                Enable_1stStdDev         = true;
input     bool                Enable_Level_01          = false;
input     int                 VWAP_Level_01_Period     = 5;
input     bool                Enable_Level_02          = false;
input     int                 VWAP_Level_02_Period     = 13;
input     bool                Enable_Level_03          = false;
input     int                 VWAP_Level_03_Period     = 20;
input     bool                Enable_Level_04          = false;
input     int                 VWAP_Level_04_Period     = 30;
input     bool                Enable_Level_05          = false;
input     int                 VWAP_Level_05_Period     = 40;

bool           Show_Daily_Value    = true;
bool           Show_Weekly_Value   = true;
bool           Show_Monthly_Value  = true;

double         VWAP_Buffer_Daily[];
double         VWAP_Buffer_Weekly[];
double         VWAP_Buffer_Monthly[];
double         VWAP_Buffer_01[];
double         VWAP_Buffer_02[];
double         VWAP_Buffer_03[];
double         VWAP_Buffer_04[];
double         VWAP_Buffer_05[];

double         VWAP_Buffer_1stUpperBand[];        // First deviation upper band
double         VWAP_Buffer_1stLowerBand[];        // First deviation lower band

double         nPriceArr[];
double         nTotalTPV[];
double         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;
ENUM_TIMEFRAMES LastTimePeriod=PERIOD_M1;

string         sDailyStr      = "";
string         sWeeklyStr     = "";
string         sMonthlyStr    = "";
string         sLevel01Str    = "";
string         sLevel02Str    = "";
string         sLevel03Str    = "";
string         sLevel04Str    = "";
string         sLevel05Str    = "";
datetime       dtLastDay=CreateDateTime(DAILY),dtLastWeek=CreateDateTime(WEEKLY),dtLastMonth=CreateDateTime(MONTHLY);
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
  {
//--- indicator buffers mapping
     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);
     SetIndexBuffer(3,VWAP_Buffer_01,INDICATOR_DATA);
     SetIndexBuffer(4,VWAP_Buffer_02,INDICATOR_DATA);
     SetIndexBuffer(5,VWAP_Buffer_03,INDICATOR_DATA);
     SetIndexBuffer(6,VWAP_Buffer_04,INDICATOR_DATA);
     SetIndexBuffer(7,VWAP_Buffer_05,INDICATOR_DATA);
     
     SetIndexBuffer(8,VWAP_Buffer_1stUpperBand,INDICATOR_DATA);
     SetIndexBuffer(9,VWAP_Buffer_1stLowerBand,INDICATOR_DATA);
     
     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,40);
     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," ");
     
     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,60);
     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," ");
     
     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,80);
     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," ");
     
     ObjectCreate(0,"VWAP_Level_01",OBJ_LABEL,0,0,0);
     ObjectSetInteger(0,"VWAP_Level_01",OBJPROP_CORNER,3);
     ObjectSetInteger(0,"VWAP_Level_01",OBJPROP_XDISTANCE,180);
     ObjectSetInteger(0,"VWAP_Level_01",OBJPROP_YDISTANCE,100);
     ObjectSetInteger(0,"VWAP_Level_01",OBJPROP_COLOR,indicator_color1);
     ObjectSetInteger(0,"VWAP_Level_01",OBJPROP_FONTSIZE,7);
     ObjectSetString(0,"VWAP_Level_01",OBJPROP_FONT,"Verdana");
     ObjectSetString(0,"VWAP_Level_01",OBJPROP_TEXT," ");
     
      ObjectCreate(0,"VWAP_Level_02",OBJ_LABEL,0,0,0);
     ObjectSetInteger(0,"VWAP_Level_02",OBJPROP_CORNER,3);
     ObjectSetInteger(0,"VWAP_Level_02",OBJPROP_XDISTANCE,180);
     ObjectSetInteger(0,"VWAP_Level_02",OBJPROP_YDISTANCE,120);
     ObjectSetInteger(0,"VWAP_Level_02",OBJPROP_COLOR,indicator_color1);
     ObjectSetInteger(0,"VWAP_Level_02",OBJPROP_FONTSIZE,7);
     ObjectSetString(0,"VWAP_Level_02",OBJPROP_FONT,"Verdana");
     ObjectSetString(0,"VWAP_Level_02",OBJPROP_TEXT," ");
     
      ObjectCreate(0,"VWAP_Level_03",OBJ_LABEL,0,0,0);
     ObjectSetInteger(0,"VWAP_Level_03",OBJPROP_CORNER,3);
     ObjectSetInteger(0,"VWAP_Level_03",OBJPROP_XDISTANCE,180);
     ObjectSetInteger(0,"VWAP_Level_03",OBJPROP_YDISTANCE,140);
     ObjectSetInteger(0,"VWAP_Level_03",OBJPROP_COLOR,indicator_color1);
     ObjectSetInteger(0,"VWAP_Level_03",OBJPROP_FONTSIZE,7);
     ObjectSetString(0,"VWAP_Level_03",OBJPROP_FONT,"Verdana");
     ObjectSetString(0,"VWAP_Level_03",OBJPROP_TEXT," ");
     
      ObjectCreate(0,"VWAP_Level_04",OBJ_LABEL,0,0,0);
     ObjectSetInteger(0,"VWAP_Level_04",OBJPROP_CORNER,3);
     ObjectSetInteger(0,"VWAP_Level_04",OBJPROP_XDISTANCE,180);
     ObjectSetInteger(0,"VWAP_Level_04",OBJPROP_YDISTANCE,160);
     ObjectSetInteger(0,"VWAP_Level_04",OBJPROP_COLOR,indicator_color1);
     ObjectSetInteger(0,"VWAP_Level_04",OBJPROP_FONTSIZE,7);
     ObjectSetString(0,"VWAP_Level_04",OBJPROP_FONT,"Verdana");
     ObjectSetString(0,"VWAP_Level_04",OBJPROP_TEXT," ");
     
      ObjectCreate(0,"VWAP_Level_05",OBJ_LABEL,0,0,0);
     ObjectSetInteger(0,"VWAP_Level_05",OBJPROP_CORNER,3);
     ObjectSetInteger(0,"VWAP_Level_05",OBJPROP_XDISTANCE,180);
     ObjectSetInteger(0,"VWAP_Level_05",OBJPROP_YDISTANCE,180);
     ObjectSetInteger(0,"VWAP_Level_05",OBJPROP_COLOR,indicator_color1);
     ObjectSetInteger(0,"VWAP_Level_05",OBJPROP_FONTSIZE,7);
     ObjectSetString(0,"VWAP_Level_05",OBJPROP_FONT,"Verdana");
     ObjectSetString(0,"VWAP_Level_05",OBJPROP_TEXT," ");
   
//---
   return(INIT_SUCCEEDED);
  }
//--
void OnDeinit(const int pReason)
{
     ObjectDelete(0,"VWAP_Daily");
     ObjectDelete(0,"VWAP_Weekly");
     ObjectDelete(0,"VWAP_Monthly");
     ObjectDelete(0,"VWAP_Level_01");
     ObjectDelete(0,"VWAP_Level_02");
     ObjectDelete(0,"VWAP_Level_03");
     ObjectDelete(0,"VWAP_Level_04");
     ObjectDelete(0,"VWAP_Level_05");
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
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)
   {
     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++)
     {
          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]);
          
    
     }
//--- Standard Deviations Calculations ---
if (Enable_1stStdDev && Enable_Daily)
{
    double FirstMeanDaily = 0; // To Calculate the mean of the VWAP
    double FirstDevDaily = 0; // The standard deviation is the square root of the previous numbers

    for (int nIdx = 0; nIdx < rates_total; nIdx++)
    {
        FirstMeanDaily += VWAP_Buffer_Daily[nIdx];
    }
    FirstMeanDaily /= rates_total;

    for (int nIdx = 0; nIdx < rates_total; nIdx++)
    {
        FirstDevDaily += pow(VWAP_Buffer_Daily[nIdx] - FirstMeanDaily, 2);
    }
        FirstDevDaily = sqrt(FirstDevDaily / rates_total);

    if (nSumDailyVol)
    {
        VWAP_Buffer_1stUpperBand[nIdx] = (FirstMeanDaily + FirstDevDaily);
        VWAP_Buffer_1stLowerBand[nIdx] = (FirstMeanDaily - FirstDevDaily);
    }
}
//----------------------------------------



   
   bIsFirstRun=false;
   }
//--- return value of prev_calculated for next call
   return(rates_total);
  }
//+------------------------------------------------------------------+
Tobias Johannes Zimmer 2023.03.23 13:23 #1
1. Have you tried running a single VWAP with one plot?
2. Are you aware that the mql5 wizard can be of great help when throwing together multiple plots?
3. I might not understand what your code does exactly... but DO YOU?
4. Are you aware that you can read values from a VWAP Indicator with iCustom?
5. You are using some heavy nesting there, cluttering up the main code. Pull zhe functions out of the main code, then it will be a lot more readable.
6. Start with a single VWAP, then double, triple etc.
trouble to get value Coding help Indicator as a Resource
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