include/cotlib.mq4

   1 //+------------------------------------------------------------------+
   2 //|                                              Meta COT cotlib.mq4 |
   3 //|   Copyright  2009, C-4 (Vasiliy Sokolov, Russia, St.-Petersburg,|
   4 //|                                      2009), All Rights Reserved. |
   5 //|                                                   vs-box@mail.ru |
   6 //+------------------------------------------------------------------+
   7 #property copyright "Copyright  2009, C-4 (Vasiliy Sokolov, SPb), All Rights Reserved."
   8 #property link      "vs-box@mail.ru"
   9
  10 //    "type"  get_data()
  11 #define OI                    0
  12 #define NONCOMM_LONG          1
  13 #define NONCOMM_SHORT         2
  14 #define OPERATORS_LONG        3
  15 #define OPERATORS_SHORT       4
  16 #define NONREP_LONG           5
  17 #define NONREP_SHORT          6
  18 #define NET_NONCOMM           7
  19 #define NET_OPERATORS         8
  20 #define NET_NONREP            9
  21 #define OI_NONCOMM_LONG       10
  22 #define OI_NONCOMM_SHORT      11
  23 #define OI_OPERATORS_LONG     12
  24 #define OI_OPERATORS_SHORT    13
  25 #define OI_NONREP_LONG        14
  26 #define OI_NONREP_SHORT       15
  27 #define WILLCO_NONCOMM        16
  28 #define WILLCO_OPERATORS      17
  29 #define WILLCO_NONREP         18
  30 #define INDEX_OI              19
  31 #define INDEX_NONCOMM         20
  32 #define INDEX_OPERATORS       21
  33 #define INDEX_NONREP          22
  34 #define MOVEMENT_NONCOMM      23
  35 #define MOVEMENT_OPERATORS    24
  36 #define MOVEMENT_NONREP       25
  37 #define MOVEMENT_OI           26
  38 #define OI_NET_NONCOMM        27
  39 #define OI_NET_OPERATORS      28
  40 #define OI_NET_NONREP         29
  41
  42
  43 extern bool   load_cot_file=false;
  44 extern string cot_file="COT - U.S. DOLLAR CONCATENATE.csv";
  45 extern string settings="settings.ini";
  46 string name;
  47 bool error=false;
  48 int column;
  49 bool DrawData=true;
  50 bool LoadData=true;
  51
  52
  53 //***************************************************************************************************************
  54 //                                       COT
  55 int n_str;                    // -
  56
  57 //
  58 datetime realize_data[];
  59 //
  60 double open_interest[];       //
  61 double noncomm_long[];        //
  62 double noncomm_short[];       //
  63 double noncomm_spread[];      //
  64 double operators_long[];      //     ()
  65 double operators_short[];     //     ()
  66 double nonrep_long[];         //     ()
  67 double nonrep_short[];        //     ()
  68
  69 //
  70 double oi_noncomm_long[];     //   /
  71 double oi_noncomm_short[];    //   /
  72 double oi_operators_long[];   //   /     ()
  73 double oi_operators_short[];  //   /     ()
  74 double oi_nonrep_long[];      //   /     ()
  75 double oi_nonrep_short[];     //   /     ()
  76
  77 //
  78 //    WILLCO
  79 double oi_net_noncomm[];
  80 double oi_net_operators[];
  81 double oi_net_nonrep[];
  82
  83 //      ,
  84 double net_noncomm[];         //
  85 double net_operators[];       //
  86 double net_nonrep[];          //
  87
  88 //
  89 double index_oi[];            //
  90 double index_ncomm[];         //
  91 double index_operators[];     //    ()
  92 double index_nonrep[];        //    ()
  93
  94 //
  95 // Stohastic(OI/NET_POSITION)
  96 double willco_ncomm[];        //
  97 double willco_operators[];    //
  98 double willco_nonrep[];       //
  99
 100 //MOVEMENT INDEX
 101 double movement_oi[];
 102 double movement_ncomm[];
 103 double movement_operators[];
 104 double movement_nonrep[];
 105 //***********************************************************************************************************************************
 106
 107 //
 108 bool init_data()
 109 {
 110    string data;
 111    int handle_cotfile;
 112    int str;
 113    //settings_load();
 114    settings_load();
 115    handle_cotfile=FileOpen(cot_file,FILE_READ|FILE_CSV);
 116    //handle_cotfile=FileOpen("COT - U.S. DOLLAR CONCATENATE.csv",FILE_READ|FILE_CSV);
 117    if(handle_cotfile==-1){
 118       Print("   .    ", cot_file);
 119       Print(GetLastError());
 120       return(false);
 121    }
 122    while(FileIsEnding(handle_cotfile)==false){
 123       data=FileReadString(handle_cotfile);
 124       if(FileIsLineEnding(handle_cotfile)&&data!="")str++;
 125    }
 126    ArrayResize(realize_data,str);
 127
 128    ArrayResize(open_interest,str);
 129    ArrayResize(noncomm_long,str);
 130    ArrayResize(noncomm_short,str);
 131    ArrayResize(noncomm_spread,str);
 132    ArrayResize(operators_long,str);
 133    ArrayResize(operators_short,str);
 134    ArrayResize(nonrep_long,str);
 135    ArrayResize(nonrep_short,str);
 136
 137    ArrayResize(oi_noncomm_long,str);
 138    ArrayResize(oi_noncomm_short,str);
 139    ArrayResize(oi_operators_long,str);
 140    ArrayResize(oi_operators_short,str);
 141    ArrayResize(oi_nonrep_long,str);
 142    ArrayResize(oi_nonrep_short,str);
 143
 144    ArrayResize(oi_net_noncomm,str);
 145    ArrayResize(oi_net_operators,str);
 146    ArrayResize(oi_net_nonrep,str);
 147
 148    ArrayResize(net_noncomm,str);
 149    ArrayResize(net_operators,str);
 150    ArrayResize(net_nonrep,str);
 151
 152    ArrayResize(index_oi,str);
 153    ArrayResize(index_ncomm,str);
 154    ArrayResize(index_operators,str);
 155    ArrayResize(index_nonrep,str);
 156
 157    ArrayResize(willco_ncomm,str);
 158    ArrayResize(willco_operators,str);
 159    ArrayResize(willco_nonrep,str);
 160
 161    ArrayResize(movement_oi,str);
 162    ArrayResize(movement_ncomm,str);
 163    ArrayResize(movement_operators,str);
 164    ArrayResize(movement_nonrep,str);
 165
 166    FileClose(handle_cotfile);
 167    return(true);
 168 }
 169
 170
 171 /*void settings_load()
 172 {
 173    int h_set, _column;
 174    string set, sname;
 175    if(load_cot_file==true)return;
 176    h_set=FileOpen(settings,FILE_READ|FILE_CSV,";");
 177    //FileOpen("\Temp\Cot_file.txt",FILE_WRITE,FILE_CSV);
 178    if(h_set==-1)return;
 179    while(FileIsEnding(h_set)==false){
 180       set=FileReadString(h_set);
 181       _column++;
 182       if(set==Symbol()&&_column!=1){cot_file=sname;return;}
 183       if(_column==2&&set!="")name=set;             //   -
 184       if(FileIsLineEnding(h_set)==true)_column=0;
 185       if(_column==1)sname=set;
 186
 187    }
 188    FileClose(h_set);
 189 }*/
 190
 191 //   ,    ,
 192 //      Broco Company.      .
 193 //  ,        ,   ,
 194 // !!!
 195 void settings_load()
 196 {
 197    int h_set, _column;
 198    string set, sname;
 199    if(load_cot_file==true)return;
 200    h_set=FileOpen(settings,FILE_READ|FILE_CSV,";");
 201    //FileOpen("\Temp\Cot_file.txt",FILE_WRITE,FILE_CSV);
 202    if(h_set==-1)return;
 203    while(FileIsEnding(h_set)==false){
 204       set=FileReadString(h_set);
 205       _column++;
 206       if(_column==1&&set!="")sname=set;
 207       if(_column==2&&set!="")name=set;             //   -
 208       if(_column>2&&set!=""&&StringFind(Symbol(),set)==0){cot_file=sname;return;}
 209       if(FileIsLineEnding(h_set)==true)_column=0;
 210    }
 211 }
 212
 213 void load_data()
 214 {
 215    datetime data_realize;
 216    int handle_cotfile;
 217    string data;
 218    handle_cotfile=FileOpen(cot_file,FILE_READ|FILE_CSV, ";");
 219    Print(" ");
 220    while(FileIsEnding(handle_cotfile)==false){
 221       data=FileReadString(handle_cotfile);
 222       column++;
 223       if(FileIsLineEnding(handle_cotfile)==true||FileIsEnding(handle_cotfile)==true){//column=12 -
 224         if(column==12)
 225            nonrep_short[n_str]=StrToDouble(data);
 226         column=0;
 227         if(data!="")n_str++;
 228       }
 229       else{
 230          switch(column){
 231             case 2:
 232                realize_data[n_str]=StrToTime(data);
 233                break;
 234             case 3:
 235                open_interest[n_str]=StrToDouble(data);
 236                //Print(open_interest[n_str]);
 237                break;
 238             case 4:
 239                noncomm_long[n_str]=StrToDouble(data);
 240                break;
 241             case 5:
 242                noncomm_short[n_str]=StrToDouble(data);
 243                break;
 244             case 6:
 245                noncomm_spread[n_str]=StrToDouble(data);
 246                break;
 247             case 7:
 248                operators_long[n_str]=StrToDouble(data);
 249                break;
 250             case 8:
 251                operators_short[n_str]=StrToDouble(data);
 252                break;
 253             case 11:
 254                nonrep_long[n_str]=StrToDouble(data);
 255                break;
 256          }
 257       }
 258    }
 259    FileClose(handle_cotfile);
 260    Print(" ");
 261 }
 262
 263 void count_data()
 264 {
 265    int    max,
 266           min;
 267    double delta;
 268
 269    for(int i=0;i<n_str;i++){
 270       index_oi[i]=EMPTY_VALUE;
 271       index_ncomm[i]=EMPTY_VALUE;
 272       index_operators[i]=EMPTY_VALUE;
 273       index_nonrep[i]=EMPTY_VALUE;
 274       willco_ncomm[i]=EMPTY_VALUE;
 275       willco_operators[i]=EMPTY_VALUE;
 276       willco_nonrep[i]=EMPTY_VALUE;
 277       movement_ncomm[i]=EMPTY_VALUE;
 278       movement_operators[i]=EMPTY_VALUE;
 279       movement_nonrep[i]=EMPTY_VALUE;
 280    }
 281    for(i=0;i<n_str;i++){
 282       if(open_interest[i]==0){
 283          oi_noncomm_long[i]=0;
 284          oi_noncomm_short[i]=0;
 285          oi_operators_long[i]=0;
 286          oi_operators_short[i]=0;
 287          oi_nonrep_long[i]=0;
 288          oi_nonrep_short[i]=0;
 289       }
 290       else{
 291          oi_noncomm_long[i]=noncomm_long[i]/open_interest[i];
 292          oi_noncomm_short[i]=noncomm_short[i]/open_interest[i];
 293          oi_operators_long[i]=operators_long[i]/open_interest[i];
 294          oi_operators_short[i]=operators_short[i]/open_interest[i];
 295          oi_nonrep_long[i]=nonrep_long[i]/open_interest[i];
 296          oi_nonrep_short[i]=nonrep_short[i]/open_interest[i];
 297       }
 298
 299       net_noncomm[i]=noncomm_long[i]-noncomm_short[i];
 300       net_operators[i]=operators_long[i]-operators_short[i];
 301       net_nonrep[i]=nonrep_long[i]-nonrep_short[i];
 302
 303       if(open_interest[i]==0){
 304          oi_net_noncomm[i]=0;
 305          oi_net_operators[i]=0;
 306          oi_net_nonrep[i]=0;
 307       }
 308       else{
 309          oi_net_noncomm[i]=net_noncomm[i]/open_interest[i];
 310          oi_net_operators[i]=net_operators[i]/open_interest[i];
 311          oi_net_nonrep[i]=net_nonrep[i]/open_interest[i];
 312       }
 313    }
 314
 315    for(i=0;i<n_str-period;i++){
 316
 317       max=ArrayMaximum(open_interest,period,i);
 318       min=ArrayMinimum(open_interest,period,i);
 319       delta=open_interest[max]-open_interest[min];
 320       if(delta==0)delta=1;
 321       index_oi[i]=(open_interest[i]-open_interest[min])/delta*100;
 322
 323       max=ArrayMaximum(net_noncomm,period,i);
 324       min=ArrayMinimum(net_noncomm,period,i);
 325       delta=net_noncomm[max]-net_noncomm[min];
 326       if(delta==0)delta=1;
 327       index_ncomm[i]=(net_noncomm[i]-net_noncomm[min])/delta*100;
 328
 329       max=ArrayMaximum(net_operators,period,i);
 330       min=ArrayMinimum(net_operators,period,i);
 331       delta=net_operators[max]-net_operators[min];
 332       if(delta==0)delta=1;
 333       index_operators[i]=(net_operators[i]-net_operators[min])/delta*100;
 334
 335       max=ArrayMaximum(net_nonrep,period,i);
 336       min=ArrayMinimum(net_nonrep,period,i);
 337       delta=net_nonrep[max]-net_nonrep[min];
 338       if(delta==0)delta=1;
 339       index_nonrep[i]=(net_nonrep[i]-net_nonrep[min])/delta*100;
 340
 341       max=ArrayMaximum(oi_net_noncomm,period,i);
 342       min=ArrayMinimum(oi_net_noncomm,period,i);
 343       delta=oi_net_noncomm[max]-oi_net_noncomm[min];
 344       if(delta==0)delta=1;
 345       willco_ncomm[i]=(oi_net_noncomm[i]-oi_net_noncomm[min])/delta*100;
 346
 347       max=ArrayMaximum(oi_net_operators,period,i);
 348       min=ArrayMinimum(oi_net_operators,period,i);
 349       delta=oi_net_operators[max]-oi_net_operators[min];
 350       if(delta==0)delta=1;
 351       willco_operators[i]=(oi_net_operators[i]-oi_net_operators[min])/delta*100;
 352
 353       max=ArrayMaximum(oi_net_nonrep,period,i);
 354       min=ArrayMinimum(oi_net_nonrep,period,i);
 355       delta=oi_net_nonrep[max]-oi_net_nonrep[min];
 356       if(delta==0)delta=1;
 357       willco_nonrep[i]=(oi_net_nonrep[i]-oi_net_nonrep[min])/delta*100;
 358    }
 359    for(i=0;i<n_str-period-movement_index;i++){
 360       movement_oi[i]=index_oi[i]-index_oi[i-movement_index];
 361       movement_ncomm[i]=index_ncomm[i]-index_ncomm[i-movement_index];
 362       movement_operators[i]=index_operators[i]-index_operators[i-movement_index];
 363       movement_nonrep[i]=index_nonrep[i]-index_nonrep[i-movement_index];
 364    }
 365 }
 366
 367 //     COT    "type"   "bar"
 368 double get_data(int type, int bar)
 369 {
 370    double data;
 371    int i_data=get_cot(bar);
 372    if(i_data==EMPTY_VALUE)return(EMPTY_VALUE);
 373    switch (type){
 374       case OI:
 375          return(open_interest[i_data]);
 376       case NONCOMM_LONG:
 377          return(noncomm_long[i_data]+noncomm_spread[i_data]);
 378          //return(noncomm_long[i_data]);
 379       case NONCOMM_SHORT:
 380          return(noncomm_short[i_data]+noncomm_spread[i_data]);
 381          //return(noncomm_short[i_data]);
 382       case OPERATORS_LONG:
 383          return(operators_long[i_data]);
 384       case OPERATORS_SHORT:
 385          return(operators_short[i_data]);
 386       case NONREP_LONG:
 387          return(nonrep_long[i_data]);
 388       case NONREP_SHORT:
 389          return(nonrep_short[i_data]);
 390       case NET_NONCOMM:
 391          return(net_noncomm[i_data]);
 392       case NET_OPERATORS:
 393          return(net_operators[i_data]);
 394       case NET_NONREP:
 395          return(net_nonrep[i_data]);
 396       case INDEX_OI:
 397          return(index_oi[i_data]);
 398       case INDEX_NONCOMM:
 399          return(index_ncomm[i_data]);
 400       case INDEX_OPERATORS:
 401          return(index_operators[i_data]);
 402       case INDEX_NONREP:
 403          return(index_nonrep[i_data]);
 404       case OI_NONCOMM_LONG:
 405          return(oi_noncomm_long[i_data]);
 406       case OI_NONCOMM_SHORT:
 407          return(oi_noncomm_short[i_data]);
 408       case OI_OPERATORS_LONG:
 409          return(oi_operators_long[i_data]);
 410       case OI_OPERATORS_SHORT:
 411          return(oi_operators_short[i_data]);
 412       case OI_NONREP_LONG:
 413          return(oi_nonrep_long[i_data]);
 414       case OI_NONREP_SHORT:
 415          return(oi_nonrep_short[i_data]);
 416       case WILLCO_NONCOMM:
 417          return(willco_ncomm[i_data]);
 418       case WILLCO_OPERATORS:
 419          return(willco_operators[i_data]);
 420       case WILLCO_NONREP:
 421          return(willco_nonrep[i_data]);
 422       case OI_NET_NONCOMM:
 423          return(oi_net_nonrep[i_data]);
 424       case OI_NET_OPERATORS:
 425          return(oi_net_operators[i_data]);
 426       case OI_NET_NONREP:
 427          return(oi_net_nonrep[i_data]);
 428       case MOVEMENT_NONCOMM:
 429          return(movement_ncomm[i_data]);
 430       case MOVEMENT_OPERATORS:
 431          return(movement_operators[i_data]);
 432       case MOVEMENT_NONREP:
 433          return(movement_nonrep[i_data]);
 434       case MOVEMENT_OI:
 435          return(movement_oi[i_data]);
 436    }
 437    return(EMPTY_VALUE);
 438 }
 439
 440 //    ,     ,   EMPTY_VALUE,
 441 int get_cot(int i)
 442 {
 443    datetime tbar=iTime(Symbol(),0,i);
 444    for(int k=0;k<n_str;k++)
 445       if(realize_data[k]<tbar)return(k);
 446    return(EMPTY_VALUE);
 447 }
 448
 449 //        COT
 450 int get_lastdata()
 451 {
 452    return(iBarShift(Symbol(),0,realize_data[n_str-1],false));
 453 }
 454
 455 //       6  ( "COT - FileName.csv"  "FileName")
 456 string str_trim(string fname)
 457 {
 458    int strlen=StringLen(fname)-1;
 459    int char;
 460    string str;
 461    for(int i=strlen;i>0;i--){
 462       char=StringGetChar(fname,i);
 463       if(char=='.'){
 464          for(int b=6;b<i;b++)//  b=0      6
 465             str=str+CharToStr(StringGetChar(fname,b));
 466          return(str);
 467       }
 468    }
 469    return(fname);
 470 }