/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
double normdistvalue;
//double vb;
double vs;
if (CurrentBar < 2)
{
return;
}
deltaPrice[0] = Close[0] - Close[1];
//Print( "deltaPrice = " + deltaPrice[0] );
if (CurrentBar < 100)
{
return;
}
// Formula for bulk volume classification is
// Vb = V * CDF(deltaP/sigmadeltaP)
//
sigmaDeltaP = StdDev(deltaPrice, 30)[1];
deltaPriceOverSigmal[0] = deltaPrice[0] / sigmaDeltaP;
normdistvalue = NORMDIST(deltaPriceOverSigmal[0], /*SMA(deltaPriceOverSigmal,30)[0]*/ 0, StdDev(deltaPriceOverSigmal, 30)[0], true);
vb[0] = volumeBarSize * normdistvalue;
vs = volumeBarSize - vb[0];
//Print(" normdistvalue = " + normdistvalue);
//Print(" vb = " + vb[0]);
//Print("bar = " + CurrentBar);
//Print("time = " + Time[0].Date + " " + " " + Time[0].Hour + " " + Time[0].Minute);
if (Double.IsNaN(vb[0]))
{
}
else
{
VolBucketPlot.Set(EMA(vb, 50)[0]);
}
//VolBucketPlot.Set(EMA(vb,20)[0]);
// Sum vb over volume bucket size
// if vol bucket size is 24000, then you add 3 consecutive vb
// or, set chart to 24000 vol
// count if new bar, then count until 8000, calculate vb
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
double normdistvalue = 0;
double vb_bucket_total;
double vs_bucket_total;
double accum_vdelta = 0;
double sigmaVPIN = 0;
if (CurrentBar < 4)
{
return;
}
deltaPrice[0] = Close[0] - Close[1];
//Print( "deltaPrice = " + deltaPrice[0] );
if (CurrentBar < 100)
{
return;
}
// Formula for bulk volume classification is
// Vb = V * CDF(deltaP/sigmadeltaP)
//
sigmaDeltaP = StdDev(deltaPrice, 30)[0];
deltaPriceOverSigmal[0] = deltaPrice[0] / sigmaDeltaP;
normdistvalue = NORMDIST(deltaPriceOverSigmal[0], /*SMA(deltaPriceOverSigmal,200)[0]*/ 0, StdDev(deltaPriceOverSigmal, 100)[0], true);
vb[0] = volumeBarSize * normdistvalue;
vs[0] = volumeBarSize - vb[0];
//Print(" normdistvalue = " + normdistvalue);
//Print(" vb = " + vb[0]);
//Print("bar = " + CurrentBar);
//Print("time = " + Time[0].Date + " " + " " + Time[0].Hour + " " + Time[0].Minute);
// Sum Vb 3 times to make a vol bucket of V = 24000
if (CurrentBar > 103)
{
vb_bucket[0] = vb[0] + vb[1] + vb[2];
vs_bucket[0] = vs[0] + vs[1] + vs[2];
}
// update VPIN calculation
// Sum of ( |vs_bucket - vb_bucket| ) over n / n.V
//
if (CurrentBar > 150)
{
for (int i = 0; i < n_windowsize; i++)
{
accum_vdelta += Math.Abs(vs_bucket[i] - vb_bucket[i]);
}
VPIN[0] = accum_vdelta / (n_windowsize * 24000);
// Calculate CDF of VPIN
sigmaVPIN = StdDev(VPIN, 100)[0];
cdfVPIN[0] = NORMDIST(VPIN[0], SMA(VPIN, 200)[0], sigmaVPIN, true);
}
if (Double.IsNaN(vb[0]))
{
VolBucketPlot.Set(0);
}
else
{
if (useCDF > 0)
{
//VolBucketPlot.Set(cdfVPIN[0]);
VolBucketPlot.Set(JurikJMA(cdfVPIN, 50, 10)[0]);
}
else
{
VolBucketPlot.Set(VPIN[0]);
}
}
// Sum vb over volume bucket size
// if vol bucket size is 24000, then you add 3 consecutive vb
// or, set chart to 24000 vol
// count if new bar, then count until 8000, calculate vb
}
