VWAP Indicator MT5: MQL5 Custom VWAP Code, Usage & Download

//+------------------------------------------------------------------+
//|                                          VWAP_Indicator_MT5.mq5 |
//|                                  Pineify MQL5 Example Indicator  |
//|                                         https://www.pineify.app  |
//+------------------------------------------------------------------+
//  DISCLAIMER: For educational purposes only. Past performance does
//  not guarantee future results. Always test on a demo account first.
//+------------------------------------------------------------------+
#property copyright "Pineify"
#property link      "https://www.pineify.app"
#property version   "1.00"
#property indicator_chart_window
#property indicator_buffers 4
#property indicator_plots   4

//--- Plot: VWAP line
#property indicator_label1  "VWAP"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrDodgerBlue
#property indicator_style1  STYLE_SOLID
#property indicator_width1  2

//--- Plot: Upper Band 1
#property indicator_label2  "Upper Band"
#property indicator_type2   DRAW_LINE
#property indicator_color2  clrOrangeRed
#property indicator_style2  STYLE_DOT
#property indicator_width2  1

//--- Plot: Lower Band 1
#property indicator_label3  "Lower Band"
#property indicator_type3   DRAW_LINE
#property indicator_color3  clrOrangeRed
#property indicator_style3  STYLE_DOT
#property indicator_width3  1

//--- Plot: Mid Band (VWAP shadow for fill reference)
#property indicator_label4  "VWAP Mid"
#property indicator_type4   DRAW_NONE
#property indicator_color4  clrNONE

//--- Input parameters
input int    BandMultiplier   = 2;       // Standard deviation multiplier for bands
input bool   ResetDaily       = true;    // Reset VWAP calculation at session open
input color  VWAPColor        = clrDodgerBlue;   // VWAP line color
input color  BandColor        = clrOrangeRed;    // Band color
input int    LineWidth         = 2;      // VWAP line width

//--- Indicator buffers
double VWAPBuffer[];
double UpperBandBuffer[];
double LowerBandBuffer[];
double MidBuffer[];

//--- Global variables
double   g_cumPV  = 0.0;   // Cumulative price * volume
double   g_cumVol = 0.0;   // Cumulative volume
double   g_cumPV2 = 0.0;   // Cumulative (price^2 * volume) for variance

datetime g_lastSessionDate = 0;

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
{
   //--- Map buffers to arrays
   SetIndexBuffer(0, VWAPBuffer,    INDICATOR_DATA);
   SetIndexBuffer(1, UpperBandBuffer, INDICATOR_DATA);
   SetIndexBuffer(2, LowerBandBuffer, INDICATOR_DATA);
   SetIndexBuffer(3, MidBuffer,     INDICATOR_CALCULATIONS);

   //--- Set buffer labels
   PlotIndexSetString(0, PLOT_LABEL, "VWAP");
   PlotIndexSetString(1, PLOT_LABEL, StringFormat("VWAP +%d SD", BandMultiplier));
   PlotIndexSetString(2, PLOT_LABEL, StringFormat("VWAP -%d SD", BandMultiplier));

   //--- Set empty value
   PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
   PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE);
   PlotIndexSetDouble(2, PLOT_EMPTY_VALUE, EMPTY_VALUE);

   //--- Apply input colors
   PlotIndexSetInteger(0, PLOT_LINE_COLOR, VWAPColor);
   PlotIndexSetInteger(1, PLOT_LINE_COLOR, BandColor);
   PlotIndexSetInteger(2, PLOT_LINE_COLOR, BandColor);
   PlotIndexSetInteger(0, PLOT_LINE_WIDTH, LineWidth);

   //--- Indicator short name
   IndicatorSetString(INDICATOR_SHORTNAME,
      StringFormat("VWAP(%d SD)", BandMultiplier));

   return(INIT_SUCCEEDED);
}

//+------------------------------------------------------------------+
//| 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(rates_total < 1)
      return(0);

   //--- Choose which volume to use (real volume if available, else tick volume)
   bool useRealVolume = (volume[rates_total - 1] > 0);

   int startBar = (prev_calculated > 1) ? prev_calculated - 1 : 0;

   //--- If full recalculation needed, reset accumulators
   if(prev_calculated == 0)
   {
      g_cumPV  = 0.0;
      g_cumVol = 0.0;
      g_cumPV2 = 0.0;
      g_lastSessionDate = 0;

      ArrayInitialize(VWAPBuffer,    EMPTY_VALUE);
      ArrayInitialize(UpperBandBuffer, EMPTY_VALUE);
      ArrayInitialize(LowerBandBuffer, EMPTY_VALUE);
   }

   //--- Calculate VWAP bar by bar
   for(int i = startBar; i < rates_total; i++)
   {
      //--- Check for new session (daily reset)
      if(ResetDaily)
      {
         MqlDateTime dt;
         TimeToStruct(time[i], dt);
         datetime sessionDate = StringToTime(
            StringFormat("%04d.%02d.%02d 00:00", dt.year, dt.mon, dt.day));

         if(sessionDate != g_lastSessionDate)
         {
            g_cumPV  = 0.0;
            g_cumVol = 0.0;
            g_cumPV2 = 0.0;
            g_lastSessionDate = sessionDate;
         }
      }

      //--- Typical price
      double typicalPrice = (high[i] + low[i] + close[i]) / 3.0;
      double vol = useRealVolume ? (double)volume[i] : (double)tick_volume[i];

      if(vol <= 0) vol = 1.0; // Guard against zero volume

      //--- Accumulate
      g_cumPV  += typicalPrice * vol;
      g_cumVol += vol;
      g_cumPV2 += typicalPrice * typicalPrice * vol;

      //--- VWAP
      double vwap = g_cumPV / g_cumVol;
      VWAPBuffer[i] = vwap;

      //--- Variance = E[P^2] - E[P]^2
      double variance = (g_cumPV2 / g_cumVol) - (vwap * vwap);
      double stdDev   = (variance > 0) ? MathSqrt(variance) : 0.0;

      UpperBandBuffer[i] = vwap + BandMultiplier * stdDev;
      LowerBandBuffer[i] = vwap - BandMultiplier * stdDev;
      MidBuffer[i]       = vwap;
   }

   return(rates_total);
}

//+------------------------------------------------------------------+
//| Custom indicator deinitialization function                       |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
   //--- Clean up indicator buffers and chart objects
   ArrayFree(VWAPBuffer);
   ArrayFree(UpperBandBuffer);
   ArrayFree(LowerBandBuffer);
   ArrayFree(MidBuffer);

   //--- Reset accumulators
   g_cumPV  = 0.0;
   g_cumVol = 0.0;
   g_cumPV2 = 0.0;

   Comment(""); // Clear any chart comments
}
//+------------------------------------------------------------------+