Mastering On Balance Volume with COBVOnRingBuffer in MetaTrader 5

Description

The COBVOnRingBuffer class is crafted to calculate the On Balance Volume (OBV) indicator using the ring buffer algorithm. This is an essential tool for traders looking to enhance their volume analysis.

Declaration

class COBVOnRingBuffer : public CArrayRing

File Inclusion

#include <IncOnRingBuffer\COBVOnRingBuffer.mqh>

Make sure to place the COBVOnRingBuffer.mqh file in the IncOnRingBuffer folder, which should be created within your MQL5\Include\ directory. Two example files that utilize this class are included in the description, and don’t forget to have the ring buffer class file in this folder as well.

Class Methods

//--- initialization method:
bool Init( // returns false on error, true on success
    int period = 0, // the OBV period
    int size_buffer = 256, // size of the ring buffer
    bool as_series = false // true for time series, otherwise false
);

The OBV period works similarly to the Integer class: if set to 0 (the default), the indicator functions as it does in the terminal, calculating across all chart bars. For any other positive value, it will utilize that number of bars for calculations at each chart bar, akin to a Moving Average.

//--- method for calculation based on time series or indicator buffers:
int MainOnArray( // returns the number of processed elements
    const int rates_total, // size of the arrays
    const int prev_calculated, // processed elements from previous call
    const double& price[], // price array
    const long& volume[]); // volume array

//--- method for calculation based on individual elements of the array:
double MainOnValue( // returns the OBV value for a specific element (bar)
    const int rates_total, // size of the array
    const int prev_calculated, // processed elements of the array
    const int begin, // where significant data starts
    const double price, // price
    const long volume, // volume
    const int index // element (bar) index
);

//--- methods for data access:
int BarsRequired(); // Returns the number of bars needed to display the indicator
string Name(); // Returns the indicator's name
int Period(); // Returns the period
int Size(); // Returns the size of the ring buffer

To access the calculated data from the ring buffer, you can treat it just like a regular array. For instance:

//--- class for OBV indicator calculations:
#include <IncOnRingBuffer\COBVOnRingBuffer.mqh>
COBVOnRingBuffer obv;

...
//+------------------------------------------------------------------+
//| 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[]) {
//--- calculating indicator based on time series:
      obv.MainOnArray(rates_total, prev_calculated, close, tick_volume);

...
//--- use data from the ring buffer "obv",
//    for example, copy data into the indicator buffer:
      for(int i=start; i<rates_total && !IsStopped(); i++)
      OBV_Buffer[i] = obv[rates_total - 1 - i]; // indicator line

...
//--- return prev_calculated for the next call:
      return(rates_total);
}

Please remember that indexing in the ring buffer is consistent with time series indexing.

Examples

The Test_OBV_OnArrayRB.mq5 file showcases OBV calculations based on the price time series, demonstrating the usage of the MainOnArray() method.
The Test_OBV_OnValueRB.mq5 file illustrates the MainOnValue() method. Initially, the OBV indicator is calculated and displayed, followed by a secondary OBV drawn from this indicator's ring buffer.

Outcome from the Test_OBV_OnArrayRB.mq5 with a ring buffer size of 256 elements

Outcome from the Test_OBV_OnValueRB.mq5 with a ring buffer size of 256 elements

Code development contributions from MetaQuotes Software Corp., Integer, and GODZILLA.

Mastering On Balance Volume with COBVOnRingBuffer in MetaTrader 5

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