// The top of every source code file must include this line
#include "sierrachart.h"

/*****************************************************************************

	For reference, please refer to the Advanced Custom Study Interface
	and Language documentation on the Sierra Chart website. 
	
*****************************************************************************/

// Name of the custom study.
//SCDLLName("Money Flow Index With Filters") 

//Custom study starts here.
SCSFExport scsf_MoneyFlowIndexWithFilters(SCStudyGraphRef sc)
{
	//Aliases to make things easier to read and maintain.
	SCSubgraphRef Graph_MFI = sc.Subgraph[0];
	SCInputRef In_MFIPeriod = sc.Input[0];
	SCInputRef In_InputData = sc.Input[1];
	SCInputRef In_PriceSetSmoothing = sc.Input[2];
	SCInputRef In_PriceSmoothingPeriod = sc.Input[3];
	SCInputRef In_PriceSmoothingMAType = sc.Input[4];
	SCInputRef In_VolumeFilterType = sc.Input[5];
	SCInputRef In_MAClipSmoothingPeriod = sc.Input[6];
	SCInputRef In_MAClipSmoothingMAType = sc.Input[7];
	SCInputRef In_MFISetSmoothing = sc.Input[8];
	SCInputRef In_MFISmoothingPeriod = sc.Input[9];
	SCInputRef In_MFISmoothingMAType = sc.Input[10];
	SCSubgraphRef Price = sc.Subgraph[1];
	SCSubgraphRef VolumeMA = sc.Subgraph[2];
	SCSubgraphRef VolumeFiltered = sc.Subgraph[3];
	SCSubgraphRef MFI = sc.Subgraph[4];
	//SCFloatArrayRef FloatArray = Graph_MFI.Arrays[0];

	//remember local variables are not persistent.
	int i, j, Period;
	float TypicalPrice, TypicalPricePrevious, MFPositive, MFNegative, MFTotal;
	
	// Section 1 - Set the configuration variables and defaults
	if (sc.SetDefaults)
	{
		//Long descriptive name.
		sc.GraphName = "Money Flow Index With Filters";
		
		sc.StudyVersion = 1.0;
		
		// During development set this flag to 1, so the DLL can be rebuilt without restarting Sierra Chart. When development is completed, set it to 0 to improve performance.
		sc.FreeDLL = 0;
		
		//Data for the "Display Study Documentation" button
sc.StudyDescription = "Money Flow Index With Filters. This version includes a number of extras to help clean up the graph and make it easier to integrate with automation. The \"Set Price Smoothing?\" option enables cleaning up the price before calculations. If price is really noisy, recommended settings are EMA 3-10. Otherwise leave price smoothing off. The \"Set MFI Smoothing?\" option enables cleaning up some of the MFI noise after the calculation. It is recommended to smooth MFI out with an EMA 3-7.<p>This version has a Volume Filter option to handle cases when a volume spike smashes the indicator making it hard to read. Large institutions sometimes do this to hide their activity afterward. The \"Straight\" option passes volume data through without any filtering. The \"Log\" option runs each volume bar through the log function making a type of \"log scale\". The \"Square Root\" option runs each volume bar through the square root function making a type of \"square root scale\". The \"MA Clip\" option will clip volume above a chosen moving average. To learn the movement characteristics of each, it is recommended to put them all on one chart for equal comparison.<p>To use traditional MFI, turn off all smoothing and filtering options.";
		
		//sc.GraphRegion = 1; //not main price graph, let it auto-select.

		sc.AutoLoop = 1;  //Auto looping is enabled. 
		
		//Output Graph
		Graph_MFI.Name = "MFI"; //drawn graphs must have a name.
		Graph_MFI.PrimaryColor = RGB(0, 255, 0);
		Graph_MFI.DrawStyle = DRAWSTYLE_LINE;
		Graph_MFI.LineStyle = LINESTYLE_SOLID; //if LineWidth>1, lines will appear solid
		Graph_MFI.LineWidth = 2;
		Graph_MFI.DrawZeros = 0;
		
		//User Inputs
		
		In_MFIPeriod.Name = "MFI Period";
		In_MFIPeriod.SetInt(14);
		In_MFIPeriod.SetIntLimits(3, 300);
		In_MFIPeriod.SetDescription("Number of bars for the period. Useful values are 7 and higher.");
		
		In_InputData.Name = "Input Data";
		In_InputData.SetInputDataIndex(SC_HLC); //default to bar close.
		In_InputData.SetDescription("Usually \"HLC Avg\" for Typical Price.");

		In_PriceSetSmoothing.Name = "Set Price Smoothing?";
		In_PriceSetSmoothing.SetYesNo(0);
		In_PriceSetSmoothing.SetDescription("Enables extended price smoothing options.");
		
		In_PriceSmoothingPeriod.Name = "Price Smoothing Period";
		In_PriceSmoothingPeriod.SetInt(3);
		In_PriceSmoothingPeriod.SetIntLimits(2, 50);
		In_PriceSmoothingPeriod.SetDescription("Number of bars for the period. Usually 3-10.");
		
		In_PriceSmoothingMAType.Name = "Price Smoothing Moving Average Type";
		In_PriceSmoothingMAType.SetMovAvgType(MOVAVGTYPE_EXPONENTIAL);
		In_PriceSmoothingMAType.SetDescription("Usually EMA, but others can be experimented with.");
		
		In_VolumeFilterType.Name = "Volume Filtering Type";
		In_VolumeFilterType.SetCustomInputIndex(0);
		In_VolumeFilterType.SetCustomInputStrings("Straight;Log;Square Root;MA Clip");
		In_VolumeFilterType.SetDescription("\"Straight\" for no filtering and normal calculations. \"Log\" for applying log(Volume). \"Square Root\" for applying sqrt(Volume). \"MA Clip\" for clipping the volume above the chosen moving average.");
		
		In_MAClipSmoothingPeriod.Name = "MA Clip Smoothing Period";
		In_MAClipSmoothingPeriod.SetInt(5);
		In_MAClipSmoothingPeriod.SetIntLimits(2, 100);
		In_MAClipSmoothingPeriod.SetDescription("Only if MA Clip is selected. Number of bars for the period. Usually 3-30.");
		
		In_MAClipSmoothingMAType.Name = "MA Clip Moving Average Type";
		In_MAClipSmoothingMAType.SetMovAvgType(MOVAVGTYPE_EXPONENTIAL);
		In_MAClipSmoothingMAType.SetDescription("Only if MA Clip is selected. Usually EMA, but others can be experimented with.");	
		
		In_MFISetSmoothing.Name = "Set MFI Smoothing?";
		In_MFISetSmoothing.SetYesNo(1);
		In_MFISetSmoothing.SetDescription("Enables extended MFI smoothing options.");
		
		In_MFISmoothingPeriod.Name = "MFI Smoothing Period";
		In_MFISmoothingPeriod.SetInt(5);
		In_MFISmoothingPeriod.SetIntLimits(2, 50);
		In_MFISmoothingPeriod.SetDescription("Number of bars for the period. Usually 3-7.");
		
		In_MFISmoothingMAType.Name = "MFI Smoothing Moving Average Type";
		In_MFISmoothingMAType.SetMovAvgType(MOVAVGTYPE_EXPONENTIAL);
		In_MFISmoothingMAType.SetDescription("Usually EMA, but others can be experimented with.");
		
		//Keep alerts from going crazy.
		sc.AlertOnlyOncePerBar = true;
		
		//Set printed output value format. Number is the index of the selected format.
		//sc.ValueFormat = 3;  // 3 decimal places
		sc.ValueFormat = 1;
		
		return;
		}
	
	// Section 2 - Do data processing here
	
	i = sc.Index; //easier to read traditional C/C++ index i in multiple arrays on one line.
	Period = In_MFIPeriod.GetInt(); //easier to read.
	
	//if first run
	if (i == 0) {
		// Set the index of the first array element to begin drawing at
		sc.DataStartIndex = Period - 1;
		}

	//Handle price smoothing.
	if( In_PriceSetSmoothing.GetYesNo() ) {
		sc.MovingAverage(sc.BaseDataIn[In_InputData.GetInputDataIndex()], Price, In_PriceSmoothingMAType.GetMovAvgType(), In_PriceSmoothingPeriod.GetInt() );
		}
	else {
		Price[i] = sc.BaseDataIn[In_InputData.GetInputDataIndex()][i];
		}

	//Handle volume filtering.
	if(In_VolumeFilterType.GetIndex() == 0) { // 0: straight
		VolumeFiltered[i] = (float)sc.Volume[i];
		}
	else if(In_VolumeFilterType.GetIndex() == 1) { // 1: log
		VolumeFiltered[i] = log( (float)sc.Volume[i] < 1.0 ? 1.0 : (float)sc.Volume[i] );
		}
	else if(In_VolumeFilterType.GetIndex() == 2) { // 2: sqrt
		VolumeFiltered[i] = sqrt( (float)sc.Volume[i] < 1.0 ? 1.0 : (float)sc.Volume[i] );
		}
	else { // 3: MA Clip
		sc.MovingAverage(sc.Volume, VolumeMA, In_MAClipSmoothingMAType.GetMovAvgType(), In_MAClipSmoothingPeriod.GetInt() );
		if((float)sc.Volume[i] <= VolumeMA[i]) {VolumeFiltered[i] = (float)sc.Volume[i];} //handle normal volume
		else {VolumeFiltered[i] = (float)VolumeMA[i];} //handle clipped volume
		}

	//Not enough data yet for the MFI calculation.
	if( i < Period ) {return;}
	
	//Do the MFI calculations.
	MFPositive = 0.0;
	MFNegative = 0.0;
	
	//set previous typical price.
	j = i - Period;
	if(j >= 0) {TypicalPricePrevious = Price[j];}
	else {TypicalPricePrevious = 0.0;}
	
	//do the inner loop
	j = i - Period +1;
	if(j < 0) {j = 0;}
	for(; j<=i; j++) {
		TypicalPrice = Price[j];
		if(TypicalPrice == TypicalPricePrevious) {continue;} //nothing to do
		//calculate money flows
		if(TypicalPrice > TypicalPricePrevious) {MFPositive += TypicalPrice * VolumeFiltered[j];}
		else {MFNegative += TypicalPrice * VolumeFiltered[j];}
		TypicalPricePrevious = TypicalPrice;
		}
	
	MFTotal = MFPositive + MFNegative;
	if(MFTotal > 0.0) {MFI[i] = 100.0 * (MFPositive / MFTotal);}
	else { //left with divide by 0 problem or bad negative number
		if(i>0) {MFI[i] = MFI[i-1];} //copy in previous value
		else {MFI[i] = 0.0;} //force it to 0
		}
	
	if( In_MFISetSmoothing.GetYesNo() ) {
		sc.MovingAverage(MFI, Graph_MFI, In_MFISmoothingMAType.GetMovAvgType(), In_MFISmoothingPeriod.GetInt() );
		}
	else {
		Graph_MFI[i] = MFI[i];
		}	
}