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//
// BetterRenko
//
// written by aslan
//
// 20101215 - initial version for SC
// 20110111 - fixed OHLC averages, removed showWicks to allow other bar types
//
#include "sierrachart.h"

SCDLLName("BetterRenko")


inline void br_MoveLimits(SCStudyGraphRef sc, float high, float low, float brickSize, int revMult, float& renkoHigh, float& renkoLow)
{
  if (sc.FormattedEvaluate(high, sc.ValueFormat, GREATER_EQUAL_OPERATOR, renkoHigh, sc.ValueFormat))
  {
    do
    {
      renkoHigh += brickSize;
      renkoLow = renkoHigh - ((revMult+1) * brickSize);
    } while (sc.FormattedEvaluate(high, sc.ValueFormat, GREATER_OPERATOR, renkoHigh, sc.ValueFormat)); // stops if price in range, including edge
  }
  else
  {
    do
    {
      renkoLow -= brickSize;
      renkoHigh = renkoLow + ((revMult+1) * brickSize);
    } while (sc.FormattedEvaluate(low, sc.ValueFormat, LESS_OPERATOR, renkoLow, sc.ValueFormat));
  }
}

inline void br_CheckBarComplete(SCStudyGraphRef sc, float high, float low, float brickSize, int revMult, float& renkoHigh, float& renkoLow, int& barComplete)
{
  if (sc.FormattedEvaluate(high, sc.ValueFormat, EQUAL_OPERATOR, renkoHigh, sc.ValueFormat) ||
    sc.FormattedEvaluate(low, sc.ValueFormat, EQUAL_OPERATOR, renkoLow, sc.ValueFormat))
  {
    barComplete = true;
    br_MoveLimits(sc, high, low, brickSize, revMult, renkoHigh, renkoLow); // will move limits once since equal
  }
  else barComplete = false;
}

inline bool br_RangeExceeded(SCStudyGraphRef sc, float high, float low, float& renkoHigh, float& renkoLow)
{
  return   sc.FormattedEvaluate(high, sc.ValueFormat, GREATER_OPERATOR, renkoHigh, sc.ValueFormat) ||
      sc.FormattedEvaluate(low, sc.ValueFormat, LESS_OPERATOR, renkoLow, sc.ValueFormat);
}


// macros for bar creation/updates, handles tick or bar inputs
#define UPDATE_OPENS()                    \
  /* set renkoOpen based on brick size and price action */\
  if (Close[o] > Open[o])                  \
    RenkoOpen[o] = max(Close[o] - brickSize, Low[o]);  \
  else                          \
    RenkoOpen[o] = min(Close[o] + brickSize, High[o]);  \
                              \
  /* adjust open to show RenkoOpen instead of real open */\
  if (showRealOpen.GetYesNo() == 0)            \
  {                            \
    float temp = Open[o];                \
    Open[o] = RenkoOpen[o];                \
    RenkoOpen[o] = temp;                \
  }                            \

#define ADD_BAR()                      \
  sc.AddElements(1);                    \
  o++;                          \
  sc.DateTimeOut[o] = sc.BaseDateTimeIn[i];        \
  Open[o] = iOpen[i];                    \
  High[o] = iHigh[i];                    \
  Low[o] = iLow[i];                    \
  Close[o] = iClose[i];                  \
  Volume[o] = iVolume[i];                  \
  Ticks[o] = iTicks[i];                  \
  sc.CalculateOHLCAverages(o);              \
  BidVol[o] = iBidVol[i];                  \
  AskVol[o] = iAskVol[i];                  \
  UpTickVol[o] = iUpTickVol[i];              \
  DownTickVol[o] = iDownTickVol[i];            \
  BidTrades[o] = iBidTrades[i];              \
  AskTrades[o] = iAskTrades[i];              \
  RenkoOpen[o] = iOpen[i]

#define UPDATE_BAR()                    \
  if (iHigh[i] > High[o]) High[o] = iHigh[i];        \
  if (iLow[i] < Low[o]) Low[o] = iLow[i];        \
  Close[o] = iClose[i];                  \
  Volume[o] += iVolume[i];                \
  Ticks[o] += iTicks[i];                  \
  sc.CalculateOHLCAverages(o);              \
  BidVol[o] += iBidVol[i];                \
  AskVol[o] += iAskVol[i];                \
  UpTickVol[o] += iUpTickVol[i];              \
  DownTickVol[o] += iDownTickVol[i];            \
  BidTrades[o] += iBidTrades[i];              \
  AskTrades[o] += iAskTrades[i];              \
  RenkoOpen[o] = iClose[i]


SCSFExport scsf_BetterRenko(SCStudyGraphRef sc)
{
  // input refs
  SCInputRef brickSizeTicks = sc.Input[0];
  SCInputRef alignToBrickSize = sc.Input[1];
  SCInputRef showRealOpen = sc.Input[2];
  SCInputRef reverseMultiplier = sc.Input[3];

  // input bar refs
  SCFloatArrayRef iOpen = sc.BaseDataIn[0];
  SCFloatArrayRef iHigh = sc.BaseDataIn[1];
  SCFloatArrayRef iLow = sc.BaseDataIn[2];
  SCFloatArrayRef iClose = sc.BaseDataIn[3];
  SCFloatArrayRef iVolume = sc.BaseDataIn[4];
  SCFloatArrayRef iTicks = sc.BaseDataIn[5];
  SCFloatArrayRef iBidVol = sc.BaseDataIn[9];
  SCFloatArrayRef iAskVol = sc.BaseDataIn[10];
  SCFloatArrayRef iUpTickVol = sc.BaseDataIn[11];
  SCFloatArrayRef iDownTickVol = sc.BaseDataIn[12];
  SCFloatArrayRef iBidTrades = sc.BaseDataIn[13];
  SCFloatArrayRef iAskTrades = sc.BaseDataIn[14];

  // ouput bar refs
  SCSubgraphRef Open = sc.Subgraph[0];
  SCSubgraphRef High = sc.Subgraph[1];
  SCSubgraphRef Low = sc.Subgraph[2];
  SCSubgraphRef Close = sc.Subgraph[3];
  SCSubgraphRef Volume = sc.Subgraph[4];
  SCSubgraphRef Ticks = sc.Subgraph[5];
  SCSubgraphRef OHLCAvg = sc.Subgraph[6];
  SCSubgraphRef HLCAvg = sc.Subgraph[7];
  SCSubgraphRef HLAvg = sc.Subgraph[8];
  SCSubgraphRef BidVol = sc.Subgraph[9];
  SCSubgraphRef AskVol = sc.Subgraph[10];
  SCSubgraphRef UpTickVol = sc.Subgraph[11];
  SCSubgraphRef DownTickVol = sc.Subgraph[12];
  SCSubgraphRef BidTrades = sc.Subgraph[13];
  SCSubgraphRef AskTrades = sc.Subgraph[14];
  SCSubgraphRef RenkoOpen = sc.Subgraph[15]; // Renko Open or True Open based on input value


  // Set configuration variables
  if (sc.SetDefaults)
  {
    // Set the defaults
    sc.GraphName = "BetterRenko";
    sc.StudyDescription = "BetterRenko custom chart.";
    
    sc.IsCustomChart = 1;
    sc.DisplayAsMainPriceGraph = 1;
    sc.GraphRegion = 0;
    sc.StandardChartHeader = 1;
    sc.DrawZeros = 0;
    sc.GraphDrawType = GDT_CANDLESTICK;
    sc.AutoLoop = 0;
    sc.FreeDLL = 1;

    sc.ValueFormat = sc.BaseGraphValueFormat;

    // Inputs    
    brickSizeTicks.Name = "Brick size (ticks):";
    brickSizeTicks.SetInt(4);
    alignToBrickSize.Name = "Align to brick size:";
    alignToBrickSize.SetYesNo(1);
    showRealOpen.Name = "Show real Open (vs Renko Open):";
    showRealOpen.SetYesNo(0);
    reverseMultiplier.Name = "Reverse multiplier (number of bricks):";
    reverseMultiplier.SetInt(2);
    reverseMultiplier.SetIntLimits(1, 20);

    // Subgraphs
    Open.Name = "Open";
    Open.DrawStyle = DRAWSTYLE_LINE;
    Open.PrimaryColor = RGB(0,200,0);
    
    High.Name = "High";
    High.DrawStyle = DRAWSTYLE_LINE;
    High.PrimaryColor = RGB(0,0,0);
    
    Low.Name = "Low";
    Low.DrawStyle = DRAWSTYLE_LINE;
    Low.PrimaryColor = RGB(200,0,0);
    
    Close.Name = "Close";
    Close.DrawStyle = DRAWSTYLE_LINE;
    Close.PrimaryColor = RGB(0,0,0);

    Volume.Name = "Volume";
    Volume.DrawStyle = DRAWSTYLE_IGNORE;
    Ticks.Name = "# of Trades";
    Ticks.DrawStyle = DRAWSTYLE_IGNORE;

    OHLCAvg.Name = "OHLC Avg";
    OHLCAvg.DrawStyle = DRAWSTYLE_IGNORE;
    HLCAvg.Name = "HLC Avg";
    HLCAvg.DrawStyle = DRAWSTYLE_IGNORE;
    HLAvg.Name = "HL Avg";
    HLAvg.DrawStyle = DRAWSTYLE_IGNORE;

    BidVol.Name = "Bid Vol";
    BidVol.DrawStyle = DRAWSTYLE_IGNORE;
    AskVol.Name = "Ask Vol";
    AskVol.DrawStyle = DRAWSTYLE_IGNORE;

    UpTickVol.Name = "Up Tick Vol";
    UpTickVol.DrawStyle = DRAWSTYLE_IGNORE;
    DownTickVol.Name = "Down Tick Vol";
    DownTickVol.DrawStyle = DRAWSTYLE_IGNORE;

    BidTrades.Name = "Bid Trades";
    BidTrades.DrawStyle = DRAWSTYLE_IGNORE;
    AskTrades.Name = "Ask Trades";
    AskTrades.DrawStyle = DRAWSTYLE_IGNORE;

    RenkoOpen.Name = "Renko/True Open";
    RenkoOpen.DrawStyle = DRAWSTYLE_IGNORE;

    return;
  }

  //try
  //{
    long i = 0;    // input index - underlying chart
    long o = 0;    // output index - renko chart
    float cum = 0; // calc cumulative delta

    // refs to persistent vars
    float& brickSize = sc.PersistVars->f1; // brickSize in terms of price
    float& renkoHigh = sc.PersistVars->f2; // renkoHigh
    float& renkoLow = sc.PersistVars->f3; // renkoLow
    int& lastIndex = sc.PersistVars->i1; // lastIndex processed
    int& barComplete = sc.PersistVars->i2; // barComplete

    if (sc.UpdateStartIndex == 0)
    {
      // clear existing chart data
      sc.ResizeArrays(0);

      // init state i.e. persist vars
      brickSize = sc.RoundToTickSize(brickSizeTicks.GetInt() * sc.TickSize, sc.TickSize);
      lastIndex = -1;
      barComplete = false;

      sc.ValueFormat = sc.BaseGraphValueFormat;
      sc.GraphName.Format("BetterRenko %i", brickSizeTicks.GetInt());

      RenkoOpen.Name = showRealOpen.GetYesNo() ? "True Open" : "Renko Open";
    }

    // do data processing
    o = sc.OutArraySize - 1;


    for (int i = sc.UpdateStartIndex; i < sc.ArraySize; i++)
    {
      if (i == lastIndex) continue; // block handling the same tick multiple times

      // starting new bar at session boundary makes sure you have the same bars
      // reguardless of the first date that is loaded in the chart
      // Note: using date change instead of session boundary
      if (i == 0 || (sc.BaseDateTimeIn[i-1].GetDate() != sc.BaseDateTimeIn[i].GetDate()))
      {
        // create new bar
        if (i != 0) {
          UPDATE_OPENS();
        }
        ADD_BAR();
        float mod = !alignToBrickSize.GetYesNo() ? brickSize : sc.RoundToTickSize(fmod(Close[o], brickSize), sc.TickSize);
        float mid = sc.FormattedEvaluate(mod, sc.ValueFormat, EQUAL_OPERATOR, brickSize, sc.ValueFormat) ? Close[o] : Close[o] - mod;
        renkoHigh = mid + brickSize;
        renkoLow = mid - brickSize;
        barComplete = false;
      }
      else
      {
        if (barComplete)
        {
          // this tick creates a new bar
          UPDATE_OPENS();
          ADD_BAR();
          if (br_RangeExceeded(sc, High[o], Low[o], renkoHigh, renkoLow))
            br_MoveLimits(sc, High[o], Low[o], brickSize, reverseMultiplier.GetInt(), renkoHigh, renkoLow);
        }
        else
        {
          if (br_RangeExceeded(sc, iHigh[i], iLow[i], renkoHigh, renkoLow))
          {
            UPDATE_OPENS();
            ADD_BAR();
            br_MoveLimits(sc, High[o], Low[o], brickSize, reverseMultiplier.GetInt(), renkoHigh, renkoLow);
          }
          else
          {
            UPDATE_BAR();
          }
        }
        br_CheckBarComplete(sc, High[o], Low[o], brickSize, reverseMultiplier.GetInt(), renkoHigh, renkoLow, barComplete);
      }
      lastIndex = i;
    }
  //}
  //catch (char *ErrMsg){
  //  sc.AddMessageToLog(ErrMsg, 1);
  //}
}