Initialize project in MT5 Experts directory

2026-05-28 19:06:07 +03:00
commit 7545b842a4
21 changed files with 3213 additions and 0 deletions
@@ -0,0 +1,78 @@
+//+------------------------------------------------------------------+
+//| Data/VWAP_Engine.mqh                                             |
+//+------------------------------------------------------------------+
+#ifndef __VWAP_ENGINE_MQH__
+#define __VWAP_ENGINE_MQH__
+
+#include "../Core/Config.mqh"
+#include "../Core/State.mqh"
+
+class CVWAPEngine
+{
+private:
+   AssetProfile m_profile;
+   datetime m_lastSessionStart;
+   double m_cachedVWAP;
+   double m_cachedSlope;
+
+public:
+   bool Init(const AssetProfile &profile)
+   {
+      m_profile = profile;
+      m_lastSessionStart = 0;
+      m_cachedVWAP = 0;
+      m_cachedSlope = 0;
+      return true;
+   }
+   void Release() {}
+   void Calculate(VWAPState &state)
+   {
+      datetime sessionStart = g_session.GetSessionStart(m_profile);
+      if(sessionStart != m_lastSessionStart)
+      {
+         m_lastSessionStart = sessionStart;
+         state.sumPV = 0; state.sumV = 0; state.sessionStart = sessionStart;
+         m_cachedVWAP = 0; m_cachedSlope = 0;
+      }
+      MqlTick ticks[];
+      int copied = CopyTicksRange(_Symbol, ticks, COPY_TICKS_TRADE, sessionStart, TimeCurrent());
+      if(copied <= 0) { state.isValid = false; return; }
+      double sumPV = 0; long sumV = 0;
+      for(int i = 0; i < copied; i++)
+      {
+         double price = (ticks[i].bid + ticks[i].ask) / 2.0;
+         long volume = (long)ticks[i].volume;
+         if(volume > 0 && price > 0) { sumPV += price * (double)volume; sumV += volume; }
+      }
+      if(sumV > 0)
+      {
+         state.vwapValue = sumPV / (double)sumV;
+         state.sumPV = sumPV; state.sumV = (double)sumV; state.isValid = true;
+         m_cachedVWAP = state.vwapValue;
+         CalculateSlope(state);
+      }
+      else { state.isValid = false; state.vwapValue = m_cachedVWAP; }
+   }
+
+private:
+   void CalculateSlope(VWAPState &state)
+   {
+      MqlRates rates[];
+      ArraySetAsSeries(rates, true);
+      int copied = CopyRates(_Symbol, PERIOD_M15, 0, VWAP_SLOPE_BARS + 2, rates);
+      if(copied < VWAP_SLOPE_BARS + 2) { state.vwapSlope = m_cachedSlope; return; }
+      double sumX = 0, sumY = 0, sumXY = 0, sumX2 = 0;
+      int n = VWAP_SLOPE_BARS;
+      for(int i = 1; i <= n; i++)
+      {
+         double x = (double)i;
+         double y = rates[i].close - state.vwapValue;
+         sumX += x; sumY += y; sumXY += x * y; sumX2 += x * x;
+      }
+      double denominator = (n * sumX2 - sumX * sumX);
+      if(denominator != 0) { state.vwapSlope = (n * sumXY - sumX * sumY) / denominator; m_cachedSlope = state.vwapSlope; }
+      else { state.vwapSlope = m_cachedSlope; }
+   }
+};
+
+#endif // __VWAP_ENGINE_MQH__