Huthayfa
79 lines
2.6 KiB
Plaintext
79 lines
2.6 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Data/VWAP_Engine.mqh |
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//+------------------------------------------------------------------+
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#ifndef __VWAP_ENGINE_MQH__
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#define __VWAP_ENGINE_MQH__
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#include "../Core/Config.mqh"
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#include "../Core/State.mqh"
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class CVWAPEngine
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{
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private:
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AssetProfile m_profile;
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datetime m_lastSessionStart;
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double m_cachedVWAP;
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double m_cachedSlope;
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public:
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bool Init(const AssetProfile &profile)
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{
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m_profile = profile;
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m_lastSessionStart = 0;
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m_cachedVWAP = 0;
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m_cachedSlope = 0;
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return true;
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}
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void Release() {}
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void Calculate(VWAPState &state)
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{
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datetime sessionStart = g_session.GetSessionStart(m_profile);
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if(sessionStart != m_lastSessionStart)
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{
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m_lastSessionStart = sessionStart;
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state.sumPV = 0; state.sumV = 0; state.sessionStart = sessionStart;
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m_cachedVWAP = 0; m_cachedSlope = 0;
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}
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MqlTick ticks[];
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int copied = CopyTicksRange(_Symbol, ticks, COPY_TICKS_TRADE, sessionStart, TimeCurrent());
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if(copied <= 0) { state.isValid = false; return; }
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double sumPV = 0; long sumV = 0;
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for(int i = 0; i < copied; i++)
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{
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double price = (ticks[i].bid + ticks[i].ask) / 2.0;
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long volume = (long)ticks[i].volume;
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if(volume > 0 && price > 0) { sumPV += price * (double)volume; sumV += volume; }
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}
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if(sumV > 0)
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{
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state.vwapValue = sumPV / (double)sumV;
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state.sumPV = sumPV; state.sumV = (double)sumV; state.isValid = true;
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m_cachedVWAP = state.vwapValue;
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CalculateSlope(state);
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}
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else { state.isValid = false; state.vwapValue = m_cachedVWAP; }
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}
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private:
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void CalculateSlope(VWAPState &state)
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{
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MqlRates rates[];
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ArraySetAsSeries(rates, true);
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int copied = CopyRates(_Symbol, PERIOD_M15, 0, VWAP_SLOPE_BARS + 2, rates);
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if(copied < VWAP_SLOPE_BARS + 2) { state.vwapSlope = m_cachedSlope; return; }
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double sumX = 0, sumY = 0, sumXY = 0, sumX2 = 0;
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int n = VWAP_SLOPE_BARS;
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for(int i = 1; i <= n; i++)
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{
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double x = (double)i;
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double y = rates[i].close - state.vwapValue;
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sumX += x; sumY += y; sumXY += x * y; sumX2 += x * x;
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}
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double denominator = (n * sumX2 - sumX * sumX);
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if(denominator != 0) { state.vwapSlope = (n * sumXY - sumX * sumY) / denominator; m_cachedSlope = state.vwapSlope; }
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else { state.vwapSlope = m_cachedSlope; }
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}
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};
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#endif // __VWAP_ENGINE_MQH__
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