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refactor: Unified Native & MTF Release with Deterministic Anchoring

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Toh4iem9
2026-08-25 15:51:14 +02:00
parent 1bdb3e79e7
commit 19650e1bed
1 changed files with 304 additions and 67 deletions
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Indicators/MyIndicators/VWAP_Pro.mq5
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@@ -1,132 +1,190 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| VWAP_Pro.mq5 | //| VWAP_Pro.mq5 |
//| Copyright 2025, xxxxxxxx| //| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2026, xxxxxxxx"
#property version "1.40" // Optimized for incremental calculation #property version "3.00" // Unified Native & MTF Release with Deterministic Anchoring
#property description "Volume Weighted Average Price (VWAP) with selectable reset period, timezone shift," #property description "Volume Weighted Average Price (VWAP) with unified Native & MTF support."
#property description "custom session times, and candle source (Standard or Heikin Ashi)." #property description "Features odd/even gapped lines, custom session hours, and Heikin Ashi pricing."
#property indicator_chart_window #property indicator_chart_window
#property indicator_buffers 2 // Two buffers for gapped drawing #property indicator_buffers 2
#property indicator_plots 2 #property indicator_plots 2
//--- Include the calculator engine ---
#include <MyIncludes\VWAP_Calculator.mqh>
//--- Plot 1: VWAP Line (Odd Periods) //--- Plot 1: VWAP Line (Odd Periods)
#property indicator_label1 "VWAP" #property indicator_label1 "VWAP"
#property indicator_type1 DRAW_LINE #property indicator_type1 DRAW_LINE
#property indicator_color1 clrOrange #property indicator_color1 clrOrange
#property indicator_style1 STYLE_SOLID #property indicator_style1 STYLE_SOLID
#property indicator_width1 1 #property indicator_width1 2
//--- Plot 2: VWAP Line (Even Periods) //--- Plot 2: VWAP Line (Even Periods)
#property indicator_label2 "" #property indicator_label2 ""
#property indicator_type2 DRAW_LINE #property indicator_type2 DRAW_LINE
#property indicator_color2 clrOrange #property indicator_color2 clrOrange
#property indicator_style2 STYLE_SOLID #property indicator_style2 STYLE_SOLID
#property indicator_width2 1 #property indicator_width2 2
//--- Enum for selecting the candle source for calculation --- //--- Included Engines & Core Tools
#include <MyIncludes\VWAP_Calculator.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
//--- Enum for selecting the candle source ---
#ifndef ENUM_CANDLE_SOURCE_DEFINED
#define ENUM_CANDLE_SOURCE_DEFINED
enum ENUM_CANDLE_SOURCE enum ENUM_CANDLE_SOURCE
{ {
CANDLE_STANDARD, // Use standard OHLC data CANDLE_STANDARD, // Use standard OHLC data
CANDLE_HEIKIN_ASHI // Use Heikin Ashi smoothed data CANDLE_HEIKIN_ASHI // Use Heikin Ashi smoothed data
}; };
#endif
//--- Input Parameters --- //--- Input Parameters ---
input group "Period Settings" input group "--- Timeframe Settings ---"
input ENUM_VWAP_PERIOD InpResetPeriod = PERIOD_SESSION; // Reset Period input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF)
input int InpSessionTimezoneShift = 0; // [For Daily Session] Timezone shift in hours vs Broker Time
input group "Custom Session (if selected above)"
input string InpCustomSessionStart = "09:30"; // Start time (HH:MM) for Custom Session
input string InpCustomSessionEnd = "16:00"; // End time (HH:MM) for Custom Session
input group "Calculation Settings" input group "--- Period Settings ---"
input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK; // Volume Type input ENUM_VWAP_PERIOD InpResetPeriod = PERIOD_SESSION; // Reset Period
input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Candle Source input int InpSessionTimezoneShift = 0; // Timezone shift in hours vs Broker Time
input string InpCustomSessionStart = "09:30"; // Start time (HH:MM) for Custom Session
input string InpCustomSessionEnd = "16:00"; // End time (HH:MM) for Custom Session
input group "--- Calculation Settings ---"
input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK; // Volume Type
input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Candle Source
input group "--- Visual Settings ---"
input color InpColorVWAP = clrOrange; // Line Color
input ENUM_LINE_STYLE InpStyleVWAP = STYLE_SOLID; // Line Style
input int InpWidthVWAP = 2; // Line Width
//--- Indicator Buffers --- //--- Indicator Buffers ---
double BufferVWAP_Odd[]; double BufferVWAP_Odd[];
double BufferVWAP_Even[]; double BufferVWAP_Even[];
//--- Global calculator object (as a base class pointer) --- //--- Internal HTF Data Caches (Chronological Arrays)
CVWAPCalculator *g_calculator; double h_open[], h_high[], h_low[], h_close[];
long h_tick_vol[], h_vol[];
double h_res_odd[], h_res_even[];
datetime h_time[];
//--- Global Objects & State Management
CVWAPCalculator *g_calculator = NULL;
bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe;
bool g_data_ready = false;
bool g_data_synced = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Custom indicator initialization function. | //| Custom Indicator Initialization |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
int OnInit() int OnInit()
{ {
g_data_ready = false;
g_data_synced = false;
g_htf_count = 0;
g_last_htf_time = 0;
// 1. Resolve Timeframe and validate direction
g_calc_timeframe = InpTimeframe;
if(g_calc_timeframe == PERIOD_CURRENT)
g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
if(g_calc_timeframe < Period())
{
PrintFormat("Critical Error: Target timeframe (%s) must be >= current timeframe (%s).",
EnumToString(g_calc_timeframe), EnumToString(Period()));
return INIT_PARAMETERS_INCORRECT;
}
g_is_mtf_mode = (g_calc_timeframe > Period());
// 2. Bind Buffers
SetIndexBuffer(0, BufferVWAP_Odd, INDICATOR_DATA); SetIndexBuffer(0, BufferVWAP_Odd, INDICATOR_DATA);
SetIndexBuffer(1, BufferVWAP_Even, INDICATOR_DATA); SetIndexBuffer(1, BufferVWAP_Even, INDICATOR_DATA);
ArraySetAsSeries(BufferVWAP_Odd, false); ArraySetAsSeries(BufferVWAP_Odd, false);
ArraySetAsSeries(BufferVWAP_Even, false); ArraySetAsSeries(BufferVWAP_Even, false);
PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE); PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE); PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE);
bool init_success = false; ArrayInitialize(BufferVWAP_Odd, EMPTY_VALUE);
ArrayInitialize(BufferVWAP_Even, EMPTY_VALUE);
if(InpCandleSource == CANDLE_HEIKIN_ASHI) // 3. Configure Dynamic Visual Styling
{ PlotIndexSetInteger(0, PLOT_LINE_COLOR, InpColorVWAP);
g_calculator = new CVWAPCalculator_HA(); PlotIndexSetInteger(0, PLOT_LINE_STYLE, InpStyleVWAP);
IndicatorSetString(INDICATOR_SHORTNAME, "VWAP HA"); PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthVWAP);
PlotIndexSetString(0, PLOT_LABEL, "VWAP HA");
PlotIndexSetString(1, PLOT_LABEL, "VWAP HA (Segment)");
}
else
{
g_calculator = new CVWAPCalculator();
IndicatorSetString(INDICATOR_SHORTNAME, "VWAP");
PlotIndexSetString(0, PLOT_LABEL, "VWAP");
PlotIndexSetString(1, PLOT_LABEL, "VWAP (Segment)");
}
if(CheckPointer(g_calculator) == POINTER_INVALID) PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorVWAP);
{ PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleVWAP);
Print("Failed to create VWAP Calculator object."); PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthVWAP);
return(INIT_FAILED); PlotIndexSetString(1, PLOT_LABEL, "VWAP (Segment)");
}
// --- Conditional Initialization ---
if(InpResetPeriod == PERIOD_CUSTOM_SESSION)
{
init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType);
}
else
{
init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpSessionTimezoneShift);
}
if(!init_success)
{
Print("Failed to initialize VWAP Calculator logic.");
return(INIT_FAILED);
}
PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, 1); PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, 1);
PlotIndexSetInteger(1, PLOT_DRAW_BEGIN, 1); PlotIndexSetInteger(1, PLOT_DRAW_BEGIN, 1);
IndicatorSetInteger(INDICATOR_DIGITS, _Digits); IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
// 4. Initialize Core Calculator Engine
if(InpCandleSource == CANDLE_HEIKIN_ASHI)
g_calculator = new CVWAPCalculator_HA();
else
g_calculator = new CVWAPCalculator();
if(CheckPointer(g_calculator) == POINTER_INVALID)
{
Print("Critical Error: Failed to create VWAP Calculator object.");
return INIT_FAILED;
}
bool init_success = false;
if(InpResetPeriod == PERIOD_CUSTOM_SESSION)
init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 0, InpSessionTimezoneShift);
else
init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpSessionTimezoneShift, true, 0);
if(!init_success)
{
Print("Critical Error: Failed to initialize VWAP Calculator logic.");
return INIT_FAILED;
}
string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : "";
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string short_name = StringFormat("VWAP%s%s(%s)", ha_tag, tf_str, EnumToString(InpResetPeriod));
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
PlotIndexSetString(0, PLOT_LABEL, short_name);
// 5. Initialize Background Synchronization Timer (Only for MTF mode)
if(g_is_mtf_mode)
EventSetTimer(1);
return(INIT_SUCCEEDED); return(INIT_SUCCEEDED);
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Custom indicator deinitialization function. | //| Custom Indicator Deinitialization |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void OnDeinit(const int reason) void OnDeinit(const int reason)
{ {
if(g_is_mtf_mode)
EventKillTimer();
if(CheckPointer(g_calculator) != POINTER_INVALID) if(CheckPointer(g_calculator) != POINTER_INVALID)
{
delete g_calculator; delete g_calculator;
g_calculator = NULL;
}
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Custom indicator calculation function | //| Custom Indicator Calculation Loop |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
int OnCalculate(const int rates_total, int OnCalculate(const int rates_total,
const int prev_calculated, // <--- Now used! const int prev_calculated,
const datetime &time[], const datetime &time[],
const double &open[], const double &open[],
const double &high[], const double &high[],
@@ -136,13 +194,192 @@ int OnCalculate(const int rates_total,
const long &volume[], const long &volume[],
const int &spread[]) const int &spread[])
{ {
if(CheckPointer(g_calculator) == POINTER_INVALID) if(rates_total < 2 || CheckPointer(g_calculator) == POINTER_INVALID)
return 0; return 0;
//--- Delegate calculation with prev_calculated optimization // Force chronological indexing on current timeframe arrays
g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, BufferVWAP_Odd, BufferVWAP_Even); ArraySetAsSeries(time, false);
ArraySetAsSeries(open, false);
ArraySetAsSeries(high, false);
ArraySetAsSeries(low, false);
ArraySetAsSeries(close, false);
ArraySetAsSeries(tick_volume, false);
ArraySetAsSeries(volume, false);
return(rates_total); //===================================================================
// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1))
//===================================================================
if(!g_is_mtf_mode)
{
g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close,
tick_volume, volume, BufferVWAP_Odd, BufferVWAP_Even);
return rates_total;
}
//===================================================================
// MODE 2: Multi-Timeframe Engine (Warp-free Step Synchronization)
//===================================================================
int required_bars = 10;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
{
g_data_synced = false;
return 0;
}
g_data_synced = true;
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
if(htf_updated || prev_calculated == 0)
{
g_last_htf_time = htf_time_current;
int htf_bars = iBars(_Symbol, g_calc_timeframe);
if(htf_bars < required_bars)
{
g_data_ready = false;
return 0;
}
g_htf_count = MathMin(htf_bars, 3000); // Memory safeguard
// Resize all HTF caching arrays
ArrayResize(h_time, g_htf_count);
ArrayResize(h_open, g_htf_count);
ArrayResize(h_high, g_htf_count);
ArrayResize(h_low, g_htf_count);
ArrayResize(h_close, g_htf_count);
ArrayResize(h_tick_vol, g_htf_count);
ArrayResize(h_vol, g_htf_count);
ArrayResize(h_res_odd, g_htf_count);
ArrayResize(h_res_even, g_htf_count);
// Force chronological alignment
ArraySetAsSeries(h_time, false);
ArraySetAsSeries(h_open, false);
ArraySetAsSeries(h_high, false);
ArraySetAsSeries(h_low, false);
ArraySetAsSeries(h_close, false);
ArraySetAsSeries(h_tick_vol, false);
ArraySetAsSeries(h_vol, false);
ArraySetAsSeries(h_res_odd, false);
ArraySetAsSeries(h_res_even, false);
// Copy pricing & volume data
if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count ||
CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count ||
CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count ||
CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count ||
CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count ||
CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_tick_vol) != g_htf_count)
{
g_data_ready = false;
return 0;
}
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
if(vol_limit > 0)
CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol);
else
ArrayCopy(h_vol, h_tick_vol, 0, 0, g_htf_count);
// Compute HTF VWAP Values
g_calculator.Calculate(g_htf_count, 0, h_time, h_open, h_high, h_low, h_close,
h_tick_vol, h_vol, h_res_odd, h_res_even);
g_data_ready = true;
}
if(!g_data_ready)
return 0;
// 5. Stateful live-bar update for active forming HTF candle
int live_idx = g_htf_count - 1;
if(live_idx >= required_bars)
{
double o[1], h[1], l[1], c[1];
datetime t_bar[1];
long tv[1], v[1];
int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false);
if(shift >= 0 &&
CopyTime(_Symbol, g_calc_timeframe, shift, 1, t_bar) == 1 &&
CopyOpen(_Symbol, g_calc_timeframe, shift, 1, o) == 1 &&
CopyHigh(_Symbol, g_calc_timeframe, shift, 1, h) == 1 &&
CopyLow(_Symbol, g_calc_timeframe, shift, 1, l) == 1 &&
CopyClose(_Symbol, g_calc_timeframe, shift, 1, c) == 1 &&
CopyTickVolume(_Symbol, g_calc_timeframe, shift, 1, tv) == 1)
{
h_time[live_idx] = t_bar[0];
h_open[live_idx] = o[0];
h_high[live_idx] = h[0];
h_low[live_idx] = l[0];
h_close[live_idx] = c[0];
h_tick_vol[live_idx] = tv[0];
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
if(vol_limit > 0 && CopyRealVolume(_Symbol, g_calc_timeframe, shift, 1, v) == 1)
h_vol[live_idx] = v[0];
else
h_vol[live_idx] = tv[0];
// Mock update on live bar
g_calculator.Calculate(g_htf_count, g_htf_count, h_time, h_open, h_high, h_low, h_close,
h_tick_vol, h_vol, h_res_odd, h_res_even);
}
}
// 6. Forming LTF Block Flat-Force Anchor (The Staircase Solution)
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
int first_bar_of_forming_htf = rates_total - 1;
while(first_bar_of_forming_htf > 0 &&
iBarShift(_Symbol, g_calc_timeframe, time[first_bar_of_forming_htf], false) == 0)
{
first_bar_of_forming_htf--;
}
first_bar_of_forming_htf++;
if(start > first_bar_of_forming_htf)
start = first_bar_of_forming_htf;
// 7. Chronological Mapping Loop to Chart Timeframe
for(int i = start; i < rates_total; i++)
{
datetime t = time[i];
int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
if(shift_htf >= 0)
{
int idx_htf = g_htf_count - 1 - shift_htf;
if(idx_htf >= 0 && idx_htf < g_htf_count)
{
BufferVWAP_Odd[i] = h_res_odd[idx_htf];
BufferVWAP_Even[i] = h_res_even[idx_htf];
}
else
{
BufferVWAP_Odd[i] = EMPTY_VALUE;
BufferVWAP_Even[i] = EMPTY_VALUE;
}
}
else
{
BufferVWAP_Odd[i] = EMPTY_VALUE;
BufferVWAP_Even[i] = EMPTY_VALUE;
}
}
return rates_total;
}
//+------------------------------------------------------------------+
//| OnTimer Event Handler (Data Synchronization Daemon) |
//+------------------------------------------------------------------+
void OnTimer()
{
int required_bars = 10;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+