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Toh4iem9
@@ -0,0 +1,599 @@
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//+------------------------------------------------------------------+
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//| LLD_MTF_Pro.mq5 |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.21" // Standardized HTF synchronization and alignment logic
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#property description "Lead-Lag Dominance Index (LLDI) Multi-Timeframe Oscillator."
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#property description "Displays Higher Timeframe LLDI color histogram directly on lower TF chart."
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#property indicator_separate_window
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#property indicator_buffers 3
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#property indicator_plots 2 // Plot 1: LLDI MTF, Plot 2: Optimal Lag MTF (Hidden on chart, shown in Data Window)
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//--- Institutional Levels Configuration (Z-Score standard layout)
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#property indicator_level1 2.5
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#property indicator_level2 2.0
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#property indicator_level3 1.5
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#property indicator_level4 -1.5
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#property indicator_level5 -2.0
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#property indicator_level6 -2.5
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#property indicator_levelcolor clrSilver
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#property indicator_levelstyle STYLE_DOT
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//--- Plot 1: Lead-Lag Dominance Index (LLDI Color Histogram)
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#property indicator_label1 "LLDI MTF"
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#property indicator_type1 DRAW_COLOR_HISTOGRAM
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#property indicator_color1 clrDodgerBlue, clrCrimson, clrGray
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 3
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//--- Plot 2: Optimal Lag (Invisible on chart, mapped to Data Window)
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#property indicator_label2 "Optimal Lag MTF"
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#property indicator_type2 DRAW_NONE
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#include <MyIncludes\LLD_Calculator.mqh>
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//--- Anchored Timeframe Resets Enum
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enum ENUM_ANCHOR_PERIOD
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{
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ANCHOR_NONE, // Standard rolling window (InpWindowSize)
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ANCHOR_SESSION, // Reset every day (Daily VWAP style)
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ANCHOR_WEEK, // Reset every week (Weekly VWAP style)
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ANCHOR_MONTH, // Reset every month (Monthly VWAP style)
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ANCHOR_CUSTOM_SESSION // Reset based on custom broker-time start/end range
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};
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//--- Input Parameters
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input string InpSecondSymbol = "BTCUSD"; // Comparison Symbol
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_M5; // Target Higher Timeframe (Recommended: Higher than Chart)
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input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period
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input int InpWindowSize = 50; // Rolling Window size (Used if Anchor = NONE)
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input int InpMaxLag = 10; // Maximum Phase Shift (Lags)
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input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time)
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input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time)
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//--- Buffers
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double BufferLLDI[];
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double BufferColors[];
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double BufferLag[];
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//--- Internal HTF Data Caches
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datetime h_time[];
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double h_close_A[];
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double h_close_B[];
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//--- HTF Calculator Results
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double h_res_lldi[];
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double h_res_lag[];
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//--- Aligned secondary symbol close prices array (Global Cache)
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double g_close_B[];
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//--- Global Engine and State Tracking
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CLeadLagDominanceCalculator *g_calculator;
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datetime g_last_htf_time = 0;
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int g_htf_count = 0;
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bool g_data_ready = false;
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int g_htf_anchor_start = 0; // Dynamic anchor tracker on HTF timeline
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bool g_data_synced = false;
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string g_prefix = "";
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//--- Parsed Custom Session hours
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int g_start_hour = 9;
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int g_start_min = 0;
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int g_end_hour = 18;
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int g_end_min = 0;
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//+------------------------------------------------------------------+
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//| EnsureHTFDataReady |
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//+------------------------------------------------------------------+
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bool EnsureHTFDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars)
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{
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ResetLastError();
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if(!SymbolInfoInteger(symbol, SYMBOL_SELECT))
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{
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SymbolSelect(symbol, true);
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}
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datetime times[];
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int copied = CopyTime(symbol, timeframe, 0, required_bars, times);
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return (copied >= required_bars);
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}
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//+------------------------------------------------------------------+
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//| IsTimeInSession |
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//+------------------------------------------------------------------+
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bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_hour, int end_min)
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{
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MqlDateTime dt;
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TimeToStruct(time_val, dt);
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int current_min = dt.hour * 60 + dt.min;
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int start_total = start_hour * 60 + start_min;
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int end_total = end_hour * 60 + end_min;
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if(end_total < start_total) // Overlapping midnight session
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{
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return (current_min >= start_total || current_min < end_total);
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}
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else
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{
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return (current_min >= start_total && current_min < end_total);
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}
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}
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//+------------------------------------------------------------------+
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//| UpdateStatusLabel |
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//| Renders an institutional colored text summary with subwindow lock|
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//+------------------------------------------------------------------+
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void UpdateStatusLabel(int subwindow, double last_lldi, double last_lag)
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{
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string name = StringFormat("%sStatus_Sub_%d", g_prefix, subwindow);
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if(ObjectFind(0, name) < 0)
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{
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ObjectCreate(0, name, OBJ_LABEL, subwindow, 0, 0);
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ObjectSetInteger(0, name, OBJPROP_CORNER, CORNER_LEFT_UPPER);
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ObjectSetInteger(0, name, OBJPROP_XDISTANCE, 10);
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ObjectSetInteger(0, name, OBJPROP_YDISTANCE, 15);
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ObjectSetString(0, name, OBJPROP_FONT, "Trebuchet MS");
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ObjectSetInteger(0, name, OBJPROP_FONTSIZE, 10);
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}
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string dominance_text = "";
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color text_color = clrGray;
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string str_lag = DoubleToString(MathAbs(last_lag), 0);
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string str_strength = DoubleToString(MathAbs(last_lldi), 5);
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if(last_lldi == EMPTY_VALUE || last_lldi == 0.0)
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{
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dominance_text = "REGIME: SYNCHRONIZING / NO ACTIVE DATA";
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text_color = clrGray;
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}
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else
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if(last_lldi > 0.02)
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{
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dominance_text = StringFormat("REGIME: %s LEADS %s | Lead Time: %s bars | Strength: %s",
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InpSecondSymbol, _Symbol, str_lag, str_strength);
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text_color = clrDodgerBlue;
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}
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else
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if(last_lldi < -0.02)
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{
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dominance_text = StringFormat("REGIME: %s LEADS %s | Lead Time: %s bars | Strength: %s",
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_Symbol, InpSecondSymbol, str_lag, str_strength);
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text_color = clrCrimson;
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}
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else
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{
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dominance_text = StringFormat("REGIME: SYMMETRICAL / CO-DEPENDENT | Difference: %s", str_strength);
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text_color = clrGray;
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}
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ObjectSetString(0, name, OBJPROP_TEXT, dominance_text);
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ObjectSetInteger(0, name, OBJPROP_COLOR, text_color);
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}
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//+------------------------------------------------------------------+
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//| OnInit |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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g_data_ready = false;
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g_last_htf_time = 0;
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g_htf_count = 0;
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g_htf_anchor_start = 0;
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g_prefix = StringFormat("LLD_%x_", ChartID());
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//--- Verify if the secondary comparison symbol exists in broker offerings
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bool is_custom = false;
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if(!SymbolExist(InpSecondSymbol, is_custom))
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{
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string err_msg = StringFormat("LLD MTF Error: Symbol '%s' does not exist in your broker's database!", InpSecondSymbol);
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Alert(err_msg);
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Print(err_msg);
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return(INIT_FAILED);
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}
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//--- Bind indicator buffers
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SetIndexBuffer(0, BufferLLDI, INDICATOR_DATA);
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SetIndexBuffer(1, BufferColors, INDICATOR_COLOR_INDEX);
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SetIndexBuffer(2, BufferLag, INDICATOR_DATA); // Map to INDICATOR_DATA for Data Window visibility
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ArraySetAsSeries(BufferLLDI, false);
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ArraySetAsSeries(BufferColors, false);
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ArraySetAsSeries(BufferLag, false);
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// Configure Plots
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// Plot 1: LLDI MTF Color Histogram
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
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PlotIndexSetString(0, PLOT_LABEL, "LLDI MTF");
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// Plot 2: Optimal Lag MTF (DRAW_NONE - Hidden on chart, shown in Data Window)
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PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_NONE);
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PlotIndexSetString(1, PLOT_LABEL, "Optimal Lag MTF");
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//--- Parse custom session times
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string parts[];
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if(StringSplit(InpCustomStart, ':', parts) == 2)
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{
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g_start_hour = (int)StringToInteger(parts[0]);
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g_start_min = (int)StringToInteger(parts[1]);
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}
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if(StringSplit(InpCustomEnd, ':', parts) == 2)
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{
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g_end_hour = (int)StringToInteger(parts[0]);
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g_end_min = (int)StringToInteger(parts[1]);
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}
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//--- Clean stale objects
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ObjectsDeleteAll(0, g_prefix);
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//--- Dynamic Engine Allocation
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g_calculator = new CLeadLagDominanceCalculator();
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if(CheckPointer(g_calculator) == POINTER_INVALID || !g_calculator.Init(InpWindowSize, InpMaxLag))
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{
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Print("Error: Failed to initialize LLD MTF Calculator Engine.");
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return INIT_FAILED;
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}
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string anchor_name = EnumToString(InpAnchor);
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string tf_name = StringSubstr(EnumToString(InpTimeframe), 7);
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string short_name = StringFormat("LLDI MTF(%s, %s, %s, %d)",
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InpSecondSymbol, tf_name,
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(InpAnchor == ANCHOR_NONE ? (string)InpWindowSize : StringSubstr(anchor_name, 7)),
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InpMaxLag);
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IndicatorSetString(INDICATOR_SHORTNAME, short_name);
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IndicatorSetInteger(INDICATOR_DIGITS, 5);
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//--- Initialize 1-second timer for weekend/async chart refreshes
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EventSetTimer(1);
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| OnDeinit |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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EventKillTimer();
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ObjectsDeleteAll(0, g_prefix);
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if(CheckPointer(g_calculator) != POINTER_INVALID)
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{
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delete g_calculator;
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}
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}
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//+------------------------------------------------------------------+
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//| OnCalculate |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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//--- Ensure both primary and secondary symbol histories are fully loaded on the HTF
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int required_bars = InpWindowSize + InpMaxLag + 10;
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if(InpAnchor != ANCHOR_NONE)
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required_bars = 1000; // Need larger history depth for monthly/weekly/custom anchors
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if(!EnsureHTFDataReady(_Symbol, InpTimeframe, required_bars) ||
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!EnsureHTFDataReady(InpSecondSymbol, InpTimeframe, required_bars))
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{
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g_data_synced = false;
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return 0; // Wait for next tick to let history load
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}
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g_data_synced = true;
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//--- 1. Advanced Bar-Time Price Alignment Loop (O(1) incremental)
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ArrayResize(g_close_B, rates_total);
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int loop_start = (prev_calculated == 0) ? 0 : prev_calculated - 1;
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if(loop_start < 0)
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loop_start = 0;
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double default_close_B = iClose(InpSecondSymbol, _Period, 0);
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for(int i = loop_start; i < rates_total; i++)
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{
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int shift = iBarShift(InpSecondSymbol, _Period, time[i], false);
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if(shift >= 0)
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{
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g_close_B[i] = iClose(InpSecondSymbol, _Period, shift);
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}
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else
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{
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g_close_B[i] = (i > 0) ? g_close_B[i-1] : default_close_B;
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}
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}
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//--- 2. Check if a new HTF bar has formed
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datetime htf_time_current = iTime(_Symbol, InpTimeframe, 0);
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bool htf_updated = (htf_time_current != g_last_htf_time);
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if(htf_updated || prev_calculated == 0)
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{
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g_last_htf_time = htf_time_current;
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int htf_bars = iBars(_Symbol, InpTimeframe);
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if(htf_bars < required_bars)
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{
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g_data_ready = false;
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return 0;
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}
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g_htf_count = MathMin(htf_bars, 1000);
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ArrayResize(h_time, g_htf_count);
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ArrayResize(h_close_A, g_htf_count);
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ArrayResize(h_close_B, g_htf_count);
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ArrayResize(h_res_lldi, g_htf_count);
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ArrayResize(h_res_lag, g_htf_count);
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if(CopyTime(_Symbol, InpTimeframe, 0, g_htf_count, h_time) != g_htf_count)
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{
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g_data_ready = false;
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return 0;
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}
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//--- 3. Linear Price Alignment on the HTF Timeline using safe fallbacks
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double default_close_A = iClose(_Symbol, InpTimeframe, 0);
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default_close_B = iClose(InpSecondSymbol, InpTimeframe, 0);
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for(int j = 0; j < g_htf_count; j++)
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||||
{
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int shift_A = iBarShift(_Symbol, InpTimeframe, h_time[j], false);
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if(shift_A >= 0)
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h_close_A[j] = iClose(_Symbol, InpTimeframe, shift_A);
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else
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h_close_A[j] = (j > 0) ? h_close_A[j-1] : default_close_A;
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int shift_B = iBarShift(InpSecondSymbol, InpTimeframe, h_time[j], false);
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if(shift_B >= 0)
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h_close_B[j] = iClose(InpSecondSymbol, InpTimeframe, shift_B);
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else
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h_close_B[j] = (j > 0) ? h_close_B[j-1] : default_close_B;
|
||||
}
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||||
//--- 4. Calculate OLS Cointegration on HTF (Closed bars only!)
|
||||
//--- Notice the limit is 'g_htf_count - 1' (excluding the live forming bar)
|
||||
for(int j = InpWindowSize; j < g_htf_count - 1; j++)
|
||||
{
|
||||
// Filter out inactive custom hours on HTF
|
||||
if(InpAnchor == ANCHOR_CUSTOM_SESSION)
|
||||
{
|
||||
if(!IsTimeInSession(h_time[j], g_start_hour, g_start_min, g_end_hour, g_end_min))
|
||||
{
|
||||
h_res_lldi[j] = EMPTY_VALUE;
|
||||
h_res_lag[j] = 0.0;
|
||||
continue;
|
||||
}
|
||||
}
|
||||
|
||||
// Stateful anchor period tracking on HTF timeline
|
||||
bool htf_new_period = false;
|
||||
if(j > 0)
|
||||
{
|
||||
switch(InpAnchor)
|
||||
{
|
||||
case ANCHOR_SESSION:
|
||||
{
|
||||
MqlDateTime dt_curr, dt_prev;
|
||||
TimeToStruct(h_time[j], dt_curr);
|
||||
TimeToStruct(h_time[j-1], dt_prev);
|
||||
if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year)
|
||||
htf_new_period = true;
|
||||
break;
|
||||
}
|
||||
case ANCHOR_WEEK:
|
||||
{
|
||||
MqlDateTime dt_curr, dt_prev;
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||||
TimeToStruct(h_time[j], dt_curr);
|
||||
TimeToStruct(h_time[j-1], dt_prev);
|
||||
if(dt_curr.day_of_week < dt_prev.day_of_week)
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||||
htf_new_period = true;
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||||
break;
|
||||
}
|
||||
case ANCHOR_MONTH:
|
||||
{
|
||||
MqlDateTime dt_curr, dt_prev;
|
||||
TimeToStruct(h_time[j], dt_curr);
|
||||
TimeToStruct(h_time[j-1], dt_prev);
|
||||
if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year)
|
||||
htf_new_period = true;
|
||||
break;
|
||||
}
|
||||
case ANCHOR_CUSTOM_SESSION:
|
||||
{
|
||||
MqlDateTime dt_curr, dt_prev;
|
||||
TimeToStruct(h_time[j], dt_curr);
|
||||
TimeToStruct(h_time[j-1], dt_prev);
|
||||
int min_curr = dt_curr.hour * 60 + dt_curr.min;
|
||||
int min_prev = dt_prev.hour * 60 + dt_prev.min;
|
||||
int start_min = g_start_hour * 60 + g_start_min;
|
||||
bool day_changed = (dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year);
|
||||
if(day_changed)
|
||||
{
|
||||
if(min_curr >= start_min)
|
||||
htf_new_period = true;
|
||||
}
|
||||
else
|
||||
{
|
||||
if(min_prev < start_min && min_curr >= start_min)
|
||||
htf_new_period = true;
|
||||
}
|
||||
break;
|
||||
}
|
||||
default:
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
if(htf_new_period)
|
||||
{
|
||||
g_htf_anchor_start = j;
|
||||
}
|
||||
|
||||
int htf_active_window = 0;
|
||||
if(InpAnchor == ANCHOR_NONE)
|
||||
htf_active_window = InpWindowSize;
|
||||
else
|
||||
htf_active_window = j - g_htf_anchor_start + 1;
|
||||
|
||||
// Compute LLDI and Lag on HTF (Single-index O(1) calculation)
|
||||
double lldi_val = 0.0;
|
||||
double lag_val = 0.0;
|
||||
g_calculator.CalculateDominance(g_htf_count, j, htf_active_window, h_close_A, h_close_B, lldi_val, lag_val);
|
||||
|
||||
h_res_lldi[j] = lldi_val;
|
||||
h_res_lag[j] = lag_val;
|
||||
}
|
||||
|
||||
g_data_ready = true;
|
||||
}
|
||||
|
||||
if(!g_data_ready)
|
||||
return 0;
|
||||
|
||||
//--- 5. Live Update for the Current Forming HTF Bar (Index: g_htf_count - 1) on every tick!
|
||||
int live_idx = g_htf_count - 1;
|
||||
if(live_idx >= InpWindowSize)
|
||||
{
|
||||
double single_c_A[1], single_c_B[1];
|
||||
|
||||
// Synchronized live price copying from the forming HTF bar 0
|
||||
int shift_A = iBarShift(_Symbol, InpTimeframe, htf_time_current, false);
|
||||
int shift_B = iBarShift(InpSecondSymbol, InpTimeframe, htf_time_current, false);
|
||||
|
||||
if(shift_A >= 0 && shift_B >= 0 &&
|
||||
CopyClose(_Symbol, InpTimeframe, shift_A, 1, single_c_A) == 1 &&
|
||||
CopyClose(InpSecondSymbol, InpTimeframe, shift_B, 1, single_c_B) == 1)
|
||||
{
|
||||
h_close_A[live_idx] = single_c_A[0];
|
||||
h_close_B[live_idx] = single_c_B[0];
|
||||
|
||||
// Determine dynamic window for forming bar
|
||||
int htf_active_window = 0;
|
||||
if(InpAnchor == ANCHOR_NONE)
|
||||
htf_active_window = InpWindowSize;
|
||||
else
|
||||
htf_active_window = live_idx - g_htf_anchor_start + 1;
|
||||
|
||||
if(InpAnchor != ANCHOR_CUSTOM_SESSION || IsTimeInSession(htf_time_current, g_start_hour, g_start_min, g_end_hour, g_end_min))
|
||||
{
|
||||
double lldi_val = 0.0;
|
||||
double lag_val = 0.0;
|
||||
g_calculator.CalculateDominance(g_htf_count, live_idx, htf_active_window, h_close_A, h_close_B, lldi_val, lag_val);
|
||||
h_res_lldi[live_idx] = lldi_val;
|
||||
h_res_lag[live_idx] = lag_val;
|
||||
}
|
||||
else
|
||||
{
|
||||
h_res_lldi[live_idx] = EMPTY_VALUE;
|
||||
h_res_lag[live_idx] = 0.0;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
//--- 6. Dynamically adjust 'start' to the beginning of the current forming HTF bar
|
||||
//--- This forces the entire forming LTF step block to remain perfectly flat, updating on every tick!
|
||||
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, InpTimeframe, time[first_bar_of_forming_htf], false) == 0)
|
||||
{
|
||||
first_bar_of_forming_htf--;
|
||||
}
|
||||
first_bar_of_forming_htf++; // This is the start of the forming step on lower TF chart
|
||||
|
||||
if(start > first_bar_of_forming_htf)
|
||||
start = first_bar_of_forming_htf;
|
||||
|
||||
//--- 7. Incremental Mapping of HTF results to Current Chart Timeframe (O(1) per tick)
|
||||
for(int i = start; i < rates_total; i++)
|
||||
{
|
||||
datetime t = time[i];
|
||||
int shift_htf = iBarShift(_Symbol, InpTimeframe, t, false);
|
||||
|
||||
if(shift_htf >= 0)
|
||||
{
|
||||
int idx_htf = g_htf_count - 1 - shift_htf;
|
||||
if(idx_htf >= 0 && idx_htf < g_htf_count)
|
||||
{
|
||||
double z = h_res_lldi[idx_htf];
|
||||
BufferLLDI[i] = z;
|
||||
BufferLag[i] = h_res_lag[idx_htf];
|
||||
|
||||
//--- 5-Zone Thermal Color Mapping on mapped Z-Score
|
||||
if(z == EMPTY_VALUE || z == 0.0)
|
||||
{
|
||||
BufferColors[i] = 2.0;
|
||||
}
|
||||
else
|
||||
if(z > 0.02)
|
||||
{
|
||||
BufferColors[i] = 0.0; // Index 0: DodgerBlue (Second Symbol leads)
|
||||
}
|
||||
else
|
||||
if(z < -0.02)
|
||||
{
|
||||
BufferColors[i] = 1.0; // Index 1: Crimson (Chart Symbol leads)
|
||||
}
|
||||
else
|
||||
{
|
||||
BufferColors[i] = 2.0; // Index 2: Gray (Tied / Symmetrical)
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
BufferLLDI[i] = EMPTY_VALUE;
|
||||
BufferColors[i] = 2.0;
|
||||
BufferLag[i] = 0.0;
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
BufferLLDI[i] = EMPTY_VALUE;
|
||||
BufferColors[i] = 2.0;
|
||||
BufferLag[i] = 0.0;
|
||||
}
|
||||
}
|
||||
|
||||
//--- 8. Update status label on the last historical bar
|
||||
int subwindow = ChartWindowFind();
|
||||
if(subwindow >= 0 && rates_total > 0)
|
||||
{
|
||||
UpdateStatusLabel(subwindow, BufferLLDI[rates_total - 1], BufferLag[rates_total - 1]);
|
||||
}
|
||||
|
||||
return(rates_total);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| OnTimer |
|
||||
//| Handles loading checks and force-redraws |
|
||||
//+------------------------------------------------------------------+
|
||||
void OnTimer()
|
||||
{
|
||||
if(!g_data_synced)
|
||||
{
|
||||
int required_bars = InpWindowSize + InpMaxLag + 5;
|
||||
if(EnsureHTFDataReady(InpSecondSymbol, _Period, required_bars))
|
||||
{
|
||||
g_data_synced = true;
|
||||
ChartRedraw(); // Force MT5 to invoke OnCalculate
|
||||
}
|
||||
}
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
//+------------------------------------------------------------------+
|
||||
Reference in New Issue
Block a user