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refactor: Fully deterministic session logic with zero live-tick flickering
This commit is contained in:
Toh4iem9
@@ -1,13 +1,19 @@
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//+------------------------------------------------------------------+
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//| VWAP_Calculator.mqh|
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//| VERSION 2.00: Added history limit for buffer output. |
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//| Copyright 2025, xxxxxxxx |
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//| VERSION 3.00: Deterministic Session Anchoring & Bounds Safe |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "3.00" // Fully deterministic session logic with zero live-tick flickering
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#ifndef VWAP_CALCULATOR_MQH
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#define VWAP_CALCULATOR_MQH
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//--- Enum for VWAP Reset Period ---
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#ifndef ENUM_VWAP_PERIOD_DEFINED
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#define ENUM_VWAP_PERIOD_DEFINED
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enum ENUM_VWAP_PERIOD
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{
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PERIOD_SESSION, // Reset every day (can be shifted by timezone)
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@@ -15,6 +21,7 @@ enum ENUM_VWAP_PERIOD
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PERIOD_MONTH, // Reset every month
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PERIOD_CUSTOM_SESSION // Reset based on custom start/end times
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};
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#endif
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//+==================================================================+
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//| CLASS 1: CVWAPCalculator (Base Class) |
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@@ -26,284 +33,299 @@ protected:
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ENUM_APPLIED_VOLUME m_volume_type;
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bool m_enabled;
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long m_tz_shift_seconds;
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int m_max_history_days; // NEW: Limit buffer output
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int m_max_history_days;
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//--- Persistent Buffers
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//--- Persistent Price Buffer
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double m_typical_price[];
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//--- Persistent State for Incremental Calculation
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double m_cumulative_tpv;
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double m_cumulative_vol;
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int m_period_index;
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bool m_in_session;
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datetime m_last_time;
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//--- For custom sessions ---
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//--- Custom Session Parameters
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int m_start_hour, m_start_min;
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int m_end_hour, m_end_min;
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bool IsTimeInSession(const MqlDateTime &dt);
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virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]);
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bool IsTimeInSession(const datetime bar_time);
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virtual bool PrepareSourceData(const int rates_total, const int start_index,
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const double &open[], const double &high[],
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const double &low[], const double &close[]);
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public:
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CVWAPCalculator(void);
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virtual ~CVWAPCalculator(void) {};
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virtual ~CVWAPCalculator(void) {};
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//--- Updated Init methods with max_history_days
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bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true, int max_history_days=0);
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bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true, int max_history_days=0);
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//--- Backward-Compatible Initialization Signatures
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bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true, int max_history_days=0);
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bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true, int max_history_days=0, int tz_shift_hours=0);
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void Calculate(int rates_total, int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
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const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[]);
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void Calculate(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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double &vwap_odd[],
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double &vwap_even[]);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CVWAPCalculator::CVWAPCalculator(void)
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CVWAPCalculator::CVWAPCalculator(void) : m_period(PERIOD_SESSION),
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m_volume_type(VOLUME_TICK),
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m_enabled(true),
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m_tz_shift_seconds(0),
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m_max_history_days(0),
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m_start_hour(9), m_start_min(30),
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m_end_hour(16), m_end_min(0)
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{
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m_enabled = false;
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m_tz_shift_seconds = 0;
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m_cumulative_tpv = 0;
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m_cumulative_vol = 0;
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m_period_index = 0;
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m_in_session = false;
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m_last_time = 0;
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m_max_history_days = 0;
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ArraySetAsSeries(m_typical_price, false);
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}
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//+------------------------------------------------------------------+
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//| Init (Standard) |
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//| Init (Standard Periods) |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled, int max_history_days)
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{
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m_enabled = enabled;
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m_enabled = enabled;
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if(!m_enabled)
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return true;
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m_period = period;
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m_volume_type = vol_type;
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m_tz_shift_seconds = tz_shift_hours * 3600;
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m_period = period;
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m_volume_type = vol_type;
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m_tz_shift_seconds = (long)tz_shift_hours * 3600;
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m_max_history_days = max_history_days;
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if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
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{
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Print("VWAP Error: Real Volume is not available for '", _Symbol, "'.");
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return false;
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PrintFormat("VWAP Warning: Real Volume not available for '%s'. Falling back to Tick Volume.", _Symbol);
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m_volume_type = VOLUME_TICK;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Init (Custom Session) |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled, int max_history_days)
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bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled, int max_history_days, int tz_shift_hours)
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{
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m_enabled = enabled;
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m_enabled = enabled;
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if(!m_enabled)
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return true;
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m_period = PERIOD_CUSTOM_SESSION;
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m_volume_type = vol_type;
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m_tz_shift_seconds = 0;
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m_period = PERIOD_CUSTOM_SESSION;
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m_volume_type = vol_type;
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m_tz_shift_seconds = (long)tz_shift_hours * 3600;
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m_max_history_days = max_history_days;
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string parts[];
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if(StringSplit(start_time, ':', parts) == 2)
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string start_parts[], end_parts[];
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if(StringSplit(start_time, ':', start_parts) == 2)
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{
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m_start_hour = (int)StringToInteger(parts[0]);
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m_start_min = (int)StringToInteger(parts[1]);
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m_start_hour = (int)StringToInteger(start_parts[0]);
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m_start_min = (int)StringToInteger(start_parts[1]);
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}
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if(StringSplit(end_time, ':', parts) == 2)
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if(StringSplit(end_time, ':', end_parts) == 2)
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{
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m_end_hour = (int)StringToInteger(parts[0]);
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m_end_min = (int)StringToInteger(parts[1]);
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m_end_hour = (int)StringToInteger(end_parts[0]);
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m_end_min = (int)StringToInteger(end_parts[1]);
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}
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if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
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{
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Print("VWAP Error: Real Volume is not available for '", _Symbol, "'.");
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return false;
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PrintFormat("VWAP Warning: Real Volume not available for '%s'. Falling back to Tick Volume.", _Symbol);
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m_volume_type = VOLUME_TICK;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Helper |
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//| Stateless Custom Session In-Time Check |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator::IsTimeInSession(const MqlDateTime &dt)
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bool CVWAPCalculator::IsTimeInSession(const datetime bar_time)
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{
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int current_time_in_minutes = dt.hour * 60 + dt.min;
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int start_time_in_minutes = m_start_hour * 60 + m_start_min;
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int end_time_in_minutes = m_end_hour * 60 + m_end_min;
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MqlDateTime dt;
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TimeToStruct(bar_time + (datetime)m_tz_shift_seconds, dt);
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if(end_time_in_minutes < start_time_in_minutes)
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return (current_time_in_minutes >= start_time_in_minutes || current_time_in_minutes < end_time_in_minutes);
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int current_min = dt.hour * 60 + dt.min;
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int start_min = m_start_hour * 60 + m_start_min;
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int end_min = m_end_hour * 60 + m_end_min;
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if(end_min > start_min)
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{
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return (current_min >= start_min && current_min < end_min);
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}
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else
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return (current_time_in_minutes >= start_time_in_minutes && current_time_in_minutes < end_time_in_minutes);
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if(end_min < start_min)
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{
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// Overnight session
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return (current_min >= start_min || current_min < end_min);
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}
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else
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{
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// 24-hour continuous session
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return true;
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}
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}
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//+------------------------------------------------------------------+
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//| Main Calculation (Optimized) |
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//| Main Calculation (Deterministic & Zero-Flicker) |
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//+------------------------------------------------------------------+
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void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
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const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[])
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void CVWAPCalculator::Calculate(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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double &vwap_odd[],
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double &vwap_even[])
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{
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if(!m_enabled || rates_total < 1)
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return;
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int start_index;
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if(prev_calculated == 0)
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//--- Safe array allocation
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if(ArraySize(vwap_odd) != rates_total)
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{
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start_index = 0;
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m_cumulative_tpv = 0;
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m_cumulative_vol = 0;
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m_period_index = 0;
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m_in_session = false;
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m_last_time = 0;
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ArrayResize(vwap_odd, rates_total);
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ArraySetAsSeries(vwap_odd, false);
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ArrayInitialize(vwap_odd, EMPTY_VALUE);
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}
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if(ArraySize(vwap_even) != rates_total)
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{
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ArrayResize(vwap_even, rates_total);
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ArraySetAsSeries(vwap_even, false);
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ArrayInitialize(vwap_even, EMPTY_VALUE);
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}
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else
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{
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start_index = prev_calculated - 1;
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}
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if(ArraySize(m_typical_price) != rates_total)
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ArrayResize(m_typical_price, rates_total);
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if(ArraySize(vwap_odd) != rates_total)
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ArrayResize(vwap_odd, rates_total);
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if(ArraySize(vwap_even) != rates_total)
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ArrayResize(vwap_even, rates_total);
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int start_index = (prev_calculated == 0) ? 0 : (prev_calculated - 1);
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if(!PrepareSourceData(rates_total, start_index, open, high, low, close))
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return;
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// Calculate cutoff time
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datetime cutoff_time = 0;
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if(m_max_history_days > 0)
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cutoff_time = TimeCurrent() - m_max_history_days * 86400;
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cutoff_time = TimeCurrent() - (datetime)(m_max_history_days * 86400);
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for(int i = start_index; i < rates_total; i++)
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// Deterministic Scan
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double cum_tpv = 0.0;
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double cum_vol = 0.0;
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int period_index = 0;
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bool in_session = false;
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for(int i = 0; i < rates_total; i++)
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{
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double current_cum_tpv = m_cumulative_tpv;
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double current_cum_vol = m_cumulative_vol;
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int current_period_idx = m_period_index;
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bool current_in_session = m_in_session;
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bool new_period = false;
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if(i == 0)
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if(m_period == PERIOD_CUSTOM_SESSION)
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{
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new_period = true;
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bool is_inside = IsTimeInSession(time[i]);
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if(is_inside && !in_session)
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new_period = true;
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in_session = is_inside;
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}
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else
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{
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switch(m_period)
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in_session = true;
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if(i == 0)
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{
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case PERIOD_SESSION:
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new_period = true;
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}
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else
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{
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switch(m_period)
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{
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datetime adjusted_time_curr = time[i] + (datetime)m_tz_shift_seconds;
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datetime adjusted_time_prev = time[i-1] + (datetime)m_tz_shift_seconds;
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(adjusted_time_curr, dt_curr);
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TimeToStruct(adjusted_time_prev, dt_prev);
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if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year)
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new_period = true;
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break;
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}
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case PERIOD_WEEK:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(time[i], dt_curr);
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TimeToStruct(time[i-1], dt_prev);
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if(dt_curr.day_of_week < dt_prev.day_of_week)
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new_period = true;
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break;
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}
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case PERIOD_MONTH:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(time[i], dt_curr);
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TimeToStruct(time[i-1], dt_prev);
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if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year)
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new_period = true;
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break;
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}
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case PERIOD_CUSTOM_SESSION:
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{
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MqlDateTime dt_curr;
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TimeToStruct(time[i], dt_curr);
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bool is_in_current_session = IsTimeInSession(dt_curr);
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if(is_in_current_session && !current_in_session)
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new_period = true;
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current_in_session = is_in_current_session;
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break;
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case PERIOD_SESSION:
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{
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datetime curr_t = time[i] + (datetime)m_tz_shift_seconds;
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datetime prev_t = time[i - 1] + (datetime)m_tz_shift_seconds;
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MqlDateTime dt_c, dt_p;
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TimeToStruct(curr_t, dt_c);
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TimeToStruct(prev_t, dt_p);
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if(dt_c.day_of_year != dt_p.day_of_year || dt_c.year != dt_p.year)
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new_period = true;
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break;
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}
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case PERIOD_WEEK:
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{
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MqlDateTime dt_c, dt_p;
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TimeToStruct(time[i], dt_c);
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TimeToStruct(time[i - 1], dt_p);
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if(dt_c.day_of_week < dt_p.day_of_week)
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new_period = true;
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break;
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}
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case PERIOD_MONTH:
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{
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MqlDateTime dt_c, dt_p;
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TimeToStruct(time[i], dt_c);
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TimeToStruct(time[i - 1], dt_p);
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if(dt_c.mon != dt_p.mon || dt_c.year != dt_p.year)
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new_period = true;
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break;
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||||
}
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}
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}
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}
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// Reset accumulators on session open
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if(new_period)
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{
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current_cum_tpv = 0;
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current_cum_vol = 0;
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current_period_idx++;
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cum_tpv = 0.0;
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cum_vol = 0.0;
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period_index++;
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}
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long current_volume = (m_volume_type == VOLUME_TICK) ? tick_volume[i] : volume[i];
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if(current_volume < 1)
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current_volume = 1;
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current_cum_tpv += m_typical_price[i] * (double)current_volume;
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current_cum_vol += (double)current_volume;
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double vwap_value = (current_cum_vol > 0) ? current_cum_tpv / current_cum_vol : EMPTY_VALUE;
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// Fill buffers ONLY if within history limit
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bool show_data = (time[i] >= cutoff_time);
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if(m_period != PERIOD_CUSTOM_SESSION || current_in_session)
|
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if(in_session)
|
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{
|
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if(current_period_idx % 2 != 0)
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long current_vol = (m_volume_type == VOLUME_REAL) ? volume[i] : tick_volume[i];
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||||
if(current_vol < 1)
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||||
current_vol = 1;
|
||||
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||||
cum_tpv += m_typical_price[i] * (double)current_vol;
|
||||
cum_vol += (double)current_vol;
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||||
|
||||
double vwap_val = (cum_vol > 0.0) ? (cum_tpv / cum_vol) : EMPTY_VALUE;
|
||||
bool show = (time[i] >= cutoff_time);
|
||||
|
||||
if(period_index % 2 != 0)
|
||||
{
|
||||
vwap_odd[i] = show_data ? vwap_value : EMPTY_VALUE;
|
||||
vwap_odd[i] = show ? vwap_val : EMPTY_VALUE;
|
||||
vwap_even[i] = EMPTY_VALUE;
|
||||
}
|
||||
else
|
||||
{
|
||||
vwap_even[i] = show_data ? vwap_value : EMPTY_VALUE;
|
||||
vwap_odd[i] = EMPTY_VALUE;
|
||||
vwap_even[i] = show ? vwap_val : EMPTY_VALUE;
|
||||
vwap_odd[i] = EMPTY_VALUE;
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
vwap_odd[i] = EMPTY_VALUE;
|
||||
vwap_odd[i] = EMPTY_VALUE;
|
||||
vwap_even[i] = EMPTY_VALUE;
|
||||
}
|
||||
|
||||
if(i < rates_total - 1)
|
||||
{
|
||||
m_cumulative_tpv = current_cum_tpv;
|
||||
m_cumulative_vol = current_cum_vol;
|
||||
m_period_index = current_period_idx;
|
||||
m_in_session = current_in_session;
|
||||
m_last_time = time[i];
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Prepare Price (Standard - Optimized Copy) |
|
||||
//| Prepare Price (Standard Typical Price) |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CVWAPCalculator::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
|
||||
bool CVWAPCalculator::PrepareSourceData(const int rates_total, const int start_index,
|
||||
const double &open[], const double &high[],
|
||||
const double &low[], const double &close[])
|
||||
{
|
||||
if(ArraySize(m_typical_price) != rates_total)
|
||||
{
|
||||
ArrayResize(m_typical_price, rates_total);
|
||||
ArraySetAsSeries(m_typical_price, false);
|
||||
}
|
||||
|
||||
// Optimized loop starting from start_index
|
||||
for(int i = start_index; i < rates_total; i++)
|
||||
m_typical_price[i] = (high[i] + low[i] + close[i]) / 3.0;
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
@@ -314,35 +336,48 @@ class CVWAPCalculator_HA : public CVWAPCalculator
|
||||
{
|
||||
private:
|
||||
CHeikinAshi_Calculator m_ha_calculator;
|
||||
// Internal HA buffers
|
||||
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
|
||||
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
|
||||
|
||||
protected:
|
||||
virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]) override;
|
||||
virtual bool PrepareSourceData(const int rates_total, const int start_index,
|
||||
const double &open[], const double &high[],
|
||||
const double &low[], const double &close[]) override;
|
||||
};
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Prepare Price (Heikin Ashi - Optimized Copy) |
|
||||
//| Prepare Price (Heikin Ashi Typical Price) |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CVWAPCalculator_HA::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
|
||||
bool CVWAPCalculator_HA::PrepareSourceData(const int rates_total, const int start_index,
|
||||
const double &open[], const double &high[],
|
||||
const double &low[], const double &close[])
|
||||
{
|
||||
if(ArraySize(m_ha_open) != rates_total)
|
||||
{
|
||||
ArrayResize(m_ha_open, rates_total);
|
||||
ArrayResize(m_ha_high, rates_total);
|
||||
ArrayResize(m_ha_low, rates_total);
|
||||
ArrayResize(m_ha_open, rates_total);
|
||||
ArrayResize(m_ha_high, rates_total);
|
||||
ArrayResize(m_ha_low, rates_total);
|
||||
ArrayResize(m_ha_close, rates_total);
|
||||
|
||||
ArraySetAsSeries(m_ha_open, false);
|
||||
ArraySetAsSeries(m_ha_high, false);
|
||||
ArraySetAsSeries(m_ha_low, false);
|
||||
ArraySetAsSeries(m_ha_close, false);
|
||||
}
|
||||
|
||||
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
|
||||
m_ha_open, m_ha_high, m_ha_low, m_ha_close);
|
||||
|
||||
if(ArraySize(m_typical_price) != rates_total)
|
||||
{
|
||||
ArrayResize(m_typical_price, rates_total);
|
||||
ArraySetAsSeries(m_typical_price, false);
|
||||
}
|
||||
|
||||
// Optimized loop starting from start_index
|
||||
for(int i = start_index; i < rates_total; i++)
|
||||
m_typical_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
#endif // VWAP_CALCULATOR_MQH
|
||||
//+------------------------------------------------------------------+
|
||||
|
||||
Reference in New Issue
Block a user