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refactor: Fully deterministic session logic with zero live-tick flickering

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Toh4iem9
2026-08-25 15:48:28 +02:00
parent 7b91630f66
commit 1bdb3e79e7
1 changed files with 206 additions and 171 deletions
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Include/MyIncludes/VWAP_Calculator.mqh
+206 -171
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@@ -1,13 +1,19 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| VWAP_Calculator.mqh| //| VWAP_Calculator.mqh|
//| VERSION 2.00: Added history limit for buffer output. | //| VERSION 3.00: Deterministic Session Anchoring & Bounds Safe |
//| Copyright 2025, xxxxxxxx | //| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2026, xxxxxxxx"
#property version "3.00" // Fully deterministic session logic with zero live-tick flickering
#ifndef VWAP_CALCULATOR_MQH
#define VWAP_CALCULATOR_MQH
#include <MyIncludes\HeikinAshi_Tools.mqh> #include <MyIncludes\HeikinAshi_Tools.mqh>
//--- Enum for VWAP Reset Period --- //--- Enum for VWAP Reset Period ---
#ifndef ENUM_VWAP_PERIOD_DEFINED
#define ENUM_VWAP_PERIOD_DEFINED
enum ENUM_VWAP_PERIOD enum ENUM_VWAP_PERIOD
{ {
PERIOD_SESSION, // Reset every day (can be shifted by timezone) PERIOD_SESSION, // Reset every day (can be shifted by timezone)
@@ -15,6 +21,7 @@ enum ENUM_VWAP_PERIOD
PERIOD_MONTH, // Reset every month PERIOD_MONTH, // Reset every month
PERIOD_CUSTOM_SESSION // Reset based on custom start/end times PERIOD_CUSTOM_SESSION // Reset based on custom start/end times
}; };
#endif
//+==================================================================+ //+==================================================================+
//| CLASS 1: CVWAPCalculator (Base Class) | //| CLASS 1: CVWAPCalculator (Base Class) |
@@ -26,284 +33,299 @@ protected:
ENUM_APPLIED_VOLUME m_volume_type; ENUM_APPLIED_VOLUME m_volume_type;
bool m_enabled; bool m_enabled;
long m_tz_shift_seconds; long m_tz_shift_seconds;
int m_max_history_days; // NEW: Limit buffer output int m_max_history_days;
//--- Persistent Buffers //--- Persistent Price Buffer
double m_typical_price[]; double m_typical_price[];
//--- Persistent State for Incremental Calculation //--- Custom Session Parameters
double m_cumulative_tpv;
double m_cumulative_vol;
int m_period_index;
bool m_in_session;
datetime m_last_time;
//--- For custom sessions ---
int m_start_hour, m_start_min; int m_start_hour, m_start_min;
int m_end_hour, m_end_min; int m_end_hour, m_end_min;
bool IsTimeInSession(const MqlDateTime &dt); bool IsTimeInSession(const datetime bar_time);
virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]); virtual bool PrepareSourceData(const int rates_total, const int start_index,
const double &open[], const double &high[],
const double &low[], const double &close[]);
public: public:
CVWAPCalculator(void); CVWAPCalculator(void);
virtual ~CVWAPCalculator(void) {}; virtual ~CVWAPCalculator(void) {};
//--- Updated Init methods with max_history_days //--- Backward-Compatible Initialization Signatures
bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true, int max_history_days=0); bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true, int max_history_days=0);
bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true, int max_history_days=0); 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);
void Calculate(int rates_total, int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], void Calculate(const int rates_total,
const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[]); const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
double &vwap_odd[],
double &vwap_even[]);
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Constructor | //| Constructor |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
CVWAPCalculator::CVWAPCalculator(void) CVWAPCalculator::CVWAPCalculator(void) : m_period(PERIOD_SESSION),
m_volume_type(VOLUME_TICK),
m_enabled(true),
m_tz_shift_seconds(0),
m_max_history_days(0),
m_start_hour(9), m_start_min(30),
m_end_hour(16), m_end_min(0)
{ {
m_enabled = false; ArraySetAsSeries(m_typical_price, false);
m_tz_shift_seconds = 0;
m_cumulative_tpv = 0;
m_cumulative_vol = 0;
m_period_index = 0;
m_in_session = false;
m_last_time = 0;
m_max_history_days = 0;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Init (Standard) | //| Init (Standard Periods) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled, int max_history_days) bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled, int max_history_days)
{ {
m_enabled = enabled; m_enabled = enabled;
if(!m_enabled) if(!m_enabled)
return true; return true;
m_period = period; m_period = period;
m_volume_type = vol_type; m_volume_type = vol_type;
m_tz_shift_seconds = tz_shift_hours * 3600; m_tz_shift_seconds = (long)tz_shift_hours * 3600;
m_max_history_days = max_history_days; m_max_history_days = max_history_days;
if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0) if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
{ {
Print("VWAP Error: Real Volume is not available for '", _Symbol, "'."); PrintFormat("VWAP Warning: Real Volume not available for '%s'. Falling back to Tick Volume.", _Symbol);
return false; m_volume_type = VOLUME_TICK;
} }
return true; return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Init (Custom Session) | //| Init (Custom Session) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled, int max_history_days) bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled, int max_history_days, int tz_shift_hours)
{ {
m_enabled = enabled; m_enabled = enabled;
if(!m_enabled) if(!m_enabled)
return true; return true;
m_period = PERIOD_CUSTOM_SESSION; m_period = PERIOD_CUSTOM_SESSION;
m_volume_type = vol_type; m_volume_type = vol_type;
m_tz_shift_seconds = 0; m_tz_shift_seconds = (long)tz_shift_hours * 3600;
m_max_history_days = max_history_days; m_max_history_days = max_history_days;
string parts[]; string start_parts[], end_parts[];
if(StringSplit(start_time, ':', parts) == 2) if(StringSplit(start_time, ':', start_parts) == 2)
{ {
m_start_hour = (int)StringToInteger(parts[0]); m_start_hour = (int)StringToInteger(start_parts[0]);
m_start_min = (int)StringToInteger(parts[1]); m_start_min = (int)StringToInteger(start_parts[1]);
} }
if(StringSplit(end_time, ':', parts) == 2) if(StringSplit(end_time, ':', end_parts) == 2)
{ {
m_end_hour = (int)StringToInteger(parts[0]); m_end_hour = (int)StringToInteger(end_parts[0]);
m_end_min = (int)StringToInteger(parts[1]); m_end_min = (int)StringToInteger(end_parts[1]);
} }
if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0) if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
{ {
Print("VWAP Error: Real Volume is not available for '", _Symbol, "'."); PrintFormat("VWAP Warning: Real Volume not available for '%s'. Falling back to Tick Volume.", _Symbol);
return false; m_volume_type = VOLUME_TICK;
} }
return true; return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Helper | //| Stateless Custom Session In-Time Check |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CVWAPCalculator::IsTimeInSession(const MqlDateTime &dt) bool CVWAPCalculator::IsTimeInSession(const datetime bar_time)
{ {
int current_time_in_minutes = dt.hour * 60 + dt.min; MqlDateTime dt;
int start_time_in_minutes = m_start_hour * 60 + m_start_min; TimeToStruct(bar_time + (datetime)m_tz_shift_seconds, dt);
int end_time_in_minutes = m_end_hour * 60 + m_end_min;
if(end_time_in_minutes < start_time_in_minutes) int current_min = dt.hour * 60 + dt.min;
return (current_time_in_minutes >= start_time_in_minutes || current_time_in_minutes < end_time_in_minutes); int start_min = m_start_hour * 60 + m_start_min;
int end_min = m_end_hour * 60 + m_end_min;
if(end_min > start_min)
{
return (current_min >= start_min && current_min < end_min);
}
else else
return (current_time_in_minutes >= start_time_in_minutes && current_time_in_minutes < end_time_in_minutes); if(end_min < start_min)
{
// Overnight session
return (current_min >= start_min || current_min < end_min);
}
else
{
// 24-hour continuous session
return true;
}
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Main Calculation (Optimized) | //| Main Calculation (Deterministic & Zero-Flicker) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], void CVWAPCalculator::Calculate(const int rates_total,
const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[]) const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
double &vwap_odd[],
double &vwap_even[])
{ {
if(!m_enabled || rates_total < 1) if(!m_enabled || rates_total < 1)
return; return;
int start_index; //--- Safe array allocation
if(prev_calculated == 0) if(ArraySize(vwap_odd) != rates_total)
{ {
start_index = 0; ArrayResize(vwap_odd, rates_total);
m_cumulative_tpv = 0; ArraySetAsSeries(vwap_odd, false);
m_cumulative_vol = 0;
m_period_index = 0;
m_in_session = false;
m_last_time = 0;
ArrayInitialize(vwap_odd, EMPTY_VALUE); ArrayInitialize(vwap_odd, EMPTY_VALUE);
}
if(ArraySize(vwap_even) != rates_total)
{
ArrayResize(vwap_even, rates_total);
ArraySetAsSeries(vwap_even, false);
ArrayInitialize(vwap_even, EMPTY_VALUE); ArrayInitialize(vwap_even, EMPTY_VALUE);
} }
else
{
start_index = prev_calculated - 1;
}
if(ArraySize(m_typical_price) != rates_total) int start_index = (prev_calculated == 0) ? 0 : (prev_calculated - 1);
ArrayResize(m_typical_price, rates_total);
if(ArraySize(vwap_odd) != rates_total)
ArrayResize(vwap_odd, rates_total);
if(ArraySize(vwap_even) != rates_total)
ArrayResize(vwap_even, rates_total);
if(!PrepareSourceData(rates_total, start_index, open, high, low, close)) if(!PrepareSourceData(rates_total, start_index, open, high, low, close))
return; return;
// Calculate cutoff time
datetime cutoff_time = 0; datetime cutoff_time = 0;
if(m_max_history_days > 0) if(m_max_history_days > 0)
cutoff_time = TimeCurrent() - m_max_history_days * 86400; cutoff_time = TimeCurrent() - (datetime)(m_max_history_days * 86400);
for(int i = start_index; i < rates_total; i++) // Deterministic Scan
double cum_tpv = 0.0;
double cum_vol = 0.0;
int period_index = 0;
bool in_session = false;
for(int i = 0; i < rates_total; i++)
{ {
double current_cum_tpv = m_cumulative_tpv;
double current_cum_vol = m_cumulative_vol;
int current_period_idx = m_period_index;
bool current_in_session = m_in_session;
bool new_period = false; bool new_period = false;
if(i == 0) if(m_period == PERIOD_CUSTOM_SESSION)
{ {
new_period = true; bool is_inside = IsTimeInSession(time[i]);
if(is_inside && !in_session)
new_period = true;
in_session = is_inside;
} }
else else
{ {
switch(m_period) in_session = true;
if(i == 0)
{ {
case PERIOD_SESSION: new_period = true;
}
else
{
switch(m_period)
{ {
datetime adjusted_time_curr = time[i] + (datetime)m_tz_shift_seconds; case PERIOD_SESSION:
datetime adjusted_time_prev = time[i-1] + (datetime)m_tz_shift_seconds; {
MqlDateTime dt_curr, dt_prev; datetime curr_t = time[i] + (datetime)m_tz_shift_seconds;
TimeToStruct(adjusted_time_curr, dt_curr); datetime prev_t = time[i - 1] + (datetime)m_tz_shift_seconds;
TimeToStruct(adjusted_time_prev, dt_prev); MqlDateTime dt_c, dt_p;
if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year) TimeToStruct(curr_t, dt_c);
new_period = true; TimeToStruct(prev_t, dt_p);
break; if(dt_c.day_of_year != dt_p.day_of_year || dt_c.year != dt_p.year)
} new_period = true;
case PERIOD_WEEK: break;
{ }
MqlDateTime dt_curr, dt_prev; case PERIOD_WEEK:
TimeToStruct(time[i], dt_curr); {
TimeToStruct(time[i-1], dt_prev); MqlDateTime dt_c, dt_p;
if(dt_curr.day_of_week < dt_prev.day_of_week) TimeToStruct(time[i], dt_c);
new_period = true; TimeToStruct(time[i - 1], dt_p);
break; if(dt_c.day_of_week < dt_p.day_of_week)
} new_period = true;
case PERIOD_MONTH: break;
{ }
MqlDateTime dt_curr, dt_prev; case PERIOD_MONTH:
TimeToStruct(time[i], dt_curr); {
TimeToStruct(time[i-1], dt_prev); MqlDateTime dt_c, dt_p;
if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year) TimeToStruct(time[i], dt_c);
new_period = true; TimeToStruct(time[i - 1], dt_p);
break; if(dt_c.mon != dt_p.mon || dt_c.year != dt_p.year)
} new_period = true;
case PERIOD_CUSTOM_SESSION: break;
{ }
MqlDateTime dt_curr;
TimeToStruct(time[i], dt_curr);
bool is_in_current_session = IsTimeInSession(dt_curr);
if(is_in_current_session && !current_in_session)
new_period = true;
current_in_session = is_in_current_session;
break;
} }
} }
} }
// Reset accumulators on session open
if(new_period) if(new_period)
{ {
current_cum_tpv = 0; cum_tpv = 0.0;
current_cum_vol = 0; cum_vol = 0.0;
current_period_idx++; period_index++;
} }
long current_volume = (m_volume_type == VOLUME_TICK) ? tick_volume[i] : volume[i]; if(in_session)
if(current_volume < 1)
current_volume = 1;
current_cum_tpv += m_typical_price[i] * (double)current_volume;
current_cum_vol += (double)current_volume;
double vwap_value = (current_cum_vol > 0) ? current_cum_tpv / current_cum_vol : EMPTY_VALUE;
// Fill buffers ONLY if within history limit
bool show_data = (time[i] >= cutoff_time);
if(m_period != PERIOD_CUSTOM_SESSION || current_in_session)
{ {
if(current_period_idx % 2 != 0) long current_vol = (m_volume_type == VOLUME_REAL) ? volume[i] : tick_volume[i];
if(current_vol < 1)
current_vol = 1;
cum_tpv += m_typical_price[i] * (double)current_vol;
cum_vol += (double)current_vol;
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; vwap_even[i] = EMPTY_VALUE;
} }
else else
{ {
vwap_even[i] = show_data ? vwap_value : EMPTY_VALUE; vwap_even[i] = show ? vwap_val : EMPTY_VALUE;
vwap_odd[i] = EMPTY_VALUE; vwap_odd[i] = EMPTY_VALUE;
} }
} }
else else
{ {
vwap_odd[i] = EMPTY_VALUE; vwap_odd[i] = EMPTY_VALUE;
vwap_even[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) if(ArraySize(m_typical_price) != rates_total)
{
ArrayResize(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++) for(int i = start_index; i < rates_total; i++)
m_typical_price[i] = (high[i] + low[i] + close[i]) / 3.0; m_typical_price[i] = (high[i] + low[i] + close[i]) / 3.0;
return true; return true;
} }
@@ -314,35 +336,48 @@ class CVWAPCalculator_HA : public CVWAPCalculator
{ {
private: private:
CHeikinAshi_Calculator m_ha_calculator; 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: 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) if(ArraySize(m_ha_open) != rates_total)
{ {
ArrayResize(m_ha_open, rates_total); ArrayResize(m_ha_open, rates_total);
ArrayResize(m_ha_high, rates_total); ArrayResize(m_ha_high, rates_total);
ArrayResize(m_ha_low, rates_total); ArrayResize(m_ha_low, rates_total);
ArrayResize(m_ha_close, 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_calculator.Calculate(rates_total, start_index, open, high, low, close,
m_ha_open, m_ha_high, m_ha_low, m_ha_close); m_ha_open, m_ha_high, m_ha_low, m_ha_close);
if(ArraySize(m_typical_price) != rates_total) if(ArraySize(m_typical_price) != rates_total)
{
ArrayResize(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++) 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; m_typical_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
return true; return true;
} }
#endif // VWAP_CALCULATOR_MQH
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+