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refactor: Unified Native & MTF Release with Full VWMA Volume Routing

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Toh4iem9
2026-09-04 16:07:43 +02:00
parent 99405cf61b
commit 20f5a21e44
1 changed files with 332 additions and 53 deletions
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Indicators/MyIndicators/KeltnerChannel_Pro.mq5
+332 -53
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@@ -3,11 +3,10 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.10" // VWMA compatible with dynamic volume routing
#property description "Professional Keltner Channels with separate source selection"
#property description "for the Middle Line (MA) and the ATR calculation."
#property version "4.00" // Unified Native & MTF Release with Full VWMA Volume Routing
#property description "Professional Keltner Channels (Classic MA Basis + ATR Volatility Bands)."
#property description "Features separate source selection for Middle Line and ATR with Native & MTF support."
//--- Indicator Window and Plot Properties ---
#property indicator_chart_window
#property indicator_buffers 3
#property indicator_plots 3
@@ -31,82 +30,174 @@
#property indicator_type3 DRAW_LINE
#property indicator_color3 clrOliveDrab
#property indicator_style3 STYLE_SOLID
#property indicator_width3 1
#property indicator_width3 2
//--- Include the calculator engine ---
//--- Included Engines & Core Tools
#include <MyIncludes\KeltnerChannel_Calculator.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
//--- Input Parameters ---
input group "Middle Line (MA) Settings"
input int InpMaPeriod = 20;
input ENUM_MA_TYPE InpMaMethod = EMA; // Middle Line MA Type
input ENUM_APPLIED_PRICE_HA_ALL InpSourcePrice = PRICE_TYPICAL_STD;
input group "--- Timeframe Settings ---"
input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF)
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
input group "Channel (ATR) Settings"
input int InpAtrPeriod = 10;
input double InpMultiplier = 2.0;
input ENUM_ATR_SOURCE InpAtrSource = ATR_SOURCE_STANDARD;
input group "--- Middle Line (MA) Settings ---"
input int InpMaPeriod = 20; // Middle Line Smoothing Period
input ENUM_MA_TYPE InpMaMethod = EMA; // Middle Line MA Algorithm (Supports VWMA)
input ENUM_APPLIED_PRICE_HA_ALL InpSourcePrice = PRICE_TYPICAL_STD; // Price Source (Standard / HA)
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
input group "--- Channel (ATR) Settings ---"
input int InpAtrPeriod = 10; // ATR Volatility Period
input double InpMultiplier = 2.0; // ATR Multiplier
input ENUM_ATR_SOURCE InpAtrSource = ATR_SOURCE_STANDARD; // ATR Volatility Source
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
input group "--- Visual Settings - Centerline (Basis) ---"
input color InpColorMiddle = clrOliveDrab; // Centerline Color
input ENUM_LINE_STYLE InpStyleMiddle = STYLE_SOLID; // Centerline Style
input int InpWidthMiddle = 2; // Centerline Width
input group "--- Visual Settings - Outer Bands ---"
input color InpColorBands = clrOliveDrab; // Outer Bands Color
input ENUM_LINE_STYLE InpStyleBands = STYLE_DOT; // Outer Bands Style
input int InpWidthBands = 1; // Outer Bands Width
//--- Indicator Buffers ---
double BufferUpper[];
double BufferLower[];
double BufferMiddle[];
//--- Global calculator object ---
CKeltnerChannelCalculator *g_calculator;
//--- Internal HTF Data Caches (Chronological Arrays)
double h_open[], h_high[], h_low[], h_close[];
double h_vol[];
double h_res_upper[], h_res_lower[], h_res_middle[];
datetime h_time[];
//--- Global Objects & State Management
CKeltnerChannelCalculator *g_calculator = NULL;
bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe;
bool g_data_ready = false;
bool g_data_synced = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
//+------------------------------------------------------------------+
//| Custom indicator initialization function. |
//| Custom Indicator Initialization |
//+------------------------------------------------------------------+
int OnInit()
{
g_data_ready = false;
g_data_synced = false;
g_htf_count = 0;
g_last_htf_time = 0;
// 1. Resolve Timeframe and validate direction
g_calc_timeframe = InpTimeframe;
if(g_calc_timeframe == PERIOD_CURRENT)
g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
if(g_calc_timeframe < Period())
{
PrintFormat("Critical Error: Target timeframe (%s) must be >= current timeframe (%s).",
EnumToString(g_calc_timeframe), EnumToString(Period()));
return INIT_PARAMETERS_INCORRECT;
}
g_is_mtf_mode = (g_calc_timeframe > Period());
// 2. Bind Buffers
SetIndexBuffer(0, BufferUpper, INDICATOR_DATA);
SetIndexBuffer(1, BufferLower, INDICATOR_DATA);
SetIndexBuffer(2, BufferMiddle, INDICATOR_DATA);
ArraySetAsSeries(BufferUpper, false);
ArraySetAsSeries(BufferLower, false);
ArraySetAsSeries(BufferMiddle, false);
if(InpSourcePrice <= PRICE_HA_CLOSE)
{
g_calculator = new CKeltnerChannelCalculator_HA();
IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("KC HA(%d,%d,%s)", InpMaPeriod, InpAtrPeriod, EnumToString(InpMaMethod)));
}
else
{
g_calculator = new CKeltnerChannelCalculator();
IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("KC(%d,%d,%s)", InpMaPeriod, InpAtrPeriod, EnumToString(InpMaMethod)));
}
ArrayInitialize(BufferUpper, EMPTY_VALUE);
ArrayInitialize(BufferLower, EMPTY_VALUE);
ArrayInitialize(BufferMiddle, EMPTY_VALUE);
if(CheckPointer(g_calculator) == POINTER_INVALID || !g_calculator.Init(InpMaPeriod, InpMaMethod, InpAtrPeriod, InpMultiplier, InpAtrSource))
{
Print("Failed to create or initialize Keltner Channel Calculator object.");
return(INIT_FAILED);
}
PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE);
PlotIndexSetDouble(2, PLOT_EMPTY_VALUE, EMPTY_VALUE);
// 3. Dynamic Visual Styling
PlotIndexSetInteger(0, PLOT_LINE_COLOR, InpColorBands);
PlotIndexSetInteger(0, PLOT_LINE_STYLE, InpStyleBands);
PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthBands);
PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorBands);
PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleBands);
PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthBands);
PlotIndexSetInteger(2, PLOT_LINE_COLOR, InpColorMiddle);
PlotIndexSetInteger(2, PLOT_LINE_STYLE, InpStyleMiddle);
PlotIndexSetInteger(2, PLOT_LINE_WIDTH, InpWidthMiddle);
int warmup = MathMax(InpMaPeriod, InpAtrPeriod);
int draw_begin = warmup;
if(g_is_mtf_mode)
draw_begin = 0;
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
int draw_begin = MathMax(InpMaPeriod, InpAtrPeriod);
PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, draw_begin);
PlotIndexSetInteger(1, PLOT_DRAW_BEGIN, draw_begin);
PlotIndexSetInteger(2, PLOT_DRAW_BEGIN, InpMaPeriod - 1);
PlotIndexSetInteger(2, PLOT_DRAW_BEGIN, (g_is_mtf_mode ? 0 : InpMaPeriod - 1));
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
// 4. Initialize Core Calculator Engine
if(InpSourcePrice <= PRICE_HA_CLOSE)
g_calculator = new CKeltnerChannelCalculator_HA();
else
g_calculator = new CKeltnerChannelCalculator();
if(CheckPointer(g_calculator) == POINTER_INVALID ||
!g_calculator.Init(InpMaPeriod, InpMaMethod, InpAtrPeriod, InpMultiplier, InpAtrSource, InpSourcePrice))
{
Print("Critical Error: Failed to initialize Keltner Channel Calculator.");
return INIT_FAILED;
}
string ha_kama = (InpSourcePrice <= PRICE_HA_CLOSE) ? " HA" : "";
string ha_atr = (InpAtrSource == ATR_SOURCE_HEIKIN_ASHI) ? "/HA" : "";
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string short_name = StringFormat("KC%s%s(%d,%s,ATR%s %d,x%.1f)",
ha_kama, tf_str,
InpMaPeriod, EnumToString(InpMaMethod), ha_atr, InpAtrPeriod, InpMultiplier);
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
// 5. Initialize Background Synchronization Timer (Only for MTF mode)
if(g_is_mtf_mode)
EventSetTimer(1);
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function. |
//| Custom Indicator Deinitialization |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
if(g_is_mtf_mode)
EventKillTimer();
if(CheckPointer(g_calculator) != POINTER_INVALID)
{
delete g_calculator;
g_calculator = NULL;
}
}
//+------------------------------------------------------------------+
//| Custom indicator calculation function |
//| Custom Indicator Calculation Loop |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
const int prev_calculated,
@@ -119,29 +210,217 @@ int OnCalculate(const int rates_total,
const long &volume[],
const int &spread[])
{
if(CheckPointer(g_calculator) == POINTER_INVALID)
int warmup = MathMax(InpMaPeriod, InpAtrPeriod);
if(rates_total < warmup || CheckPointer(g_calculator) == POINTER_INVALID)
return 0;
ENUM_APPLIED_PRICE price_type;
if(InpSourcePrice <= PRICE_HA_CLOSE)
price_type = (ENUM_APPLIED_PRICE)(-(int)InpSourcePrice);
else
price_type = (ENUM_APPLIED_PRICE)InpSourcePrice;
// Force chronological indexing
ArraySetAsSeries(time, false);
ArraySetAsSeries(open, false);
ArraySetAsSeries(high, false);
ArraySetAsSeries(low, false);
ArraySetAsSeries(close, false);
ArraySetAsSeries(tick_volume, false);
ArraySetAsSeries(volume, false);
//--- Determine best volume array (Use Real Volume if available, otherwise fallback to Tick Volume)
long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
ENUM_APPLIED_PRICE price_type = (InpSourcePrice <= PRICE_HA_CLOSE) ?
(ENUM_APPLIED_PRICE)(-(int)InpSourcePrice) :
(ENUM_APPLIED_PRICE)InpSourcePrice;
//--- Route calculations dynamically to support volume-weighted types (VWMA)
if(volume_limit > 0)
//===================================================================
// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1))
//===================================================================
if(!g_is_mtf_mode)
{
g_calculator.Calculate(rates_total, prev_calculated, open, high, low, close, price_type, volume, BufferMiddle, BufferUpper, BufferLower);
}
else
{
g_calculator.Calculate(rates_total, prev_calculated, open, high, low, close, price_type, tick_volume, BufferMiddle, BufferUpper, BufferLower);
long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
if(volume_limit > 0)
g_calculator.Calculate(rates_total, prev_calculated, open, high, low, close, price_type, volume,
BufferMiddle, BufferUpper, BufferLower);
else
g_calculator.Calculate(rates_total, prev_calculated, open, high, low, close, price_type, tick_volume,
BufferMiddle, BufferUpper, BufferLower);
return rates_total;
}
return(rates_total);
//===================================================================
// MODE 2: Multi-Timeframe Engine (Warp-free Step Synchronization)
//===================================================================
int required_bars = warmup + 10;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
{
g_data_synced = false;
return 0;
}
g_data_synced = true;
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
if(htf_updated || prev_calculated == 0)
{
g_last_htf_time = htf_time_current;
int htf_bars = iBars(_Symbol, g_calc_timeframe);
if(htf_bars < required_bars)
{
g_data_ready = false;
return 0;
}
g_htf_count = MathMin(htf_bars, 3000);
// Resize all HTF caching arrays
ArrayResize(h_time, g_htf_count);
ArrayResize(h_open, g_htf_count);
ArrayResize(h_high, g_htf_count);
ArrayResize(h_low, g_htf_count);
ArrayResize(h_close, g_htf_count);
ArrayResize(h_vol, g_htf_count);
ArrayResize(h_res_upper, g_htf_count);
ArrayResize(h_res_lower, g_htf_count);
ArrayResize(h_res_middle, g_htf_count);
ArraySetAsSeries(h_time, false);
ArraySetAsSeries(h_open, false);
ArraySetAsSeries(h_high, false);
ArraySetAsSeries(h_low, false);
ArraySetAsSeries(h_close, false);
ArraySetAsSeries(h_vol, false);
ArraySetAsSeries(h_res_upper, false);
ArraySetAsSeries(h_res_lower, false);
ArraySetAsSeries(h_res_middle, false);
if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count ||
CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count ||
CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count ||
CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count ||
CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count)
{
g_data_ready = false;
return 0;
}
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
if(vol_limit > 0)
{
long temp_vol[];
if(CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, temp_vol) == g_htf_count)
{
for(int i = 0; i < g_htf_count; i++)
h_vol[i] = (double)temp_vol[i];
}
}
else
{
long temp_vol[];
if(CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, temp_vol) == g_htf_count)
{
for(int i = 0; i < g_htf_count; i++)
h_vol[i] = (double)temp_vol[i];
}
}
// Compute HTF Keltner Channel Values with Volume Routing
g_calculator.Calculate(g_htf_count, 0, h_open, h_high, h_low, h_close, price_type, h_vol,
h_res_middle, h_res_upper, h_res_lower);
g_data_ready = true;
}
if(!g_data_ready)
return 0;
// 5. Stateful live-bar update for active forming HTF candle
int live_idx = g_htf_count - 1;
if(live_idx >= required_bars)
{
double o[1], h[1], l[1], c[1];
datetime t_bar[1];
long v[1];
int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false);
if(shift >= 0 &&
CopyTime(_Symbol, g_calc_timeframe, shift, 1, t_bar) == 1 &&
CopyOpen(_Symbol, g_calc_timeframe, shift, 1, o) == 1 &&
CopyHigh(_Symbol, g_calc_timeframe, shift, 1, h) == 1 &&
CopyLow(_Symbol, g_calc_timeframe, shift, 1, l) == 1 &&
CopyClose(_Symbol, g_calc_timeframe, shift, 1, c) == 1)
{
h_time[live_idx] = t_bar[0];
h_open[live_idx] = o[0];
h_high[live_idx] = h[0];
h_low[live_idx] = l[0];
h_close[live_idx] = c[0];
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
if(vol_limit > 0 && CopyRealVolume(_Symbol, g_calc_timeframe, shift, 1, v) == 1)
h_vol[live_idx] = (double)v[0];
else
if(CopyTickVolume(_Symbol, g_calc_timeframe, shift, 1, v) == 1)
h_vol[live_idx] = (double)v[0];
// Mock update on live bar with volume
g_calculator.Calculate(g_htf_count, g_htf_count, h_open, h_high, h_low, h_close, price_type, h_vol,
h_res_middle, h_res_upper, h_res_lower);
}
}
// 6. Forming LTF Block Flat-Force Anchor (The Staircase Solution)
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
int first_bar_of_forming_htf = rates_total - 1;
while(first_bar_of_forming_htf > 0 &&
iBarShift(_Symbol, g_calc_timeframe, time[first_bar_of_forming_htf], false) == 0)
{
first_bar_of_forming_htf--;
}
first_bar_of_forming_htf++;
if(start > first_bar_of_forming_htf)
start = first_bar_of_forming_htf;
// 7. Chronological Mapping Loop to Chart Timeframe (3 Buffers)
for(int i = start; i < rates_total; i++)
{
datetime t = time[i];
int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
if(shift_htf >= 0)
{
int idx_htf = g_htf_count - 1 - shift_htf;
if(idx_htf >= 0 && idx_htf < g_htf_count)
{
BufferUpper[i] = h_res_upper[idx_htf];
BufferLower[i] = h_res_lower[idx_htf];
BufferMiddle[i] = h_res_middle[idx_htf];
}
else
{
BufferUpper[i] = EMPTY_VALUE;
BufferLower[i] = EMPTY_VALUE;
BufferMiddle[i] = EMPTY_VALUE;
}
}
else
{
BufferUpper[i] = EMPTY_VALUE;
BufferLower[i] = EMPTY_VALUE;
BufferMiddle[i] = EMPTY_VALUE;
}
}
return rates_total;
}
//+------------------------------------------------------------------+
//| OnTimer Event Handler (Data Synchronization Daemon) |
//+------------------------------------------------------------------+
void OnTimer()
{
int warmup = MathMax(InpMaPeriod, InpAtrPeriod);
int required_bars = warmup + 10;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+