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refactor: MovingAverage_Engine Integration & Heikin Ashi Pipeline

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Toh4iem9
2026-10-25 10:25:25 +01:00
parent a463a2066a
commit 23dc90c65d
1 changed files with 207 additions and 102 deletions
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Indicators/MyIndicators/Quant/FDI_Pro.mq5
+161 -56
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@@ -3,9 +3,9 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "2.20" // Enterprise Edition: High-Contrast Magenta Signal, Pure Brownian Normalization & O(1) ALU
#property version "2.40" // Enterprise Edition: MovingAverage_Engine Integration & Heikin Ashi Pipeline
#property description "Fractal Dimension Index (FDI) with High-Performance Multi-Timeframe Engine."
#property description "Measures curve complexity. Low = Persistent Trend, 1.50 = Random Walk, High = Anti-persistent Chop."
#property description "Features unified MovingAverage_Engine Signal Line and full Heikin Ashi price routing."
#property indicator_separate_window
#property indicator_buffers 3
@@ -25,14 +25,15 @@
#property indicator_style1 STYLE_SOLID
#property indicator_width1 2
// Plot 2: FDI Signal Line (High-contrast Magenta for dark & light templates)
#property indicator_label2 "Signal EMA"
// Plot 2: FDI Signal Line (High-contrast Magenta overlay)
#property indicator_label2 "Signal Line"
#property indicator_type2 DRAW_LINE
#property indicator_color2 clrMagenta
#property indicator_style2 STYLE_SOLID
#property indicator_width2 2
#include <MyIncludes\FDI_Calculator.mqh>
#include <MyIncludes\MovingAverage_Engine.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
//--- Visual Style Selector
@@ -49,7 +50,7 @@ input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // C
input group "--- FDI Settings ---"
input int InpPeriod = 30; // Analysis Window (N, recommended 20-50)
input ENUM_FDI_METHOD InpMethod = FDI_NORMALIZED_BROWNIAN;// Calculation Method (Brownian = True 1.50 baseline)
input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // Price Source
input ENUM_APPLIED_PRICE_HA_ALL InpPriceSource = PRICE_CLOSE_STD; // Price Source (Standard / Heikin Ashi)
input int InpHistoryBars = 1000; // History Bars Limit (0 = Full Chart)
input group "--- Regime Thresholds ---"
@@ -66,23 +67,35 @@ input int InpWidthPlot = 2; // M
input group "--- Signal Line Settings ---"
input bool InpShowSignal = true; // Display Signal Line
input int InpSignalPeriod = 9; // Signal Smoothing EMA Period
input color InpColorSignal = clrMagenta; // Signal Line Color (High-Contrast Universal)
input int InpSignalPeriod = 9; // Signal Smoothing Period
input ENUM_MA_TYPE InpSignalType = EMA; // Signal Line MA Type (Engine Standard)
input color InpColorSignal = clrMagenta; // Signal Line Color (Universal Contrast)
input ENUM_LINE_STYLE InpStyleSignal = STYLE_SOLID; // Signal Line Style
input int InpWidthSignal = 2; // Signal Line Width
input group "--- Multi-Instance Settings ---"
input int InpInstanceID = 1; // Unique Instance ID (for multiple indicators on 1 chart)
//--- Visual Indicator Buffers
double BufFDI[];
double BufColor[];
double BufSignal[];
//--- Volume Cache (For Engine Calculation)
double g_double_volume[];
//--- Internal HTF Data Caches (Chronological Arrays)
double h_open[], h_high[], h_low[], h_close[];
long h_tick_vol[], h_vol[];
double h_double_vol[];
double h_res_fdi[];
double h_res_sig[];
datetime h_time[];
//--- Global Objects & State Management
//--- Global Engine Pointers & State Management
CFDICalculator *g_calc = NULL;
CMovingAverageCalculator *g_signal_calculator = NULL;
string g_prefix = "";
bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe;
@@ -100,11 +113,6 @@ double g_level_chop = 1.55;
//+------------------------------------------------------------------+
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)
@@ -118,7 +126,20 @@ int OnInit()
}
g_is_mtf_mode = (g_calc_timeframe > Period());
// 2. Setup Buffers & Chronological Indexing
// 2. Build Fully Isolated Deterministic Instance Namespace
g_prefix = StringFormat("FDI_%I64d_%s_%d_%d_",
ChartID(),
EnumToString(g_calc_timeframe),
InpPeriod,
InpInstanceID);
ObjectsDeleteAll(0, g_prefix);
g_data_ready = false;
g_data_synced = false;
g_htf_count = 0;
g_last_htf_time = 0;
// 3. Setup Buffers & Chronological Indexing
SetIndexBuffer(0, BufFDI, INDICATOR_DATA);
SetIndexBuffer(1, BufColor, INDICATOR_COLOR_INDEX);
SetIndexBuffer(2, BufSignal, INDICATOR_DATA);
@@ -135,15 +156,26 @@ int OnInit()
PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE);
IndicatorSetInteger(INDICATOR_DIGITS, 3);
// 3. Initialize Calculation Engine
// 4. Initialize Core Calculation Engine
g_calc = new CFDICalculator();
if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpPeriod, InpMethod))
if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpPeriod, InpMethod, InpPriceSource))
{
Print("Critical Error: Failed to initialize CFDICalculator.");
return INIT_FAILED;
}
// 4. Auto-Calibrate Thresholds to the Exact Theoretical Distribution
// 5. Initialize Unified Moving Average Engine for Signal Line
if(InpShowSignal)
{
g_signal_calculator = new CMovingAverageCalculator();
if(CheckPointer(g_signal_calculator) == POINTER_INVALID || !g_signal_calculator.Init(InpSignalPeriod, InpSignalType))
{
Print("Critical Error: Failed to initialize CMovingAverageCalculator for Signal Line.");
return INIT_FAILED;
}
}
// 6. Auto-Calibrate Thresholds to the Exact Theoretical Distribution
if(InpAutoThresholds)
{
g_level_random = g_calc.GetTheoreticalRandomWalkD();
@@ -189,12 +221,15 @@ int OnInit()
IndicatorSetDouble(INDICATOR_LEVELVALUE, 1, g_level_random);
IndicatorSetDouble(INDICATOR_LEVELVALUE, 2, g_level_chop);
string ha_tag = (InpPriceSource <= PRICE_HA_CLOSE) ? " HA" : "";
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string meth_str = (InpMethod == FDI_NORMALIZED_BROWNIAN) ? "Brownian" : ((InpMethod == FDI_CANONICAL_SEVCIK) ? "Sevcik" : "Classic");
string name = StringFormat("FDI%s(%d|%s)", tf_str, InpPeriod, meth_str);
string ma_str = EnumToString(InpSignalType);
string inst_str = (InpInstanceID > 1) ? StringFormat(" #%d", InpInstanceID) : "";
string name = StringFormat("FDI%s%s(%d|%s|%s %d)%s", ha_tag, tf_str, InpPeriod, meth_str, ma_str, InpSignalPeriod, inst_str);
IndicatorSetString(INDICATOR_SHORTNAME, name);
// 5. Background Timer for MTF synchronization
// 7. Background Timer for MTF synchronization
if(g_is_mtf_mode)
EventSetTimer(1);
@@ -209,11 +244,20 @@ void OnDeinit(const int reason)
if(g_is_mtf_mode)
EventKillTimer();
ObjectsDeleteAll(0, g_prefix);
if(CheckPointer(g_calc) != POINTER_INVALID)
{
delete g_calc;
g_calc = NULL;
}
if(CheckPointer(g_signal_calculator) != POINTER_INVALID)
{
delete g_signal_calculator;
g_signal_calculator = NULL;
}
ChartRedraw(0);
}
//+------------------------------------------------------------------+
@@ -230,7 +274,9 @@ int OnCalculate(const int rates_total,
const long &volume[],
const int &spread[])
{
if(rates_total < InpPeriod || !g_calc)
int warmup = InpPeriod + 2;
int required_bars = warmup + InpSignalPeriod + 10;
if(rates_total < required_bars || !g_calc)
return 0;
// Force chronological indexing
@@ -239,49 +285,88 @@ int OnCalculate(const int rates_total,
ArraySetAsSeries(high, false);
ArraySetAsSeries(low, false);
ArraySetAsSeries(close, false);
double alpha = 2.0 / (double)(InpSignalPeriod + 1);
ArraySetAsSeries(tick_volume, false);
ArraySetAsSeries(volume, false);
//===================================================================
// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1))
//===================================================================
if(!g_is_mtf_mode)
{
g_calc.Calculate(rates_total, prev_calculated, InpPrice, open, high, low, close, BufFDI, InpHistoryBars);
// Prepare volume cache for Signal MA engine
long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
if(ArraySize(g_double_volume) != rates_total)
{
ArrayResize(g_double_volume, rates_total);
ArraySetAsSeries(g_double_volume, false);
}
int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0;
if(volume_limit > 0)
{
for(int i = start_sync; i < rates_total; i++)
g_double_volume[i] = (double)volume[i];
}
else
{
for(int i = start_sync; i < rates_total; i++)
g_double_volume[i] = (double)tick_volume[i];
}
// 1. Calculate FDI via Engine
g_calc.Calculate(rates_total, prev_calculated, open, high, low, close, BufFDI, InpHistoryBars);
int start = (prev_calculated > 0) ? (prev_calculated - 1) : warmup;
int actual_start = warmup;
int start = (prev_calculated > 0) ? (prev_calculated - 1) : InpPeriod;
if(InpHistoryBars > 0 && prev_calculated == 0)
{
int limit_start = rates_total - InpHistoryBars;
if(limit_start > start)
{
start = limit_start;
actual_start = limit_start;
}
}
// Dynamic Color Indexing & Signal Smoothing
if(prev_calculated == 0)
{
for(int i = 0; i < start; i++)
{
BufFDI[i] = EMPTY_VALUE;
BufColor[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
}
}
// 2. Color Mapping
for(int i = start; i < rates_total; i++)
{
double fdi = BufFDI[i];
if(fdi == EMPTY_VALUE)
{
BufColor[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
continue;
}
// Map Regimes using Auto-Calibrated Thresholds
if(fdi < g_level_trend)
BufColor[i] = 0.0; // Index 0: Persistent Trend (DeepSkyBlue)
BufColor[i] = 0.0; // Persistent Trend (DeepSkyBlue)
else
if(fdi <= g_level_chop)
BufColor[i] = 1.0; // Index 1: Random Walk Equilibrium (Gold)
BufColor[i] = 1.0; // Random Walk Equilibrium (Gold)
else
BufColor[i] = 2.0; // Index 2: Anti-persistent Chop (Crimson Red)
BufColor[i] = 2.0; // Anti-persistent Chop (Crimson Red)
}
// Signal EMA Calculation
if(i == start || BufSignal[i - 1] == EMPTY_VALUE)
BufSignal[i] = fdi;
// 3. Compute Signal Line via Unified CalculateOnArray Engine with exact actual_start offset
if(InpShowSignal && g_signal_calculator != NULL)
{
g_signal_calculator.CalculateOnArray(rates_total, prev_calculated, BufFDI, g_double_volume, BufSignal, actual_start);
}
else
BufSignal[i] = BufSignal[i - 1] + alpha * (fdi - BufSignal[i - 1]);
{
for(int i = start_sync; i < rates_total; i++)
BufSignal[i] = EMPTY_VALUE;
}
return rates_total;
@@ -290,8 +375,8 @@ int OnCalculate(const int rates_total,
//===================================================================
// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
//===================================================================
int required_bars = InpPeriod + 10;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
int required_bars_mtf = warmup + 10;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars_mtf))
{
g_data_synced = false;
return 0;
@@ -308,7 +393,7 @@ int OnCalculate(const int rates_total,
g_last_htf_time = htf_time_current;
int htf_bars = iBars(_Symbol, g_calc_timeframe);
if(htf_bars < required_bars)
if(htf_bars < required_bars_mtf)
{
g_data_ready = false;
return 0;
@@ -316,7 +401,6 @@ int OnCalculate(const int rates_total,
g_htf_count = MathMin(htf_bars, 2000);
// Reallocate persistent cache registers ONLY when capacity changes
if(ArraySize(h_time) != g_htf_count)
{
ArrayResize(h_time, g_htf_count);
@@ -324,17 +408,24 @@ int OnCalculate(const int rates_total,
ArrayResize(h_high, g_htf_count);
ArrayResize(h_low, g_htf_count);
ArrayResize(h_close, g_htf_count);
ArrayResize(h_tick_vol, g_htf_count);
ArrayResize(h_vol, g_htf_count);
ArrayResize(h_double_vol, g_htf_count);
ArrayResize(h_res_fdi, g_htf_count);
ArrayResize(h_res_sig, 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_tick_vol, false);
ArraySetAsSeries(h_vol, false);
ArraySetAsSeries(h_double_vol, false);
ArraySetAsSeries(h_res_fdi, false);
ArraySetAsSeries(h_res_sig, false);
}
// Atomic bulk rates copy
MqlRates htf_bulk_rates[];
if(CopyRates(_Symbol, g_calc_timeframe, 0, g_htf_count, htf_bulk_rates) != g_htf_count)
{
@@ -349,10 +440,21 @@ int OnCalculate(const int rates_total,
h_high[i] = htf_bulk_rates[i].high;
h_low[i] = htf_bulk_rates[i].low;
h_close[i] = htf_bulk_rates[i].close;
h_tick_vol[i] = htf_bulk_rates[i].tick_volume;
h_vol[i] = (long)htf_bulk_rates[i].real_volume;
h_double_vol[i] = (h_vol[i] > 0) ? (double)h_vol[i] : (double)h_tick_vol[i];
}
// Compute HTF FDI Values
g_calc.Calculate(g_htf_count, 0, InpPrice, h_open, h_high, h_low, h_close, h_res_fdi, InpHistoryBars);
g_calc.Calculate(g_htf_count, 0, h_open, h_high, h_low, h_close, h_res_fdi, InpHistoryBars);
// Compute HTF Signal Line via Unified Engine
if(InpShowSignal && g_signal_calculator != NULL)
{
int htf_actual_start = (InpHistoryBars > 0) ? MathMax(warmup, g_htf_count - InpHistoryBars) : warmup;
g_signal_calculator.CalculateOnArray(g_htf_count, 0, h_res_fdi, h_double_vol, h_res_sig, htf_actual_start);
}
g_data_ready = true;
// TWO-POINTER CHRONOLOGICAL SWEEP (Zero API calls, Nanosecond Execution!)
@@ -379,7 +481,6 @@ int OnCalculate(const int rates_total,
if(fdi == EMPTY_VALUE)
{
BufColor[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
}
else
{
@@ -390,12 +491,9 @@ int OnCalculate(const int rates_total,
BufColor[i] = 1.0;
else
BufColor[i] = 2.0;
if(i == 0 || BufSignal[i - 1] == EMPTY_VALUE)
BufSignal[i] = fdi;
else
BufSignal[i] = BufSignal[i - 1] + alpha * (fdi - BufSignal[i - 1]);
}
BufSignal[i] = (InpShowSignal && h_res_sig[htf_ptr] != EMPTY_VALUE) ? h_res_sig[htf_ptr] : EMPTY_VALUE;
}
return rates_total;
@@ -406,7 +504,7 @@ int OnCalculate(const int rates_total,
// B) LIVE TICK FAST-PATH: HTF bar did not close. Update forming candle in RAM!
int live_idx = g_htf_count - 1;
if(live_idx >= required_bars)
if(live_idx >= required_bars_mtf)
{
MqlRates htf_rate[1];
if(CopyRates(_Symbol, g_calc_timeframe, 0, 1, htf_rate) == 1)
@@ -416,9 +514,17 @@ int OnCalculate(const int rates_total,
h_high[live_idx] = htf_rate[0].high;
h_low[live_idx] = htf_rate[0].low;
h_close[live_idx] = htf_rate[0].close;
h_tick_vol[live_idx] = htf_rate[0].tick_volume;
h_vol[live_idx] = (long)htf_rate[0].real_volume;
h_double_vol[live_idx] = (h_vol[live_idx] > 0) ? (double)h_vol[live_idx] : (double)h_tick_vol[live_idx];
// Mock incremental calculation strictly on forming HTF bar
g_calc.Calculate(g_htf_count, g_htf_count, InpPrice, h_open, h_high, h_low, h_close, h_res_fdi, InpHistoryBars);
g_calc.Calculate(g_htf_count, g_htf_count, h_open, h_high, h_low, h_close, h_res_fdi, InpHistoryBars);
if(InpShowSignal && g_signal_calculator != NULL)
{
int htf_actual_start = (InpHistoryBars > 0) ? MathMax(warmup, g_htf_count - InpHistoryBars) : warmup;
g_signal_calculator.CalculateOnArray(g_htf_count, g_htf_count, h_res_fdi, h_double_vol, h_res_sig, htf_actual_start);
}
}
}
@@ -436,6 +542,8 @@ int OnCalculate(const int rates_total,
// Vectorized Assignment across forming block
double fdi_val = h_res_fdi[live_idx];
double col_val = 1.0;
double sig_val = InpShowSignal ? h_res_sig[live_idx] : EMPTY_VALUE;
if(fdi_val != EMPTY_VALUE)
{
if(fdi_val < g_level_trend)
@@ -451,11 +559,7 @@ int OnCalculate(const int rates_total,
{
BufFDI[i] = fdi_val;
BufColor[i] = col_val;
if(i > 0 && BufSignal[i - 1] != EMPTY_VALUE && fdi_val != EMPTY_VALUE)
BufSignal[i] = BufSignal[i - 1] + alpha * (fdi_val - BufSignal[i - 1]);
else
BufSignal[i] = fdi_val;
BufSignal[i] = sig_val;
}
return rates_total;
@@ -466,8 +570,9 @@ int OnCalculate(const int rates_total,
//+------------------------------------------------------------------+
void OnTimer()
{
int required_bars = InpPeriod + 10;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
int warmup = InpPeriod + 2;
int required_bars_mtf = warmup + InpSignalPeriod + 10;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars_mtf, g_data_synced);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+