new files added

2026-08-02 07:07:43 +00:00 · 2026-02-15 16:25:46 +01:00
parent da3935d379
commit 24dac5266e
1 changed files with 148 additions and 0 deletions
@@ -0,0 +1,148 @@
+//+------------------------------------------------------------------+
+//|                                          VScore_Calculator.mqh   |
+//|      Engine for V-Score (VWAP Z-Score).                          |
+//|      Measures statistical deviation from VWAP.                   |
+//|                                        Copyright 2026, xxxxxxxx  |
+//+------------------------------------------------------------------+
+#property copyright "Copyright 2026, xxxxxxxx"
+
+#include <MyIncludes\VWAP_Calculator.mqh>
+
+//+------------------------------------------------------------------+
+//|                                                                  |
+//+------------------------------------------------------------------+
+class CVScoreCalculator
+  {
+protected:
+   int               m_period;
+   CVWAPCalculator   *m_vwap_calc;
+
+   // Buffers
+   double            m_vwap_buf[];
+   double            m_diff_sq[]; // Squared differences buffer
+
+   void              PrepareVWAP(int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[]);
+
+public:
+                     CVScoreCalculator();
+   virtual          ~CVScoreCalculator();
+
+   bool              Init(int period, ENUM_VWAP_PERIOD vwap_reset);
+
+   void              Calculate(int rates_total, 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 &out_vscore[]);
+  };
+
+//+------------------------------------------------------------------+
+//| Constructor                                                      |
+//+------------------------------------------------------------------+
+CVScoreCalculator::CVScoreCalculator() : m_vwap_calc(NULL)
+  {
+  }
+
+//+------------------------------------------------------------------+
+//| Destructor                                                       |
+//+------------------------------------------------------------------+
+CVScoreCalculator::~CVScoreCalculator()
+  {
+   if(CheckPointer(m_vwap_calc) == POINTER_DYNAMIC)
+      delete m_vwap_calc;
+  }
+
+//+------------------------------------------------------------------+
+//| Init                                                             |
+//+------------------------------------------------------------------+
+bool CVScoreCalculator::Init(int period, ENUM_VWAP_PERIOD vwap_reset)
+  {
+   m_period = (period < 2) ? 2 : period;
+
+   m_vwap_calc = new CVWAPCalculator();
+// Init VWAP with Tick Volume, enabled
+   if(!m_vwap_calc.Init(vwap_reset, VOLUME_TICK, 0, true))
+      return false;
+
+   return true;
+  }
+
+//+------------------------------------------------------------------+
+//| Main Calculation                                                 |
+//+------------------------------------------------------------------+
+void CVScoreCalculator::Calculate(int rates_total, 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 &out_vscore[])
+  {
+   if(rates_total < m_period)
+      return;
+
+// 1. Prepare VWAP Buffer
+   if(ArraySize(m_vwap_buf) != rates_total)
+      ArrayResize(m_vwap_buf, rates_total);
+   PrepareVWAP(rates_total, time, open, high, low, close, tick_volume, volume);
+
+// 2. Calculate Standard Deviation of (Price - VWAP)
+// We look back 'm_period' bars to calculate the volatility of the deviation
+
+   int start = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
+
+   for(int i = start; i < rates_total; i++)
+     {
+      double current_vwap = m_vwap_buf[i];
+
+      // If VWAP is newly reset (0 or empty), VScore is 0
+      if(current_vwap == 0 || current_vwap == EMPTY_VALUE)
+        {
+         out_vscore[i] = 0.0;
+         continue;
+        }
+
+      double sum_sq_diff = 0;
+
+      // StdDev of deviation over the window
+      for(int k = 0; k < m_period; k++)
+        {
+         int idx = i - k;
+         double p = close[idx];
+         double v = m_vwap_buf[idx];
+
+         // If history has bad vwap, use price (diff=0)
+         if(v == 0 || v == EMPTY_VALUE)
+            v = p;
+
+         double diff = p - v;
+         sum_sq_diff += diff * diff;
+        }
+
+      double std_dev = MathSqrt(sum_sq_diff / m_period);
+
+      if(std_dev > 1.0e-9)
+         out_vscore[i] = (close[i] - current_vwap) / std_dev;
+      else
+         out_vscore[i] = 0.0;
+     }
+  }
+
+//+------------------------------------------------------------------+
+//| Helper: Fill Internal VWAP Buffer                                |
+//+------------------------------------------------------------------+
+void CVScoreCalculator::PrepareVWAP(int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[])
+  {
+   double odd[], even[];
+   ArrayResize(odd, rates_total);
+   ArrayResize(even, rates_total);
+
+   m_vwap_calc.Calculate(rates_total, 0, time, open, high, low, close, tick_volume, volume, odd, even);
+
+// Determine active buffer (Odd/Even logic of VWAP engine)
+// We merge them into one continuous buffer
+   for(int i=0; i<rates_total; i++)
+     {
+      if(odd[i] != EMPTY_VALUE && odd[i] != 0)
+         m_vwap_buf[i] = odd[i];
+      else
+         m_vwap_buf[i] = even[i];
+     }
+  }
+//+------------------------------------------------------------------+