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refactor: add PERIOD_SESSION

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This commit is contained in:
Toh4iem9
2025-10-16 14:04:42 +02:00
parent 995cbc4e36
commit 27f9174d71
1 changed files with 106 additions and 52 deletions
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Include/MyIncludes/VWAP_Calculator.mqh
+106 -52
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@@ -10,9 +10,10 @@
//--- Enum for VWAP Reset Period ---
enum ENUM_VWAP_PERIOD
{
PERIOD_SESSION, // Reset every day
PERIOD_WEEK, // Reset every week
PERIOD_MONTH // Reset every month
PERIOD_SESSION, // Reset every day
PERIOD_WEEK, // Reset every week
PERIOD_MONTH, // Reset every month
PERIOD_CUSTOM_SESSION // NEW: Reset based on custom start/end times
};
//+==================================================================+
@@ -26,62 +27,114 @@ protected:
ENUM_VWAP_PERIOD m_period;
ENUM_APPLIED_VOLUME m_volume_type;
double m_typical_price[];
bool m_enabled; // NEW: To disable calculation if not needed
//--- NEW: For custom sessions ---
int m_start_hour, m_start_min;
int m_end_hour, m_end_min;
bool IsTimeInSession(const MqlDateTime &dt);
virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]);
public:
CVWAPCalculator(void) {};
CVWAPCalculator(void) { m_enabled = false; };
virtual ~CVWAPCalculator(void) {};
bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type);
bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, bool enabled=true);
bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true); // NEW: Overloaded Init
void Calculate(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 &vwap_odd[], double &vwap_even[]);
};
//+------------------------------------------------------------------+
//| CVWAPCalculator: Initialization |
//| CVWAPCalculator: Standard Initialization |
//+------------------------------------------------------------------+
bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type)
bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, bool enabled)
{
m_enabled = enabled;
if(!m_enabled)
return true;
m_period = period;
m_volume_type = vol_type;
//--- CORRECTED: Final, robust check for Real Volume availability ---
if(m_volume_type == VOLUME_REAL)
if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
{
// If SYMBOL_VOLUME_LIMIT is > 0, the symbol supports real volumes.
// This is a DOUBLE property.
bool real_volume_available = (SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) > 0);
if(!real_volume_available)
{
Print("VWAP Error: Real Volume is not available for the current symbol '", _Symbol, "'. Indicator will not load. Please use Tick Volume.");
return false; // Initialization failed
}
Print("VWAP Error: Real Volume is not available for '", _Symbol, "'.");
return false;
}
return true;
}
//+------------------------------------------------------------------+
//| CVWAPCalculator: Main Calculation Method (Shared Logic) |
//| CVWAPCalculator: NEW Overloaded Init for Custom Sessions |
//+------------------------------------------------------------------+
bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled)
{
m_enabled = enabled;
if(!m_enabled)
return true;
m_period = PERIOD_CUSTOM_SESSION;
m_volume_type = vol_type;
string parts[];
if(StringSplit(start_time, ':', parts) == 2)
{
m_start_hour = (int)StringToInteger(parts[0]);
m_start_min = (int)StringToInteger(parts[1]);
}
if(StringSplit(end_time, ':', parts) == 2)
{
m_end_hour = (int)StringToInteger(parts[0]);
m_end_min = (int)StringToInteger(parts[1]);
}
if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
{
Print("VWAP Error: Real Volume is not available for '", _Symbol, "'.");
return false;
}
return true;
}
//+------------------------------------------------------------------+
//| NEW: Helper function for custom session time check |
//+------------------------------------------------------------------+
bool CVWAPCalculator::IsTimeInSession(const MqlDateTime &dt)
{
int current_time_in_minutes = dt.hour * 60 + dt.min;
int start_time_in_minutes = m_start_hour * 60 + m_start_min;
int end_time_in_minutes = m_end_hour * 60 + m_end_min;
if(end_time_in_minutes < start_time_in_minutes) // Overnight session
return (current_time_in_minutes >= start_time_in_minutes || current_time_in_minutes < end_time_in_minutes);
else // Same-day session
return (current_time_in_minutes >= start_time_in_minutes && current_time_in_minutes < end_time_in_minutes);
}
//+------------------------------------------------------------------+
//| CVWAPCalculator: Main Calculation Method (Expanded Logic) |
//+------------------------------------------------------------------+
void CVWAPCalculator::Calculate(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 &vwap_odd[], double &vwap_even[])
{
if(rates_total < 1)
if(!m_enabled || rates_total < 1)
return;
if(!PrepareSourceData(rates_total, open, high, low, close))
return;
ArrayInitialize(vwap_odd, EMPTY_VALUE);
ArrayInitialize(vwap_even, EMPTY_VALUE);
double cumulative_tpv = 0;
double cumulative_vol = 0;
int period_index = 0;
MqlDateTime time_struct, prev_time_struct;
bool in_session = false; // For custom session tracking
for(int i = 0; i < rates_total; i++)
{
MqlDateTime time_struct, prev_time_struct;
TimeToStruct(time[i], time_struct);
bool new_period = false;
@@ -92,20 +145,30 @@ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const d
else
{
TimeToStruct(time[i-1], prev_time_struct);
switch(m_period)
if(m_period == PERIOD_CUSTOM_SESSION)
{
case PERIOD_SESSION:
if(time_struct.day_of_year != prev_time_struct.day_of_year || time_struct.year != prev_time_struct.year)
new_period = true;
break;
case PERIOD_WEEK:
if(time_struct.day_of_week < prev_time_struct.day_of_week)
new_period = true;
break;
case PERIOD_MONTH:
if(time_struct.mon != prev_time_struct.mon || time_struct.year != prev_time_struct.year)
new_period = true;
break;
bool is_in_current_session = IsTimeInSession(time_struct);
if(is_in_current_session && !in_session)
new_period = true;
in_session = is_in_current_session;
}
else // Original logic for standard periods
{
switch(m_period)
{
case PERIOD_SESSION:
if(time_struct.day_of_year != prev_time_struct.day_of_year || time_struct.year != prev_time_struct.year)
new_period = true;
break;
case PERIOD_WEEK:
if(time_struct.day_of_week < prev_time_struct.day_of_week)
new_period = true;
break;
case PERIOD_MONTH:
if(time_struct.mon != prev_time_struct.mon || time_struct.year != prev_time_struct.year)
new_period = true;
break;
}
}
}
@@ -114,13 +177,6 @@ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const d
cumulative_tpv = 0;
cumulative_vol = 0;
period_index++;
if(i > 0)
{
if((period_index-1) % 2 != 0)
vwap_odd[i-1] = EMPTY_VALUE;
else
vwap_even[i-1] = EMPTY_VALUE;
}
}
long current_volume = (m_volume_type == VOLUME_TICK) ? tick_volume[i] : volume[i];
@@ -130,17 +186,15 @@ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const d
cumulative_tpv += m_typical_price[i] * (double)current_volume;
cumulative_vol += (double)current_volume;
double vwap_value = (cumulative_vol > 0) ? cumulative_tpv / cumulative_vol : (i > 0 ? (period_index % 2 != 0 ? vwap_odd[i-1] : vwap_even[i-1]) : EMPTY_VALUE);
double vwap_value = (cumulative_vol > 0) ? cumulative_tpv / cumulative_vol : EMPTY_VALUE;
if(period_index % 2 != 0)
// Only draw if we are inside the custom session, or if it's not a custom session
if(m_period != PERIOD_CUSTOM_SESSION || in_session)
{
vwap_odd[i] = vwap_value;
vwap_even[i] = EMPTY_VALUE;
}
else
{
vwap_even[i] = vwap_value;
vwap_odd[i] = EMPTY_VALUE;
if(period_index % 2 != 0)
vwap_odd[i] = vwap_value;
else
vwap_even[i] = vwap_value;
}
}
}