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refactor: Optimized for incremental MTF calculation

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This commit is contained in:
Toh4iem9
2025-11-28 16:03:36 +01:00
parent 34379be016
commit 33b5383c71
1 changed files with 97 additions and 23 deletions
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Indicators/MyIndicators/MovingAverage_MTF_Pro.mq5
+97 -23
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@@ -1,11 +1,10 @@
//+------------------------------------------------------------------+
//| MovingAverage_MTF_Pro.mq5 |
//| Copyright 2025, xxxxxxxx|
//| |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#property version "1.00"
#property description "Multi-Timeframe (MTF) Universal Moving Average (SMA, EMA, SMMA, LWMA)."
#property version "1.10" // Optimized for incremental MTF calculation
#property description "Multi-Timeframe (MTF) Universal Moving Average."
#property indicator_chart_window
#property indicator_buffers 1
@@ -27,18 +26,25 @@ input ENUM_APPLIED_PRICE_HA_ALL InpSourcePrice = PRICE_CLOSE_STD;
//--- Indicator Buffers ---
double BufferMA_MTF[];
//--- Internal Buffer for HTF Calculation (Must be global to persist state)
double BufferMA_HTF_Internal[];
//--- Global variables ---
CMovingAverageCalculator *g_calculator;
bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
//--- Resolve Timeframe
g_calc_timeframe = InpUpperTimeframe;
if(g_calc_timeframe == PERIOD_CURRENT)
g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
//--- Validation
if(g_calc_timeframe < Period())
{
Print("Error: The selected timeframe must be higher than or equal to the current chart timeframe.");
@@ -46,10 +52,12 @@ int OnInit()
}
g_is_mtf_mode = (g_calc_timeframe > Period());
//--- Buffer Mapping
SetIndexBuffer(0, BufferMA_MTF, INDICATOR_DATA);
ArraySetAsSeries(BufferMA_MTF, false);
PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
//--- Initialize Calculator
if(InpSourcePrice <= PRICE_HA_CLOSE)
g_calculator = new CMovingAverageCalculator_HA();
else
@@ -61,6 +69,7 @@ int OnInit()
return(INIT_FAILED);
}
//--- Set Short Name
string ma_name = EnumToString(InpMAType);
StringToUpper(ma_name);
string short_name;
@@ -71,7 +80,6 @@ int OnInit()
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
PlotIndexSetString(0, PLOT_LABEL, short_name);
PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, InpPeriod - 1);
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
@@ -79,57 +87,123 @@ int OnInit()
}
//+------------------------------------------------------------------+
void OnDeinit(const int reason) { if(CheckPointer(g_calculator) != POINTER_INVALID) delete g_calculator; }
//| Deinitialization |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
if(CheckPointer(g_calculator) != POINTER_INVALID)
delete g_calculator;
// Free internal memory
ArrayFree(BufferMA_HTF_Internal);
}
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total, const int, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[])
//| Calculation function |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
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[],
const int &spread[])
{
if(rates_total < 2 || CheckPointer(g_calculator) == POINTER_INVALID)
return 0;
ENUM_APPLIED_PRICE price_type = (InpSourcePrice <= PRICE_HA_CLOSE) ? (ENUM_APPLIED_PRICE)(-(int)InpSourcePrice) : (ENUM_APPLIED_PRICE)InpSourcePrice;
//================================================================
// MTF MODE
//================================================================
if(g_is_mtf_mode)
{
// --- MTF Mode ---
//--- 1. Get HTF Bars Count
int htf_rates_total = (int)SeriesInfoInteger(_Symbol, g_calc_timeframe, SERIES_BARS_COUNT);
if(htf_rates_total < InpPeriod)
return 0;
//--- 2. Manage HTF State (Incremental Logic)
static int htf_prev_calculated = 0;
// Reset if chart was reset
if(prev_calculated == 0)
htf_prev_calculated = 0;
//--- 3. Fetch HTF Data
// We copy the full history for data integrity, but the Calculator will optimize the math.
// Copying simple arrays is fast in MT5.
datetime htf_time[];
double htf_open[], htf_high[], htf_low[], htf_close[];
if(CopyTime(_Symbol, g_calc_timeframe, 0, htf_rates_total, htf_time) <= 0 || CopyOpen(_Symbol, g_calc_timeframe, 0, htf_rates_total, htf_open) <= 0 ||
CopyHigh(_Symbol, g_calc_timeframe, 0, htf_rates_total, htf_high) <= 0 || CopyLow(_Symbol, g_calc_timeframe, 0, htf_rates_total, htf_low) <= 0 ||
// Only copy if we have new data or need full recalc
// For robustness, we copy full range, but we could optimize this further.
// Given the Engine optimization, copying is acceptable.
if(CopyTime(_Symbol, g_calc_timeframe, 0, htf_rates_total, htf_time) <= 0 ||
CopyOpen(_Symbol, g_calc_timeframe, 0, htf_rates_total, htf_open) <= 0 ||
CopyHigh(_Symbol, g_calc_timeframe, 0, htf_rates_total, htf_high) <= 0 ||
CopyLow(_Symbol, g_calc_timeframe, 0, htf_rates_total, htf_low) <= 0 ||
CopyClose(_Symbol, g_calc_timeframe, 0, htf_rates_total, htf_close) <= 0)
return 0;
double htf_ma_buffer[];
ArrayResize(htf_ma_buffer, htf_rates_total);
g_calculator.Calculate(htf_rates_total, price_type, htf_open, htf_high, htf_low, htf_close, htf_ma_buffer);
//--- 4. Resize Internal Buffer
if(ArraySize(BufferMA_HTF_Internal) != htf_rates_total)
ArrayResize(BufferMA_HTF_Internal, htf_rates_total);
ArraySetAsSeries(htf_ma_buffer, true);
ArraySetAsSeries(time, true);
ArraySetAsSeries(BufferMA_MTF, true);
//--- 5. Calculate on HTF (Optimized)
// Pass htf_prev_calculated so the engine skips already calculated bars!
g_calculator.Calculate(htf_rates_total, htf_prev_calculated, price_type, htf_open, htf_high, htf_low, htf_close, BufferMA_HTF_Internal);
for(int i = 0; i < rates_total; i++)
// Update state
htf_prev_calculated = htf_rates_total;
//--- 6. Map to Current Timeframe (Optimized Loop)
// We need to access time[] as series for iBarShift usually, but let's stick to linear mapping
// Standard iBarShift works with time.
ArraySetAsSeries(htf_time, true); // HTF time as series for search? No, CopyTime is non-series by default.
ArraySetAsSeries(BufferMA_HTF_Internal, true); // Set as series to match iBarShift index logic (0 is newest)
ArraySetAsSeries(time, true); // Current time as series
ArraySetAsSeries(BufferMA_MTF, true); // Output as series
// Determine where to start mapping
int limit = (prev_calculated > 0) ? rates_total - prev_calculated : rates_total;
// We iterate backwards from newest (0) to limit
for(int i = 0; i < limit; i++)
{
int htf_bar_shift = iBarShift(_Symbol, g_calc_timeframe, time[i]);
if(htf_bar_shift < htf_rates_total && htf_bar_shift >= 0)
BufferMA_MTF[i] = htf_ma_buffer[htf_bar_shift];
// Find which HTF bar corresponds to the current bar time
int htf_shift = iBarShift(_Symbol, g_calc_timeframe, time[i], false);
if(htf_shift >= 0 && htf_shift < htf_rates_total)
{
// BufferMA_HTF_Internal is set as series, so htf_shift (0=newest) works directly
BufferMA_MTF[i] = BufferMA_HTF_Internal[htf_shift];
}
else
{
BufferMA_MTF[i] = EMPTY_VALUE;
}
}
ArraySetAsSeries(BufferMA_MTF, false);
// Restore array indexing to default (false)
ArraySetAsSeries(BufferMA_HTF_Internal, false);
ArraySetAsSeries(time, false);
ArraySetAsSeries(BufferMA_MTF, false);
}
//================================================================
// CURRENT TIMEFRAME MODE
//================================================================
else
{
// --- Current Timeframe Mode ---
g_calculator.Calculate(rates_total, price_type, open, high, low, close, BufferMA_MTF);
// Direct calculation with optimization
g_calculator.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, BufferMA_MTF);
}
return(rates_total);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+