From 348d17f41a5efaf73cff8c95dd42f5c1c70437b2 Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Wed, 17 Jun 2026 19:22:53 +0200 Subject: [PATCH] new files added --- .../Quant/PairsTrading_MTF_Pro.mq5 | 459 ++++++++++++++++++ 1 file changed, 459 insertions(+) create mode 100644 Indicators/MyIndicators/Quant/PairsTrading_MTF_Pro.mq5 diff --git a/Indicators/MyIndicators/Quant/PairsTrading_MTF_Pro.mq5 b/Indicators/MyIndicators/Quant/PairsTrading_MTF_Pro.mq5 new file mode 100644 index 0000000..714f266 --- /dev/null +++ b/Indicators/MyIndicators/Quant/PairsTrading_MTF_Pro.mq5 @@ -0,0 +1,459 @@ +//+------------------------------------------------------------------+ +//| PairsTrading_MTF_Pro | +//| Copyright 2026, xxxxxxxx| +//+------------------------------------------------------------------+ +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.10" // Fixed real-time step distortion for the forming htf bar +#property description "Universal Dynamic & Anchored Cointegration (Z-Score) Monitor." +#property description "Displays Higher Timeframe Cointegration Z-Score directly on lower TF chart." +#property indicator_separate_window +#property indicator_buffers 2 +#property indicator_plots 1 + +//--- Standardized window limits to prevent single-spike scale squishing! +#property indicator_minimum -3.5 +#property indicator_maximum 3.5 + +//--- Institutional Levels Configuration (Perfect alignment under fixed scale) +#property indicator_level1 2.5 +#property indicator_level2 2.0 +#property indicator_level3 1.5 +#property indicator_level4 -1.5 +#property indicator_level5 -2.0 +#property indicator_level6 -2.5 + +#property indicator_levelcolor clrSilver +#property indicator_levelstyle STYLE_DOT + +//--- Plot: Color Histogram (5-Zone Thermal Palette) +#property indicator_label1 "Spread Z-Score MTF" +#property indicator_type1 DRAW_COLOR_HISTOGRAM +// 5-Color Palette: +// 0: Noise/Neutral (Gray) +// 1: Bull Flow (Coral - warning) +// 2: Bull Extreme (OrangeRed - Sell Spread zone) +// 3: Bear Flow (LightSkyBlue - warning) +// 4: Bear Extreme (DeepSkyBlue - Buy Spread zone) +#property indicator_color1 clrGray, clrCoral, clrOrangeRed, clrLightSkyBlue, clrDeepSkyBlue +#property indicator_style1 STYLE_SOLID +#property indicator_width1 2 + +#include + +//--- Anchored Timeframe Resets Enum +enum ENUM_ANCHOR_PERIOD + { + ANCHOR_NONE, // Standard rolling window (InpLookback) + ANCHOR_SESSION, // Reset every day (Daily VWAP style) + ANCHOR_WEEK, // Reset every week (Weekly VWAP style) + ANCHOR_MONTH, // Reset every month (Monthly VWAP style) + ANCHOR_CUSTOM_SESSION // Reset based on custom broker-time start/end range + }; + +//--- Input Parameters +input string InpSymbolA = "UKOIL"; // Symbol A (e.g. UKOIL or BRENT) +input string InpSymbolB = "USOIL"; // Symbol B (Benchmark, e.g. USOIL or WTI) +input ENUM_TIMEFRAMES InpTimeframe = PERIOD_M5; // Target Higher Timeframe (Recommended: Higher than Chart) +input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period +input int InpLookback = 120; // Rolling Window size (Used if Anchor = NONE) +input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time) +input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time) + +//--- Buffers +double ExtZScoreBuffer[]; +double ExtColorsBuffer[]; + +//--- Internal HTF Data Caches +datetime h_time[]; +double h_close_A[]; +double h_close_B[]; + +//--- HTF Calculator Results +double h_res_z[]; + +//--- Global HTF State Tracking +CPairsTradingCalculator *g_calc; +datetime g_last_htf_time = 0; +int g_htf_count = 0; +bool g_data_ready = false; +int g_htf_anchor_start = 0; // Dynamic anchor tracker on HTF timeline + +//--- Parsed Custom Session hours +int g_start_hour = 9; +int g_start_min = 0; +int g_end_hour = 18; +int g_end_min = 0; + +//+------------------------------------------------------------------+ +//| EnsureHTFDataReady | +//+------------------------------------------------------------------+ +bool EnsureHTFDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars) + { + ResetLastError(); + if(!SymbolInfoInteger(symbol, SYMBOL_SELECT)) + { + SymbolSelect(symbol, true); + } + datetime times[]; + int copied = CopyTime(symbol, timeframe, 0, required_bars, times); + return (copied >= required_bars); + } + +//+------------------------------------------------------------------+ +//| IsTimeInSession | +//+------------------------------------------------------------------+ +bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_hour, int end_min) + { + MqlDateTime dt; + TimeToStruct(time_val, dt); + int current_min = dt.hour * 60 + dt.min; + int start_total = start_hour * 60 + start_min; + int end_total = end_hour * 60 + end_min; + + if(end_total < start_total) // Overlapping midnight session + { + return (current_min >= start_total || current_min < end_total); + } + else + { + return (current_min >= start_total && current_min < end_total); + } + } + +//+------------------------------------------------------------------+ +//| OnInit | +//+------------------------------------------------------------------+ +int OnInit() + { + g_data_ready = false; + g_last_htf_time = 0; + g_htf_count = 0; + g_htf_anchor_start = 0; + + SetIndexBuffer(0, ExtZScoreBuffer, INDICATOR_DATA); + SetIndexBuffer(1, ExtColorsBuffer, INDICATOR_COLOR_INDEX); + + ArraySetAsSeries(ExtZScoreBuffer, false); + ArraySetAsSeries(ExtColorsBuffer, false); + +//--- Parse custom session times + string parts[]; + if(StringSplit(InpCustomStart, ':', parts) == 2) + { + g_start_hour = (int)StringToInteger(parts[0]); + g_start_min = (int)StringToInteger(parts[1]); + } + if(StringSplit(InpCustomEnd, ':', parts) == 2) + { + g_end_hour = (int)StringToInteger(parts[0]); + g_end_min = (int)StringToInteger(parts[1]); + } + +// Configure shortname dynamically based on mode + string anchor_name = EnumToString(InpAnchor); + string tf_name = StringSubstr(EnumToString(InpTimeframe), 7); + string short_name = StringFormat("PairsTrade MTF(%s vs %s, %s, %s)", + InpSymbolA, InpSymbolB, tf_name, + (InpAnchor == ANCHOR_NONE ? (string)InpLookback : StringSubstr(anchor_name, 7))); + + IndicatorSetString(INDICATOR_SHORTNAME, short_name); + IndicatorSetInteger(INDICATOR_DIGITS, 2); + +//--- Instantiate unified calculator + g_calc = new CPairsTradingCalculator(); + if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpLookback)) + { + Print("Error: Failed to initialize PairsTrade MTF Calculator Engine."); + return INIT_FAILED; + } + + return(INIT_SUCCEEDED); + } + +//+------------------------------------------------------------------+ +//| OnDeinit | +//+------------------------------------------------------------------+ +void OnDeinit(const int reason) + { + if(CheckPointer(g_calc) == POINTER_DYNAMIC) + delete g_calc; + } + +//+------------------------------------------------------------------+ +//| OnCalculate | +//+------------------------------------------------------------------+ +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[]) + { + int required_bars = InpLookback + 10; + if(InpAnchor != ANCHOR_NONE) + required_bars = 1000; // Need larger history depth for monthly/weekly/custom anchors + +//--- Ensure both symbol histories are fully loaded on the HTF in the terminal + if(!EnsureHTFDataReady(InpSymbolA, InpTimeframe, required_bars) || + !EnsureHTFDataReady(InpSymbolB, InpTimeframe, required_bars)) + { + g_data_ready = false; + return 0; // Wait for next tick to let history load + } + +//--- 1. Check if a new HTF bar has formed + datetime htf_time_current = iTime(_Symbol, InpTimeframe, 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, InpTimeframe); + if(htf_bars < required_bars) + { + g_data_ready = false; + return 0; + } + + g_htf_count = MathMin(htf_bars, 1000); + + ArrayResize(h_time, g_htf_count); + ArrayResize(h_close_A, g_htf_count); + ArrayResize(h_close_B, g_htf_count); + ArrayResize(h_res_z, g_htf_count); + + if(CopyTime(_Symbol, InpTimeframe, 0, g_htf_count, h_time) != g_htf_count) + { + g_data_ready = false; + return 0; + } + + //--- 2. High-Performance Linear Price Alignment on the HTF Timeline + double default_close_A = iClose(InpSymbolA, InpTimeframe, 0); + double default_close_B = iClose(InpSymbolB, InpTimeframe, 0); + + for(int j = 0; j < g_htf_count; j++) + { + int shift_A = iBarShift(InpSymbolA, InpTimeframe, h_time[j], false); + if(shift_A >= 0) + h_close_A[j] = iClose(InpSymbolA, InpTimeframe, shift_A); + else + h_close_A[j] = (j > 0) ? h_close_A[j-1] : default_close_A; + + int shift_B = iBarShift(InpSymbolB, InpTimeframe, h_time[j], false); + if(shift_B >= 0) + h_close_B[j] = iClose(InpSymbolB, InpTimeframe, shift_B); + else + h_close_B[j] = (j > 0) ? h_close_B[j-1] : default_close_B; + } + + //--- 3. Calculate OLS Cointegration on HTF (Closed bars only!) + //--- Notice the limit is 'g_htf_count - 1' (excluding the live forming bar) + for(int j = InpLookback; j < g_htf_count - 1; j++) + { + // Filter out inactive custom hours on HTF + if(InpAnchor == ANCHOR_CUSTOM_SESSION) + { + if(!IsTimeInSession(h_time[j], g_start_hour, g_start_min, g_end_hour, g_end_min)) + { + h_res_z[j] = EMPTY_VALUE; + continue; + } + } + + // Stateful anchor period tracking on HTF timeline + bool htf_new_period = false; + if(j > 0) + { + switch(InpAnchor) + { + case ANCHOR_SESSION: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(h_time[j], dt_curr); + TimeToStruct(h_time[j-1], dt_prev); + if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year) + htf_new_period = true; + break; + } + case ANCHOR_WEEK: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(h_time[j], dt_curr); + TimeToStruct(h_time[j-1], dt_prev); + if(dt_curr.day_of_week < dt_prev.day_of_week) + htf_new_period = true; + break; + } + case ANCHOR_MONTH: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(h_time[j], dt_curr); + TimeToStruct(h_time[j-1], dt_prev); + if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year) + htf_new_period = true; + break; + } + case ANCHOR_CUSTOM_SESSION: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(h_time[j], dt_curr); + TimeToStruct(h_time[j-1], dt_prev); + int min_curr = dt_curr.hour * 60 + dt_curr.min; + int min_prev = dt_prev.hour * 60 + dt_prev.min; + int start_min = g_start_hour * 60 + g_start_min; + bool day_changed = (dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year); + if(day_changed) + { + if(min_curr >= start_min) + htf_new_period = true; + } + else + { + if(min_prev < start_min && min_curr >= start_min) + htf_new_period = true; + } + break; + } + default: + break; + } + } + + if(htf_new_period) + { + g_htf_anchor_start = j; + } + + int htf_active_window = 0; + if(InpAnchor == ANCHOR_NONE) + htf_active_window = InpLookback; + else + htf_active_window = j - g_htf_anchor_start + 1; + + // Compute Z-Score on HTF and store it + h_res_z[j] = g_calc.CalculateZScore(g_htf_count, j, htf_active_window, h_close_A, h_close_B); + } + + g_data_ready = true; + } + + if(!g_data_ready) + return 0; + +//--- 3. Live Update for the Current Forming HTF Bar (Index: g_htf_count - 1) on every tick! + int live_idx = g_htf_count - 1; + if(live_idx >= InpLookback) + { + double single_c_A[1], single_c_B[1]; + + // Synchronized live price copying from the forming HTF bar 0 + int shift_A = iBarShift(InpSymbolA, InpTimeframe, htf_time_current, false); + int shift_B = iBarShift(InpSymbolB, InpTimeframe, htf_time_current, false); + + if(shift_A >= 0 && shift_B >= 0 && + CopyClose(InpSymbolA, InpTimeframe, shift_A, 1, single_c_A) == 1 && + CopyClose(InpSymbolB, InpTimeframe, shift_B, 1, single_c_B) == 1) + { + h_close_A[live_idx] = single_c_A[0]; + h_close_B[live_idx] = single_c_B[0]; + + // Determine dynamic window for forming bar + int htf_active_window = 0; + if(InpAnchor == ANCHOR_NONE) + htf_active_window = InpLookback; + else + htf_active_window = live_idx - g_htf_anchor_start + 1; + + if(InpAnchor != ANCHOR_CUSTOM_SESSION || IsTimeInSession(htf_time_current, g_start_hour, g_start_min, g_end_hour, g_end_min)) + { + h_res_z[live_idx] = g_calc.CalculateZScore(g_htf_count, live_idx, htf_active_window, h_close_A, h_close_B); + } + else + { + h_res_z[live_idx] = EMPTY_VALUE; + } + } + } + +//--- 4. FIXED: Dynamically adjust 'start' to the beginning of the current forming HTF bar +//--- This forces the entire forming LTF step block to remain perfectly flat, updating on every tick! + 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, InpTimeframe, time[first_bar_of_forming_htf], false) == 0) + { + first_bar_of_forming_htf--; + } + first_bar_of_forming_htf++; // This is the start of the forming M15 step on M3 chart + + if(start > first_bar_of_forming_htf) + start = first_bar_of_forming_htf; + +//--- 5. Incremental Mapping of HTF results to Current Chart Timeframe (O(1) per tick) + for(int i = start; i < rates_total; i++) + { + datetime t = time[i]; + int shift_htf = iBarShift(_Symbol, InpTimeframe, t, false); + + if(shift_htf >= 0) + { + int idx_htf = g_htf_count - 1 - shift_htf; + if(idx_htf >= 0 && idx_htf < g_htf_count) + { + double z = h_res_z[idx_htf]; + ExtZScoreBuffer[i] = z; + + //--- 5-Zone Thermal Color Mapping on mapped Z-Score + if(z == EMPTY_VALUE || z == 0.0) + { + ExtColorsBuffer[i] = 0.0; + } + else + if(z >= 2.0) + { + ExtColorsBuffer[i] = 2.0; // Index 2: OrangeRed (Sell Spread) + } + else + if(z >= 1.5) + { + ExtColorsBuffer[i] = 1.0; // Index 1: Coral (Sell Warning) + } + else + if(z <= -2.0) + { + ExtColorsBuffer[i] = 4.0; // Index 4: DeepSkyBlue (Buy Spread) + } + else + if(z <= -1.5) + { + ExtColorsBuffer[i] = 3.0; // Index 3: LightSkyBlue (Buy Warning) + } + else + { + ExtColorsBuffer[i] = 0.0; // Index 0: Gray (Neutral Noise) + } + } + else + { + ExtZScoreBuffer[i] = EMPTY_VALUE; + ExtColorsBuffer[i] = 0.0; + } + } + else + { + ExtZScoreBuffer[i] = EMPTY_VALUE; + ExtColorsBuffer[i] = 0.0; + } + } + + return(rates_total); + } +//+------------------------------------------------------------------+ +//+------------------------------------------------------------------+