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refactor(indicators): Optimized for incremental calculation
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Toh4iem9
@@ -1,182 +1,195 @@
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//+------------------------------------------------------------------+
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//| UltimateOscillator_Calculator.mqh|
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//| VERSION 2.20: Optimized moving sum calculation. |
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//| VERSION 3.00: Optimized for incremental calculation. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//+==================================================================+
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//| |
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//| CLASS 1: CUltimateOscillatorCalculator (Base Class) |
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//| |
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//+==================================================================+
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class CUltimateOscillatorCalculator
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{
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protected:
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int m_p1, m_p2, m_p3, m_signal_p;
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ENUM_MA_METHOD m_signal_ma_type;
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double m_src_high[], m_src_low[], m_src_close[];
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virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]);
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//--- Engine for Signal Line
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CMovingAverageCalculator m_signal_engine;
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//--- Persistent Buffers for Incremental Calculation
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double m_src_high[], m_src_low[], m_src_close[];
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double m_bp[], m_tr[];
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double m_uo_buffer[];
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//--- Updated: Accepts start_index
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virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CUltimateOscillatorCalculator(void) {};
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virtual ~CUltimateOscillatorCalculator(void) {};
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bool Init(int p1, int p2, int p3, int signal_p, ENUM_MA_METHOD signal_ma);
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[],
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//--- Init now takes ENUM_MA_TYPE
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bool Init(int p1, int p2, int p3, int signal_p, ENUM_MA_TYPE signal_ma);
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//--- Updated: Accepts prev_calculated
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void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[],
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double &uo_buffer[], double &signal_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| CUltimateOscillatorCalculator: Initialization |
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//| Init |
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//+------------------------------------------------------------------+
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bool CUltimateOscillatorCalculator::Init(int p1, int p2, int p3, int signal_p, ENUM_MA_METHOD signal_ma)
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bool CUltimateOscillatorCalculator::Init(int p1, int p2, int p3, int signal_p, ENUM_MA_TYPE signal_ma)
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{
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m_p1 = (p1 < 1) ? 1 : p1;
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m_p2 = (p2 < 1) ? 1 : p2;
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m_p3 = (p3 < 1) ? 1 : p3;
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m_signal_p = (signal_p < 1) ? 1 : signal_p;
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m_signal_ma_type = signal_ma;
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// Initialize Signal Engine
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if(!m_signal_engine.Init(m_signal_p, signal_ma))
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return false;
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return true;
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}
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//+------------------------------------------------------------------+
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//| CUltimateOscillatorCalculator: Main Calculation Method (Optimized)|
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CUltimateOscillatorCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[],
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void CUltimateOscillatorCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[],
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double &uo_buffer[], double &signal_buffer[])
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{
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int max_period = MathMax(m_p1, MathMax(m_p2, m_p3));
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if(rates_total <= max_period)
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return;
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if(!PrepareSourceData(rates_total, open, high, low, close))
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//--- 1. Determine Start Index
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int start_index;
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if(prev_calculated == 0)
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start_index = 0;
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else
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start_index = prev_calculated - 1;
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//--- 2. Resize Buffers
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if(ArraySize(m_src_high) != rates_total)
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{
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ArrayResize(m_src_high, rates_total);
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ArrayResize(m_src_low, rates_total);
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ArrayResize(m_src_close, rates_total);
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ArrayResize(m_bp, rates_total);
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ArrayResize(m_tr, rates_total);
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ArrayResize(m_uo_buffer, rates_total);
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}
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//--- 3. Prepare Source Data (Optimized)
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if(!PrepareSourceData(rates_total, start_index, open, high, low, close))
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return;
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const double W1=4.0, W2=2.0, W3=1.0, W_SUM=7.0;
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double bp[], tr[];
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ArrayResize(bp, rates_total);
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ArrayResize(tr, rates_total);
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for(int i=1; i<rates_total; i++)
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//--- 4. Calculate BP and TR (Incremental)
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int loop_start_bp = MathMax(1, start_index);
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for(int i = loop_start_bp; i < rates_total; i++)
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{
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double true_low = MathMin(m_src_low[i], m_src_close[i-1]);
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bp[i] = m_src_close[i] - true_low;
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tr[i] = MathMax(m_src_high[i], m_src_close[i-1]) - true_low;
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m_bp[i] = m_src_close[i] - true_low;
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m_tr[i] = MathMax(m_src_high[i], m_src_close[i-1]) - true_low;
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}
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//--- OPTIMIZED: Use efficient moving sum calculation ---
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double sum_bp1=0, sum_tr1=0, sum_bp2=0, sum_tr2=0, sum_bp3=0, sum_tr3=0;
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for(int i = 1; i < rates_total; i++)
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//--- 5. Calculate UO (Incremental Sliding Window)
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int loop_start_uo = MathMax(max_period, start_index);
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for(int i = loop_start_uo; i < rates_total; i++)
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{
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sum_bp1+=bp[i];
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sum_tr1+=tr[i];
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sum_bp2+=bp[i];
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sum_tr2+=tr[i];
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sum_bp3+=bp[i];
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sum_tr3+=tr[i];
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// Optimization: Instead of persistent sums, we use a loop for robustness and simplicity.
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// For UO periods (typically 7, 14, 28), a loop is very fast.
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// Maintaining 6 persistent sum variables across ticks is error-prone.
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if(i >= m_p1)
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double sum_bp1=0, sum_tr1=0;
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double sum_bp2=0, sum_tr2=0;
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double sum_bp3=0, sum_tr3=0;
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// Calculate sums for period 1
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for(int j=0; j<m_p1; j++)
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{
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sum_bp1-=bp[i-m_p1];
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sum_tr1-=tr[i-m_p1];
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}
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if(i >= m_p2)
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{
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sum_bp2-=bp[i-m_p2];
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sum_tr2-=tr[i-m_p2];
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}
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if(i >= m_p3)
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{
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sum_bp3-=bp[i-m_p3];
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sum_tr3-=tr[i-m_p3];
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sum_bp1 += m_bp[i-j];
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sum_tr1 += m_tr[i-j];
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}
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if(i >= max_period -1)
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// Calculate sums for period 2
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for(int j=0; j<m_p2; j++)
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{
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double avg1 = (sum_tr1 > 0) ? sum_bp1 / sum_tr1 : 0;
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double avg2 = (sum_tr2 > 0) ? sum_bp2 / sum_tr2 : 0;
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double avg3 = (sum_tr3 > 0) ? sum_bp3 / sum_tr3 : 0;
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uo_buffer[i] = 100.0 * (W1*avg1 + W2*avg2 + W3*avg3) / W_SUM;
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sum_bp2 += m_bp[i-j];
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sum_tr2 += m_tr[i-j];
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}
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// Calculate sums for period 3
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for(int j=0; j<m_p3; j++)
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{
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sum_bp3 += m_bp[i-j];
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sum_tr3 += m_tr[i-j];
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}
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double avg1 = (sum_tr1 > 0) ? sum_bp1 / sum_tr1 : 0;
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double avg2 = (sum_tr2 > 0) ? sum_bp2 / sum_tr2 : 0;
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double avg3 = (sum_tr3 > 0) ? sum_bp3 / sum_tr3 : 0;
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m_uo_buffer[i] = 100.0 * (W1*avg1 + W2*avg2 + W3*avg3) / W_SUM;
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}
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//--- Calculate Signal Line
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int signal_start = max_period + m_signal_p - 1;
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for(int i = signal_start; i < rates_total; i++)
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{
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switch(m_signal_ma_type)
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{
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case MODE_EMA:
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case MODE_SMMA:
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if(i == signal_start)
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{
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double sum=0;
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for(int j=0; j<m_signal_p; j++)
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sum+=uo_buffer[i-j];
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signal_buffer[i]=sum/m_signal_p;
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}
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else
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{
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if(m_signal_ma_type==MODE_EMA)
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{
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double pr=2.0/(m_signal_p+1.0);
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signal_buffer[i]=uo_buffer[i]*pr+signal_buffer[i-1]*(1.0-pr);
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}
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else
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signal_buffer[i]=(signal_buffer[i-1]*(m_signal_p-1)+uo_buffer[i])/m_signal_p;
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}
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break;
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case MODE_LWMA:
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{double sum=0,w_sum=0; for(int j=0; j<m_signal_p; j++) {int w=m_signal_p-j; sum+=uo_buffer[i-j]*w; w_sum+=w;} if(w_sum>0) signal_buffer[i]=sum/w_sum;}
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break;
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default:
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{double sum=0; for(int j=0; j<m_signal_p; j++) sum+=uo_buffer[i-j]; signal_buffer[i]=sum/m_signal_p;}
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break;
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}
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}
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//--- 6. Calculate Signal Line (Using Engine)
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// UO is valid from index: max_period
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int uo_offset = max_period;
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m_signal_engine.CalculateOnArray(rates_total, prev_calculated, m_uo_buffer, signal_buffer, uo_offset);
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//--- 7. Copy UO to Output
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ArrayCopy(uo_buffer, m_uo_buffer, 0, 0, rates_total);
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}
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//+------------------------------------------------------------------+
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//| CUltimateOscillatorCalculator: Prepares the standard source data.|
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//| Prepare Source Data (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CUltimateOscillatorCalculator::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CUltimateOscillatorCalculator::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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ArrayResize(m_src_high, rates_total);
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ArrayCopy(m_src_high, high, 0, 0, rates_total);
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ArrayResize(m_src_low, rates_total);
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ArrayCopy(m_src_low, low, 0, 0, rates_total);
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ArrayResize(m_src_close, rates_total);
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ArrayCopy(m_src_close, close, 0, 0, rates_total);
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for(int i = start_index; i < rates_total; i++)
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{
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m_src_high[i] = high[i];
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m_src_low[i] = low[i];
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m_src_close[i] = close[i];
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}
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return true;
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}
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//+==================================================================+
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//| |
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//| CLASS 2: CUltimateOscillatorCalculator_HA (Heikin Ashi) |
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//| |
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//| CLASS 2: CUltimateOscillatorCalculator_HA |
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//+==================================================================+
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class CUltimateOscillatorCalculator_HA : public CUltimateOscillatorCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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double m_ha_open[];
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protected:
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virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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};
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//+------------------------------------------------------------------+
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//| CUltimateOscillatorCalculator_HA: Prepares the HA source data. |
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//| Prepare Source Data (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CUltimateOscillatorCalculator_HA::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CUltimateOscillatorCalculator_HA::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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double ha_open[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(m_src_high, rates_total);
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ArrayResize(m_src_low, rates_total);
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ArrayResize(m_src_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, m_src_high, m_src_low, m_src_close);
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if(ArraySize(m_ha_open) != rates_total)
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ArrayResize(m_ha_open, rates_total);
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//--- STRICT CALL: Use the optimized 10-param HA calculation
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_src_high, m_src_low, m_src_close);
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return true;
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}
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//+------------------------------------------------------------------+
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