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refactor: Optimized for incremental calculation
This commit is contained in:
Toh4iem9
@@ -1,6 +1,6 @@
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//+------------------------------------------------------------------+
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//| PVI_NVI_Calculator.mqh |
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//| VERSION 1.20: Added signal lines & corrected calculation. |
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//| VERSION 2.00: 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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@@ -8,8 +8,11 @@
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#include <MyIncludes\MovingAverage_Engine.mqh>
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//--- Moved enum here to be accessible by other calculators
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enum ENUM_CANDLE_SOURCE { CANDLE_STANDARD, CANDLE_HEIKIN_ASHI };
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//+==================================================================+
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//| CLASS 1: CPVINVICalculator (Base Class) |
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//+==================================================================+
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class CPVINVICalculator
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{
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@@ -17,62 +20,109 @@ protected:
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ENUM_APPLIED_VOLUME m_volume_type;
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int m_signal_period;
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ENUM_MA_TYPE m_signal_ma_type;
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//--- Persistent Buffer for Incremental Calculation
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double m_price[];
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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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void CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_TYPE method, int start_pos);
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//--- Engines for Signal Lines
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CMovingAverageCalculator *m_pvi_signal_engine;
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CMovingAverageCalculator *m_nvi_signal_engine;
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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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CPVINVICalculator(void) {};
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virtual ~CPVINVICalculator(void) {};
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CPVINVICalculator(void);
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virtual ~CPVINVICalculator(void);
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bool Init(ENUM_APPLIED_VOLUME vol_type, int signal_p, ENUM_MA_TYPE signal_ma);
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], const long &volume[],
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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[], const long &volume[],
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double &pvi_buffer[], double &nvi_buffer[], double &pvi_signal[], double &nvi_signal[]);
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};
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//+------------------------------------------------------------------+
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//| |
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//| Constructor |
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//+------------------------------------------------------------------+
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class CPVINVICalculator_HA : public CPVINVICalculator
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CPVINVICalculator::CPVINVICalculator(void)
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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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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};
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//+==================================================================+
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//| METHOD IMPLEMENTATIONS |
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//+==================================================================+
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m_pvi_signal_engine = new CMovingAverageCalculator();
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m_nvi_signal_engine = new CMovingAverageCalculator();
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}
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//+------------------------------------------------------------------+
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//| |
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//| Destructor |
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//+------------------------------------------------------------------+
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CPVINVICalculator::~CPVINVICalculator(void)
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{
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if(CheckPointer(m_pvi_signal_engine) != POINTER_INVALID)
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delete m_pvi_signal_engine;
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if(CheckPointer(m_nvi_signal_engine) != POINTER_INVALID)
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delete m_nvi_signal_engine;
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CPVINVICalculator::Init(ENUM_APPLIED_VOLUME vol_type, int signal_p, ENUM_MA_TYPE signal_ma)
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{
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m_volume_type = vol_type;
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m_signal_period = (signal_p < 1) ? 1 : signal_p;
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m_signal_ma_type = signal_ma;
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if(!m_pvi_signal_engine.Init(m_signal_period, m_signal_ma_type))
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return false;
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if(!m_nvi_signal_engine.Init(m_signal_period, m_signal_ma_type))
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return false;
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CPVINVICalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], const long &volume[],
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void CPVINVICalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], const long &volume[],
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double &pvi_buffer[], double &nvi_buffer[], double &pvi_signal[], double &nvi_signal[])
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{
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if(rates_total < 2)
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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 Buffer
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if(ArraySize(m_price) != rates_total)
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ArrayResize(m_price, rates_total);
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//--- 3. Prepare Price (Optimized)
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if(!PrepareSourceData(rates_total, start_index, open, high, low, close))
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return;
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pvi_buffer[0] = 1000;
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nvi_buffer[0] = 1000;
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//--- 4. Calculate PVI/NVI (Incremental Loop)
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int loop_start = (start_index < 1) ? 1 : start_index;
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for(int i = 1; i < rates_total; i++)
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// Initialization
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if(loop_start == 1)
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{
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pvi_buffer[0] = 1000;
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nvi_buffer[0] = 1000;
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}
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for(int i = loop_start; i < rates_total; i++)
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{
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// Calculate percentage change of price
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// Note: Original code used absolute change (price[i] - price[i-1]).
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// Standard PVI/NVI uses percentage change: (price[i] - price[i-1]) / price[i-1]
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// Let's stick to the original code logic if that's what was intended,
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// but usually PVI = PVI[i-1] * (1 + ROC).
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// The provided code was: pvi_buffer[i] = pvi_buffer[i-1] + price_change;
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// This is an absolute change accumulation. I will keep it as is to preserve logic.
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double price_change = m_price[i] - m_price[i-1];
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if(volume[i] > volume[i-1])
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@@ -93,108 +143,63 @@ void CPVINVICalculator::Calculate(int rates_total, const double &open[], const d
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}
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}
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int signal_start = m_signal_period;
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CalculateMA(pvi_buffer, pvi_signal, m_signal_period, m_signal_ma_type, signal_start);
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CalculateMA(nvi_buffer, nvi_signal, m_signal_period, m_signal_ma_type, signal_start);
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//--- 5. Calculate Signal Lines (Using Engines)
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// We pass PVI/NVI buffers as 'close' price.
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m_pvi_signal_engine.Calculate(rates_total, prev_calculated, PRICE_CLOSE,
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pvi_buffer, pvi_buffer, pvi_buffer, pvi_buffer,
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pvi_signal);
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m_nvi_signal_engine.Calculate(rates_total, prev_calculated, PRICE_CLOSE,
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nvi_buffer, nvi_buffer, nvi_buffer, nvi_buffer,
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nvi_signal);
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}
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//+------------------------------------------------------------------+
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//| |
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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void CPVINVICalculator::CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_TYPE method, int start_pos)
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bool CPVINVICalculator::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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for(int i = start_pos; i < ArraySize(source_array); i++)
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// Optimized copy loop
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for(int i = start_index; i < rates_total; i++)
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m_price[i] = close[i];
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return true;
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}
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//+==================================================================+
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//| CLASS 2: CPVINVICalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CPVINVICalculator_HA : public CPVINVICalculator
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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[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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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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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CPVINVICalculator_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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// Resize internal HA buffers
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if(ArraySize(m_ha_open) != rates_total)
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{
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switch(method)
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{
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case EMA:
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case SMMA:
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if(i == start_pos)
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{
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double sum=0;
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int count=0;
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for(int j=0; j<period; j++)
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{
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if(source_array[i-j] != EMPTY_VALUE)
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{
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sum+=source_array[i-j];
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count++;
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}
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}
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if(count > 0)
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dest_array[i]=sum/count;
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}
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else
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{
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if(method==EMA)
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{
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double pr=2.0/(period+1.0);
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dest_array[i]=source_array[i]*pr+dest_array[i-1]*(1.0-pr);
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}
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else
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dest_array[i]=(dest_array[i-1]*(period-1)+source_array[i])/period;
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}
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break;
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case LWMA:
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{
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double sum=0, w_sum=0;
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for(int j=0; j<period; j++)
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{
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if(source_array[i-j] == EMPTY_VALUE)
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continue;
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int w=period-j;
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sum+=source_array[i-j]*w;
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w_sum+=w;
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}
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if(w_sum>0)
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dest_array[i]=sum/w_sum;
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}
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break;
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default: // SMA
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{
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double sum=0;
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int count=0;
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for(int j=0; j<period; j++)
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{
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if(source_array[i-j] != EMPTY_VALUE)
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{
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sum+=source_array[i-j];
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count++;
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}
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}
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if(count > 0)
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dest_array[i]=sum/count;
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}
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break;
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}
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ArrayResize(m_ha_open, rates_total);
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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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}
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool CPVINVICalculator::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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ArrayResize(m_price, rates_total);
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ArrayCopy(m_price, close, 0, 0, rates_total);
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return true;
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}
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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_ha_high, m_ha_low, m_ha_close);
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool CPVINVICalculator_HA::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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ArrayResize(m_price, rates_total);
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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//--- Copy to m_price (Optimized loop)
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for(int i = start_index; i < rates_total; i++)
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m_price[i] = m_ha_close[i];
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return true;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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