gavindiaz/mql5
1
0
Fork 0
mirror of https://github.com/softwaredevelop/mql5.git synced 2026-11-02 03:06:34 +00:00
Code Issues Packages Projects Releases Wiki Activity

refactor: Two-Pointer MTF Fast-Path, 4-Zone Regimes & Zero-Heap Execution

Browse Source
This commit is contained in:
Toh4iem9
2026-10-20 09:44:32 +02:00
parent 1f2bc40ac7
commit 3db9b17876
1 changed files with 480 additions and 61 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Indicators/MyIndicators/Quant/VolatilityRegime_Pro.mq5
+480 -61
View File
@@ -2,79 +2,239 @@
//| VolatilityRegime_Pro.mq5 |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.00"
#property description "Volatility Regime (Expansion vs Contraction)."
#property description "Ratio of Fast ATR / Slow ATR."
#property copyright "Copyright 2026, xxxxxxxx"
#property version "2.00" // Enterprise Edition: Two-Pointer MTF Fast-Path, 4-Zone Regimes & Zero-Heap Execution
#property description "Institutional Volatility Regime (Expansion vs Contraction Ratio)."
#property description "Normalized Fast ATR / Slow ATR ratio with MTF support and multi-regime classification."
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots 1
#property indicator_buffers 3
#property indicator_plots 2
//--- Levels
#property indicator_level1 1.0
// Horizontal Visual Levels Declarations
#property indicator_level1 0.75
#property indicator_level2 1.00
#property indicator_level3 1.50
#property indicator_levelcolor clrSilver
#property indicator_levelstyle STYLE_DOT
//--- Plot: Regime Histogram
// Plot 1: Volatility Ratio Plot (Pre-allocated 4 color slots)
#property indicator_label1 "Vola Ratio"
#property indicator_type1 DRAW_COLOR_HISTOGRAM
// Color Index: 0=Contracting (Gray), 1=Expanding (Lime)
#property indicator_color1 clrGray, clrLime
#property indicator_type1 DRAW_COLOR_LINE
#property indicator_color1 clrDodgerBlue, clrGray, clrLime, clrDarkOrange
#property indicator_style1 STYLE_SOLID
#property indicator_width1 2
// Plot 2: Volatility Signal EMA
#property indicator_label2 "Signal EMA"
#property indicator_type2 DRAW_LINE
#property indicator_color2 clrMagenta
#property indicator_style2 STYLE_SOLID
#property indicator_width2 2
#include <MyIncludes\ATR_Calculator.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
//--- Visual Style Selector
enum ENUM_VOLA_VISUAL
{
VISUAL_VOLA_LINE, // Dynamic Multi-Color Line (Clean Continuous Curve)
VISUAL_VOLA_HISTOGRAM // Dynamic Color Histogram (Anchored at 0.0 baseline)
};
//--- Input Parameters
input int InpPeriodFast = 5; // Short-term Volatility
input int InpPeriodSlow = 50; // Long-term Baseline
input double InpThreshold = 1.0; // Expansion Threshold
input group "--- Timeframe Settings ---"
input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF)
//--- Buffers
input group "--- Volatility Engine Settings ---"
input int InpPeriodFast = 5; // Short-term ATR Period
input int InpPeriodSlow = 50; // Long-term Baseline ATR Period
input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Candle Source (Standard vs Heikin Ashi)
input int InpHistoryBars = 1000; // History Bars Limit (0 = Full Chart)
input group "--- Regime Thresholds ---"
input double InpLevelSqueeze = 0.75; // Squeeze Threshold (Below = Extreme Coiling)
input double InpLevelExpansion = 1.00; // Expansion Baseline (Above = Trend/Breakout)
input double InpLevelClimax = 1.50; // Climax Threshold (Above = Volatility Blowout)
input group "--- Visual Appearance ---"
input ENUM_VOLA_VISUAL InpVisualType = VISUAL_VOLA_LINE; // Display Mode (Line vs Histogram)
input color InpColorSqueeze = clrDodgerBlue; // Squeeze Color (< 0.75)
input color InpColorQuiet = clrGray; // Quiet / Contraction Color (0.75 - 1.00)
input color InpColorExpand = clrLime; // Expansion Color (1.00 - 1.50)
input color InpColorClimax = clrDarkOrange; // Climax / Blowout Color (> 1.50)
input int InpWidthPlot = 2; // Main Plot Width
input group "--- Signal Line Settings ---"
input bool InpShowSignal = true; // Display Signal Line
input int InpSignalPeriod = 9; // Signal Smoothing EMA Period
input color InpColorSignal = clrMagenta; // Signal Line Color (High-Contrast Universal)
input ENUM_LINE_STYLE InpStyleSignal = STYLE_SOLID; // Signal Line Style
input int InpWidthSignal = 2; // Signal Line Width
//--- Visual Indicator Buffers
double BufRatio[];
double BufColors[];
double BufSignal[];
//--- Calculators
CATRCalculator *g_atr_fast;
CATRCalculator *g_atr_slow;
//--- Persistent Native Calculation Registers (Zero Heap Thrashing!)
double m_atr_fast[];
double m_atr_slow[];
//--- Internal HTF Data Caches (Chronological Arrays)
double h_open[], h_high[], h_low[], h_close[];
double h_atr_fast[];
double h_atr_slow[];
double h_res_ratio[];
datetime h_time[];
//--- Global Engine Pointers & State Management
CATRCalculator *g_atr_fast = NULL;
CATRCalculator *g_atr_slow = NULL;
bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe;
bool g_data_ready = false;
bool g_data_synced = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
//+------------------------------------------------------------------+
//| Init |
//| Custom Indicator Initialization |
//+------------------------------------------------------------------+
int OnInit()
{
SetIndexBuffer(0, BufRatio, INDICATOR_DATA);
SetIndexBuffer(1, BufColors, INDICATOR_COLOR_INDEX);
g_data_ready = false;
g_data_synced = false;
g_htf_count = 0;
g_last_htf_time = 0;
string name = StringFormat("VolaRegime(%d/%d)", InpPeriodFast, InpPeriodSlow);
IndicatorSetString(INDICATOR_SHORTNAME, name);
// 1. Resolve Timeframe and validate direction
g_calc_timeframe = InpTimeframe;
if(g_calc_timeframe == PERIOD_CURRENT)
g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
if(g_calc_timeframe < Period())
{
PrintFormat("Critical Error: Target timeframe (%s) must be >= current timeframe (%s).",
EnumToString(g_calc_timeframe), EnumToString(Period()));
return INIT_PARAMETERS_INCORRECT;
}
g_is_mtf_mode = (g_calc_timeframe > Period());
// 2. Setup Buffers & Chronological Indexing
SetIndexBuffer(0, BufRatio, INDICATOR_DATA);
SetIndexBuffer(1, BufColors, INDICATOR_COLOR_INDEX);
SetIndexBuffer(2, BufSignal, INDICATOR_DATA);
ArraySetAsSeries(BufRatio, false);
ArraySetAsSeries(BufColors, false);
ArraySetAsSeries(BufSignal, false);
ArrayInitialize(BufRatio, EMPTY_VALUE);
ArrayInitialize(BufColors, 0.0);
ArrayInitialize(BufSignal, EMPTY_VALUE);
PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE);
IndicatorSetInteger(INDICATOR_DIGITS, 2);
g_atr_fast = new CATRCalculator();
if(!g_atr_fast.Init(InpPeriodFast, ATR_POINTS))
return INIT_FAILED;
// 3. Configure Visual Appearance & Plot Type
if(InpVisualType == VISUAL_VOLA_HISTOGRAM)
{
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
IndicatorSetDouble(INDICATOR_MINIMUM, 0.0);
}
else
{
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
}
g_atr_slow = new CATRCalculator();
if(!g_atr_slow.Init(InpPeriodSlow, ATR_POINTS))
PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthPlot);
// Pre-allocate and assign 4 dynamic color slots
PlotIndexSetInteger(0, PLOT_COLOR_INDEXES, 4);
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 0, InpColorSqueeze); // Slot 0: Deep Squeeze (< 0.75)
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 1, InpColorQuiet); // Slot 1: Quiet / Contraction (0.75 - 1.00)
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 2, InpColorExpand); // Slot 2: Active Expansion (1.00 - 1.50)
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 3, InpColorClimax); // Slot 3: Volatility Climax (>= 1.50)
// Configure Signal Line Visibility & Style
if(!InpShowSignal)
{
PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_NONE);
}
else
{
PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_LINE);
PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorSignal);
PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleSignal);
PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthSignal);
}
// Configure Dynamic Threshold Levels on Subwindow
IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, InpLevelSqueeze);
IndicatorSetDouble(INDICATOR_LEVELVALUE, 1, InpLevelExpansion);
IndicatorSetDouble(INDICATOR_LEVELVALUE, 2, InpLevelClimax);
// 4. Initialize Core Calculation Engines (Standard or Heikin Ashi)
if(InpCandleSource == CANDLE_HEIKIN_ASHI)
{
g_atr_fast = new CATRCalculator_HA();
g_atr_slow = new CATRCalculator_HA();
}
else
{
g_atr_fast = new CATRCalculator();
g_atr_slow = new CATRCalculator();
}
if(CheckPointer(g_atr_fast) == POINTER_INVALID || CheckPointer(g_atr_slow) == POINTER_INVALID)
{
Print("Critical Error: Failed to instantiate ATR Calculators.");
return INIT_FAILED;
}
if(!g_atr_fast.Init(InpPeriodFast, ATR_POINTS) || !g_atr_slow.Init(InpPeriodSlow, ATR_POINTS))
{
Print("Critical Error: Failed to initialize ATR Calculators.");
return INIT_FAILED;
}
string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : "";
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string name = StringFormat("VolaRegime%s%s(%d/%d)", ha_tag, tf_str, InpPeriodFast, InpPeriodSlow);
IndicatorSetString(INDICATOR_SHORTNAME, name);
// 5. Background Timer for MTF synchronization
if(g_is_mtf_mode)
EventSetTimer(1);
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Deinit |
//| Custom Indicator Deinitialization |
//+------------------------------------------------------------------+
void OnDeinit(const int r)
void OnDeinit(const int reason)
{
if(CheckPointer(g_atr_fast)==POINTER_DYNAMIC)
if(g_is_mtf_mode)
EventKillTimer();
if(CheckPointer(g_atr_fast) != POINTER_INVALID)
{
delete g_atr_fast;
if(CheckPointer(g_atr_slow)==POINTER_DYNAMIC)
g_atr_fast = NULL;
}
if(CheckPointer(g_atr_slow) != POINTER_INVALID)
{
delete g_atr_slow;
g_atr_slow = NULL;
}
}
//+------------------------------------------------------------------+
//| Calculate |
//| Custom Indicator Calculation Loop |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
const int prev_calculated,
@@ -87,44 +247,303 @@ int OnCalculate(const int rates_total,
const long &volume[],
const int &spread[])
{
if(rates_total < InpPeriodSlow)
int warmup = MathMax(InpPeriodFast, InpPeriodSlow) + 2;
if(rates_total < warmup || !g_atr_fast || !g_atr_slow)
return 0;
double atr_f[], atr_s[];
// Force chronological indexing
ArraySetAsSeries(time, false);
ArraySetAsSeries(open, false);
ArraySetAsSeries(high, false);
ArraySetAsSeries(low, false);
ArraySetAsSeries(close, false);
// Calc both ATRs
g_atr_fast.Calculate(rates_total, prev_calculated, open, high, low, close, atr_f);
g_atr_slow.Calculate(rates_total, prev_calculated, open, high, low, close, atr_s);
double alpha = 2.0 / (double)(InpSignalPeriod + 1);
int start = (prev_calculated > 0) ? prev_calculated - 1 : InpPeriodSlow;
for(int i = start; i < rates_total; i++)
//===================================================================
// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1))
//===================================================================
if(!g_is_mtf_mode)
{
double fast = atr_f[i];
double slow = atr_s[i];
if(slow > 0.00000001)
// Safe allocation of persistent buffers
if(ArraySize(m_atr_fast) != rates_total)
{
double ratio = fast / slow;
BufRatio[i] = ratio;
// Coloring Legend:
// Gray (0): Contraction (Ratio < 1.0) -> Market is sleeping/dying.
// Lime (1): Expansion (Ratio > 1.0) -> Market is moving.
if(ratio >= InpThreshold)
BufColors[i] = 1.0; // Expansion
else
BufColors[i] = 0.0; // Contraction
ArrayResize(m_atr_fast, rates_total);
ArrayResize(m_atr_slow, rates_total);
ArraySetAsSeries(m_atr_fast, false);
ArraySetAsSeries(m_atr_slow, false);
}
else
// 1. Calculate Pipelined Fast and Slow ATR in O(1)
g_atr_fast.Calculate(rates_total, prev_calculated, open, high, low, close, m_atr_fast);
g_atr_slow.Calculate(rates_total, prev_calculated, open, high, low, close, m_atr_slow);
int start = (prev_calculated > 0) ? (prev_calculated - 1) : warmup;
if(InpHistoryBars > 0 && prev_calculated == 0)
{
BufRatio[i] = 1.0;
BufColors[i] = 0.0;
int limit_start = rates_total - InpHistoryBars;
if(limit_start > start)
start = limit_start;
}
if(prev_calculated == 0)
{
for(int i = 0; i < start; i++)
{
BufRatio[i] = EMPTY_VALUE;
BufColors[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
}
}
// 2. Compute Unitless Volatility Ratio & 4-Zone Color Mapping
for(int i = start; i < rates_total; i++)
{
double slow = m_atr_slow[i];
double fast = m_atr_fast[i];
if(slow > 1.0e-9)
{
double ratio = fast / slow;
BufRatio[i] = ratio;
// Map Institutional Volatility Regimes
if(ratio < InpLevelSqueeze)
BufColors[i] = 0.0; // Slot 0: Deep Squeeze (Blue)
else
if(ratio < InpLevelExpansion)
BufColors[i] = 1.0; // Slot 1: Normal Quiet (Gray)
else
if(ratio < InpLevelClimax)
BufColors[i] = 2.0; // Slot 2: Active Expansion (Lime)
else
BufColors[i] = 3.0; // Slot 3: Volatility Climax (Dark Orange)
// Signal EMA Smoothing
if(i == start || BufSignal[i - 1] == EMPTY_VALUE)
BufSignal[i] = ratio;
else
BufSignal[i] = BufSignal[i - 1] + alpha * (ratio - BufSignal[i - 1]);
}
else
{
BufRatio[i] = 1.0;
BufColors[i] = 1.0;
BufSignal[i] = 1.0;
}
}
return rates_total;
}
//===================================================================
// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
//===================================================================
int required_bars = warmup + 10;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
{
g_data_synced = false;
return 0;
}
g_data_synced = true;
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
// A) HTF Bar Closure / Startup: Perform full history sync once
if(htf_updated || prev_calculated == 0)
{
g_last_htf_time = htf_time_current;
int htf_bars = iBars(_Symbol, g_calc_timeframe);
if(htf_bars < required_bars)
{
g_data_ready = false;
return 0;
}
g_htf_count = MathMin(htf_bars, 2000);
// Reallocate persistent cache registers ONLY when capacity changes
if(ArraySize(h_time) != g_htf_count)
{
ArrayResize(h_time, g_htf_count);
ArrayResize(h_open, g_htf_count);
ArrayResize(h_high, g_htf_count);
ArrayResize(h_low, g_htf_count);
ArrayResize(h_close, g_htf_count);
ArrayResize(h_atr_fast, g_htf_count);
ArrayResize(h_atr_slow, g_htf_count);
ArrayResize(h_res_ratio, g_htf_count);
ArraySetAsSeries(h_time, false);
ArraySetAsSeries(h_open, false);
ArraySetAsSeries(h_high, false);
ArraySetAsSeries(h_low, false);
ArraySetAsSeries(h_close, false);
ArraySetAsSeries(h_atr_fast, false);
ArraySetAsSeries(h_atr_slow, false);
ArraySetAsSeries(h_res_ratio, false);
}
// Atomic bulk rates copy
MqlRates htf_bulk_rates[];
if(CopyRates(_Symbol, g_calc_timeframe, 0, g_htf_count, htf_bulk_rates) != g_htf_count)
{
g_data_ready = false;
return 0;
}
for(int i = 0; i < g_htf_count; i++)
{
h_time[i] = htf_bulk_rates[i].time;
h_open[i] = htf_bulk_rates[i].open;
h_high[i] = htf_bulk_rates[i].high;
h_low[i] = htf_bulk_rates[i].low;
h_close[i] = htf_bulk_rates[i].close;
}
// Compute HTF Baseline ATRs
g_atr_fast.Calculate(g_htf_count, 0, h_open, h_high, h_low, h_close, h_atr_fast);
g_atr_slow.Calculate(g_htf_count, 0, h_open, h_high, h_low, h_close, h_atr_slow);
for(int i = 0; i < g_htf_count; i++)
{
if(h_atr_slow[i] > 1.0e-9)
h_res_ratio[i] = h_atr_fast[i] / h_atr_slow[i];
else
h_res_ratio[i] = 1.0;
}
g_data_ready = true;
// TWO-POINTER CHRONOLOGICAL SWEEP (Zero API calls, Nanosecond Execution!)
int htf_ptr = 0;
datetime oldest_htf = h_time[0];
for(int i = 0; i < rates_total; i++)
{
datetime t = time[i];
if(t < oldest_htf)
{
BufRatio[i] = EMPTY_VALUE;
BufColors[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
continue;
}
while(htf_ptr + 1 < g_htf_count && h_time[htf_ptr + 1] <= t)
htf_ptr++;
double ratio = h_res_ratio[htf_ptr];
BufRatio[i] = ratio;
if(ratio == EMPTY_VALUE)
{
BufColors[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
}
else
{
if(ratio < InpLevelSqueeze)
BufColors[i] = 0.0;
else
if(ratio < InpLevelExpansion)
BufColors[i] = 1.0;
else
if(ratio < InpLevelClimax)
BufColors[i] = 2.0;
else
BufColors[i] = 3.0;
if(i == 0 || BufSignal[i - 1] == EMPTY_VALUE)
BufSignal[i] = ratio;
else
BufSignal[i] = BufSignal[i - 1] + alpha * (ratio - BufSignal[i - 1]);
}
}
return rates_total;
}
if(!g_data_ready)
return 0;
// B) LIVE TICK FAST-PATH: HTF bar did not close. Update forming candle in RAM!
int live_idx = g_htf_count - 1;
if(live_idx >= required_bars)
{
MqlRates htf_rate[1];
if(CopyRates(_Symbol, g_calc_timeframe, 0, 1, htf_rate) == 1)
{
h_time[live_idx] = htf_rate[0].time;
h_open[live_idx] = htf_rate[0].open;
h_high[live_idx] = htf_rate[0].high;
h_low[live_idx] = htf_rate[0].low;
h_close[live_idx] = htf_rate[0].close;
// Mock incremental calculation strictly on forming HTF bar
g_atr_fast.Calculate(g_htf_count, g_htf_count, h_open, h_high, h_low, h_close, h_atr_fast);
g_atr_slow.Calculate(g_htf_count, g_htf_count, h_open, h_high, h_low, h_close, h_atr_slow);
if(h_atr_slow[live_idx] > 1.0e-9)
h_res_ratio[live_idx] = h_atr_fast[live_idx] / h_atr_slow[live_idx];
else
h_res_ratio[live_idx] = 1.0;
}
}
return(rates_total);
// Instant Binary Search for Forming Block Start
int first_bar_of_forming_htf = ArrayBsearch(time, htf_time_current);
if(first_bar_of_forming_htf < 0)
first_bar_of_forming_htf = 0;
if(time[first_bar_of_forming_htf] < htf_time_current && first_bar_of_forming_htf < rates_total - 1)
first_bar_of_forming_htf++;
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
if(start > first_bar_of_forming_htf)
start = first_bar_of_forming_htf;
// Vectorized Assignment across forming block
double ratio_val = h_res_ratio[live_idx];
double col_val = 1.0;
if(ratio_val != EMPTY_VALUE)
{
if(ratio_val < InpLevelSqueeze)
col_val = 0.0;
else
if(ratio_val < InpLevelExpansion)
col_val = 1.0;
else
if(ratio_val < InpLevelClimax)
col_val = 2.0;
else
col_val = 3.0;
}
for(int i = start; i < rates_total; i++)
{
BufRatio[i] = ratio_val;
BufColors[i] = col_val;
if(i > 0 && BufSignal[i - 1] != EMPTY_VALUE && ratio_val != EMPTY_VALUE)
BufSignal[i] = BufSignal[i - 1] + alpha * (ratio_val - BufSignal[i - 1]);
else
BufSignal[i] = ratio_val;
}
return rates_total;
}
//+------------------------------------------------------------------+
//| OnTimer Event Handler (Data Synchronization Daemon) |
//+------------------------------------------------------------------+
void OnTimer()
{
int required_bars = MathMax(InpPeriodFast, InpPeriodSlow) + 12;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+