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refactor: Live-updating forming bar with O(1) performance
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Toh4iem9
@@ -3,16 +3,14 @@
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.00"
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#property description "Rolling Alpha & Beta (Multi-Timeframe)."
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#property description "Displays Higher Timeframe Performance vs Benchmark."
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#property version "1.30" // Live-updating forming bar with O(1) performance
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#property description "Rolling Alpha & Beta (Multi-Timeframe) with real-time forming bar calculation."
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#property indicator_separate_window
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#property indicator_buffers 2
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#property indicator_plots 1
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// Dynamic Plot Styling (Default is Histogram for Alpha)
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// Will be adjusted in OnInit based on Mode
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#property indicator_label1 "Value MTF"
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#property indicator_type1 DRAW_COLOR_HISTOGRAM
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#property indicator_color1 clrGray, clrLime, clrRed, clrGold
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@@ -41,14 +39,40 @@ datetime h_asset_t[];
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// HTF Results
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double h_res[];
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//--- Global HTF State Tracking
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datetime g_last_htf_time = 0;
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int g_htf_count = 0;
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bool g_data_ready = false;
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CMathStatisticsCalculator *g_stats;
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string g_bench_symbol;
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//+------------------------------------------------------------------+
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//| EnsureHTFDataReady (Robust MTF history loading helper) |
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//+------------------------------------------------------------------+
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bool EnsureHTFDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars)
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{
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ResetLastError();
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if(!SymbolInfoInteger(symbol, SYMBOL_SELECT))
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{
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SymbolSelect(symbol, true);
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}
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datetime times[];
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int copied = CopyTime(symbol, timeframe, 0, required_bars, times);
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return (copied >= required_bars);
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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g_last_htf_time = 0;
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g_htf_count = 0;
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g_data_ready = false;
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if(InpTimeframe <= Period() && InpTimeframe != PERIOD_CURRENT)
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{
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Print("Warning: Target Timeframe should be > Current.");
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@@ -87,16 +111,23 @@ int OnInit()
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if(_Symbol == g_bench_symbol)
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{
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// Self-reference: Flat line
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return INIT_SUCCEEDED;
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return INIT_SUCCEEDED; // Self-reference: Flat line
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}
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if(!SymbolSelect(g_bench_symbol, true))
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return INIT_FAILED;
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return(INIT_SUCCEEDED);
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}
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void OnDeinit(const int r) { if(CheckPointer(g_stats)==POINTER_DYNAMIC) delete g_stats; }
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//+------------------------------------------------------------------+
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//| Deinit |
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//+------------------------------------------------------------------+
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void OnDeinit(const int r)
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{
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if(CheckPointer(g_stats) == POINTER_DYNAMIC)
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delete g_stats;
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}
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//+------------------------------------------------------------------+
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//| Calculate |
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@@ -115,88 +146,156 @@ int OnCalculate(const int rates_total,
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if(_Symbol == g_bench_symbol)
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return rates_total; // Skip if self
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// 1. Fetch HTF Data (Asset)
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int htf_bars = iBars(_Symbol, InpTimeframe);
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if(htf_bars < InpLookback + 5)
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return 0;
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int count = MathMin(htf_bars, 3000);
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ArraySetAsSeries(h_asset_t, false);
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ArraySetAsSeries(h_asset_c, false);
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if(CopyTime(_Symbol, InpTimeframe, 0, count, h_asset_t) != count)
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return 0;
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if(CopyClose(_Symbol, InpTimeframe, 0, count, h_asset_c) != count)
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return 0;
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// 2. Calc on HTF
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if(ArraySize(h_res) != count)
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ArrayResize(h_res, count);
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// We skip incremental state for statistics to ensure sync accuracy on re-fetches
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// Loop through fetched HTF history
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for(int i = InpLookback; i < count; i++)
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//--- Ensure HTF history is ready
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int required_bars = InpLookback + 10;
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if(!EnsureHTFDataReady(_Symbol, InpTimeframe, required_bars) ||
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!EnsureHTFDataReady(g_bench_symbol, InpTimeframe, required_bars))
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{
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// A. Extract Asset Subset (Window on HTF)
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double asset_sub[];
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ArrayResize(asset_sub, InpLookback);
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for(int k=0; k<InpLookback; k++)
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asset_sub[k] = h_asset_c[i - InpLookback + 1 + k]; // Adjusted for loop
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g_data_ready = false;
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return 0; // Wait for next tick to let history load
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}
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// B. Extract Benchmark Subset (Sync by Time)
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double bench_sub[];
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ArrayResize(bench_sub, InpLookback);
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bool data_ok = true;
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//--- 1. Check if a new HTF bar has formed
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datetime htf_time_current = iTime(_Symbol, InpTimeframe, 0);
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bool htf_updated = (htf_time_current != g_last_htf_time);
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for(int k=0; k<InpLookback; k++)
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if(htf_updated || prev_calculated == 0)
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{
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g_last_htf_time = htf_time_current;
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int htf_bars = iBars(_Symbol, InpTimeframe);
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if(htf_bars < InpLookback + 5)
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{
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datetime t = h_asset_t[i - InpLookback + 1 + k];
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// Search on Benchmark TF (same as Asset TF)
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int b_idx = iBarShift(g_bench_symbol, InpTimeframe, t, false);
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if(b_idx < 0)
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{
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data_ok=false;
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break;
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}
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double vals[1];
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if(CopyClose(g_bench_symbol, InpTimeframe, b_idx, 1, vals)<=0)
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{
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data_ok=false;
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break;
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}
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bench_sub[k] = vals[0];
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g_data_ready = false;
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return 0;
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}
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if(!data_ok)
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g_htf_count = MathMin(htf_bars, 3000);
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ArrayResize(h_asset_t, g_htf_count);
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ArrayResize(h_asset_c, g_htf_count);
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if(CopyTime(_Symbol, InpTimeframe, 0, g_htf_count, h_asset_t) != g_htf_count ||
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CopyClose(_Symbol, InpTimeframe, 0, g_htf_count, h_asset_c) != g_htf_count)
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{
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h_res[i] = 0;
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continue;
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g_data_ready = false;
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return 0;
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}
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// C. Compute
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double asset_ret[], bench_ret[];
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g_stats.ComputeReturns(asset_sub, asset_ret);
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g_stats.ComputeReturns(bench_sub, bench_ret);
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double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
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double val = 0;
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if(InpMode == MODE_BETA)
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//--- 2. High-Performance Linear Price Alignment for HTF Benchmark
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ArrayResize(h_bench_c, g_htf_count);
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for(int i = 0; i < g_htf_count; i++)
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{
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val = beta;
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int b_idx = iBarShift(g_bench_symbol, InpTimeframe, h_asset_t[i], false);
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if(b_idx >= 0)
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{
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h_bench_c[i] = iClose(g_bench_symbol, InpTimeframe, b_idx);
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}
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else
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{
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h_bench_c[i] = (i > 0) ? h_bench_c[i-1] : h_asset_c[i];
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}
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}
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//--- 3. Calculate Alpha & Beta Statistics on HTF (Closed bars only!)
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//--- Notice the limit is 'g_htf_count - 1' (excluding the live forming bar)
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if(ArraySize(h_res) != g_htf_count)
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ArrayResize(h_res, g_htf_count);
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for(int i = InpLookback; i < g_htf_count - 1; i++)
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{
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// Extract Asset Subset via fast memory copy
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double asset_sub[];
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ArrayResize(asset_sub, InpLookback);
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if(ArrayCopy(asset_sub, h_asset_c, 0, i - InpLookback + 1, InpLookback) < InpLookback)
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{
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h_res[i] = 0.0;
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continue;
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}
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// Extract Benchmark Subset via fast memory copy
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double bench_sub[];
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ArrayResize(bench_sub, InpLookback);
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if(ArrayCopy(bench_sub, h_bench_c, 0, i - InpLookback + 1, InpLookback) < InpLookback)
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{
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h_res[i] = 0.0;
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continue;
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}
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// Compute Returns
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double asset_ret[], bench_ret[];
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g_stats.ComputeReturns(asset_sub, asset_ret);
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g_stats.ComputeReturns(bench_sub, bench_ret);
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double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
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double val = 0.0;
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if(InpMode == MODE_BETA)
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{
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val = beta;
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}
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else
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{
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double a_tot = (asset_sub[InpLookback-1] - asset_sub[0]) / asset_sub[0];
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double b_tot = (bench_sub[InpLookback-1] - bench_sub[0]) / bench_sub[0];
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val = g_stats.CalculateAlpha(a_tot, b_tot, beta);
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}
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h_res[i] = val;
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}
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g_data_ready = true;
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}
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if(!g_data_ready)
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return 0;
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//--- 4. Live Update for the Current Forming HTF Bar (Index: g_htf_count - 1) on every tick!
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int live_idx = g_htf_count - 1;
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if(live_idx >= InpLookback)
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{
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// Dynamic update of current bid prices for the forming HTF bar
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h_asset_c[live_idx] = iClose(_Symbol, InpTimeframe, 0);
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int b_idx = iBarShift(g_bench_symbol, InpTimeframe, h_asset_t[live_idx], false);
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if(b_idx >= 0)
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{
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h_bench_c[live_idx] = iClose(g_bench_symbol, InpTimeframe, b_idx);
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}
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else
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{
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double a_tot = (asset_sub[InpLookback-1] - asset_sub[0]) / asset_sub[0];
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double b_tot = (bench_sub[InpLookback-1] - bench_sub[0]) / bench_sub[0];
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val = g_stats.CalculateAlpha(a_tot, b_tot, beta);
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h_bench_c[live_idx] = h_asset_c[live_idx];
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}
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// Perform single-bar calculation in O(1)
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double asset_sub[];
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ArrayResize(asset_sub, InpLookback);
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if(ArrayCopy(asset_sub, h_asset_c, 0, live_idx - InpLookback + 1, InpLookback) == InpLookback)
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{
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double bench_sub[];
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ArrayResize(bench_sub, InpLookback);
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if(ArrayCopy(bench_sub, h_bench_c, 0, live_idx - InpLookback + 1, InpLookback) == InpLookback)
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{
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double asset_ret[], bench_ret[];
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g_stats.ComputeReturns(asset_sub, asset_ret);
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g_stats.ComputeReturns(bench_sub, bench_ret);
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double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
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double val = 0.0;
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if(InpMode == MODE_BETA)
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{
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val = beta;
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}
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else
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{
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double a_tot = (asset_sub[InpLookback-1] - asset_sub[0]) / asset_sub[0];
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double b_tot = (bench_sub[InpLookback-1] - bench_sub[0]) / bench_sub[0];
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val = g_stats.CalculateAlpha(a_tot, b_tot, beta);
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}
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h_res[live_idx] = val; // Store live-updated value
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}
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}
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h_res[i] = val;
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}
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// 3. Map to Current M5 Chart
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//--- 5. Incremental Mapping of HTF results to Current Chart Timeframe (O(1) per tick)
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int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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for(int i = start; i < rates_total; i++)
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@@ -206,8 +305,8 @@ int OnCalculate(const int rates_total,
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if(shift_htf >= 0)
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{
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int idx_htf = count - 1 - shift_htf;
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if(idx_htf >= 0 && idx_htf < count)
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int idx_htf = g_htf_count - 1 - shift_htf;
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if(idx_htf >= 0 && idx_htf < g_htf_count)
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{
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double val = h_res[idx_htf];
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BufDisplay[i] = val;
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@@ -223,11 +322,17 @@ int OnCalculate(const int rates_total,
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if(val < 0)
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BufColors[i] = 2.0; // Red
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else
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BufColors[i] = 0.0;
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BufColors[i] = 0.0; // Gray
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}
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}
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else
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{
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BufDisplay[i] = EMPTY_VALUE;
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}
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}
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else
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{
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BufDisplay[i] = EMPTY_VALUE;
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}
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}
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@@ -235,11 +340,10 @@ int OnCalculate(const int rates_total,
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}
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//+------------------------------------------------------------------+
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//| |
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//| IsForexPair |
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//+------------------------------------------------------------------+
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bool IsForexPair(string sym)
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{
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// Safety: If symbol IS one of the benchmarks, we don't classify it as generic forex pair here
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if(sym == InpBenchmark || sym == InpForexBench)
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return false;
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