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refactor: Optimized for incremental calculation

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This commit is contained in:
Toh4iem9
2025-11-30 15:23:14 +01:00
parent 39dd88bf20
commit 5b7cd46f81
1 changed files with 141 additions and 54 deletions
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Include/MyIncludes/VWAP_Calculator.mqh
+141 -54
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| VWAP_Calculator.mqh| //| VWAP_Calculator.mqh|
//| Calculation engine for Standard and Heikin Ashi VWAP. | //| VERSION 1.40: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx | //| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
@@ -17,38 +17,63 @@ enum ENUM_VWAP_PERIOD
}; };
//+==================================================================+ //+==================================================================+
//| |
//| CLASS 1: CVWAPCalculator (Base Class) | //| CLASS 1: CVWAPCalculator (Base Class) |
//| |
//+==================================================================+ //+==================================================================+
class CVWAPCalculator class CVWAPCalculator
{ {
protected: protected:
ENUM_VWAP_PERIOD m_period; ENUM_VWAP_PERIOD m_period;
ENUM_APPLIED_VOLUME m_volume_type; ENUM_APPLIED_VOLUME m_volume_type;
double m_typical_price[];
bool m_enabled; bool m_enabled;
long m_tz_shift_seconds; // Timezone shift in seconds long m_tz_shift_seconds; // Timezone shift in seconds
//--- Persistent Buffers
double m_typical_price[];
//--- Persistent State for Incremental Calculation
double m_cumulative_tpv;
double m_cumulative_vol;
int m_period_index;
bool m_in_session;
datetime m_last_time; // Time of the last processed bar
//--- For custom sessions --- //--- For custom sessions ---
int m_start_hour, m_start_min; int m_start_hour, m_start_min;
int m_end_hour, m_end_min; int m_end_hour, m_end_min;
bool IsTimeInSession(const MqlDateTime &dt); bool IsTimeInSession(const MqlDateTime &dt);
virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]);
//--- Updated: Accepts start_index
virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]);
public: public:
CVWAPCalculator(void) { m_enabled = false; m_tz_shift_seconds = 0; }; CVWAPCalculator(void);
virtual ~CVWAPCalculator(void) {}; virtual ~CVWAPCalculator(void) {};
bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true); bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true);
bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true); bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true);
void Calculate(int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
//--- Updated: Accepts prev_calculated
void Calculate(int rates_total, int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[]); const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[]);
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CVWAPCalculator: Standard Initialization (Updated) | //| Constructor |
//+------------------------------------------------------------------+
CVWAPCalculator::CVWAPCalculator(void)
{
m_enabled = false;
m_tz_shift_seconds = 0;
m_cumulative_tpv = 0;
m_cumulative_vol = 0;
m_period_index = 0;
m_in_session = false;
m_last_time = 0;
}
//+------------------------------------------------------------------+
//| Init (Standard) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled) bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled)
{ {
@@ -69,7 +94,7 @@ bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CVWAPCalculator: Overloaded Init for Custom Sessions | //| Init (Custom Session) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled) bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled)
{ {
@@ -79,7 +104,7 @@ bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLU
m_period = PERIOD_CUSTOM_SESSION; m_period = PERIOD_CUSTOM_SESSION;
m_volume_type = vol_type; m_volume_type = vol_type;
m_tz_shift_seconds = 0; // Custom sessions don't use timezone shift m_tz_shift_seconds = 0;
string parts[]; string parts[];
if(StringSplit(start_time, ':', parts) == 2) if(StringSplit(start_time, ':', parts) == 2)
@@ -102,7 +127,7 @@ bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLU
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Helper function for custom session time check | //| Helper |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CVWAPCalculator::IsTimeInSession(const MqlDateTime &dt) bool CVWAPCalculator::IsTimeInSession(const MqlDateTime &dt)
{ {
@@ -117,26 +142,55 @@ bool CVWAPCalculator::IsTimeInSession(const MqlDateTime &dt)
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CVWAPCalculator: Main Calculation Method (Updated Logic) | //| Main Calculation (Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[]) const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[])
{ {
if(!m_enabled || rates_total < 1) if(!m_enabled || rates_total < 1)
return; return;
if(!PrepareSourceData(rates_total, open, high, low, close))
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
{
start_index = 0;
// Reset State
m_cumulative_tpv = 0;
m_cumulative_vol = 0;
m_period_index = 0;
m_in_session = false;
m_last_time = 0;
ArrayInitialize(vwap_odd, EMPTY_VALUE);
ArrayInitialize(vwap_even, EMPTY_VALUE);
}
else
{
start_index = prev_calculated - 1;
}
//--- 2. Resize Buffers
if(ArraySize(m_typical_price) != rates_total)
ArrayResize(m_typical_price, rates_total);
if(ArraySize(vwap_odd) != rates_total)
ArrayResize(vwap_odd, rates_total);
if(ArraySize(vwap_even) != rates_total)
ArrayResize(vwap_even, rates_total);
//--- 3. Prepare Price
if(!PrepareSourceData(rates_total, start_index, open, high, low, close))
return; return;
ArrayInitialize(vwap_odd, EMPTY_VALUE); //--- 4. Main Loop
ArrayInitialize(vwap_even, EMPTY_VALUE); for(int i = start_index; i < rates_total; i++)
double cumulative_tpv = 0;
double cumulative_vol = 0;
int period_index = 0;
bool in_session = false;
for(int i = 0; i < rates_total; i++)
{ {
// Restore state from member variables (which represent state at i-1)
double current_cum_tpv = m_cumulative_tpv;
double current_cum_vol = m_cumulative_vol;
int current_period_idx = m_period_index;
bool current_in_session = m_in_session;
bool new_period = false; bool new_period = false;
if(i == 0) if(i == 0)
@@ -145,11 +199,11 @@ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const d
} }
else else
{ {
// Check for period change
switch(m_period) switch(m_period)
{ {
case PERIOD_SESSION: case PERIOD_SESSION:
{ {
// CORRECTED: Added (datetime) cast to prevent compiler warnings
datetime adjusted_time_curr = time[i] + (datetime)m_tz_shift_seconds; datetime adjusted_time_curr = time[i] + (datetime)m_tz_shift_seconds;
datetime adjusted_time_prev = time[i-1] + (datetime)m_tz_shift_seconds; datetime adjusted_time_prev = time[i-1] + (datetime)m_tz_shift_seconds;
MqlDateTime dt_curr, dt_prev; MqlDateTime dt_curr, dt_prev;
@@ -182,9 +236,9 @@ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const d
MqlDateTime dt_curr; MqlDateTime dt_curr;
TimeToStruct(time[i], dt_curr); TimeToStruct(time[i], dt_curr);
bool is_in_current_session = IsTimeInSession(dt_curr); bool is_in_current_session = IsTimeInSession(dt_curr);
if(is_in_current_session && !in_session) if(is_in_current_session && !current_in_session)
new_period = true; new_period = true;
in_session = is_in_current_session; current_in_session = is_in_current_session;
break; break;
} }
} }
@@ -192,70 +246,103 @@ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const d
if(new_period) if(new_period)
{ {
cumulative_tpv = 0; current_cum_tpv = 0;
cumulative_vol = 0; current_cum_vol = 0;
period_index++; current_period_idx++;
} }
long current_volume = (m_volume_type == VOLUME_TICK) ? tick_volume[i] : volume[i]; long current_volume = (m_volume_type == VOLUME_TICK) ? tick_volume[i] : volume[i];
if(current_volume < 1) if(current_volume < 1)
current_volume = 1; current_volume = 1;
cumulative_tpv += m_typical_price[i] * (double)current_volume; current_cum_tpv += m_typical_price[i] * (double)current_volume;
cumulative_vol += (double)current_volume; current_cum_vol += (double)current_volume;
double vwap_value = (cumulative_vol > 0) ? cumulative_tpv / cumulative_vol : EMPTY_VALUE; double vwap_value = (current_cum_vol > 0) ? current_cum_tpv / current_cum_vol : EMPTY_VALUE;
if(m_period != PERIOD_CUSTOM_SESSION || in_session) // Fill buffers
if(m_period != PERIOD_CUSTOM_SESSION || current_in_session)
{ {
if(period_index % 2 != 0) if(current_period_idx % 2 != 0)
{
vwap_odd[i] = vwap_value; vwap_odd[i] = vwap_value;
vwap_even[i] = EMPTY_VALUE; // Clear other buffer to create gap
}
else else
{
vwap_even[i] = vwap_value; vwap_even[i] = vwap_value;
vwap_odd[i] = EMPTY_VALUE;
}
}
else
{
vwap_odd[i] = EMPTY_VALUE;
vwap_even[i] = EMPTY_VALUE;
}
//--- CRITICAL: Update persistent state ONLY if this is NOT the last bar (or if we assume it's closed)
// Actually, in MT5 OnCalculate, we iterate up to rates_total-1.
// If we are at i, and i < rates_total-1, then bar i is closed (historical). We can save state.
// If i == rates_total-1, it is the current forming bar. We should NOT save state,
// because next tick we will process i again starting from the state of i-1.
if(i < rates_total - 1)
{
m_cumulative_tpv = current_cum_tpv;
m_cumulative_vol = current_cum_vol;
m_period_index = current_period_idx;
m_in_session = current_in_session;
m_last_time = time[i];
} }
} }
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CVWAPCalculator: Prepares the standard source data. | //| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CVWAPCalculator::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]) bool CVWAPCalculator::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
{ {
ArrayResize(m_typical_price, rates_total); // Optimized copy loop
for(int i=0; i<rates_total; i++) for(int i = start_index; i < rates_total; i++)
m_typical_price[i] = (high[i] + low[i] + close[i]) / 3.0; m_typical_price[i] = (high[i] + low[i] + close[i]) / 3.0;
return true; return true;
} }
//+==================================================================+ //+==================================================================+
//| | //| CLASS 2: CVWAPCalculator_HA (Heikin Ashi) |
//| CLASS 2: CVWAPCalculator_HA (Heikin Ashi) |
//| |
//+==================================================================+ //+==================================================================+
class CVWAPCalculator_HA : public CVWAPCalculator class CVWAPCalculator_HA : public CVWAPCalculator
{ {
private: private:
CHeikinAshi_Calculator m_ha_calculator; CHeikinAshi_Calculator m_ha_calculator;
// Internal HA buffers
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected: protected:
virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]) override; virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]) override;
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CVWAPCalculator_HA: Prepares the HA source data. | //| Prepare Price (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CVWAPCalculator_HA::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]) bool CVWAPCalculator_HA::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
{ {
double ha_open[], ha_high[], ha_low[], ha_close[]; // Resize internal HA buffers
ArrayResize(ha_open, rates_total); if(ArraySize(m_ha_open) != rates_total)
ArrayResize(ha_high, rates_total); {
ArrayResize(ha_low, rates_total); ArrayResize(m_ha_open, rates_total);
ArrayResize(ha_close, rates_total); ArrayResize(m_ha_high, rates_total);
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close); ArrayResize(m_ha_low, rates_total);
ArrayResize(m_ha_close, rates_total);
}
ArrayResize(m_typical_price, rates_total); //--- STRICT CALL: Use the optimized 10-param HA calculation
for(int i=0; i<rates_total; i++) m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
m_typical_price[i] = (ha_high[i] + ha_low[i] + ha_close[i]) / 3.0; m_ha_open, m_ha_high, m_ha_low, m_ha_close);
//--- Copy to m_typical_price (Optimized loop)
for(int i = start_index; i < rates_total; i++)
m_typical_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
return true; return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//+------------------------------------------------------------------+