mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-08-21 16:28:06 +00:00
refactor: Restored Init signature for maximum compatibility across indicators
This commit is contained in:
@@ -2,10 +2,14 @@
|
|||||||
//| VScore_Calculator.mqh |
|
//| VScore_Calculator.mqh |
|
||||||
//| Engine for V-Score (VWAP Z-Score). |
|
//| Engine for V-Score (VWAP Z-Score). |
|
||||||
//| Measures statistical deviation from VWAP. |
|
//| Measures statistical deviation from VWAP. |
|
||||||
//| VERSION 2.00: Strictly O(1) Incremental Optimized. |
|
//| VERSION 2.12: Restored classic signature with auto-volume |
|
||||||
//| Copyright 2026, xxxxxxxx |
|
//| Copyright 2026, xxxxxxxx |
|
||||||
//+------------------------------------------------------------------+
|
//+------------------------------------------------------------------+
|
||||||
#property copyright "Copyright 2026, xxxxxxxx"
|
#property copyright "Copyright 2026, xxxxxxxx"
|
||||||
|
#property version "2.12" // Restored Init signature for maximum compatibility across indicators
|
||||||
|
|
||||||
|
#ifndef VSCORE_CALCULATOR_MQH
|
||||||
|
#define VSCORE_CALCULATOR_MQH
|
||||||
|
|
||||||
#include <MyIncludes\VWAP_Calculator.mqh>
|
#include <MyIncludes\VWAP_Calculator.mqh>
|
||||||
|
|
||||||
@@ -27,6 +31,7 @@ public:
|
|||||||
CVScoreCalculator();
|
CVScoreCalculator();
|
||||||
virtual ~CVScoreCalculator();
|
virtual ~CVScoreCalculator();
|
||||||
|
|
||||||
|
//--- RESTORED: Classic Init signature
|
||||||
bool Init(int period, ENUM_VWAP_PERIOD vwap_reset);
|
bool Init(int period, ENUM_VWAP_PERIOD vwap_reset);
|
||||||
|
|
||||||
void Calculate(int rates_total, int prev_calculated,
|
void Calculate(int rates_total, int prev_calculated,
|
||||||
@@ -47,7 +52,7 @@ CVScoreCalculator::CVScoreCalculator() : m_vwap_calc(NULL)
|
|||||||
//+------------------------------------------------------------------+
|
//+------------------------------------------------------------------+
|
||||||
CVScoreCalculator::~CVScoreCalculator()
|
CVScoreCalculator::~CVScoreCalculator()
|
||||||
{
|
{
|
||||||
if(CheckPointer(m_vwap_calc) == POINTER_DYNAMIC)
|
if(CheckPointer(m_vwap_calc) != POINTER_INVALID)
|
||||||
delete m_vwap_calc;
|
delete m_vwap_calc;
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -59,8 +64,15 @@ bool CVScoreCalculator::Init(int period, ENUM_VWAP_PERIOD vwap_reset)
|
|||||||
m_period = (period < 2) ? 2 : period;
|
m_period = (period < 2) ? 2 : period;
|
||||||
|
|
||||||
m_vwap_calc = new CVWAPCalculator();
|
m_vwap_calc = new CVWAPCalculator();
|
||||||
// Init VWAP with Tick Volume, enabled
|
if(CheckPointer(m_vwap_calc) == POINTER_INVALID)
|
||||||
if(!m_vwap_calc.Init(vwap_reset, VOLUME_TICK, 0, true))
|
return false;
|
||||||
|
|
||||||
|
// Dynamic volume type selection based on broker capability (Real Volume vs Tick Volume)
|
||||||
|
long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
|
||||||
|
ENUM_APPLIED_VOLUME vol_type = (volume_limit > 0) ? VOLUME_REAL : VOLUME_TICK;
|
||||||
|
|
||||||
|
// Init VWAP with optimal volume, enabled
|
||||||
|
if(!m_vwap_calc.Init(vwap_reset, vol_type, 0, true))
|
||||||
return false;
|
return false;
|
||||||
|
|
||||||
return true;
|
return true;
|
||||||
@@ -85,20 +97,17 @@ void CVScoreCalculator::Calculate(int rates_total, int prev_calculated,
|
|||||||
ArrayResize(m_vwap_even, rates_total);
|
ArrayResize(m_vwap_even, rates_total);
|
||||||
}
|
}
|
||||||
|
|
||||||
// 2. Calculate VWAP Incrementally! (Passing prev_calculated)
|
// 2. Calculate VWAP Incrementally
|
||||||
m_vwap_calc.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, m_vwap_odd, m_vwap_even);
|
m_vwap_calc.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, m_vwap_odd, m_vwap_even);
|
||||||
|
|
||||||
// 3. Calculate Standard Deviation of (Price - VWAP)
|
// 3. Calculate Standard Deviation of (Price - VWAP)
|
||||||
// Determine start index for true O(1) performance
|
|
||||||
int start = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
|
int start = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
|
||||||
|
|
||||||
for(int i = start; i < rates_total; i++)
|
for(int i = start; i < rates_total; i++)
|
||||||
{
|
{
|
||||||
// Merge Odd/Even logic continuously
|
|
||||||
double current_vwap = (m_vwap_odd[i] != EMPTY_VALUE && m_vwap_odd[i] != 0) ? m_vwap_odd[i] : m_vwap_even[i];
|
double current_vwap = (m_vwap_odd[i] != EMPTY_VALUE && m_vwap_odd[i] != 0) ? m_vwap_odd[i] : m_vwap_even[i];
|
||||||
m_vwap_buf[i] = current_vwap;
|
m_vwap_buf[i] = current_vwap;
|
||||||
|
|
||||||
// If VWAP is newly reset (0 or empty), VScore is 0
|
|
||||||
if(current_vwap == 0 || current_vwap == EMPTY_VALUE)
|
if(current_vwap == 0 || current_vwap == EMPTY_VALUE)
|
||||||
{
|
{
|
||||||
out_vscore[i] = 0.0;
|
out_vscore[i] = 0.0;
|
||||||
@@ -107,14 +116,12 @@ void CVScoreCalculator::Calculate(int rates_total, int prev_calculated,
|
|||||||
|
|
||||||
double sum_sq_diff = 0;
|
double sum_sq_diff = 0;
|
||||||
|
|
||||||
// StdDev of deviation over the window
|
|
||||||
for(int k = 0; k < m_period; k++)
|
for(int k = 0; k < m_period; k++)
|
||||||
{
|
{
|
||||||
int idx = i - k;
|
int idx = i - k;
|
||||||
double p = close[idx];
|
double p = close[idx];
|
||||||
double v = m_vwap_buf[idx];
|
double v = m_vwap_buf[idx];
|
||||||
|
|
||||||
// If history has bad vwap, use price (diff=0) to avoid spikes
|
|
||||||
if(v == 0 || v == EMPTY_VALUE)
|
if(v == 0 || v == EMPTY_VALUE)
|
||||||
v = p;
|
v = p;
|
||||||
|
|
||||||
@@ -124,12 +131,12 @@ void CVScoreCalculator::Calculate(int rates_total, int prev_calculated,
|
|||||||
|
|
||||||
double std_dev = MathSqrt(sum_sq_diff / m_period);
|
double std_dev = MathSqrt(sum_sq_diff / m_period);
|
||||||
|
|
||||||
// Z-Score calculation
|
|
||||||
if(std_dev > 1.0e-9)
|
if(std_dev > 1.0e-9)
|
||||||
out_vscore[i] = (close[i] - current_vwap) / std_dev;
|
out_vscore[i] = (close[i] - current_vwap) / std_dev;
|
||||||
else
|
else
|
||||||
out_vscore[i] = 0.0;
|
out_vscore[i] = 0.0;
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
//+------------------------------------------------------------------+
|
|
||||||
|
#endif // VSCORE_CALCULATOR_MQH
|
||||||
//+------------------------------------------------------------------+
|
//+------------------------------------------------------------------+
|
||||||
|
|||||||
Reference in New Issue
Block a user