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refactor: Integrated dynamic volume routing to support volume-weighted (VWMA) adaptive MTF smoothing

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Toh4iem9
2026-07-01 19:54:41 +02:00
parent 2b6005bfe3
commit 6789316d8e
1 changed files with 44 additions and 6 deletions
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Indicators/MyIndicators/Stochastic_Adaptive_on_DMI_MTF_Pro.mq5
+44 -6
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@@ -3,7 +3,7 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.00" // Dynamic Multi-Timeframe Adaptive Stochastic on DMI with flat-force step-alignment
#property version "1.10" // Integrated dynamic volume routing to support volume-weighted (VWMA) adaptive MTF smoothing
#property description "Multi-Timeframe (MTF) Adaptive Stochastic applied to DMI Oscillator."
#property description "Displays HTF Adaptive Stochastic cleanly directly on current chart without live-bar warping."
@@ -52,9 +52,9 @@ input int InpMaxStochPeriod= 30; // Max Dynamic Period
input group "Stochastic Settings"
input int InpSlowingPeriod = 3; // Slowing Period
input ENUM_MA_TYPE InpSlowingMAType = SMA; // Slowing MA Type
input ENUM_MA_TYPE InpSlowingMAType = SMA; // Slowing MA Type (Supports VWMA)
input int InpDPeriod = 3; // Signal Line Period
input ENUM_MA_TYPE InpDMAType = SMA; // Signal Line MA Type
input ENUM_MA_TYPE InpDMAType = SMA; // Signal Line MA Type (Supports VWMA)
input group "Price Source"
input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Controls DMI Input
@@ -68,6 +68,7 @@ double h_res_k[]; // HTF Adaptive K Results cached
double h_res_d[]; // HTF Adaptive D Results cached
datetime h_time[]; // HTF Time index
double h_open[], h_high[], h_low[], h_close[]; // HTF Price Data
long h_vol[]; // HTF raw volume cache
//--- Global variables ---
CStochAdaptiveOnDMICalculator *g_calculator;
@@ -198,7 +199,13 @@ int OnCalculate(const int rates_total,
//================================================================
if(!g_is_mtf_mode)
{
g_calculator.Calculate(rates_total, prev_calculated, open, high, low, close, BufferK_MTF, BufferD_MTF);
long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
if(volume_limit > 0)
g_calculator.Calculate(rates_total, prev_calculated, open, high, low, close, volume, BufferK_MTF, BufferD_MTF);
else
g_calculator.Calculate(rates_total, prev_calculated, open, high, low, close, tick_volume, BufferK_MTF, BufferD_MTF);
return(rates_total);
}
@@ -216,6 +223,9 @@ int OnCalculate(const int rates_total,
g_data_synced = true;
//--- Determine best volume array (Use Real Volume if available, otherwise fallback to Tick Volume)
long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
//--- 1. Check if a new HTF bar has formed
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
@@ -238,6 +248,7 @@ int OnCalculate(const int rates_total,
ArrayResize(h_high, g_htf_count);
ArrayResize(h_low, g_htf_count);
ArrayResize(h_close, g_htf_count);
ArrayResize(h_vol, g_htf_count);
ArrayResize(h_res_k, g_htf_count);
ArrayResize(h_res_d, g_htf_count);
@@ -248,6 +259,7 @@ int OnCalculate(const int rates_total,
ArraySetAsSeries(h_high, false);
ArraySetAsSeries(h_low, false);
ArraySetAsSeries(h_close, false);
ArraySetAsSeries(h_vol, false);
if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count ||
CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count ||
@@ -259,8 +271,21 @@ int OnCalculate(const int rates_total,
return 0;
}
// High-Performance dynamic volume routing on the HTF Timeline
int copied_vol = 0;
if(volume_limit > 0)
copied_vol = CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol);
else
copied_vol = CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol);
if(copied_vol != g_htf_count)
{
g_data_ready = false;
return 0;
}
//--- Calculate HTF values (Closed bars and forming bar initialized)
g_calculator.Calculate(g_htf_count, 0, h_open, h_high, h_low, h_close, h_res_k, h_res_d);
g_calculator.Calculate(g_htf_count, 0, h_open, h_high, h_low, h_close, h_vol, h_res_k, h_res_d);
g_data_ready = true;
}
@@ -273,6 +298,7 @@ int OnCalculate(const int rates_total,
if(live_idx >= InpDMIPeriod + InpErPeriod + InpMaxStochPeriod)
{
double o[1], h[1], l[1], c[1];
long vol[1];
int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false);
if(shift >= 0 &&
CopyOpen(_Symbol, g_calc_timeframe, shift, 1, o) == 1 &&
@@ -285,9 +311,21 @@ int OnCalculate(const int rates_total,
h_low[live_idx] = l[0];
h_close[live_idx] = c[0];
// Copy live volume dynamically
int copied = 0;
if(volume_limit > 0)
copied = CopyRealVolume(_Symbol, g_calc_timeframe, shift, 1, vol);
else
copied = CopyTickVolume(_Symbol, g_calc_timeframe, shift, 1, vol);
if(copied == 1)
{
h_vol[live_idx] = vol[0];
}
// Incremental recalculation on the live HTF index in O(1)
// Passed g_htf_count as prev_calculated to preserve state safety (DMI Wilder's Smoothing)
g_calculator.Calculate(g_htf_count, g_htf_count, h_open, h_high, h_low, h_close, h_res_k, h_res_d);
g_calculator.Calculate(g_htf_count, g_htf_count, h_open, h_high, h_low, h_close, h_vol, h_res_k, h_res_d);
}
}