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refactor(scripts): Moved Session Distances to Flow Layer (M15)

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Toh4iem9
2026-02-08 23:57:23 +01:00
parent 9043313499
commit 6e8190c528
1 changed files with 41 additions and 49 deletions
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Scripts/MyScripts/Market_Scanner_Pro.mq5
+41 -49
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@@ -1,15 +1,15 @@
//+------------------------------------------------------------------+
//| Market_Scanner_Pro.mq5 |
//| QuantScan 7.0 - Market Breadth |
//| QuantScan 7.1 - Refined Logic |
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "7.00" // Added Market Breadth Analysis (Post-Processing)
#property version "7.10" // Moved Session Distances to Flow Layer (M15)
#property description "Exports 'QuantScan 7.0' dataset for LLM Analysis."
#property description "Includes Breadth Score and Cost Metrics."
#property script_show_inputs
//--- Include Custom Calculators
//--- Includes
#include <MyIncludes\DSMA_Calculator.mqh>
#include <MyIncludes\VWAP_Calculator.mqh>
#include <MyIncludes\Laguerre_RSI_Calculator.mqh>
@@ -26,7 +26,7 @@
#include <MyIncludes\Metrics_Tools.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
//--- Input Parameters ---
//--- Parameters
input group "Scanner Config"
input bool InpUseMarketWatch = false; // Scan all Market Watch symbols
input string InpSymbolList = "EURUSD,USDJPY,GBPUSD,USDCHF,AUDUSD,XAUUSD,US500,DE40,XTIUSD,ETHUSD";
@@ -48,11 +48,11 @@ input int InpDSMAPeriod = 40;
input double InpLaguerreGamma = 0.50;
input int InpMurreyPeriod = 64;
input int InpATRPeriod = 14;
input int InpRSBars = 24; // Relative Strength Lookback
input int InpRVOLPeriod = 20; // Relative Volume Lookback
input int InpERPeriod = 10; // Efficiency Ratio Lookback
input int InpZScorePeriod = 20; // Z-Score Lookback
input int InpSlopeLookback = 5; // Bars back for Slope calculation
input int InpRSBars = 24;
input int InpRVOLPeriod = 20;
input int InpERPeriod = 10;
input int InpZScorePeriod = 20;
input int InpSlopeLookback = 5;
input group "TSI Settings"
input int InpTSI_Slow = 25;
@@ -64,7 +64,7 @@ input int InpSqueezeLength = 20;
input double InpBBMult = 2.0;
input double InpKCMult = 1.5;
//--- Struct for QuantScan Data
//--- QuantData Struct
struct QuantData
{
string timestamp;
@@ -76,14 +76,14 @@ struct QuantData
double trend_qual;
double trend_slope;
string zone;
double dist_pdh; // Dist to Prev High
double dist_pdl; // Dist to Prev Low
string rel_strength_str;
string beta_str;
string alpha_str;
string h1_tsi_dir;
// --- Layer 2: M15 Flow ---
// --- Layer 2: M15 Flow - MOVED DIST_PDH/PDL HERE
double dist_pdh;
double dist_pdl;
double m15_momentum;
double m15_vol_qual;
string m15_squeeze;
@@ -196,7 +196,6 @@ void OnStart()
string symbols[];
int total_symbols = 0;
// 1. Symbol List Compilation
if(InpUseMarketWatch)
{
total_symbols = SymbolsTotal(true);
@@ -211,7 +210,7 @@ void OnStart()
total_symbols = StringSplit(InpSymbolList, u_sep, symbols);
}
// 2. Global Sentiment (Prices)
// 2. Global Sentiment
double bench_change_pct = 0.0;
bool has_us500 = SymbolSelect(InpBenchmark, true);
bool has_dxy = SymbolSelect(InpForexBench, true);
@@ -232,7 +231,7 @@ void OnStart()
if(file_handle == INVALID_HANDLE)
return;
// 3. SCAN & STORE (Phase 1)
// 3. SCAN & STORE
PrintFormat("Scanning %d symbols...", total_symbols);
QuantData results[];
@@ -258,7 +257,7 @@ void OnStart()
}
}
// 4. BREADTH CALCULATION (Phase 2)
// 4. BREADTH & SENTIMENT
int tsi_bull_count = 0;
int vel_pos_count = 0;
int mtf_full_count = 0;
@@ -284,14 +283,12 @@ void OnStart()
else
sentiment_line += "Benchmarks Missing";
// Append Breadth Score to Header Line 1
sentiment_line += StringFormat(" ### BREADTH_SCORE | TSI_BULL: %d/%d (%.0f%%) | VEL_POS: %d/%d (%.0f%%) | MTF_ALIGN: %d ###",
tsi_bull_count, success_count, breadth_tsi, vel_pos_count, success_count, breadth_vel, mtf_full_count);
// 5. WRITE TO FILE (Phase 3)
// 5. WRITE HEADER
FileWrite(file_handle, sentiment_line);
// Header Row
string str_slow = EnumToString(InpTFSlow);
StringReplace(str_slow, "PERIOD_", "");
string str_mid = EnumToString(InpTFMiddle);
@@ -300,9 +297,14 @@ void OnStart()
StringReplace(str_fast, "PERIOD_", "");
string csv_header = "TIME (" + InpBrokerTimeZone + ");SYMBOL;PRICE;";
csv_header += StringFormat("TREND_SC_%s;TREND_QUAL_%s;TREND_SLOPE_%s;ZONE_%s;DIST_PDH_%s;DIST_PDL_%s;REL_STR_%s;BETA_%s;ALPHA_%s;",str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow);
csv_header += StringFormat("MOM_%s;RVOL_%s;SQZ_%s;VWAP_SLOPE_%s;Z_SCORE_%s;VOL_REGIME_%s;COST_ATR_%s;TSI_DIR_%s;",str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid);
// Context Header
csv_header += StringFormat("TREND_SC_%s;TREND_QUAL_%s;TREND_SLOPE_%s;ZONE_%s;REL_STR_%s;BETA_%s;ALPHA_%s;",str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow);
// Flow Header (Added DIST_PDH/PDL with current TF suffix)
csv_header += StringFormat("DIST_PDH_%s;DIST_PDL_%s;MOM_%s;RVOL_%s;SQZ_%s;VWAP_SLOPE_%s;Z_SCORE_%s;VOL_REGIME_%s;COST_ATR_%s;TSI_DIR_%s;",
str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid);
// Trigger Header
csv_header += StringFormat("MOM_%s;RVOL_%s;TSI_DIR_%s;VEL_%s;", str_fast, str_fast, str_fast, str_fast);
csv_header += "REV_PROB;ABSORPTION;MTF_ALIGN";
FileWrite(file_handle, csv_header);
@@ -318,12 +320,12 @@ void OnStart()
DoubleToString(results[i].trend_qual, 2),
DoubleToString(results[i].trend_slope, 2),
results[i].zone,
DoubleToString(results[i].dist_pdh, 2),
DoubleToString(results[i].dist_pdl, 2),
results[i].rel_strength_str,
results[i].beta_str,
results[i].alpha_str,
// Layer 2
DoubleToString(results[i].dist_pdh, 2), // PDH in Flow
DoubleToString(results[i].dist_pdl, 2), // PDL in Flow
DoubleToString(results[i].m15_momentum, 2),
DoubleToString(results[i].m15_vol_qual, 2),
results[i].m15_squeeze,
@@ -349,7 +351,7 @@ void OnStart()
}
//+------------------------------------------------------------------+
//| Core Logic: Run Quant Analysis |
//| Core Logic |
//+------------------------------------------------------------------+
bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
{
@@ -381,19 +383,6 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
data.trend_qual = Calc_ER(slow_o, slow_h, slow_l, slow_c, InpERPeriod);
data.zone = Calc_MurreyZone(sym, InpTFSlow);
// Session Distances
CSessionLevelsCalculator sess_calc;
if(sess_calc.Init(PERIOD_D1))
{
SessionLevels sl;
if(sess_calc.GetLevels(sym, slow_t[idx_s], sl))
{
data.dist_pdh = CMetricsTools::CalculateDistance(slow_c[idx_s], sl.prev_high, slow_atr);
data.dist_pdl = CMetricsTools::CalculateDistance(slow_c[idx_s], sl.prev_low, slow_atr);
}
}
Calc_TSI_Dir(slow_o, slow_h, slow_l, slow_c, data.h1_tsi_dir); // For MTF
// Beta/Alpha
@@ -435,7 +424,7 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
double a_tot = (asset_subset[InpBetaLookback-1] - asset_subset[0]) / asset_subset[0];
double b_tot = (bench_subset[InpBetaLookback-1] - bench_subset[0]) / bench_subset[0];
double alpha_val = stats.CalculateAlpha(a_tot, b_tot, beta_val);
double rel_val = (a_tot - b_tot) * 100.0; // Raw difference usually
double rel_val = (a_tot - b_tot) * 100.0;
data.rel_strength_str = DoubleToString(rel_val, 2) + "%";
data.beta_str = DoubleToString(beta_val, 2);
@@ -478,6 +467,18 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
double atr_s = Calc_ATR(mid_o, mid_h, mid_l, mid_c, 50);
data.m15_vola_regime = (atr_s!=0) ? atr_f/atr_s : 1.0;
// Session Distances (Moved Here)
CSessionLevelsCalculator sess_calc;
if(sess_calc.Init(PERIOD_D1))
{
SessionLevels sl;
if(sess_calc.GetLevels(sym, mid_t[idx_m], sl)) // Pass 'sym' for Safety
{
data.dist_pdh = CMetricsTools::CalculateDistance(mid_c[idx_m], sl.prev_high, mid_atr);
data.dist_pdl = CMetricsTools::CalculateDistance(mid_c[idx_m], sl.prev_low, mid_atr);
}
}
Calc_TSI_Dir(mid_o, mid_h, mid_l, mid_c, data.m15_tsi_dir);
// =================================================================
@@ -539,21 +540,16 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
//+------------------------------------------------------------------+
//| WRAPPER FUNCTIONS (IMPLEMENTATION) |
//+------------------------------------------------------------------+
// Updated FetchData with Sync Logic
bool FetchData(string sym, ENUM_TIMEFRAMES tf, int count, datetime &t[], double &o[], double &h[], double &l[], double &c[], long &v[])
{
// 1. Force Sync first
if(!CDataSync::EnsureDataReady(sym, tf, count))
return false;
return false; // Ensure Sync
ArraySetAsSeries(t, false);
ArraySetAsSeries(o, false);
ArraySetAsSeries(h, false);
ArraySetAsSeries(l, false);
ArraySetAsSeries(c, false);
ArraySetAsSeries(v, false);
// Now Copy should work reliably
if(CopyTime(sym, tf, 0, count, t)!=count || CopyOpen(sym, tf, 0, count, o)!=count ||
CopyHigh(sym, tf, 0, count, h)!=count || CopyLow(sym, tf, 0, count, l)!=count ||
CopyClose(sym, tf, 0, count, c)!=count || CopyTickVolume(sym, tf, 0, count, v)!=count)
@@ -591,7 +587,6 @@ void Calc_VWAP_Series(const datetime &t[], const double &o[], const double &h[],
for(int i=0; i<total; i++)
out_buf[i] = (odd[i]!=EMPTY_VALUE && odd[i]!=0) ? odd[i] : even[i];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
@@ -601,7 +596,6 @@ double Calc_RVOL_Single_Help(const long &vol[], int period, int index)
calc.Init(period);
return calc.CalculateSingle(ArraySize(vol), vol, index);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
@@ -617,7 +611,6 @@ double Calc_Velocity(const double &close[], double atr, int period)
sum_move += MathAbs(close[total-2-i] - close[total-3-i]);
return (sum_move / period) / atr;
}
// Reuse Short Wrappers
double Calc_ATR(const double &o[], const double &h[], const double &l[], const double &c[], int p)
{
@@ -765,4 +758,3 @@ string Calc_MurreyZone(string symbol, ENUM_TIMEFRAMES tf)
return "7/8-8/8 (Top)";
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+