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refactor(indicators): Optimized for incremental calculation
This commit is contained in:
Toh4iem9
@@ -1,132 +1,151 @@
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//+------------------------------------------------------------------+
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//| CCI_Calculator.mqh |
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//| Calculation engine for CCI Pro (CCI, Signal Line, BBands). |
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//| VERSION 2.00: Optimized for incremental calculation. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//+==================================================================+
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//| |
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//| CLASS 1: CCCI_Calculator (Base Class) |
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//| |
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//+==================================================================+
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class CCCI_Calculator
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{
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protected:
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int m_cci_period, m_ma_period, m_bands_period;
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ENUM_MA_METHOD m_ma_method;
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int m_cci_period, m_bands_period;
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double m_bands_dev;
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double m_price[];
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virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type);
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//--- Engine for Signal Line
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CMovingAverageCalculator m_signal_engine;
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//--- Persistent Buffers
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double m_price[];
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double m_sma_buffer[]; // Simple Moving Average of Price
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double m_mad_buffer[]; // Mean Absolute Deviation
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//--- Updated: Accepts start_index
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virtual bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CCCI_Calculator(void) {};
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virtual ~CCCI_Calculator(void) {};
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bool Init(int cci_p, int ma_p, ENUM_MA_METHOD ma_m, int bands_p, double bands_dev);
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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//--- Init now takes ENUM_MA_TYPE
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bool Init(int cci_p, int ma_p, ENUM_MA_TYPE ma_m, int bands_p, double bands_dev);
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//--- Updated: Accepts prev_calculated
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &cci_out[], double &signal_out[], double &upper_out[], double &lower_out[]);
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};
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//+------------------------------------------------------------------+
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//| CCCI_Calculator: Initialization |
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//| Init |
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//+------------------------------------------------------------------+
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bool CCCI_Calculator::Init(int cci_p, int ma_p, ENUM_MA_METHOD ma_m, int bands_p, double bands_dev)
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bool CCCI_Calculator::Init(int cci_p, int ma_p, ENUM_MA_TYPE ma_m, int bands_p, double bands_dev)
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{
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m_cci_period = (cci_p < 1) ? 1 : cci_p;
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m_ma_period = (ma_p < 1) ? 1 : ma_p;
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m_ma_method = ma_m;
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m_bands_period = (bands_p < 1) ? 1 : bands_p;
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m_bands_dev = (bands_dev <= 0) ? 2.0 : bands_dev;
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// Initialize Signal Engine
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if(!m_signal_engine.Init(ma_p, ma_m))
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return false;
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return true;
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}
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//+------------------------------------------------------------------+
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//| CCCI_Calculator: Main Calculation Method (Shared Logic) |
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CCCI_Calculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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void CCCI_Calculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &cci_out[], double &signal_out[], double &upper_out[], double &lower_out[])
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{
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// Minimum bars check
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if(rates_total <= m_cci_period + m_bands_period)
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return;
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if(!PreparePriceSeries(rates_total, open, high, low, close, price_type))
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int start_index;
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if(prev_calculated == 0)
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start_index = 0;
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else
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start_index = prev_calculated - 1;
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// Resize Buffers
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArrayResize(m_sma_buffer, rates_total);
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ArrayResize(m_mad_buffer, rates_total);
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}
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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double buffer_sma[], buffer_mad[];
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ArrayResize(buffer_sma, rates_total);
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ArrayResize(buffer_mad, rates_total);
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const double CCI_CONSTANT = 0.015;
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//--- Calculate CCI ---
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double sma_sum = 0;
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for(int i = 0; i < rates_total; i++)
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//--- 1. Calculate SMA of Price (Incremental)
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// We can use a sliding window sum for O(1) SMA calculation, but standard loop is safer for now.
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// Optimization: Only calculate for new bars.
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int loop_start_sma = MathMax(m_cci_period - 1, start_index);
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for(int i = loop_start_sma; i < rates_total; i++)
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{
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sma_sum += m_price[i];
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if(i >= m_cci_period)
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sma_sum -= m_price[i - m_cci_period];
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if(i >= m_cci_period - 1)
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buffer_sma[i] = sma_sum / m_cci_period;
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double sum = 0;
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for(int j = 0; j < m_cci_period; j++)
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sum += m_price[i-j];
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m_sma_buffer[i] = sum / m_cci_period;
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}
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for(int i = m_cci_period - 1; i < rates_total; i++)
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//--- 2. Calculate Mean Absolute Deviation (MAD)
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for(int i = loop_start_sma; i < rates_total; i++)
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{
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double deviation_sum = 0;
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for(int j = 0; j < m_cci_period; j++)
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deviation_sum += MathAbs(m_price[i - j] - buffer_sma[i]);
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buffer_mad[i] = deviation_sum / m_cci_period;
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}
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for(int i = m_cci_period - 1; i < rates_total; i++)
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{
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if(buffer_mad[i] > 0)
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cci_out[i] = (m_price[i] - buffer_sma[i]) / (CCI_CONSTANT * buffer_mad[i]);
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deviation_sum += MathAbs(m_price[i - j] - m_sma_buffer[i]);
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m_mad_buffer[i] = deviation_sum / m_cci_period;
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}
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//--- Calculate Signal Line (MA of CCI) ---
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int ma_start_pos = m_cci_period + m_ma_period - 2;
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for(int i = ma_start_pos; i < rates_total; i++)
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//--- 3. Calculate CCI
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if(prev_calculated == 0)
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ArrayInitialize(cci_out, EMPTY_VALUE);
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for(int i = loop_start_sma; i < rates_total; i++)
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{
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switch(m_ma_method)
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{
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case MODE_EMA:
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case MODE_SMMA:
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if(i == ma_start_pos)
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{
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double sum=0;
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for(int j=0; j<m_ma_period; j++)
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sum+=cci_out[i-j];
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signal_out[i]=sum/m_ma_period;
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}
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else
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{
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if(m_ma_method==MODE_EMA)
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{
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double pr=2.0/(m_ma_period+1.0);
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signal_out[i]=cci_out[i]*pr+signal_out[i-1]*(1.0-pr);
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}
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else
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signal_out[i]=(signal_out[i-1]*(m_ma_period-1)+cci_out[i])/m_ma_period;
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}
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break;
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case MODE_LWMA:
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{double sum=0,w_sum=0; for(int j=0; j<m_ma_period; j++) {int w=m_ma_period-j; sum+=cci_out[i-j]*w; w_sum+=w;} if(w_sum>0) signal_out[i]=sum/w_sum;}
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break;
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default:
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{double sum=0; for(int j=0; j<m_ma_period; j++) sum+=cci_out[i-j]; signal_out[i]=sum/m_ma_period;}
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break;
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}
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if(m_mad_buffer[i] > 0)
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cci_out[i] = (m_price[i] - m_sma_buffer[i]) / (CCI_CONSTANT * m_mad_buffer[i]);
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else
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cci_out[i] = 0;
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}
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//--- Calculate Bollinger Bands (on CCI, centered on Signal Line) ---
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int bands_start_pos = m_cci_period + m_bands_period - 2;
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for(int i = bands_start_pos; i < rates_total; i++)
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//--- 4. Calculate Signal Line (Using Engine)
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// CCI is valid from index: m_cci_period - 1
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int cci_offset = m_cci_period - 1;
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m_signal_engine.CalculateOnArray(rates_total, prev_calculated, cci_out, signal_out, cci_offset);
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//--- 5. Calculate Bollinger Bands (Optimized)
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// Bands are based on CCI and centered on Signal Line
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int ma_period = m_signal_engine.GetPeriod();
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int bands_start_pos = cci_offset + ma_period - 1; // Where signal line starts
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int loop_start_bands = MathMax(bands_start_pos, start_index);
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if(prev_calculated == 0)
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{
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ArrayInitialize(upper_out, EMPTY_VALUE);
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ArrayInitialize(lower_out, EMPTY_VALUE);
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}
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for(int i = loop_start_bands; i < rates_total; i++)
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{
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if(signal_out[i] == EMPTY_VALUE)
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continue;
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double std_dev = 0, sum_sq = 0;
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// Standard Deviation of CCI around the Signal Line
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for(int j = 0; j < m_bands_period; j++)
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sum_sq += MathPow(cci_out[i-j] - signal_out[i], 2);
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std_dev = MathSqrt(sum_sq / m_bands_period);
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upper_out[i] = signal_out[i] + m_bands_dev * std_dev;
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lower_out[i] = signal_out[i] - m_bands_dev * std_dev;
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@@ -134,95 +153,98 @@ void CCCI_Calculator::Calculate(int rates_total, const double &open[], const dou
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}
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//+------------------------------------------------------------------+
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//| CCCI_Calculator: Prepares the standard source price series. |
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CCCI_Calculator::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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bool CCCI_Calculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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ArrayResize(m_price, rates_total);
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switch(price_type)
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for(int i = start_index; i < rates_total; i++)
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{
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case PRICE_OPEN:
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ArrayCopy(m_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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break;
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case PRICE_TYPICAL:
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
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break;
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default:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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break;
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default:
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m_price[i] = close[i];
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break;
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}
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}
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return true;
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}
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//+==================================================================+
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//| |
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//| CLASS 2: CCCI_Calculator_HA (Heikin Ashi) |
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//| |
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//| CLASS 2: CCCI_Calculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CCCI_Calculator_HA : public CCCI_Calculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) override;
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virtual bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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};
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//+------------------------------------------------------------------+
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//| CCCI_Calculator_HA: Prepares the Heikin Ashi source price. |
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//| |
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//+------------------------------------------------------------------+
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bool CCCI_Calculator_HA::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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bool CCCI_Calculator_HA::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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ArrayResize(m_price, rates_total);
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switch(price_type)
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if(ArraySize(m_ha_open) != rates_total)
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{
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case PRICE_OPEN:
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, ha_low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0;
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break;
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default:
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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break;
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ArrayResize(m_ha_open, rates_total);
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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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}
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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for(int i = start_index; i < rates_total; i++)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
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break;
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default:
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m_price[i] = m_ha_close[i];
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break;
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}
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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