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refactor: Unified Native & MTF Release with Robust Volume-Weighted Dispersion
This commit is contained in:
Toh4iem9
@@ -3,116 +3,370 @@
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//| Copyright 2026, xxxxxxxx|
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "2.00" // Bulletproof Sync & Gapped Drawing
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#property version "3.00" // Unified Native & MTF Release with Robust Volume-Weighted Dispersion
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#property description "VWAP with Volume-Weighted Standard Deviation Bands."
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#property description "Volume Weighted Average Price (VWAP) with Volume-Weighted Standard Deviation Bands."
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#property description "Bands only display for the Current Session."
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#property description "Features unified Native & MTF pipelines, odd/even gapped lines, and session focus."
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#property indicator_chart_window
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#property indicator_chart_window
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#property indicator_buffers 8
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#property indicator_buffers 8
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#property indicator_plots 8
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#property indicator_plots 8
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// Plot 1-2: VWAP (Odd/Even for Gapped Drawing)
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//--- Plot 1-2: VWAP (Odd/Even for Gapped Drawing)
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#property indicator_label1 "VWAP"
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#property indicator_label1 "VWAP"
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#property indicator_type1 DRAW_LINE
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrOrange
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#property indicator_color1 clrOrange
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#property indicator_style1 STYLE_SOLID
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 1
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#property indicator_width1 2
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#property indicator_label2 ""
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#property indicator_label2 ""
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#property indicator_type2 DRAW_LINE
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrOrange
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#property indicator_color2 clrOrange
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#property indicator_style2 STYLE_SOLID
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#property indicator_style2 STYLE_SOLID
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#property indicator_width2 1
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#property indicator_width2 2
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// Plot 3-4: Band 1 (+/-)
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//--- Plot 3-4: Band 1 (+/- 1.0 Sigma)
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#property indicator_label3 "Upper Band 1"
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#property indicator_label3 "Upper Band 1"
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#property indicator_type3 DRAW_LINE
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#property indicator_type3 DRAW_LINE
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#property indicator_color3 clrDodgerBlue
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#property indicator_color3 clrDodgerBlue
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#property indicator_style3 STYLE_SOLID
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#property indicator_style3 STYLE_SOLID
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#property indicator_width3 1
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#property indicator_label4 "Lower Band 1"
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#property indicator_label4 "Lower Band 1"
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#property indicator_type4 DRAW_LINE
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#property indicator_type4 DRAW_LINE
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#property indicator_color4 clrDodgerBlue
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#property indicator_color4 clrDodgerBlue
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#property indicator_style4 STYLE_SOLID
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#property indicator_style4 STYLE_SOLID
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#property indicator_width3 1
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// Plot 5-6: Band 2 (+/-)
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//--- Plot 5-6: Band 2 (+/- 2.0 Sigma)
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#property indicator_label5 "Upper Band 2"
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#property indicator_label5 "Upper Band 2"
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#property indicator_type5 DRAW_LINE
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#property indicator_type5 DRAW_LINE
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#property indicator_color5 clrCoral
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#property indicator_color5 clrCoral
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#property indicator_style5 STYLE_SOLID
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#property indicator_style5 STYLE_SOLID
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#property indicator_width5 1
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#property indicator_label6 "Lower Band 2"
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#property indicator_label6 "Lower Band 2"
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#property indicator_type6 DRAW_LINE
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#property indicator_type6 DRAW_LINE
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#property indicator_color6 clrCoral
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#property indicator_color6 clrCoral
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#property indicator_style6 STYLE_SOLID
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#property indicator_style6 STYLE_SOLID
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#property indicator_width6 1
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// Plot 7-8: Band 3 (+/-)
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//--- Plot 7-8: Band 3 (+/- 3.0 Sigma)
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#property indicator_label7 "Upper Band 3"
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#property indicator_label7 "Upper Band 3"
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#property indicator_type7 DRAW_LINE
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#property indicator_type7 DRAW_LINE
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#property indicator_color7 clrRed
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#property indicator_color7 clrCrimson
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#property indicator_style7 STYLE_SOLID
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#property indicator_style7 STYLE_SOLID
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#property indicator_width7 1
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#property indicator_label8 "Lower Band 3"
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#property indicator_label8 "Lower Band 3"
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#property indicator_type8 DRAW_LINE
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#property indicator_type8 DRAW_LINE
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#property indicator_color8 clrRed
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#property indicator_color8 clrCrimson
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#property indicator_style8 STYLE_SOLID
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#property indicator_style8 STYLE_SOLID
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#property indicator_width8 1
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//--- Included Engines & Central Tools
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#include <MyIncludes\VWAP_Calculator.mqh>
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#include <MyIncludes\VWAP_Calculator.mqh>
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#include <MyIncludes\DataSync_Tools.mqh>
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//--- Input Parameters
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//--- Enum for selecting candle source ---
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input group "VWAP Settings"
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#ifndef ENUM_CANDLE_SOURCE_DEFINED
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input ENUM_VWAP_PERIOD InpResetPeriod = PERIOD_SESSION;
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#define ENUM_CANDLE_SOURCE_DEFINED
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input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK;
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enum ENUM_CANDLE_SOURCE
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input int InpTzShift = 0; // Timezone shift (Hours)
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{
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CANDLE_STANDARD, // Use standard OHLC data
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CANDLE_HEIKIN_ASHI // Use Heikin Ashi smoothed data
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};
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#endif
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input group "Bands Settings"
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//--- Input Parameters ---
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input double InpBand1Mult = 1.0;
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input group "--- Timeframe Settings ---"
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input double InpBand2Mult = 2.0;
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF)
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input double InpBand3Mult = 3.0;
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//--- Buffers
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input group "--- VWAP Settings ---"
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input ENUM_VWAP_PERIOD InpResetPeriod = PERIOD_SESSION; // Reset Period
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input int InpTzShift = 0; // Timezone Shift in hours vs Broker Time
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input string InpCustomSessionStart = "09:30"; // Start time (HH:MM) for Custom Session
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input string InpCustomSessionEnd = "16:00"; // End time (HH:MM) for Custom Session
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input group "--- Calculation Settings ---"
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input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK; // Volume Type
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input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Candle Source
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input group "--- Bands Settings ---"
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input double InpBand1Mult = 1.0; // Band 1 Multiplier (Sigma)
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input double InpBand2Mult = 2.0; // Band 2 Multiplier (Sigma)
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input double InpBand3Mult = 3.0; // Band 3 Multiplier (Sigma)
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input bool InpCurrentSessionOnly = true; // Display Bands for Most Recent Session Only?
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input group "--- Visual Settings - VWAP Centerline ---"
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input color InpColorVWAP = clrOrange; // Centerline Color
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input ENUM_LINE_STYLE InpStyleVWAP = STYLE_SOLID; // Centerline Style
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input int InpWidthVWAP = 2; // Centerline Width
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input group "--- Visual Settings - Bands Colors ---"
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input color InpColorBand1 = clrDodgerBlue; // Band 1 Color (+/- 1σ)
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input color InpColorBand2 = clrCoral; // Band 2 Color (+/- 2σ)
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input color InpColorBand3 = clrCrimson; // Band 3 Color (+/- 3σ)
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//--- Visual Indicator Buffers ---
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double BufVWAP_Odd[];
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double BufVWAP_Odd[];
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double BufVWAP_Even[];
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double BufVWAP_Even[];
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double BufUp1[], BufDn1[];
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double BufUp1[], BufDn1[];
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double BufUp2[], BufDn2[];
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double BufUp2[], BufDn2[];
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double BufUp3[], BufDn3[];
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double BufUp3[], BufDn3[];
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//--- Calculator
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//--- Internal HTF Data Caches (Chronological Arrays)
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CVWAPCalculator *g_vwap;
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double h_open[], h_high[], h_low[], h_close[];
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long h_tick_vol[], h_vol[];
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double h_res_odd[], h_res_even[];
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double h_res_up1[], h_res_dn1[];
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double h_res_up2[], h_res_dn2[];
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double h_res_up3[], h_res_dn3[];
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datetime h_time[];
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//--- Global Objects & State Management
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CVWAPCalculator *g_calculator = NULL;
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bool g_is_mtf_mode = false;
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ENUM_TIMEFRAMES g_calc_timeframe;
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bool g_data_ready = false;
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bool g_data_synced = false;
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int g_htf_count = 0;
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datetime g_last_htf_time = 0;
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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//| Init |
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//| Custom Indicator Initialization |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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int OnInit()
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int OnInit()
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{
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{
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SetIndexBuffer(0, BufVWAP_Odd, INDICATOR_DATA);
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g_data_ready = false;
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g_data_synced = false;
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g_htf_count = 0;
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g_last_htf_time = 0;
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// 1. Resolve Timeframe and validate direction
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g_calc_timeframe = InpTimeframe;
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if(g_calc_timeframe == PERIOD_CURRENT)
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g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
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if(g_calc_timeframe < Period())
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{
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PrintFormat("Critical Error: Target timeframe (%s) must be >= current timeframe (%s).",
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EnumToString(g_calc_timeframe), EnumToString(Period()));
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return INIT_PARAMETERS_INCORRECT;
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}
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g_is_mtf_mode = (g_calc_timeframe > Period());
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// 2. Bind Buffers
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SetIndexBuffer(0, BufVWAP_Odd, INDICATOR_DATA);
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SetIndexBuffer(1, BufVWAP_Even, INDICATOR_DATA);
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SetIndexBuffer(1, BufVWAP_Even, INDICATOR_DATA);
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SetIndexBuffer(2, BufUp1, INDICATOR_DATA);
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SetIndexBuffer(2, BufUp1, INDICATOR_DATA);
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SetIndexBuffer(3, BufDn1, INDICATOR_DATA);
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SetIndexBuffer(3, BufDn1, INDICATOR_DATA);
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SetIndexBuffer(4, BufUp2, INDICATOR_DATA);
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SetIndexBuffer(4, BufUp2, INDICATOR_DATA);
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SetIndexBuffer(5, BufDn2, INDICATOR_DATA);
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SetIndexBuffer(5, BufDn2, INDICATOR_DATA);
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SetIndexBuffer(6, BufUp3, INDICATOR_DATA);
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SetIndexBuffer(6, BufUp3, INDICATOR_DATA);
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SetIndexBuffer(7, BufDn3, INDICATOR_DATA);
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SetIndexBuffer(7, BufDn3, INDICATOR_DATA);
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// Disable drawing for empty values (Crucial for gapped lines)
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for(int i = 0; i < 8; i++)
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for(int i=0; i<8; i++)
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PlotIndexSetDouble(i, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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PlotIndexSetDouble(i, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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PlotIndexSetString(1, PLOT_LABEL, "VWAP (Segment)");
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g_vwap = new CVWAPCalculator();
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ArraySetAsSeries(BufVWAP_Odd, false);
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if(!g_vwap.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 0))
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ArraySetAsSeries(BufVWAP_Even, false);
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ArraySetAsSeries(BufUp1, false);
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ArraySetAsSeries(BufDn1, false);
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ArraySetAsSeries(BufUp2, false);
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ArraySetAsSeries(BufDn2, false);
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ArraySetAsSeries(BufUp3, false);
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ArraySetAsSeries(BufDn3, false);
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ArrayInitialize(BufVWAP_Odd, EMPTY_VALUE);
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ArrayInitialize(BufVWAP_Even, EMPTY_VALUE);
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ArrayInitialize(BufUp1, EMPTY_VALUE);
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ArrayInitialize(BufDn1, EMPTY_VALUE);
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ArrayInitialize(BufUp2, EMPTY_VALUE);
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ArrayInitialize(BufDn2, EMPTY_VALUE);
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ArrayInitialize(BufUp3, EMPTY_VALUE);
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ArrayInitialize(BufDn3, EMPTY_VALUE);
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// 3. Configure Dynamic Visual Styling
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PlotIndexSetInteger(0, PLOT_LINE_COLOR, InpColorVWAP);
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PlotIndexSetInteger(0, PLOT_LINE_STYLE, InpStyleVWAP);
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PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthVWAP);
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PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorVWAP);
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PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleVWAP);
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PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthVWAP);
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PlotIndexSetString(1, PLOT_LABEL, "VWAP (Segment)");
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PlotIndexSetInteger(2, PLOT_LINE_COLOR, InpColorBand1);
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PlotIndexSetInteger(3, PLOT_LINE_COLOR, InpColorBand1);
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PlotIndexSetInteger(4, PLOT_LINE_COLOR, InpColorBand2);
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PlotIndexSetInteger(5, PLOT_LINE_COLOR, InpColorBand2);
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PlotIndexSetInteger(6, PLOT_LINE_COLOR, InpColorBand3);
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PlotIndexSetInteger(7, PLOT_LINE_COLOR, InpColorBand3);
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// 4. Initialize Core Calculator Engine
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if(InpCandleSource == CANDLE_HEIKIN_ASHI)
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g_calculator = new CVWAPCalculator_HA();
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else
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g_calculator = new CVWAPCalculator();
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if(CheckPointer(g_calculator) == POINTER_INVALID)
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{
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Print("Critical Error: Failed to create VWAP Calculator object.");
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return INIT_FAILED;
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return INIT_FAILED;
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}
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IndicatorSetString(INDICATOR_SHORTNAME, "VWAP Bands Pro");
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bool init_success = false;
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if(InpResetPeriod == PERIOD_CUSTOM_SESSION)
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init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 0, InpTzShift);
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else
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init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 0);
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if(!init_success)
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{
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Print("Critical Error: Failed to initialize VWAP Calculator logic.");
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return INIT_FAILED;
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}
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string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : "";
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string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
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string short_name = StringFormat("VWAP Bands%s%s(%s)", ha_tag, tf_str, EnumToString(InpResetPeriod));
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IndicatorSetString(INDICATOR_SHORTNAME, short_name);
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IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
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IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
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// 5. Initialize Background Synchronization Timer (Only for MTF mode)
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if(g_is_mtf_mode)
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EventSetTimer(1);
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return(INIT_SUCCEEDED);
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return(INIT_SUCCEEDED);
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}
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}
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void OnDeinit(const int r) { if(CheckPointer(g_vwap)==POINTER_DYNAMIC) delete g_vwap; }
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//+------------------------------------------------------------------+
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//| Custom Indicator Deinitialization |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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if(g_is_mtf_mode)
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EventKillTimer();
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if(CheckPointer(g_calculator) != POINTER_INVALID)
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{
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delete g_calculator;
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g_calculator = NULL;
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}
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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//| Calculate |
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//| Helper: Compute Volume-Weighted Standard Deviation Bands |
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//+------------------------------------------------------------------+
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void CalculateVWAPBands(const int total_bars,
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const double &open_arr[],
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const double &high_arr[],
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const double &low_arr[],
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const double &close_arr[],
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const long &tick_vol_arr[],
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const long &vol_arr[],
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const ENUM_APPLIED_VOLUME vol_type,
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const double &vwap_odd_arr[],
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const double &vwap_even_arr[],
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const bool current_session_only,
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double &up1[], double &dn1[],
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double &up2[], double &dn2[],
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double &up3[], double &dn3[])
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{
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ArrayInitialize(up1, EMPTY_VALUE);
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ArrayInitialize(dn1, EMPTY_VALUE);
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ArrayInitialize(up2, EMPTY_VALUE);
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ArrayInitialize(dn2, EMPTY_VALUE);
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ArrayInitialize(up3, EMPTY_VALUE);
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ArrayInitialize(dn3, EMPTY_VALUE);
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// 1. Identify Most Recent Session Range
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int most_recent_end = -1;
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int most_recent_start = -1;
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for(int i = total_bars - 1; i >= 0; i--)
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{
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if(vwap_odd_arr[i] != EMPTY_VALUE || vwap_even_arr[i] != EMPTY_VALUE)
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{
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most_recent_end = i;
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||||||
|
break;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
if(most_recent_end >= 0)
|
||||||
|
{
|
||||||
|
bool is_odd_target = (vwap_odd_arr[most_recent_end] != EMPTY_VALUE);
|
||||||
|
most_recent_start = most_recent_end;
|
||||||
|
|
||||||
|
for(int i = most_recent_end; i >= 0; i--)
|
||||||
|
{
|
||||||
|
bool is_valid = is_odd_target ? (vwap_odd_arr[i] != EMPTY_VALUE) : (vwap_even_arr[i] != EMPTY_VALUE);
|
||||||
|
if(!is_valid)
|
||||||
|
break;
|
||||||
|
most_recent_start = i;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// 2. Calculate Running Volume-Weighted Standard Deviation
|
||||||
|
int start_bar = (current_session_only && most_recent_start >= 0) ? most_recent_start : 0;
|
||||||
|
int end_bar = (current_session_only && most_recent_end >= 0) ? most_recent_end : (total_bars - 1);
|
||||||
|
|
||||||
|
double cum_vol = 0.0;
|
||||||
|
double cum_tpv2 = 0.0;
|
||||||
|
int last_session_tag = 0; // 0=None, 1=Odd, 2=Even
|
||||||
|
|
||||||
|
for(int i = start_bar; i <= end_bar; i++)
|
||||||
|
{
|
||||||
|
bool is_odd = (vwap_odd_arr[i] != EMPTY_VALUE);
|
||||||
|
bool is_even = (vwap_even_arr[i] != EMPTY_VALUE);
|
||||||
|
|
||||||
|
if(!is_odd && !is_even)
|
||||||
|
{
|
||||||
|
last_session_tag = 0;
|
||||||
|
cum_vol = 0.0;
|
||||||
|
cum_tpv2 = 0.0;
|
||||||
|
continue;
|
||||||
|
}
|
||||||
|
|
||||||
|
int session_tag = is_odd ? 1 : 2;
|
||||||
|
if(session_tag != last_session_tag)
|
||||||
|
{
|
||||||
|
cum_vol = 0.0;
|
||||||
|
cum_tpv2 = 0.0;
|
||||||
|
last_session_tag = session_tag;
|
||||||
|
}
|
||||||
|
|
||||||
|
double vwap = is_odd ? vwap_odd_arr[i] : vwap_even_arr[i];
|
||||||
|
|
||||||
|
if(vwap != EMPTY_VALUE && vwap > 0.0)
|
||||||
|
{
|
||||||
|
double tp = (high_arr[i] + low_arr[i] + close_arr[i]) / 3.0;
|
||||||
|
long v_raw = (vol_type == VOLUME_REAL) ? vol_arr[i] : tick_vol_arr[i];
|
||||||
|
double vol = (v_raw < 1) ? 1.0 : (double)v_raw;
|
||||||
|
|
||||||
|
cum_vol += vol;
|
||||||
|
cum_tpv2 += (tp * tp) * vol;
|
||||||
|
|
||||||
|
if(cum_vol > 0.0)
|
||||||
|
{
|
||||||
|
// Variance = E[P^2] - (E[P])^2
|
||||||
|
double variance = (cum_tpv2 / cum_vol) - (vwap * vwap);
|
||||||
|
double stddev = (variance > 0.0) ? MathSqrt(variance) : 0.0;
|
||||||
|
|
||||||
|
up1[i] = vwap + (InpBand1Mult * stddev);
|
||||||
|
dn1[i] = vwap - (InpBand1Mult * stddev);
|
||||||
|
up2[i] = vwap + (InpBand2Mult * stddev);
|
||||||
|
dn2[i] = vwap - (InpBand2Mult * stddev);
|
||||||
|
up3[i] = vwap + (InpBand3Mult * stddev);
|
||||||
|
dn3[i] = vwap - (InpBand3Mult * stddev);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
//+------------------------------------------------------------------+
|
||||||
|
//| Custom Indicator Calculation Loop |
|
||||||
//+------------------------------------------------------------------+
|
//+------------------------------------------------------------------+
|
||||||
int OnCalculate(const int rates_total,
|
int OnCalculate(const int rates_total,
|
||||||
const int prev_calculated,
|
const int prev_calculated,
|
||||||
@@ -125,77 +379,220 @@ int OnCalculate(const int rates_total,
|
|||||||
const long &volume[],
|
const long &volume[],
|
||||||
const int &spread[])
|
const int &spread[])
|
||||||
{
|
{
|
||||||
if(rates_total < 2)
|
if(rates_total < 2 || CheckPointer(g_calculator) == POINTER_INVALID)
|
||||||
return 0;
|
return 0;
|
||||||
|
|
||||||
// 1. Run Original VWAP Calculator (Fills Odd/Even properly)
|
// Force chronological indexing on current timeframe arrays
|
||||||
g_vwap.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, BufVWAP_Odd, BufVWAP_Even);
|
ArraySetAsSeries(time, false);
|
||||||
|
ArraySetAsSeries(open, false);
|
||||||
|
ArraySetAsSeries(high, false);
|
||||||
|
ArraySetAsSeries(low, false);
|
||||||
|
ArraySetAsSeries(close, false);
|
||||||
|
ArraySetAsSeries(tick_volume, false);
|
||||||
|
ArraySetAsSeries(volume, false);
|
||||||
|
|
||||||
// 2. Find the Start of the Current Session
|
//===================================================================
|
||||||
// We look backwards until the Odd/Even status flips.
|
// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1))
|
||||||
int current_session_start = 0;
|
//===================================================================
|
||||||
|
if(!g_is_mtf_mode)
|
||||||
for(int i = rates_total - 1; i > 0; i--)
|
|
||||||
{
|
{
|
||||||
bool is_odd_now = (BufVWAP_Odd[i] != EMPTY_VALUE && BufVWAP_Odd[i] != 0);
|
// 1. Calculate VWAP Odd/Even Lines
|
||||||
bool is_odd_prev = (BufVWAP_Odd[i-1] != EMPTY_VALUE && BufVWAP_Odd[i-1] != 0);
|
g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close,
|
||||||
|
tick_volume, volume, BufVWAP_Odd, BufVWAP_Even);
|
||||||
|
|
||||||
if(is_odd_now != is_odd_prev)
|
// 2. Calculate Running Volume-Weighted Standard Deviation Bands
|
||||||
|
CalculateVWAPBands(rates_total, open, high, low, close, tick_volume, volume, InpVolumeType,
|
||||||
|
BufVWAP_Odd, BufVWAP_Even, InpCurrentSessionOnly,
|
||||||
|
BufUp1, BufDn1, BufUp2, BufDn2, BufUp3, BufDn3);
|
||||||
|
|
||||||
|
return rates_total;
|
||||||
|
}
|
||||||
|
|
||||||
|
//===================================================================
|
||||||
|
// MODE 2: Multi-Timeframe Engine (Warp-free Step Synchronization)
|
||||||
|
//===================================================================
|
||||||
|
int required_bars = 10;
|
||||||
|
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
|
||||||
|
{
|
||||||
|
g_data_synced = false;
|
||||||
|
return 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
g_data_synced = true;
|
||||||
|
|
||||||
|
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
|
||||||
|
bool htf_updated = (htf_time_current != g_last_htf_time);
|
||||||
|
|
||||||
|
if(htf_updated || prev_calculated == 0)
|
||||||
|
{
|
||||||
|
g_last_htf_time = htf_time_current;
|
||||||
|
|
||||||
|
int htf_bars = iBars(_Symbol, g_calc_timeframe);
|
||||||
|
if(htf_bars < required_bars)
|
||||||
{
|
{
|
||||||
current_session_start = i;
|
g_data_ready = false;
|
||||||
break;
|
return 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
g_htf_count = MathMin(htf_bars, 3000); // Memory safeguard
|
||||||
|
|
||||||
|
// Resize all HTF caching arrays
|
||||||
|
ArrayResize(h_time, g_htf_count);
|
||||||
|
ArrayResize(h_open, g_htf_count);
|
||||||
|
ArrayResize(h_high, g_htf_count);
|
||||||
|
ArrayResize(h_low, g_htf_count);
|
||||||
|
ArrayResize(h_close, g_htf_count);
|
||||||
|
ArrayResize(h_tick_vol, g_htf_count);
|
||||||
|
ArrayResize(h_vol, g_htf_count);
|
||||||
|
ArrayResize(h_res_odd, g_htf_count);
|
||||||
|
ArrayResize(h_res_even, g_htf_count);
|
||||||
|
ArrayResize(h_res_up1, g_htf_count);
|
||||||
|
ArrayResize(h_res_dn1, g_htf_count);
|
||||||
|
ArrayResize(h_res_up2, g_htf_count);
|
||||||
|
ArrayResize(h_res_dn2, g_htf_count);
|
||||||
|
ArrayResize(h_res_up3, g_htf_count);
|
||||||
|
ArrayResize(h_res_dn3, g_htf_count);
|
||||||
|
|
||||||
|
// Force chronological alignment
|
||||||
|
ArraySetAsSeries(h_time, false);
|
||||||
|
ArraySetAsSeries(h_open, false);
|
||||||
|
ArraySetAsSeries(h_high, false);
|
||||||
|
ArraySetAsSeries(h_low, false);
|
||||||
|
ArraySetAsSeries(h_close, false);
|
||||||
|
ArraySetAsSeries(h_tick_vol, false);
|
||||||
|
ArraySetAsSeries(h_vol, false);
|
||||||
|
ArraySetAsSeries(h_res_odd, false);
|
||||||
|
ArraySetAsSeries(h_res_even, false);
|
||||||
|
ArraySetAsSeries(h_res_up1, false);
|
||||||
|
ArraySetAsSeries(h_res_dn1, false);
|
||||||
|
ArraySetAsSeries(h_res_up2, false);
|
||||||
|
ArraySetAsSeries(h_res_dn2, false);
|
||||||
|
ArraySetAsSeries(h_res_up3, false);
|
||||||
|
ArraySetAsSeries(h_res_dn3, false);
|
||||||
|
|
||||||
|
// Copy pricing & volume data
|
||||||
|
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 ||
|
||||||
|
CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count ||
|
||||||
|
CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count ||
|
||||||
|
CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count ||
|
||||||
|
CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_tick_vol) != g_htf_count)
|
||||||
|
{
|
||||||
|
g_data_ready = false;
|
||||||
|
return 0;
|
||||||
|
}
|
||||||
|
|
||||||
|
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
|
||||||
|
if(vol_limit > 0)
|
||||||
|
CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol);
|
||||||
|
else
|
||||||
|
ArrayCopy(h_vol, h_tick_vol, 0, 0, g_htf_count);
|
||||||
|
|
||||||
|
// Compute HTF VWAP Values
|
||||||
|
g_calculator.Calculate(g_htf_count, 0, h_time, h_open, h_high, h_low, h_close,
|
||||||
|
h_tick_vol, h_vol, h_res_odd, h_res_even);
|
||||||
|
|
||||||
|
// Calculate HTF Bands
|
||||||
|
CalculateVWAPBands(g_htf_count, h_open, h_high, h_low, h_close, h_tick_vol, h_vol, InpVolumeType,
|
||||||
|
h_res_odd, h_res_even, false,
|
||||||
|
h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3);
|
||||||
|
|
||||||
|
g_data_ready = true;
|
||||||
|
}
|
||||||
|
|
||||||
|
if(!g_data_ready)
|
||||||
|
return 0;
|
||||||
|
|
||||||
|
// 5. Stateful live-bar update for active forming HTF candle
|
||||||
|
int live_idx = g_htf_count - 1;
|
||||||
|
if(live_idx >= required_bars)
|
||||||
|
{
|
||||||
|
double o[1], h[1], l[1], c[1];
|
||||||
|
datetime t_bar[1];
|
||||||
|
long tv[1], v[1];
|
||||||
|
|
||||||
|
int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false);
|
||||||
|
if(shift >= 0 &&
|
||||||
|
CopyTime(_Symbol, g_calc_timeframe, shift, 1, t_bar) == 1 &&
|
||||||
|
CopyOpen(_Symbol, g_calc_timeframe, shift, 1, o) == 1 &&
|
||||||
|
CopyHigh(_Symbol, g_calc_timeframe, shift, 1, h) == 1 &&
|
||||||
|
CopyLow(_Symbol, g_calc_timeframe, shift, 1, l) == 1 &&
|
||||||
|
CopyClose(_Symbol, g_calc_timeframe, shift, 1, c) == 1 &&
|
||||||
|
CopyTickVolume(_Symbol, g_calc_timeframe, shift, 1, tv) == 1)
|
||||||
|
{
|
||||||
|
h_time[live_idx] = t_bar[0];
|
||||||
|
h_open[live_idx] = o[0];
|
||||||
|
h_high[live_idx] = h[0];
|
||||||
|
h_low[live_idx] = l[0];
|
||||||
|
h_close[live_idx] = c[0];
|
||||||
|
h_tick_vol[live_idx] = tv[0];
|
||||||
|
|
||||||
|
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
|
||||||
|
if(vol_limit > 0 && CopyRealVolume(_Symbol, g_calc_timeframe, shift, 1, v) == 1)
|
||||||
|
h_vol[live_idx] = v[0];
|
||||||
|
else
|
||||||
|
h_vol[live_idx] = tv[0];
|
||||||
|
|
||||||
|
// Mock update on live bar
|
||||||
|
g_calculator.Calculate(g_htf_count, g_htf_count, h_time, h_open, h_high, h_low, h_close,
|
||||||
|
h_tick_vol, h_vol, h_res_odd, h_res_even);
|
||||||
|
|
||||||
|
CalculateVWAPBands(g_htf_count, h_open, h_high, h_low, h_close, h_tick_vol, h_vol, InpVolumeType,
|
||||||
|
h_res_odd, h_res_even, false,
|
||||||
|
h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
// 3. Clear Old Bands if a New Session just started
|
// 6. Forming LTF Block Flat-Force Anchor (The Staircase Solution)
|
||||||
static int prev_session_start = -1;
|
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
|
||||||
if(current_session_start != prev_session_start)
|
|
||||||
|
int first_bar_of_forming_htf = rates_total - 1;
|
||||||
|
while(first_bar_of_forming_htf > 0 &&
|
||||||
|
iBarShift(_Symbol, g_calc_timeframe, time[first_bar_of_forming_htf], false) == 0)
|
||||||
{
|
{
|
||||||
// Wipe everything before the current session to keep chart clean
|
first_bar_of_forming_htf--;
|
||||||
for(int i = 0; i < current_session_start; i++)
|
|
||||||
{
|
|
||||||
BufUp1[i] = EMPTY_VALUE;
|
|
||||||
BufDn1[i] = EMPTY_VALUE;
|
|
||||||
BufUp2[i] = EMPTY_VALUE;
|
|
||||||
BufDn2[i] = EMPTY_VALUE;
|
|
||||||
BufUp3[i] = EMPTY_VALUE;
|
|
||||||
BufDn3[i] = EMPTY_VALUE;
|
|
||||||
}
|
|
||||||
prev_session_start = current_session_start;
|
|
||||||
}
|
}
|
||||||
|
first_bar_of_forming_htf++;
|
||||||
|
|
||||||
// 4. Calculate Bands strictly for the Current Session
|
if(start > first_bar_of_forming_htf)
|
||||||
double cum_vol = 0;
|
start = first_bar_of_forming_htf;
|
||||||
double cum_tpv2 = 0;
|
|
||||||
|
|
||||||
// We always recalc the current session to guarantee mathematical purity
|
// 7. Chronological Mapping Loop to Chart Timeframe
|
||||||
for(int i = current_session_start; i < rates_total; i++)
|
for(int i = start; i < rates_total; i++)
|
||||||
{
|
{
|
||||||
double tp = (high[i] + low[i] + close[i]) / 3.0;
|
datetime t = time[i];
|
||||||
double vol = (InpVolumeType == VOLUME_TICK) ? (double)tick_volume[i] : (double)volume[i];
|
int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
|
||||||
if(vol < 1.0)
|
|
||||||
vol = 1.0;
|
|
||||||
|
|
||||||
cum_vol += vol;
|
if(shift_htf >= 0)
|
||||||
cum_tpv2 += (tp * tp) * vol;
|
|
||||||
|
|
||||||
double vwap = (BufVWAP_Odd[i] != EMPTY_VALUE && BufVWAP_Odd[i] != 0) ? BufVWAP_Odd[i] : BufVWAP_Even[i];
|
|
||||||
|
|
||||||
if(cum_vol > 0 && vwap != EMPTY_VALUE && vwap != 0)
|
|
||||||
{
|
{
|
||||||
// Variance = E[P^2] - E[P]^2
|
int idx_htf = g_htf_count - 1 - shift_htf;
|
||||||
double variance = (cum_tpv2 / cum_vol) - (vwap * vwap);
|
if(idx_htf >= 0 && idx_htf < g_htf_count)
|
||||||
double stddev = (variance > 0) ? MathSqrt(variance) : 0.0;
|
{
|
||||||
|
BufVWAP_Odd[i] = h_res_odd[idx_htf];
|
||||||
BufUp1[i] = vwap + (InpBand1Mult * stddev);
|
BufVWAP_Even[i] = h_res_even[idx_htf];
|
||||||
BufDn1[i] = vwap - (InpBand1Mult * stddev);
|
BufUp1[i] = h_res_up1[idx_htf];
|
||||||
BufUp2[i] = vwap + (InpBand2Mult * stddev);
|
BufDn1[i] = h_res_dn1[idx_htf];
|
||||||
BufDn2[i] = vwap - (InpBand2Mult * stddev);
|
BufUp2[i] = h_res_up2[idx_htf];
|
||||||
BufUp3[i] = vwap + (InpBand3Mult * stddev);
|
BufDn2[i] = h_res_dn2[idx_htf];
|
||||||
BufDn3[i] = vwap - (InpBand3Mult * stddev);
|
BufUp3[i] = h_res_up3[idx_htf];
|
||||||
|
BufDn3[i] = h_res_dn3[idx_htf];
|
||||||
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
|
BufVWAP_Odd[i] = EMPTY_VALUE;
|
||||||
|
BufVWAP_Even[i] = EMPTY_VALUE;
|
||||||
|
BufUp1[i] = EMPTY_VALUE;
|
||||||
|
BufDn1[i] = EMPTY_VALUE;
|
||||||
|
BufUp2[i] = EMPTY_VALUE;
|
||||||
|
BufDn2[i] = EMPTY_VALUE;
|
||||||
|
BufUp3[i] = EMPTY_VALUE;
|
||||||
|
BufDn3[i] = EMPTY_VALUE;
|
||||||
|
}
|
||||||
}
|
}
|
||||||
else
|
else
|
||||||
{
|
{
|
||||||
|
BufVWAP_Odd[i] = EMPTY_VALUE;
|
||||||
|
BufVWAP_Even[i] = EMPTY_VALUE;
|
||||||
BufUp1[i] = EMPTY_VALUE;
|
BufUp1[i] = EMPTY_VALUE;
|
||||||
BufDn1[i] = EMPTY_VALUE;
|
BufDn1[i] = EMPTY_VALUE;
|
||||||
BufUp2[i] = EMPTY_VALUE;
|
BufUp2[i] = EMPTY_VALUE;
|
||||||
@@ -205,7 +602,57 @@ int OnCalculate(const int rates_total,
|
|||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
return(rates_total);
|
// 8. Mask Older Session Bands if CurrentSessionOnly is true on LTF
|
||||||
|
if(InpCurrentSessionOnly)
|
||||||
|
{
|
||||||
|
int most_recent_ltf_end = -1;
|
||||||
|
int most_recent_ltf_start = -1;
|
||||||
|
|
||||||
|
for(int i = rates_total - 1; i >= 0; i--)
|
||||||
|
{
|
||||||
|
if(BufVWAP_Odd[i] != EMPTY_VALUE || BufVWAP_Even[i] != EMPTY_VALUE)
|
||||||
|
{
|
||||||
|
most_recent_ltf_end = i;
|
||||||
|
break;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
if(most_recent_ltf_end >= 0)
|
||||||
|
{
|
||||||
|
bool is_odd_target = (BufVWAP_Odd[most_recent_ltf_end] != EMPTY_VALUE);
|
||||||
|
most_recent_ltf_start = most_recent_ltf_end;
|
||||||
|
|
||||||
|
for(int i = most_recent_ltf_end; i >= 0; i--)
|
||||||
|
{
|
||||||
|
bool is_valid = is_odd_target ? (BufVWAP_Odd[i] != EMPTY_VALUE) : (BufVWAP_Even[i] != EMPTY_VALUE);
|
||||||
|
if(!is_valid)
|
||||||
|
break;
|
||||||
|
most_recent_ltf_start = i;
|
||||||
|
}
|
||||||
|
|
||||||
|
// Wipe bands before the most recent active session
|
||||||
|
for(int i = 0; i < most_recent_ltf_start; i++)
|
||||||
|
{
|
||||||
|
BufUp1[i] = EMPTY_VALUE;
|
||||||
|
BufDn1[i] = EMPTY_VALUE;
|
||||||
|
BufUp2[i] = EMPTY_VALUE;
|
||||||
|
BufDn2[i] = EMPTY_VALUE;
|
||||||
|
BufUp3[i] = EMPTY_VALUE;
|
||||||
|
BufDn3[i] = EMPTY_VALUE;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
return rates_total;
|
||||||
|
}
|
||||||
|
|
||||||
|
//+------------------------------------------------------------------+
|
||||||
|
//| OnTimer Event Handler (Data Synchronization Daemon) |
|
||||||
|
//+------------------------------------------------------------------+
|
||||||
|
void OnTimer()
|
||||||
|
{
|
||||||
|
int required_bars = 10;
|
||||||
|
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
|
||||||
}
|
}
|
||||||
//+------------------------------------------------------------------+
|
//+------------------------------------------------------------------+
|
||||||
//+------------------------------------------------------------------+
|
//+------------------------------------------------------------------+
|
||||||
|
|||||||
Reference in New Issue
Block a user