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//+------------------------------------------------------------------+
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//| PairsTrading_Pro.mq5 |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.10" // Upgraded with fixed window scale and 5-zone thermal histogram
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#property description "Universal Dynamic Cointegration (Z-Score) Monitor."
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#property description "Default: Brent (UKOIL) vs WTI (USOIL) relative value trader."
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#property indicator_separate_window
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#property indicator_buffers 2
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#property indicator_plots 1
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//--- FIXED: Standardized window limits to prevent single-spike scale squishing!
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#property indicator_minimum -3.5
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#property indicator_maximum 3.5
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//--- Institutional Levels Configuration (Perfect alignment under fixed scale)
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#property indicator_level1 2.5
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#property indicator_level2 2.0
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#property indicator_level3 1.5
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#property indicator_level4 -1.5
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#property indicator_level5 -2.0
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#property indicator_level6 -2.5
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#property indicator_levelcolor clrSilver
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#property indicator_levelstyle STYLE_DOT
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//--- Plot: Color Histogram (5-Zone Thermal Palette)
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#property indicator_label1 "Spread Z-Score"
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#property indicator_type1 DRAW_COLOR_HISTOGRAM
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// 5-Color Palette:
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// 0: Noise/Neutral (Gray)
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// 1: Bull Flow (Coral - warning)
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// 2: Bull Extreme (OrangeRed - Sell Spread zone)
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// 3: Bear Flow (LightSkyBlue - warning)
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// 4: Bear Extreme (DeepSkyBlue - Buy Spread zone)
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#property indicator_color1 clrGray, clrCoral, clrOrangeRed, clrLightSkyBlue, clrDeepSkyBlue
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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#include <MyIncludes\PairsTrading_Calculator.mqh>
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//--- Input Parameters
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input string InpSymbolA = "UKOIL"; // Symbol A (Brent Proxy, e.g. UKOIL or BRENT)
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input string InpSymbolB = "USOIL"; // Symbol B (WTI Proxy, e.g. USOIL or WTI)
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input int InpLookback = 120; // Rolling OLS Regression Window (Bars)
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//--- Buffers
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double ExtZScoreBuffer[];
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double ExtColorsBuffer[];
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//--- Aligned price arrays
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double g_sync_close_A[];
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double g_sync_close_B[];
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//--- Global Engine
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CPairsTradingCalculator *g_calc;
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bool g_data_synced = false;
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//+------------------------------------------------------------------+
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//| EnsureDataReady (Multi-symbol history sync helper) |
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//+------------------------------------------------------------------+
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bool EnsureDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars)
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{
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ResetLastError();
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if(!SymbolInfoInteger(symbol, SYMBOL_SELECT))
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{
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SymbolSelect(symbol, true);
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}
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datetime times[];
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int copied = CopyTime(symbol, timeframe, 0, required_bars, times);
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return (copied >= required_bars);
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}
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//+------------------------------------------------------------------+
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//| OnInit |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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g_data_synced = false;
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SetIndexBuffer(0, ExtZScoreBuffer, INDICATOR_DATA);
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SetIndexBuffer(1, ExtColorsBuffer, INDICATOR_COLOR_INDEX);
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ArraySetAsSeries(ExtZScoreBuffer, false);
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ArraySetAsSeries(ExtColorsBuffer, false);
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// Configure shortname dynamically
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string short_name = StringFormat("PairsTrade Pro(%s vs %s, %d)", InpSymbolA, InpSymbolB, InpLookback);
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IndicatorSetString(INDICATOR_SHORTNAME, short_name);
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IndicatorSetInteger(INDICATOR_DIGITS, 2);
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g_calc = new CPairsTradingCalculator();
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if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpLookback))
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{
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Print("Error: Failed to initialize PairsTrading Calculator.");
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return INIT_FAILED;
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}
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| OnDeinit |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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if(CheckPointer(g_calc) == POINTER_DYNAMIC)
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delete g_calc;
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}
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//+------------------------------------------------------------------+
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//| OnCalculate |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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int required_bars = InpLookback + 10;
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//--- Ensure both symbol histories are fully loaded in the terminal
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if(!EnsureDataReady(InpSymbolA, _Period, required_bars) ||
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!EnsureDataReady(InpSymbolB, _Period, required_bars))
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{
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g_data_synced = false;
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return 0; // Wait for next tick to let history load
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}
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g_data_synced = true;
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//--- 1. Advanced Bar-Time Synchronization & Alignment Loop (O(1) incremental)
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ArrayResize(g_sync_close_A, rates_total);
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ArrayResize(g_sync_close_B, rates_total);
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int loop_start = (prev_calculated == 0) ? 0 : prev_calculated - 1;
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if(loop_start < 0)
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loop_start = 0;
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for(int i = loop_start; i < rates_total; i++)
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{
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// Sync Symbol A Price
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int shift_A = iBarShift(InpSymbolA, _Period, time[i], false);
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if(shift_A >= 0)
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g_sync_close_A[i] = iClose(InpSymbolA, _Period, shift_A);
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else
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g_sync_close_A[i] = (i > 0) ? g_sync_close_A[i-1] : close[i];
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// Sync Symbol B Price
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int shift_B = iBarShift(InpSymbolB, _Period, time[i], false);
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if(shift_B >= 0)
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g_sync_close_B[i] = iClose(InpSymbolB, _Period, shift_B);
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else
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g_sync_close_B[i] = (i > 0) ? g_sync_close_B[i-1] : close[i];
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}
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//--- 2. Calculate the rolling OLS Cointegration Z-Score
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int calc_start = (prev_calculated == 0) ? InpLookback : prev_calculated - 1;
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if(calc_start < InpLookback)
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calc_start = InpLookback;
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for(int i = calc_start; i < rates_total; i++)
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{
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double z = g_calc.CalculateZScore(rates_total, i, g_sync_close_A, g_sync_close_B);
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ExtZScoreBuffer[i] = z;
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//--- 3. 5-Zone Thermal Color Mapping
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if(z >= 2.0)
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ExtColorsBuffer[i] = 2.0; // Index 2: OrangeRed (Sell Spread - Short A, Long B)
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else
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if(z >= 1.5)
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ExtColorsBuffer[i] = 1.0; // Index 1: Coral (Sell Warning)
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else
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if(z <= -2.0)
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ExtColorsBuffer[i] = 4.0; // Index 4: DeepSkyBlue (Buy Spread - Long A, Short B)
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else
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if(z <= -1.5)
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ExtColorsBuffer[i] = 3.0; // Index 3: LightSkyBlue (Buy Warning)
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else
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ExtColorsBuffer[i] = 0.0; // Index 0: Gray (Neutral Noise)
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}
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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