gavindiaz/mql5
1
0
Fork 0
mirror of https://github.com/softwaredevelop/mql5.git synced 2026-11-02 11:16:15 +00:00
Code Issues Packages Projects Releases Wiki Activity

refactor: Zero-Lag MTF Fast-Path & Thread-Safe Engine

Browse Source
This commit is contained in:
Toh4iem9
2026-10-01 13:47:47 +02:00
parent 096975ac28
commit 89c61a6f0a
1 changed files with 102 additions and 103 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Indicators/MyIndicators/Authors/Ehlers/3_Adaptive_MAs/Laguerre_Adaptive_Filter_Pro.mq5
+102 -103
View File
@@ -2,10 +2,10 @@
//| Laguerre_Adaptive_Filter_Pro.mq5|
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.20" // Expanded with Standard Deviation (StDev) adaptive calculations
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.30" // Enterprise Refactor: Zero-Lag MTF Fast-Path & Thread-Safe Engine
#property description "John Ehlers' Laguerre Filter utilizing dynamic Gamma scaling."
#property description "Supports ER, ATR, and Standard Deviation (StDev) adaptive pathways."
#property description "Supports ER, ATR, and Standard Deviation (StDev) adaptive pathways with Native & MTF Support."
#property indicator_chart_window
#property indicator_buffers 1
@@ -20,7 +20,7 @@
//--- Included Engines & Core Tools
#include <MyIncludes\Laguerre_Adaptive_Filter_Calculator.mqh>
#include <MyIncludes\DataSync_Tools.mqh> // Centralized MTF synchronization daemon
#include <MyIncludes\DataSync_Tools.mqh>
//--- Input Parameters ---
input group "--- Timeframe Settings ---"
@@ -41,15 +41,15 @@ double h_open[], h_high[], h_low[], h_close[];
double h_res_filter[];
datetime h_time[];
//--- Global Objects & Synchronizer State
CLaguerreAdaptiveFilterCalculator *g_calculator;
//--- Global Objects & State Management
CLaguerreAdaptiveFilterCalculator *g_calculator = NULL;
bool g_is_mtf_mode = false;
bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe;
bool g_data_ready = false;
bool g_data_synced = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
bool g_data_ready = false;
bool g_data_synced = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
//+------------------------------------------------------------------+
//| Custom Indicator Initialization |
@@ -61,7 +61,7 @@ int OnInit()
g_htf_count = 0;
g_last_htf_time = 0;
//--- 1. Resolve Timeframe and validate direction
// 1. Resolve Timeframe and validate direction
g_calc_timeframe = InpTimeframe;
if(g_calc_timeframe == PERIOD_CURRENT)
g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
@@ -74,27 +74,24 @@ int OnInit()
}
g_is_mtf_mode = (g_calc_timeframe > Period());
//--- 2. Bind buffers to index mapping
// 2. Bind Buffers
SetIndexBuffer(0, BufferFilter, INDICATOR_DATA);
ArraySetAsSeries(BufferFilter, false);
ArrayInitialize(BufferFilter, EMPTY_VALUE);
PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
bool is_ha = (InpSourcePrice <= PRICE_HA_CLOSE);
//--- 3. Initialize Physical Adaptive Laguerre Calculator
// 3. Initialize Physical Adaptive Laguerre Calculator
g_calculator = new CLaguerreAdaptiveFilterCalculator();
if(CheckPointer(g_calculator) == POINTER_INVALID)
if(CheckPointer(g_calculator) == POINTER_INVALID ||
!g_calculator.Init(InpAdaptiveMethod, InpAdaptivePeriod, InpGammaMin, InpGammaMax, is_ha))
{
Print("Critical Error: Failed to allocate Adaptive Laguerre Calculator memory.");
Print("Critical Error: Failed to allocate or initialize Adaptive Laguerre Calculator.");
return(INIT_FAILED);
}
if(!g_calculator.Init(InpAdaptiveMethod, InpAdaptivePeriod, InpGammaMin, InpGammaMax, is_ha))
{
Print("Critical Error: Failed to initialize Adaptive Laguerre Calculator.");
return(INIT_FAILED);
}
//--- 4. Dynamic Setup of Indicator Shortname
// 4. Dynamic Setup of Indicator Shortname
string method_str = "";
switch(InpAdaptiveMethod)
{
@@ -109,8 +106,8 @@ int OnInit()
break;
}
string tf_str = g_is_mtf_mode ? (" " + EnumToString(g_calc_timeframe)) : "";
string short_name = StringFormat("Laguerre Adaptive%s%s(%s, %d, %.2f-%.2f)",
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string short_name = StringFormat("Laguerre Adaptive%s%s(%s,%d,%.2f-%.2f)",
is_ha ? " HA" : "",
tf_str,
method_str,
@@ -118,16 +115,16 @@ int OnInit()
InpGammaMin,
InpGammaMax);
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
PlotIndexSetString(0, PLOT_LABEL, short_name);
//--- Drawing offset configuration
int draw_begin = InpAdaptivePeriod * 2 + 5;
if(g_is_mtf_mode)
draw_begin = 0; // Handled dynamically in mapped buffers
draw_begin = 0;
PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, draw_begin);
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
//--- 5. Initialize Background Synchronization Timer Daemon (Only if MTF is active)
// 5. Initialize Background Synchronization Timer (Only for MTF mode)
if(g_is_mtf_mode)
EventSetTimer(1);
@@ -139,9 +136,14 @@ int OnInit()
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
EventKillTimer();
if(g_is_mtf_mode)
EventKillTimer();
if(CheckPointer(g_calculator) != POINTER_INVALID)
{
delete g_calculator;
g_calculator = NULL;
}
}
//+------------------------------------------------------------------+
@@ -159,13 +161,10 @@ int OnCalculate(const int rates_total,
const int &spread[])
{
int required_bars = InpAdaptivePeriod * 2 + 10;
if(rates_total < required_bars)
if(rates_total < required_bars || !g_calculator)
return 0;
if(CheckPointer(g_calculator) == POINTER_INVALID)
return 0;
//--- Force chronological indexing on current timeframe arrays
// Force chronological indexing
ArraySetAsSeries(time, false);
ArraySetAsSeries(open, false);
ArraySetAsSeries(high, false);
@@ -177,30 +176,30 @@ int OnCalculate(const int rates_total,
(ENUM_APPLIED_PRICE)InpSourcePrice;
//===================================================================
// MODE 1: Current Timeframe calculation (Standard ultra-high speed)
// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1))
//===================================================================
if(!g_is_mtf_mode)
{
g_calculator.Calculate(rates_total, prev_calculated, price_type, open, high, low, close,
BufferFilter);
return(rates_total);
return rates_total;
}
//===================================================================
// MODE 2: Multi-Timeframe Engine (Warp-free step synchronization)
// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
//===================================================================
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
{
g_data_synced = false;
return 0; // Wait for next tick to let history synchronize
return 0;
}
g_data_synced = true;
//--- Check if a new HTF candle has opened
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
// A) HTF Bar Closure / Startup: Perform full history sync once
if(htf_updated || prev_calculated == 0)
{
g_last_htf_time = htf_time_current;
@@ -212,7 +211,7 @@ int OnCalculate(const int rates_total,
return 0;
}
g_htf_count = MathMin(htf_bars, 3000); // Guard rails to prevent memory overload
g_htf_count = MathMin(htf_bars, 3000);
// Resize all HTF caching arrays
ArrayResize(h_time, g_htf_count);
@@ -222,7 +221,6 @@ int OnCalculate(const int rates_total,
ArrayResize(h_close, g_htf_count);
ArrayResize(h_res_filter, g_htf_count);
// Force chronological structure on high-level arrays
ArraySetAsSeries(h_time, false);
ArraySetAsSeries(h_open, false);
ArraySetAsSeries(h_high, false);
@@ -230,95 +228,96 @@ int OnCalculate(const int rates_total,
ArraySetAsSeries(h_close, false);
ArraySetAsSeries(h_res_filter, false);
// Copy basic pricing 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)
// Atomic bulk rates copy (Single API call replaces 5 calls!)
MqlRates htf_bulk_rates[];
if(CopyRates(_Symbol, g_calc_timeframe, 0, g_htf_count, htf_bulk_rates) != g_htf_count)
{
g_data_ready = false;
return 0;
}
//--- Calculate core indicators directly on high timeframe (Initial setup)
g_calculator.Calculate(g_htf_count, 0, price_type, h_open, h_high, h_low, h_close, h_res_filter);
g_data_ready = true;
}
if(!g_data_ready)
return 0;
//--- 5. Real-Time Update for the active forming HTF candle (Index: g_htf_count - 1) on every tick
int live_idx = g_htf_count - 1;
if(live_idx >= required_bars)
{
double o[1], h[1], l[1], c[1];
int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false);
if(shift >= 0 &&
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)
for(int i = 0; i < g_htf_count; i++)
{
h_open[live_idx] = o[0];
h_high[live_idx] = h[0];
h_low[live_idx] = l[0];
h_close[live_idx] = c[0];
// Stateful, O(1) mock update for the live bar
g_calculator.Calculate(g_htf_count, g_htf_count, price_type, h_open, h_high, h_low, h_close, h_res_filter);
h_time[i] = htf_bulk_rates[i].time;
h_open[i] = htf_bulk_rates[i].open;
h_high[i] = htf_bulk_rates[i].high;
h_low[i] = htf_bulk_rates[i].low;
h_close[i] = htf_bulk_rates[i].close;
}
}
//--- 6. Warp-free step force (Staircase Solution anchor determination)
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
// Compute HTF Adaptive Laguerre Values across history
g_calculator.Calculate(g_htf_count, 0, price_type, h_open, h_high, h_low, h_close, h_res_filter);
g_data_ready = true;
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)
{
first_bar_of_forming_htf--;
}
first_bar_of_forming_htf++; // Anchor set to start of current HTF period block
if(start > first_bar_of_forming_htf)
start = first_bar_of_forming_htf;
//--- 7. Map HTF Calculated results cleanly to the lower chart timeframe (O(1) complexity)
for(int i = start; i < rates_total; i++)
{
datetime t = time[i];
int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
if(shift_htf >= 0)
// Full Historical Projection to Chart Buffer (Only on new HTF candle)
for(int i = 0; i < rates_total; i++)
{
int idx_htf = g_htf_count - 1 - shift_htf;
if(idx_htf >= 0 && idx_htf < g_htf_count)
datetime t = time[i];
int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
if(shift_htf >= 0)
{
BufferFilter[i] = h_res_filter[idx_htf];
int idx_htf = g_htf_count - 1 - shift_htf;
if(idx_htf >= 0 && idx_htf < g_htf_count)
BufferFilter[i] = h_res_filter[idx_htf];
else
BufferFilter[i] = EMPTY_VALUE;
}
else
{
BufferFilter[i] = EMPTY_VALUE;
}
}
else
return rates_total;
}
if(!g_data_ready)
return 0;
// B) LIVE TICK FAST-PATH: HTF bar did not close. Update strictly forming block!
int live_idx = g_htf_count - 1;
if(live_idx >= required_bars)
{
MqlRates htf_rate[1];
// Single atomic API call instead of 4 separate copies!
if(CopyRates(_Symbol, g_calc_timeframe, 0, 1, htf_rate) == 1)
{
BufferFilter[i] = EMPTY_VALUE;
h_time[live_idx] = htf_rate[0].time;
h_open[live_idx] = htf_rate[0].open;
h_high[live_idx] = htf_rate[0].high;
h_low[live_idx] = htf_rate[0].low;
h_close[live_idx] = htf_rate[0].close;
// Mock update strictly on forming candle
g_calculator.Calculate(g_htf_count, g_htf_count, price_type, h_open, h_high, h_low, h_close, h_res_filter);
}
}
return(rates_total);
// Instant Binary Search for Forming Block Start (Zero iBarShift API calls!)
int first_bar_of_forming_htf = ArrayBsearch(time, htf_time_current);
if(first_bar_of_forming_htf < 0)
first_bar_of_forming_htf = 0;
if(time[first_bar_of_forming_htf] < htf_time_current && first_bar_of_forming_htf < rates_total - 1)
first_bar_of_forming_htf++;
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
if(start > first_bar_of_forming_htf)
start = first_bar_of_forming_htf;
// Direct Vectorized Assignment (Zero API calls, Nanosecond Execution)
double filter_val = h_res_filter[live_idx];
for(int i = start; i < rates_total; i++)
{
BufferFilter[i] = filter_val;
}
return rates_total;
}
//+------------------------------------------------------------------+
//| OnTimer Event Handler |
//| OnTimer Event Handler (Data Synchronization Daemon) |
//+------------------------------------------------------------------+
void OnTimer()
{
//--- Delegate asynchronous history checking and forced redraws to DataSync daemon
int required_bars = InpAdaptivePeriod * 2 + 10;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
}