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refactor: Overloaded initialization, bounds safety & Custom Session support

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This commit is contained in:
Toh4iem9
2026-08-26 11:47:59 +02:00
parent 7d0bd2842f
commit 917341a5be
1 changed files with 105 additions and 39 deletions
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Include/MyIncludes/VScore_Calculator.mqh
+105 -39
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@@ -1,18 +1,19 @@
//+------------------------------------------------------------------+
//| VScore_Calculator.mqh |
//| Engine for Statistical V-Score (VWAP Z-Score) Calculation. |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "2.20" // Upgraded with strict internal chronological sorting safeguards for all VWAP and pricing buffers
#property version "3.00" // Overloaded initialization, bounds safety & Custom Session support
#ifndef VSCORE_CALCULATOR_MQH
#define VSCORE_CALCULATOR_MQH
#include <MyIncludes\VWAP_Calculator.mqh>
//+------------------------------------------------------------------+
//+==================================================================+
//| Class CVScoreCalculator |
//+------------------------------------------------------------------+
//+==================================================================+
class CVScoreCalculator
{
protected:
@@ -23,14 +24,24 @@ protected:
double m_vwap_buf[];
double m_vwap_odd[];
double m_vwap_even[];
double m_price[];
public:
CVScoreCalculator();
virtual ~CVScoreCalculator();
//--- Legacy Signature (100% Backward Compatible)
bool Init(int period, ENUM_VWAP_PERIOD vwap_reset);
void Calculate(int rates_total, int prev_calculated,
//--- Enhanced Pro Signature (Standard Periods)
bool Init(const int period, const ENUM_VWAP_PERIOD vwap_reset, const ENUM_APPLIED_VOLUME vol_type,
const int tz_shift_hours=0, const bool is_heikin_ashi=false, const int max_history_days=0);
//--- Enhanced Pro Signature (Custom Session)
bool Init(const int period, const string custom_start, const string custom_end, const ENUM_APPLIED_VOLUME vol_type,
const int tz_shift_hours=0, const bool is_heikin_ashi=false, const int max_history_days=0);
void Calculate(const int rates_total, const int prev_calculated,
const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
const long &tick_volume[], const long &volume[],
double &out_vscore[]);
@@ -39,8 +50,12 @@ public:
//+------------------------------------------------------------------+
//| Constructor |
//+------------------------------------------------------------------+
CVScoreCalculator::CVScoreCalculator() : m_vwap_calc(NULL)
CVScoreCalculator::CVScoreCalculator() : m_period(20), m_vwap_calc(NULL)
{
ArraySetAsSeries(m_vwap_buf, false);
ArraySetAsSeries(m_vwap_odd, false);
ArraySetAsSeries(m_vwap_even, false);
ArraySetAsSeries(m_price, false);
}
//+------------------------------------------------------------------+
@@ -49,90 +64,141 @@ CVScoreCalculator::CVScoreCalculator() : m_vwap_calc(NULL)
CVScoreCalculator::~CVScoreCalculator()
{
if(CheckPointer(m_vwap_calc) != POINTER_INVALID)
{
delete m_vwap_calc;
m_vwap_calc = NULL;
}
}
//+------------------------------------------------------------------+
//| Init |
//| Legacy Init (Preserves compatibility with all scripts) |
//+------------------------------------------------------------------+
bool CVScoreCalculator::Init(int period, ENUM_VWAP_PERIOD vwap_reset)
{
m_period = (period < 2) ? 2 : period;
m_vwap_calc = new CVWAPCalculator();
if(CheckPointer(m_vwap_calc) == POINTER_INVALID)
return false;
// Dynamic volume type selection based on broker capability (Real Volume vs Tick Volume)
long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
ENUM_APPLIED_VOLUME vol_type = (volume_limit > 0) ? VOLUME_REAL : VOLUME_TICK;
// Init VWAP with optimal volume, enabled
if(!m_vwap_calc.Init(vwap_reset, vol_type, 0, true))
return false;
return true;
return Init(period, vwap_reset, vol_type, 0, false, 0);
}
//+------------------------------------------------------------------+
//| Main Calculation (Strictly O(1) Optimized) |
//| Enhanced Init (Standard Periods) |
//+------------------------------------------------------------------+
void CVScoreCalculator::Calculate(int rates_total, int prev_calculated,
bool CVScoreCalculator::Init(const int period, const ENUM_VWAP_PERIOD vwap_reset, const ENUM_APPLIED_VOLUME vol_type,
const int tz_shift_hours, const bool is_heikin_ashi, const int max_history_days)
{
m_period = (period < 2) ? 2 : period;
if(CheckPointer(m_vwap_calc) != POINTER_INVALID)
{
delete m_vwap_calc;
m_vwap_calc = NULL;
}
if(is_heikin_ashi)
m_vwap_calc = new CVWAPCalculator_HA();
else
m_vwap_calc = new CVWAPCalculator();
if(CheckPointer(m_vwap_calc) == POINTER_INVALID)
return false;
return m_vwap_calc.Init(vwap_reset, vol_type, tz_shift_hours, true, max_history_days);
}
//+------------------------------------------------------------------+
//| Enhanced Init (Custom Session) |
//+------------------------------------------------------------------+
bool CVScoreCalculator::Init(const int period, const string custom_start, const string custom_end, const ENUM_APPLIED_VOLUME vol_type,
const int tz_shift_hours, const bool is_heikin_ashi, const int max_history_days)
{
m_period = (period < 2) ? 2 : period;
if(CheckPointer(m_vwap_calc) != POINTER_INVALID)
{
delete m_vwap_calc;
m_vwap_calc = NULL;
}
if(is_heikin_ashi)
m_vwap_calc = new CVWAPCalculator_HA();
else
m_vwap_calc = new CVWAPCalculator();
if(CheckPointer(m_vwap_calc) == POINTER_INVALID)
return false;
return m_vwap_calc.Init(custom_start, custom_end, vol_type, true, max_history_days, tz_shift_hours);
}
//+------------------------------------------------------------------+
//| Main Calculation (Bounds-Safe O(1)) |
//+------------------------------------------------------------------+
void CVScoreCalculator::Calculate(const int rates_total, const int prev_calculated,
const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
const long &tick_volume[], const long &volume[],
double &out_vscore[])
{
if(rates_total < m_period)
if(rates_total < m_period || CheckPointer(m_vwap_calc) == POINTER_INVALID)
return;
if(CheckPointer(m_vwap_calc) == POINTER_INVALID)
return;
// 1. Manage Internal Buffers and force strict chronological sorting
// 1. Safe Allocation of Internal Buffers
if(ArraySize(m_vwap_buf) != rates_total)
{
ArrayResize(m_vwap_buf, rates_total);
ArrayResize(m_vwap_odd, rates_total);
ArrayResize(m_vwap_buf, rates_total);
ArrayResize(m_vwap_odd, rates_total);
ArrayResize(m_vwap_even, rates_total);
ArrayResize(m_price, rates_total);
ArraySetAsSeries(m_vwap_buf, false);
ArraySetAsSeries(m_vwap_odd, false);
ArraySetAsSeries(m_vwap_buf, false);
ArraySetAsSeries(m_vwap_odd, false);
ArraySetAsSeries(m_vwap_even, false);
ArraySetAsSeries(m_price, false);
}
// 2. Calculate VWAP Incrementally
if(ArraySize(out_vscore) != rates_total)
{
ArrayResize(out_vscore, rates_total);
ArraySetAsSeries(out_vscore, false);
ArrayInitialize(out_vscore, 0.0);
}
// 2. Compute Underlying VWAP
m_vwap_calc.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, m_vwap_odd, m_vwap_even);
// 3. Calculate Standard Deviation of (Price - VWAP)
int start = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
int start = (prev_calculated > m_period) ? (prev_calculated - 1) : (m_period - 1);
if(start < m_period - 1)
start = m_period - 1;
// 3. Compute V-Score (Standard Deviation Distance from VWAP)
for(int i = start; i < rates_total; i++)
{
double current_vwap = (m_vwap_odd[i] != EMPTY_VALUE && m_vwap_odd[i] != 0) ? m_vwap_odd[i] : m_vwap_even[i];
m_price[i] = close[i];
double current_vwap = (m_vwap_odd[i] != EMPTY_VALUE && m_vwap_odd[i] > 0.0) ? m_vwap_odd[i] : m_vwap_even[i];
m_vwap_buf[i] = current_vwap;
if(current_vwap == 0 || current_vwap == EMPTY_VALUE)
if(current_vwap == 0.0 || current_vwap == EMPTY_VALUE)
{
out_vscore[i] = 0.0;
continue;
}
double sum_sq_diff = 0;
double sum_sq_diff = 0.0;
for(int k = 0; k < m_period; k++)
{
int idx = i - k;
double p = close[idx];
double p = m_price[idx];
double v = m_vwap_buf[idx];
if(v == 0 || v == EMPTY_VALUE)
if(v == 0.0 || v == EMPTY_VALUE)
v = p;
double diff = p - v;
sum_sq_diff += diff * diff;
}
double std_dev = MathSqrt(sum_sq_diff / m_period);
double std_dev = MathSqrt(sum_sq_diff / (double)m_period);
if(std_dev > 1.0e-9)
out_vscore[i] = (close[i] - current_vwap) / std_dev;