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refactor(indicators): Strictly O(1) Incremental Optimized

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This commit is contained in:
Toh4iem9
2026-03-15 15:54:12 +01:00
parent 54cbeb3637
commit 98d4d2d081
1 changed files with 20 additions and 33 deletions
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Include/MyIncludes/VScore_Calculator.mqh
+20 -33
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@@ -2,6 +2,7 @@
//| VScore_Calculator.mqh |
//| Engine for V-Score (VWAP Z-Score). |
//| Measures statistical deviation from VWAP. |
//| VERSION 2.00: Strictly O(1) Incremental Optimized. |
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
@@ -9,7 +10,7 @@
#include <MyIncludes\VWAP_Calculator.mqh>
//+------------------------------------------------------------------+
//| |
//| Class CVScoreCalculator |
//+------------------------------------------------------------------+
class CVScoreCalculator
{
@@ -17,11 +18,10 @@ protected:
int m_period;
CVWAPCalculator *m_vwap_calc;
// Buffers
// Persistent Buffers for Incremental Calculation
double m_vwap_buf[];
double m_diff_sq[]; // Squared differences buffer
void PrepareVWAP(int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[]);
double m_vwap_odd[];
double m_vwap_even[];
public:
CVScoreCalculator();
@@ -67,7 +67,7 @@ bool CVScoreCalculator::Init(int period, ENUM_VWAP_PERIOD vwap_reset)
}
//+------------------------------------------------------------------+
//| Main Calculation |
//| Main Calculation (Strictly O(1) Optimized) |
//+------------------------------------------------------------------+
void CVScoreCalculator::Calculate(int rates_total, int prev_calculated,
const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
@@ -77,19 +77,26 @@ void CVScoreCalculator::Calculate(int rates_total, int prev_calculated,
if(rates_total < m_period)
return;
// 1. Prepare VWAP Buffer
// 1. Manage Internal Buffers
if(ArraySize(m_vwap_buf) != rates_total)
{
ArrayResize(m_vwap_buf, rates_total);
PrepareVWAP(rates_total, time, open, high, low, close, tick_volume, volume);
ArrayResize(m_vwap_odd, rates_total);
ArrayResize(m_vwap_even, rates_total);
}
// 2. Calculate Standard Deviation of (Price - VWAP)
// We look back 'm_period' bars to calculate the volatility of the deviation
// 2. Calculate VWAP Incrementally! (Passing prev_calculated)
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)
// Determine start index for true O(1) performance
int start = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
for(int i = start; i < rates_total; i++)
{
double current_vwap = m_vwap_buf[i];
// Merge Odd/Even logic continuously
double current_vwap = (m_vwap_odd[i] != EMPTY_VALUE && m_vwap_odd[i] != 0) ? m_vwap_odd[i] : m_vwap_even[i];
m_vwap_buf[i] = current_vwap;
// If VWAP is newly reset (0 or empty), VScore is 0
if(current_vwap == 0 || current_vwap == EMPTY_VALUE)
@@ -107,7 +114,7 @@ void CVScoreCalculator::Calculate(int rates_total, int prev_calculated,
double p = close[idx];
double v = m_vwap_buf[idx];
// If history has bad vwap, use price (diff=0)
// If history has bad vwap, use price (diff=0) to avoid spikes
if(v == 0 || v == EMPTY_VALUE)
v = p;
@@ -117,32 +124,12 @@ void CVScoreCalculator::Calculate(int rates_total, int prev_calculated,
double std_dev = MathSqrt(sum_sq_diff / m_period);
// Z-Score calculation
if(std_dev > 1.0e-9)
out_vscore[i] = (close[i] - current_vwap) / std_dev;
else
out_vscore[i] = 0.0;
}
}
//+------------------------------------------------------------------+
//| Helper: Fill Internal VWAP Buffer |
//+------------------------------------------------------------------+
void CVScoreCalculator::PrepareVWAP(int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[])
{
double odd[], even[];
ArrayResize(odd, rates_total);
ArrayResize(even, rates_total);
m_vwap_calc.Calculate(rates_total, 0, time, open, high, low, close, tick_volume, volume, odd, even);
// Determine active buffer (Odd/Even logic of VWAP engine)
// We merge them into one continuous buffer
for(int i=0; i<rates_total; i++)
{
if(odd[i] != EMPTY_VALUE && odd[i] != 0)
m_vwap_buf[i] = odd[i];
else
m_vwap_buf[i] = even[i];
}
}
//+------------------------------------------------------------------+