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refactor: Full incremental support with selectable ATR src
This commit is contained in:
Toh4iem9
@@ -1,16 +1,21 @@
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//+------------------------------------------------------------------+
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//| Bollinger_ATR_Oscillator_Calculator.mqh|
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//| Calculation engine for Standard and Heikin Ashi BB ATR Osc. |
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//| VERSION 2.20: Full incremental support with selectable ATR src.|
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//--- Define the Enum here locally
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enum ENUM_ATR_SOURCE
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{
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ATR_SOURCE_STANDARD, // Calculate ATR from standard candles
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ATR_SOURCE_HEIKIN_ASHI // Calculate ATR from Heikin Ashi candles
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};
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//+==================================================================+
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//| |
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//| CLASS 1: CBollingerATROscillatorCalculator (Standard) |
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//| |
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//+==================================================================+
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class CBollingerATROscillatorCalculator
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{
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@@ -18,196 +23,277 @@ protected:
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int m_atr_period;
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int m_bb_period;
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double m_bb_dev;
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ENUM_ATR_SOURCE m_atr_source;
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//--- Persistent Buffers
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double m_price[];
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double m_atr_buffer[];
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double m_ma_buffer[];
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double m_upper_band[];
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double m_lower_band[];
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double m_tr[];
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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virtual bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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//--- Core logic separated to allow passing different High/Low/Close arrays
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void CalculateCore(int rates_total, int start_index, const double &high[], const double &low[], const double &close[], double &osc_out[]);
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public:
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CBollingerATROscillatorCalculator(void) {};
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virtual ~CBollingerATROscillatorCalculator(void) {};
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bool Init(int atr_p, int bb_p, double bb_dev);
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void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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bool Init(int atr_p, int bb_p, double bb_dev, ENUM_ATR_SOURCE atr_src);
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virtual void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &osc_out[]);
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};
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//+------------------------------------------------------------------+
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//| CBollingerATROscillatorCalculator: Initialization |
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//| Init |
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//+------------------------------------------------------------------+
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bool CBollingerATROscillatorCalculator::Init(int atr_p, int bb_p, double bb_dev)
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bool CBollingerATROscillatorCalculator::Init(int atr_p, int bb_p, double bb_dev, ENUM_ATR_SOURCE atr_src)
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{
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m_atr_period = (atr_p < 1) ? 1 : atr_p;
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m_bb_period = (bb_p < 1) ? 1 : bb_p;
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m_bb_dev = bb_dev;
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m_atr_source = atr_src;
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return true;
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}
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//+------------------------------------------------------------------+
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//| CBollingerATROscillatorCalculator: Main Calculation Method |
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//| Main Calculate (Standard) |
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//+------------------------------------------------------------------+
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void CBollingerATROscillatorCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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void CBollingerATROscillatorCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &osc_out[])
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{
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int start_pos = MathMax(m_atr_period, m_bb_period);
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if(rates_total <= start_pos)
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return;
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ArrayResize(m_price, rates_total);
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ArrayResize(m_atr_buffer, rates_total);
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ArrayResize(m_ma_buffer, rates_total);
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ArrayResize(m_upper_band, rates_total);
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ArrayResize(m_lower_band, rates_total);
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int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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// Resize Buffers
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArrayResize(m_atr_buffer, rates_total);
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ArrayResize(m_ma_buffer, rates_total);
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ArrayResize(m_upper_band, rates_total);
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ArrayResize(m_lower_band, rates_total);
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ArrayResize(m_tr, rates_total);
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}
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// Prepare Price (Standard) - Fills m_price for BB calculation
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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//--- Step 1: Calculate ATR (always on standard candles)
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double tr[];
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ArrayResize(tr, rates_total);
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for(int i = 1; i < rates_total; i++)
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tr[i] = MathMax(high[i], close[i-1]) - MathMin(low[i], close[i-1]);
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// Call Core with Standard Arrays for ATR
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CalculateCore(rates_total, start_index, high, low, close, osc_out);
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}
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for(int i = m_atr_period; i < rates_total; i++)
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//+------------------------------------------------------------------+
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//| Core Calculation Logic (ATR + BB + Osc) |
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//+------------------------------------------------------------------+
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void CBollingerATROscillatorCalculator::CalculateCore(int rates_total, int start_index, const double &high[], const double &low[], const double &close[], double &osc_out[])
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{
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//--- 1. Calculate ATR (Incremental)
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int loop_start_atr = MathMax(m_atr_period, start_index);
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// TR Calculation
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int tr_start = (start_index < 1) ? 1 : start_index;
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for(int i = tr_start; i < rates_total; i++)
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m_tr[i] = MathMax(high[i], close[i-1]) - MathMin(low[i], close[i-1]);
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for(int i = loop_start_atr; i < rates_total; i++)
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{
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if(i == m_atr_period)
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{
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double sum=0;
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for(int j=1; j<=m_atr_period; j++)
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sum+=tr[j];
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sum+=m_tr[j];
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m_atr_buffer[i]=sum/m_atr_period;
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}
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else
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m_atr_buffer[i] = (m_atr_buffer[i-1] * (m_atr_period - 1) + tr[i]) / m_atr_period;
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m_atr_buffer[i] = (m_atr_buffer[i-1] * (m_atr_period - 1) + m_tr[i]) / m_atr_period;
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}
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//--- Step 2: Calculate Bollinger Bands components (on prepared price)
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for(int i = m_bb_period - 1; i < rates_total; i++)
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//--- 2. Calculate Bollinger Bands (Incremental)
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// Uses m_price which is already prepared by PreparePriceSeries
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int loop_start_bb = MathMax(m_bb_period - 1, start_index);
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for(int i = loop_start_bb; i < rates_total; i++)
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{
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// SMA
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double sum = 0;
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for(int j = 0; j < m_bb_period; j++)
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sum += m_price[i-j];
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m_ma_buffer[i] = sum / m_bb_period;
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}
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for(int i = m_bb_period - 1; i < rates_total; i++)
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{
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double std_dev_val = 0, sum_sq = 0;
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// StdDev
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double sum_sq = 0;
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for(int j = 0; j < m_bb_period; j++)
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sum_sq += pow(m_price[i-j] - m_ma_buffer[i], 2);
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std_dev_val = sqrt(sum_sq / m_bb_period);
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double std_dev = sqrt(sum_sq / m_bb_period);
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m_upper_band[i] = m_ma_buffer[i] + m_bb_dev * std_dev_val;
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m_lower_band[i] = m_ma_buffer[i] - m_bb_dev * std_dev_val;
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m_upper_band[i] = m_ma_buffer[i] + m_bb_dev * std_dev;
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m_lower_band[i] = m_ma_buffer[i] - m_bb_dev * std_dev;
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}
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//--- Step 3: Calculate the final Oscillator value
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for(int i = start_pos; i < rates_total; i++)
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//--- 3. Calculate Oscillator
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int start_pos = MathMax(m_atr_period, m_bb_period);
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int loop_start_osc = MathMax(start_pos, start_index);
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for(int i = loop_start_osc; i < rates_total; i++)
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{
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double bb_diff = m_upper_band[i] - m_lower_band[i];
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if(bb_diff != 0)
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osc_out[i] = m_atr_buffer[i] / bb_diff;
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else
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osc_out[i] = 0;
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}
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}
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//+------------------------------------------------------------------+
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//| CBollingerATROscillatorCalculator: Prepares the source price. |
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//| Prepare Price (Standard) |
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//+------------------------------------------------------------------+
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bool CBollingerATROscillatorCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CBollingerATROscillatorCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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//--- Corrected: Added all price types
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switch(price_type)
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for(int i = start_index; i < rates_total; i++)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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break;
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case PRICE_TYPICAL:
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
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break;
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default:
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return false;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
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break;
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default:
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m_price[i] = close[i];
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break;
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}
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}
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return true;
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}
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//+==================================================================+
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//| |
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//| CLASS 2: CBollingerATROscillatorCalculator_HA (Heikin Ashi) |
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//| |
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//| CLASS 2: CBollingerATROscillatorCalculator_HA |
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//+==================================================================+
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class CBollingerATROscillatorCalculator_HA : public CBollingerATROscillatorCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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virtual bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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public:
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virtual void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &osc_out[]) override;
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};
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//+------------------------------------------------------------------+
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//| CBollingerATROscillatorCalculator_HA: Prepares the source price. |
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//| Prepare Price (Heikin Ashi) |
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//+------------------------------------------------------------------+
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bool CBollingerATROscillatorCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CBollingerATROscillatorCalculator_HA::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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//--- Corrected: The HA version now also uses the selected price type from the HA candles
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switch(price_type)
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if(ArraySize(m_ha_open) != rates_total)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, ha_low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
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break;
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default:
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return false;
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ArrayResize(m_ha_open, rates_total);
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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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}
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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for(int i = start_index; i < rates_total; i++)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
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break;
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default:
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m_price[i] = m_ha_close[i];
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break;
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}
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Calculate (HA Override) |
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//+------------------------------------------------------------------+
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void CBollingerATROscillatorCalculator_HA::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &osc_out[])
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{
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int start_pos = MathMax(m_atr_period, m_bb_period);
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if(rates_total <= start_pos)
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return;
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int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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// Resize Buffers (Same as base)
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArrayResize(m_atr_buffer, rates_total);
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ArrayResize(m_ma_buffer, rates_total);
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ArrayResize(m_upper_band, rates_total);
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ArrayResize(m_lower_band, rates_total);
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ArrayResize(m_tr, rates_total);
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}
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// 1. Prepare HA Data (and m_price for BB)
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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||||
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// 2. Call Core with Selected Arrays for ATR
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if(m_atr_source == ATR_SOURCE_HEIKIN_ASHI)
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{
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// Use HA arrays for ATR
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CalculateCore(rates_total, start_index, m_ha_high, m_ha_low, m_ha_close, osc_out);
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}
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else
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{
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// Use Standard arrays for ATR (Hybrid mode)
|
||||
CalculateCore(rates_total, start_index, high, low, close, osc_out);
|
||||
}
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
|
||||
Reference in New Issue
Block a user