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refactor: Zero-Copy L0..L3 Pipeline & Persistent Volume Buffers

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This commit is contained in:
Toh4iem9
2026-10-07 15:25:10 +02:00
parent 9470d580e6
commit a06d5ad916
1 changed files with 46 additions and 98 deletions
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Include/MyIncludes/Laguerre_RSI_Calculator.mqh
+46 -98
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@@ -3,8 +3,9 @@
//| Engine for John Ehlers' Laguerre Relative Strength Index |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.00" // Leak-free pointer management, bounds protection & VWMA support
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.10" // Enterprise Refactor: Zero-Copy L0..L3 Pipeline & Persistent Volume Buffers
#property description "High-performance calculation engine for Ehlers' Laguerre RSI."
#ifndef LAGUERRE_RSI_CALCULATOR_MQH
#define LAGUERRE_RSI_CALCULATOR_MQH
@@ -28,7 +29,7 @@ protected:
//--- Persistent State Buffers
double m_dummy_filt[];
double m_L0[], m_L1[], m_L2[], m_L3[];
double m_vol_double[];
virtual void CreateEngines(void);
@@ -59,8 +60,7 @@ public:
double &lrsi_buffer[], double &signal_buffer[]);
//--- Legacy Overload with price_type parameter (Without Volume)
void Calculate(const int rates_total, const int prev_calculated,
const ENUM_APPLIED_PRICE price_type,
void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[],
const double &low[], const double &close[],
double &lrsi_buffer[], double &signal_buffer[])
@@ -72,8 +72,7 @@ public:
}
//--- Legacy Overload with price_type parameter (With Volume)
void Calculate(const int rates_total, const int prev_calculated,
const ENUM_APPLIED_PRICE price_type,
void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[],
const double &low[], const double &close[],
const long &volume[],
@@ -89,7 +88,8 @@ public:
//+------------------------------------------------------------------+
//| Constructor |
//+------------------------------------------------------------------+
CLaguerreRSICalculator::CLaguerreRSICalculator(void) : m_engine(NULL),
CLaguerreRSICalculator::CLaguerreRSICalculator(void) :
m_engine(NULL),
m_ma_calculator(NULL),
m_gamma(0.5),
m_signal_period(3),
@@ -97,10 +97,7 @@ CLaguerreRSICalculator::CLaguerreRSICalculator(void) : m_engine(NULL),
m_source_price(PRICE_CLOSE_STD)
{
ArraySetAsSeries(m_dummy_filt, false);
ArraySetAsSeries(m_L0, false);
ArraySetAsSeries(m_L1, false);
ArraySetAsSeries(m_L2, false);
ArraySetAsSeries(m_L3, false);
ArraySetAsSeries(m_vol_double, false);
}
//+------------------------------------------------------------------+
@@ -162,7 +159,7 @@ bool CLaguerreRSICalculator::Init(const double gamma, const int signal_p, const
}
//+------------------------------------------------------------------+
//| Calculate (Standard - No Volume) |
//| Calculate (Standard - No Volume, Zero-Copy L0..L3 Access) |
//+------------------------------------------------------------------+
void CLaguerreRSICalculator::Calculate(const int rates_total, const int prev_calculated,
const double &open[], const double &high[],
@@ -186,13 +183,10 @@ void CLaguerreRSICalculator::Calculate(const int rates_total, const int prev_cal
ArrayInitialize(signal_buffer, EMPTY_VALUE);
}
// 1. Calculate Laguerre Components
// 1. Calculate Laguerre Components in O(1)
m_engine.CalculateFilter(rates_total, prev_calculated, open, high, low, close, m_dummy_filt);
// 2. Retrieve L0..L3 state buffers
m_engine.GetLBuffers(m_L0, m_L1, m_L2, m_L3);
// 3. Calculate LRSI (Incremental Loop)
// 2. Direct Inlined LRSI Loop (ELIMINATES 4 massive ArrayCopy calls!)
int start_index = (prev_calculated > 0) ? (prev_calculated - 1) : 0;
if(prev_calculated == 0)
@@ -203,41 +197,49 @@ void CLaguerreRSICalculator::Calculate(const int rates_total, const int prev_cal
for(int i = start_index; i < rates_total; i++)
{
double l0 = m_engine.GetL0(i);
double l1 = m_engine.GetL1(i);
double l2 = m_engine.GetL2(i);
double l3 = m_engine.GetL3(i);
double cu = 0.0, cd = 0.0;
if(m_L0[i] >= m_L1[i])
cu += m_L0[i] - m_L1[i];
if(l0 >= l1)
cu += l0 - l1;
else
cd += m_L1[i] - m_L0[i];
if(m_L1[i] >= m_L2[i])
cu += m_L1[i] - m_L2[i];
cd += l1 - l0;
if(l1 >= l2)
cu += l1 - l2;
else
cd += m_L2[i] - m_L1[i];
if(m_L2[i] >= m_L3[i])
cu += m_L2[i] - m_L3[i];
cd += l2 - l1;
if(l2 >= l3)
cu += l2 - l3;
else
cd += m_L3[i] - m_L2[i];
cd += l3 - l2;
double sum_c = cu + cd;
double lrsi_val = 50.0;
if(cu + cd > 1.0e-9)
lrsi_val = (cu / (cu + cd)) * 100.0;
if(sum_c > 1.0e-9)
lrsi_val = (cu / sum_c) * 100.0;
else
lrsi_val = (i > 0) ? lrsi_buffer[i - 1] : 50.0;
if(lrsi_val > 100.0)
lrsi_val = 100.0;
if(lrsi_val < 0.0)
lrsi_val = 0.0;
else
if(lrsi_val < 0.0)
lrsi_val = 0.0;
lrsi_buffer[i] = lrsi_val;
}
// 4. Calculate Signal Line (Without Volume)
// 3. Calculate Signal Line in O(1)
m_ma_calculator.CalculateOnArray(rates_total, prev_calculated, lrsi_buffer, signal_buffer, 1);
}
//+------------------------------------------------------------------+
//| Calculate (Overloaded - With Volume for VWMA) |
//| Calculate (Overloaded - With Persistent Volume for VWMA) |
//+------------------------------------------------------------------+
void CLaguerreRSICalculator::Calculate(const int rates_total, const int prev_calculated,
const double &open[], const double &high[],
@@ -248,76 +250,22 @@ void CLaguerreRSICalculator::Calculate(const int rates_total, const int prev_cal
if(rates_total < 2 || CheckPointer(m_engine) == POINTER_INVALID || CheckPointer(m_ma_calculator) == POINTER_INVALID)
return;
// Safe allocation of destination arrays
if(ArraySize(lrsi_buffer) != rates_total)
// Safe allocation of persistent volume buffer (Zero dynamic heap reallocations!)
if(ArraySize(m_vol_double) != rates_total)
{
ArrayResize(lrsi_buffer, rates_total);
ArraySetAsSeries(lrsi_buffer, false);
ArrayInitialize(lrsi_buffer, EMPTY_VALUE);
}
if(ArraySize(signal_buffer) != rates_total)
{
ArrayResize(signal_buffer, rates_total);
ArraySetAsSeries(signal_buffer, false);
ArrayInitialize(signal_buffer, EMPTY_VALUE);
ArrayResize(m_vol_double, rates_total);
ArraySetAsSeries(m_vol_double, false);
}
// 1. Calculate Laguerre Components
m_engine.CalculateFilter(rates_total, prev_calculated, open, high, low, close, m_dummy_filt);
int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0;
for(int j = start_sync; j < rates_total; j++)
m_vol_double[j] = (double)volume[j];
// 2. Retrieve L0..L3 state buffers
m_engine.GetLBuffers(m_L0, m_L1, m_L2, m_L3);
// 1. Calculate base LRSI (Zero-Copy!)
Calculate(rates_total, prev_calculated, open, high, low, close, lrsi_buffer, signal_buffer);
// 3. Calculate LRSI
int start_index = (prev_calculated > 0) ? (prev_calculated - 1) : 0;
if(prev_calculated == 0)
{
lrsi_buffer[0] = 50.0;
start_index = 1;
}
for(int i = start_index; i < rates_total; i++)
{
double cu = 0.0, cd = 0.0;
if(m_L0[i] >= m_L1[i])
cu += m_L0[i] - m_L1[i];
else
cd += m_L1[i] - m_L0[i];
if(m_L1[i] >= m_L2[i])
cu += m_L1[i] - m_L2[i];
else
cd += m_L2[i] - m_L1[i];
if(m_L2[i] >= m_L3[i])
cu += m_L2[i] - m_L3[i];
else
cd += m_L3[i] - m_L2[i];
double lrsi_val = 50.0;
if(cu + cd > 1.0e-9)
lrsi_val = (cu / (cu + cd)) * 100.0;
else
lrsi_val = (i > 0) ? lrsi_buffer[i - 1] : 50.0;
if(lrsi_val > 100.0)
lrsi_val = 100.0;
if(lrsi_val < 0.0)
lrsi_val = 0.0;
lrsi_buffer[i] = lrsi_val;
}
// 4. Convert volume to double array for VWMA support
double vol_double[];
ArrayResize(vol_double, rates_total);
ArraySetAsSeries(vol_double, false);
for(int j = start_index; j < rates_total; j++)
vol_double[j] = (double)volume[j];
// 5. Calculate Signal Line (With Volume)
m_ma_calculator.CalculateOnArray(rates_total, prev_calculated, lrsi_buffer, vol_double, signal_buffer, 1);
// 2. Overwrite Signal Line calculation using Persistent Volume
m_ma_calculator.CalculateOnArray(rates_total, prev_calculated, lrsi_buffer, m_vol_double, signal_buffer, 1);
}
//+==================================================================+