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refactor: Zero-Lag MTF Fast-Path & Pipelined Math

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This commit is contained in:
Toh4iem9
2026-09-30 23:44:54 +02:00
parent 2bdc9539dc
commit a0aeba9055
1 changed files with 74 additions and 62 deletions
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Indicators/MyIndicators/Authors/Ehlers/1_Smoothers/Laguerre_Filter_Pro.mq5
+74 -62
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@@ -2,8 +2,8 @@
//| Laguerre_Filter_Pro.mq5|
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.00" // Unified Native & MTF Release with Enhanced Visuals
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.10" // Enterprise Refactor: Zero-Lag MTF Fast-Path & Pipelined Math
#property description "John Ehlers' Laguerre Filter as a low-lag moving average with Native & MTF Support."
#property description "Includes an optional 4-point FIR filter for lag and smoothing comparison."
@@ -62,12 +62,12 @@ datetime h_time[];
//--- Global Objects & State Management
CLaguerreFilterCalculator *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 |
@@ -145,8 +145,8 @@ int OnInit()
return INIT_FAILED;
}
string ha_tag = (InpSourcePrice <= PRICE_HA_CLOSE) ? " HA" : "";
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string ha_tag = (InpSourcePrice <= PRICE_HA_CLOSE) ? " HA" : "";
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string short_name = StringFormat("Laguerre Filter%s%s(γ=%.3f)", ha_tag, tf_str, InpGamma);
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
@@ -188,7 +188,7 @@ int OnCalculate(const int rates_total,
const long &volume[],
const int &spread[])
{
if(rates_total < 5 || CheckPointer(g_calculator) == POINTER_INVALID)
if(rates_total < 5 || !g_calculator)
return 0;
// Force chronological indexing
@@ -216,7 +216,7 @@ int OnCalculate(const int rates_total,
}
//===================================================================
// MODE 2: Multi-Timeframe Engine (Warp-free Step Synchronization)
// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
//===================================================================
int required_bars = 10;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
@@ -230,6 +230,7 @@ int OnCalculate(const int rates_total,
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;
@@ -260,85 +261,96 @@ int OnCalculate(const int rates_total,
ArraySetAsSeries(h_res_filter, false);
ArraySetAsSeries(h_res_fir, false);
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;
}
// Compute HTF Laguerre & FIR Filter Values
for(int i = 0; i < g_htf_count; i++)
{
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;
}
// Compute HTF Laguerre & FIR Filter Values across history
g_calculator.Calculate(g_htf_count, 0, h_open, h_high, h_low, h_close, h_res_filter, h_res_fir);
g_data_ready = true;
// Full Historical Projection to Chart Buffers (Only on new HTF candle)
for(int i = 0; i < rates_total; i++)
{
datetime t = time[i];
int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
if(shift_htf >= 0)
{
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];
BufferFIR[i] = InpShowFIR ? h_res_fir[idx_htf] : EMPTY_VALUE;
}
else
{
BufferFilter[i] = EMPTY_VALUE;
BufferFIR[i] = EMPTY_VALUE;
}
}
else
{
BufferFilter[i] = EMPTY_VALUE;
BufferFIR[i] = EMPTY_VALUE;
}
}
return rates_total;
}
if(!g_data_ready)
return 0;
// 5. Stateful live-bar update for active forming HTF candle
// 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)
{
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)
MqlRates htf_rate[1];
// Single atomic API call instead of 4 separate copies!
if(CopyRates(_Symbol, g_calc_timeframe, 0, 1, htf_rate) == 1)
{
h_open[live_idx] = o[0];
h_high[live_idx] = h[0];
h_low[live_idx] = l[0];
h_close[live_idx] = c[0];
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 on live HTF bar
g_calculator.Calculate(g_htf_count, g_htf_count, h_open, h_high, h_low, h_close, h_res_filter, h_res_fir);
}
}
// 6. Forming LTF Block Flat-Force Anchor (The Staircase Solution)
// 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;
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++;
if(start > first_bar_of_forming_htf)
start = first_bar_of_forming_htf;
// 7. Chronological Mapping Loop to Chart Timeframe (2 Buffers)
// Direct Vectorized Assignment (Zero API calls, Nanosecond Execution across 2 buffers)
double filter_val = h_res_filter[live_idx];
double fir_val = InpShowFIR ? h_res_fir[live_idx] : EMPTY_VALUE;
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)
{
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];
BufferFIR[i] = InpShowFIR ? h_res_fir[idx_htf] : EMPTY_VALUE;
}
else
{
BufferFilter[i] = EMPTY_VALUE;
BufferFIR[i] = EMPTY_VALUE;
}
}
else
{
BufferFilter[i] = EMPTY_VALUE;
BufferFIR[i] = EMPTY_VALUE;
}
BufferFilter[i] = filter_val;
BufferFIR[i] = fir_val;
}
return rates_total;