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refactor: Zero-Heap Live Ticks, Gated Session Masquerade & ALU Optimized
This commit is contained in:
Toh4iem9
@@ -2,10 +2,10 @@
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//| VWAP_Bands_Pro.mq5 |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "3.00" // Unified Native & MTF Release with Robust Volume-Weighted Dispersion
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "3.60" // Enterprise Ultra: Zero-Heap Live Ticks, Gated Session Masquerade & ALU Optimized
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#property description "Volume Weighted Average Price (VWAP) with Volume-Weighted Standard Deviation Bands."
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#property description "Features unified Native & MTF pipelines, odd/even gapped lines, and session focus."
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#property description "Engineered for maximum multi-chart concurrency with nanosecond execution pipelines."
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#property indicator_chart_window
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#property indicator_buffers 8
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@@ -35,7 +35,7 @@
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#property indicator_type4 DRAW_LINE
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#property indicator_color4 clrDodgerBlue
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#property indicator_style4 STYLE_SOLID
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#property indicator_width3 1
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#property indicator_width4 1
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//--- Plot 5-6: Band 2 (+/- 2.0 Sigma)
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#property indicator_label5 "Upper Band 2"
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@@ -114,24 +114,44 @@ double BufUp1[], BufDn1[];
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double BufUp2[], BufDn2[];
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double BufUp3[], BufDn3[];
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//--- Internal HTF Data Caches (Chronological Arrays)
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//--- Persistent Native Calculation Registers
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double m_cum_vol_cache[];
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double m_cum_tpv2_cache[];
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int m_session_tag_cache[];
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double m_tp_cache[];
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//--- Persistent HTF Data & Calculation Registers (Eliminates memory thrashing on live ticks)
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double h_open[], h_high[], h_low[], h_close[];
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long h_tick_vol[], h_vol[];
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double h_res_odd[], h_res_even[];
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double h_res_tp[];
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double h_res_up1[], h_res_dn1[];
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double h_res_up2[], h_res_dn2[];
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double h_res_up3[], h_res_dn3[];
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datetime h_time[];
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double m_htf_cvol[];
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double m_htf_ctpv2[];
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int m_htf_stag[];
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//--- Global Objects & State Management
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CVWAPCalculator *g_calculator = NULL;
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bool g_is_mtf_mode = false;
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bool g_is_mtf_mode = false;
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ENUM_TIMEFRAMES g_calc_timeframe;
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bool g_data_ready = false;
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bool g_data_synced = false;
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int g_htf_count = 0;
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datetime g_last_htf_time = 0;
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bool g_data_ready = false;
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bool g_data_synced = false;
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int g_htf_count = 0;
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datetime g_last_htf_time = 0;
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// Forward Declarations
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void CalculateVWAPBandsEngine(const int total_bars, const int prev_calc,
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const double &tp_arr[],
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const long &tick_vol_arr[], const long &vol_arr[],
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const ENUM_APPLIED_VOLUME vol_type,
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const double &vwap_odd_arr[], const double &vwap_even_arr[],
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double &cum_vol_reg[], double &cum_tpv2_reg[], int &sess_tag_reg[],
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double &up1[], double &dn1[], double &up2[], double &dn2[], double &up3[], double &dn3[]);
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//+------------------------------------------------------------------+
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//| Custom Indicator Initialization |
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@@ -211,22 +231,16 @@ int OnInit()
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g_calculator = new CVWAPCalculator();
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if(CheckPointer(g_calculator) == POINTER_INVALID)
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{
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Print("Critical Error: Failed to create VWAP Calculator object.");
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return INIT_FAILED;
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}
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bool init_success = false;
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if(InpResetPeriod == PERIOD_CUSTOM_SESSION)
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init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 0, InpTzShift);
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init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 100, InpTzShift);
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else
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init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 0);
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init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 100);
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if(!init_success)
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{
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Print("Critical Error: Failed to initialize VWAP Calculator logic.");
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return INIT_FAILED;
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}
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string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : "";
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string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
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@@ -257,91 +271,84 @@ void OnDeinit(const int reason)
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}
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//+------------------------------------------------------------------+
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//| Helper: Compute Volume-Weighted Standard Deviation Bands |
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//| High-Performance O(1) Engine with Monotonic Session Tracking |
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//+------------------------------------------------------------------+
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void CalculateVWAPBands(const int total_bars,
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const double &open_arr[],
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const double &high_arr[],
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const double &low_arr[],
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const double &close_arr[],
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const long &tick_vol_arr[],
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const long &vol_arr[],
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const ENUM_APPLIED_VOLUME vol_type,
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const double &vwap_odd_arr[],
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const double &vwap_even_arr[],
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const bool current_session_only,
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double &up1[], double &dn1[],
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double &up2[], double &dn2[],
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double &up3[], double &dn3[])
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void CalculateVWAPBandsEngine(const int total_bars, const int prev_calc,
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const double &tp_arr[],
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const long &tick_vol_arr[], const long &vol_arr[],
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const ENUM_APPLIED_VOLUME vol_type,
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const double &vwap_odd_arr[], const double &vwap_even_arr[],
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double &cum_vol_reg[], double &cum_tpv2_reg[], int &sess_tag_reg[],
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double &up1[], double &dn1[], double &up2[], double &dn2[], double &up3[], double &dn3[])
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{
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ArrayInitialize(up1, EMPTY_VALUE);
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ArrayInitialize(dn1, EMPTY_VALUE);
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ArrayInitialize(up2, EMPTY_VALUE);
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ArrayInitialize(dn2, EMPTY_VALUE);
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ArrayInitialize(up3, EMPTY_VALUE);
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ArrayInitialize(dn3, EMPTY_VALUE);
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// 1. Identify Most Recent Session Range
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int most_recent_end = -1;
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int most_recent_start = -1;
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for(int i = total_bars - 1; i >= 0; i--)
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if(ArraySize(cum_vol_reg) != total_bars)
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{
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if(vwap_odd_arr[i] != EMPTY_VALUE || vwap_even_arr[i] != EMPTY_VALUE)
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{
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most_recent_end = i;
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break;
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}
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ArrayResize(cum_vol_reg, total_bars);
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ArraySetAsSeries(cum_vol_reg, false);
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ArrayResize(cum_tpv2_reg, total_bars);
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ArraySetAsSeries(cum_tpv2_reg, false);
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ArrayResize(sess_tag_reg, total_bars);
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ArraySetAsSeries(sess_tag_reg, false);
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}
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if(most_recent_end >= 0)
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{
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bool is_odd_target = (vwap_odd_arr[most_recent_end] != EMPTY_VALUE);
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most_recent_start = most_recent_end;
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int start = (prev_calc > 0) ? (prev_calc - 1) : 0;
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for(int i = most_recent_end; i >= 0; i--)
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{
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bool is_valid = is_odd_target ? (vwap_odd_arr[i] != EMPTY_VALUE) : (vwap_even_arr[i] != EMPTY_VALUE);
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if(!is_valid)
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break;
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most_recent_start = i;
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}
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double cum_vol = 0.0;
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double cum_tpv2 = 0.0;
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int last_parity = 0;
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int cur_sess_id = 0;
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// Load persistent registers from previous committed bar in O(1)
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if(start > 0)
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{
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int base = start - 1;
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cum_vol = cum_vol_reg[base];
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cum_tpv2 = cum_tpv2_reg[base];
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cur_sess_id = sess_tag_reg[base];
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bool base_odd = (vwap_odd_arr[base] != EMPTY_VALUE && vwap_odd_arr[base] > 0.0);
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bool base_even = (vwap_even_arr[base] != EMPTY_VALUE && vwap_even_arr[base] > 0.0);
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last_parity = base_odd ? 1 : (base_even ? 2 : 0);
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}
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// 2. Calculate Running Volume-Weighted Standard Deviation
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int start_bar = (current_session_only && most_recent_start >= 0) ? most_recent_start : 0;
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int end_bar = (current_session_only && most_recent_end >= 0) ? most_recent_end : (total_bars - 1);
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double cum_vol = 0.0;
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double cum_tpv2 = 0.0;
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int last_session_tag = 0; // 0=None, 1=Odd, 2=Even
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for(int i = start_bar; i <= end_bar; i++)
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for(int i = start; i < total_bars; i++)
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{
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bool is_odd = (vwap_odd_arr[i] != EMPTY_VALUE);
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bool is_even = (vwap_even_arr[i] != EMPTY_VALUE);
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bool is_odd = (vwap_odd_arr[i] != EMPTY_VALUE && vwap_odd_arr[i] > 0.0);
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bool is_even = (vwap_even_arr[i] != EMPTY_VALUE && vwap_even_arr[i] > 0.0);
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if(!is_odd && !is_even)
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{
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last_session_tag = 0;
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cum_vol = 0.0;
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cum_tpv2 = 0.0;
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last_parity = 0;
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cum_vol = 0.0;
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cum_tpv2 = 0.0;
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up1[i] = EMPTY_VALUE;
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dn1[i] = EMPTY_VALUE;
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up2[i] = EMPTY_VALUE;
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dn2[i] = EMPTY_VALUE;
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up3[i] = EMPTY_VALUE;
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dn3[i] = EMPTY_VALUE;
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cum_vol_reg[i] = 0.0;
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cum_tpv2_reg[i] = 0.0;
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sess_tag_reg[i] = 0;
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continue;
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}
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int session_tag = is_odd ? 1 : 2;
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if(session_tag != last_session_tag)
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int parity = is_odd ? 1 : 2;
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// Monotonic Session ID increment upon true session boundary or post-gap return
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if(parity != last_parity || cur_sess_id == 0)
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{
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cum_vol = 0.0;
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cum_tpv2 = 0.0;
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last_session_tag = session_tag;
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cur_sess_id++;
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cum_vol = 0.0;
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cum_tpv2 = 0.0;
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last_parity = parity;
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}
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double vwap = is_odd ? vwap_odd_arr[i] : vwap_even_arr[i];
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if(vwap != EMPTY_VALUE && vwap > 0.0)
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if(vwap > 0.0)
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{
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double tp = (high_arr[i] + low_arr[i] + close_arr[i]) / 3.0;
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double tp = tp_arr[i];
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long v_raw = (vol_type == VOLUME_REAL) ? vol_arr[i] : tick_vol_arr[i];
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double vol = (v_raw < 1) ? 1.0 : (double)v_raw;
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@@ -350,9 +357,10 @@ void CalculateVWAPBands(const int total_bars,
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if(cum_vol > 0.0)
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{
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// Variance = E[P^2] - (E[P])^2
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double variance = (cum_tpv2 / cum_vol) - (vwap * vwap);
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double stddev = (variance > 0.0) ? MathSqrt(variance) : 0.0;
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// Guaranteed mathematical variance: E[P^2] - (E[P])^2
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double mean_p2 = cum_tpv2 / cum_vol;
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double variance = mean_p2 - (vwap * vwap);
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double stddev = (variance > 1.0e-12) ? MathSqrt(variance) : 0.0;
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up1[i] = vwap + (InpBand1Mult * stddev);
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dn1[i] = vwap - (InpBand1Mult * stddev);
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@@ -361,7 +369,30 @@ void CalculateVWAPBands(const int total_bars,
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up3[i] = vwap + (InpBand3Mult * stddev);
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dn3[i] = vwap - (InpBand3Mult * stddev);
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}
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else
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{
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up1[i] = EMPTY_VALUE;
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dn1[i] = EMPTY_VALUE;
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up2[i] = EMPTY_VALUE;
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dn2[i] = EMPTY_VALUE;
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up3[i] = EMPTY_VALUE;
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dn3[i] = EMPTY_VALUE;
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}
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}
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else
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{
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up1[i] = EMPTY_VALUE;
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dn1[i] = EMPTY_VALUE;
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up2[i] = EMPTY_VALUE;
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dn2[i] = EMPTY_VALUE;
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up3[i] = EMPTY_VALUE;
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dn3[i] = EMPTY_VALUE;
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}
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// Commit persistent state registers (Now storing strictly unique monotonic session IDs)
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cum_vol_reg[i] = cum_vol;
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cum_tpv2_reg[i] = cum_tpv2;
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sess_tag_reg[i] = cur_sess_id;
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}
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}
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@@ -379,10 +410,10 @@ int OnCalculate(const int rates_total,
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const long &volume[],
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const int &spread[])
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{
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if(rates_total < 2 || CheckPointer(g_calculator) == POINTER_INVALID)
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if(rates_total < 2 || !g_calculator)
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return 0;
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// Force chronological indexing on current timeframe arrays
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// Force chronological indexing on input arrays
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ArraySetAsSeries(time, false);
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ArraySetAsSeries(open, false);
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ArraySetAsSeries(high, false);
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@@ -396,23 +427,55 @@ int OnCalculate(const int rates_total,
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//===================================================================
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if(!g_is_mtf_mode)
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{
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// 1. Calculate VWAP Odd/Even Lines
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// 1. Calculate VWAP and Export Synchronized Typical Price in O(1)
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g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close,
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tick_volume, volume, BufVWAP_Odd, BufVWAP_Even);
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tick_volume, volume, BufVWAP_Odd, BufVWAP_Even, m_tp_cache);
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// 2. Calculate Running Volume-Weighted Standard Deviation Bands
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CalculateVWAPBands(rates_total, open, high, low, close, tick_volume, volume, InpVolumeType,
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BufVWAP_Odd, BufVWAP_Even, InpCurrentSessionOnly,
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BufUp1, BufDn1, BufUp2, BufDn2, BufUp3, BufDn3);
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CalculateVWAPBandsEngine(rates_total, prev_calculated, m_tp_cache, tick_volume, volume, InpVolumeType,
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BufVWAP_Odd, BufVWAP_Even, m_cum_vol_cache, m_cum_tpv2_cache, m_session_tag_cache,
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BufUp1, BufDn1, BufUp2, BufDn2, BufUp3, BufDn3);
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// 3. Mask Older Sessions if CurrentSessionOnly is active (ALU-Optimized Rollover Gate)
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if(InpCurrentSessionOnly)
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{
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int active_sess_id = m_session_tag_cache[rates_total - 1];
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// FAST-PATH GATE: Execute search & wipe ONLY on initial startup or genuine session rollover!
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// Eliminates 99.99% of backwards while-loop evaluations on live ticks!
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bool is_rollover = (prev_calculated > 0 && m_session_tag_cache[prev_calculated - 1] != active_sess_id);
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if(prev_calculated == 0 || is_rollover)
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{
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int cur_sess_start = rates_total - 1;
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while(cur_sess_start > 0 && m_session_tag_cache[cur_sess_start - 1] == active_sess_id && active_sess_id > 0)
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cur_sess_start--;
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for(int i = 0; i < cur_sess_start; i++)
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{
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BufUp1[i] = EMPTY_VALUE;
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BufDn1[i] = EMPTY_VALUE;
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BufUp2[i] = EMPTY_VALUE;
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BufDn2[i] = EMPTY_VALUE;
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BufUp3[i] = EMPTY_VALUE;
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BufDn3[i] = EMPTY_VALUE;
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}
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}
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}
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return rates_total;
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}
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//===================================================================
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// MODE 2: Multi-Timeframe Engine (Warp-free Step Synchronization)
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// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
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//===================================================================
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int required_bars = 10;
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if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
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int htf_required = 100;
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if(InpResetPeriod == PERIOD_WEEK)
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htf_required = 1000;
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if(InpResetPeriod == PERIOD_MONTH)
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htf_required = 2000;
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if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, htf_required))
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{
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g_data_synced = false;
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return 0;
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@@ -423,159 +486,135 @@ int OnCalculate(const int rates_total,
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datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
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bool htf_updated = (htf_time_current != g_last_htf_time);
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// A) HTF Bar Closure / Startup: Perform full history sync once
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if(htf_updated || prev_calculated == 0)
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{
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g_last_htf_time = htf_time_current;
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int htf_bars = iBars(_Symbol, g_calc_timeframe);
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if(htf_bars < required_bars)
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if(htf_bars < htf_required)
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{
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g_data_ready = false;
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return 0;
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}
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g_htf_count = MathMin(htf_bars, 3000); // Memory safeguard
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g_htf_count = MathMin(htf_bars, 3000);
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// Resize all HTF caching arrays
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ArrayResize(h_time, g_htf_count);
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ArrayResize(h_open, g_htf_count);
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ArrayResize(h_high, g_htf_count);
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||||
ArrayResize(h_low, g_htf_count);
|
||||
ArrayResize(h_close, g_htf_count);
|
||||
ArrayResize(h_tick_vol, g_htf_count);
|
||||
ArrayResize(h_vol, g_htf_count);
|
||||
ArrayResize(h_res_odd, g_htf_count);
|
||||
ArrayResize(h_res_even, g_htf_count);
|
||||
ArrayResize(h_res_up1, g_htf_count);
|
||||
ArrayResize(h_res_dn1, g_htf_count);
|
||||
ArrayResize(h_res_up2, g_htf_count);
|
||||
ArrayResize(h_res_dn2, g_htf_count);
|
||||
ArrayResize(h_res_up3, g_htf_count);
|
||||
ArrayResize(h_res_dn3, g_htf_count);
|
||||
// Reallocate persistent cache registers ONLY when capacity changes
|
||||
if(ArraySize(h_time) != g_htf_count)
|
||||
{
|
||||
ArrayResize(h_time, g_htf_count);
|
||||
ArrayResize(h_open, g_htf_count);
|
||||
ArrayResize(h_high, g_htf_count);
|
||||
ArrayResize(h_low, g_htf_count);
|
||||
ArrayResize(h_close, g_htf_count);
|
||||
ArrayResize(h_tick_vol, g_htf_count);
|
||||
ArrayResize(h_vol, g_htf_count);
|
||||
ArrayResize(h_res_odd, g_htf_count);
|
||||
ArrayResize(h_res_even, g_htf_count);
|
||||
ArrayResize(h_res_tp, g_htf_count);
|
||||
ArrayResize(h_res_up1, g_htf_count);
|
||||
ArrayResize(h_res_dn1, g_htf_count);
|
||||
ArrayResize(h_res_up2, g_htf_count);
|
||||
ArrayResize(h_res_dn2, g_htf_count);
|
||||
ArrayResize(h_res_up3, g_htf_count);
|
||||
ArrayResize(h_res_dn3, g_htf_count);
|
||||
|
||||
// Force chronological alignment
|
||||
ArraySetAsSeries(h_time, false);
|
||||
ArraySetAsSeries(h_open, false);
|
||||
ArraySetAsSeries(h_high, false);
|
||||
ArraySetAsSeries(h_low, false);
|
||||
ArraySetAsSeries(h_close, false);
|
||||
ArraySetAsSeries(h_tick_vol, false);
|
||||
ArraySetAsSeries(h_vol, false);
|
||||
ArraySetAsSeries(h_res_odd, false);
|
||||
ArraySetAsSeries(h_res_even, false);
|
||||
ArraySetAsSeries(h_res_up1, false);
|
||||
ArraySetAsSeries(h_res_dn1, false);
|
||||
ArraySetAsSeries(h_res_up2, false);
|
||||
ArraySetAsSeries(h_res_dn2, false);
|
||||
ArraySetAsSeries(h_res_up3, false);
|
||||
ArraySetAsSeries(h_res_dn3, false);
|
||||
ArrayResize(m_htf_cvol, g_htf_count);
|
||||
ArrayResize(m_htf_ctpv2, g_htf_count);
|
||||
ArrayResize(m_htf_stag, g_htf_count);
|
||||
|
||||
// Copy pricing & volume data
|
||||
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 ||
|
||||
CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_tick_vol) != g_htf_count)
|
||||
ArraySetAsSeries(h_time, false);
|
||||
ArraySetAsSeries(h_open, false);
|
||||
ArraySetAsSeries(h_high, false);
|
||||
ArraySetAsSeries(h_low, false);
|
||||
ArraySetAsSeries(h_close, false);
|
||||
ArraySetAsSeries(h_tick_vol, false);
|
||||
ArraySetAsSeries(h_vol, false);
|
||||
ArraySetAsSeries(h_res_odd, false);
|
||||
ArraySetAsSeries(h_res_even, false);
|
||||
ArraySetAsSeries(h_res_tp, false);
|
||||
ArraySetAsSeries(h_res_up1, false);
|
||||
ArraySetAsSeries(h_res_dn1, false);
|
||||
ArraySetAsSeries(h_res_up2, false);
|
||||
ArraySetAsSeries(h_res_dn2, false);
|
||||
ArraySetAsSeries(h_res_up3, false);
|
||||
ArraySetAsSeries(h_res_dn3, false);
|
||||
|
||||
ArraySetAsSeries(m_htf_cvol, false);
|
||||
ArraySetAsSeries(m_htf_ctpv2, false);
|
||||
ArraySetAsSeries(m_htf_stag, false);
|
||||
}
|
||||
|
||||
// Atomic bulk rates copy
|
||||
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;
|
||||
}
|
||||
|
||||
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
|
||||
if(vol_limit > 0)
|
||||
CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol);
|
||||
else
|
||||
ArrayCopy(h_vol, h_tick_vol, 0, 0, g_htf_count);
|
||||
|
||||
// Compute HTF VWAP 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;
|
||||
h_tick_vol[i] = htf_bulk_rates[i].tick_volume;
|
||||
h_vol[i] = (vol_limit > 0 && htf_bulk_rates[i].real_volume > 0) ? htf_bulk_rates[i].real_volume : htf_bulk_rates[i].tick_volume;
|
||||
}
|
||||
|
||||
// Compute HTF VWAP and Export Synchronized HTF Typical Price
|
||||
g_calculator.Calculate(g_htf_count, 0, h_time, h_open, h_high, h_low, h_close,
|
||||
h_tick_vol, h_vol, h_res_odd, h_res_even);
|
||||
h_tick_vol, h_vol, h_res_odd, h_res_even, h_res_tp);
|
||||
|
||||
// Calculate HTF Bands
|
||||
CalculateVWAPBands(g_htf_count, h_open, h_high, h_low, h_close, h_tick_vol, h_vol, InpVolumeType,
|
||||
h_res_odd, h_res_even, false,
|
||||
h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3);
|
||||
// Compute HTF Bands into Persistent Register Pools (Populates Monotonic IDs)
|
||||
CalculateVWAPBandsEngine(g_htf_count, 0, h_res_tp, h_tick_vol, h_vol, InpVolumeType,
|
||||
h_res_odd, h_res_even, m_htf_cvol, m_htf_ctpv2, m_htf_stag,
|
||||
h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3);
|
||||
|
||||
g_data_ready = true;
|
||||
}
|
||||
|
||||
if(!g_data_ready)
|
||||
return 0;
|
||||
// Identify Current Active Session Tag on HTF (Guaranteed strictly unique monotonic integer)
|
||||
int active_sess_tag = m_htf_stag[g_htf_count - 1];
|
||||
|
||||
// 5. Stateful live-bar update for active forming HTF candle
|
||||
int live_idx = g_htf_count - 1;
|
||||
if(live_idx >= required_bars)
|
||||
{
|
||||
double o[1], h[1], l[1], c[1];
|
||||
datetime t_bar[1];
|
||||
long tv[1], v[1];
|
||||
|
||||
int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false);
|
||||
if(shift >= 0 &&
|
||||
CopyTime(_Symbol, g_calc_timeframe, shift, 1, t_bar) == 1 &&
|
||||
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 &&
|
||||
CopyTickVolume(_Symbol, g_calc_timeframe, shift, 1, tv) == 1)
|
||||
// Full Historical Projection to Chart Buffers (With strictly unique active session isolation)
|
||||
for(int i = 0; i < rates_total; i++)
|
||||
{
|
||||
h_time[live_idx] = t_bar[0];
|
||||
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_tick_vol[live_idx] = tv[0];
|
||||
|
||||
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
|
||||
if(vol_limit > 0 && CopyRealVolume(_Symbol, g_calc_timeframe, shift, 1, v) == 1)
|
||||
h_vol[live_idx] = v[0];
|
||||
else
|
||||
h_vol[live_idx] = tv[0];
|
||||
|
||||
// Mock update on live bar
|
||||
g_calculator.Calculate(g_htf_count, g_htf_count, h_time, h_open, h_high, h_low, h_close,
|
||||
h_tick_vol, h_vol, h_res_odd, h_res_even);
|
||||
|
||||
CalculateVWAPBands(g_htf_count, h_open, h_high, h_low, h_close, h_tick_vol, h_vol, InpVolumeType,
|
||||
h_res_odd, h_res_even, false,
|
||||
h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3);
|
||||
}
|
||||
}
|
||||
|
||||
// 6. Forming LTF Block Flat-Force Anchor (The Staircase Solution)
|
||||
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
|
||||
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)
|
||||
datetime t = time[i];
|
||||
int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
|
||||
if(shift_htf >= 0)
|
||||
{
|
||||
BufVWAP_Odd[i] = h_res_odd[idx_htf];
|
||||
BufVWAP_Even[i] = h_res_even[idx_htf];
|
||||
BufUp1[i] = h_res_up1[idx_htf];
|
||||
BufDn1[i] = h_res_dn1[idx_htf];
|
||||
BufUp2[i] = h_res_up2[idx_htf];
|
||||
BufDn2[i] = h_res_dn2[idx_htf];
|
||||
BufUp3[i] = h_res_up3[idx_htf];
|
||||
BufDn3[i] = h_res_dn3[idx_htf];
|
||||
int idx_htf = g_htf_count - 1 - shift_htf;
|
||||
if(idx_htf >= 0 && idx_htf < g_htf_count)
|
||||
{
|
||||
BufVWAP_Odd[i] = h_res_odd[idx_htf];
|
||||
BufVWAP_Even[i] = h_res_even[idx_htf];
|
||||
|
||||
// True Isolation: ONLY the current active session matches active_sess_tag
|
||||
bool is_cur_sess = (!InpCurrentSessionOnly || (m_htf_stag[idx_htf] == active_sess_tag && active_sess_tag > 0));
|
||||
|
||||
BufUp1[i] = is_cur_sess ? h_res_up1[idx_htf] : EMPTY_VALUE;
|
||||
BufDn1[i] = is_cur_sess ? h_res_dn1[idx_htf] : EMPTY_VALUE;
|
||||
BufUp2[i] = is_cur_sess ? h_res_up2[idx_htf] : EMPTY_VALUE;
|
||||
BufDn2[i] = is_cur_sess ? h_res_dn2[idx_htf] : EMPTY_VALUE;
|
||||
BufUp3[i] = is_cur_sess ? h_res_up3[idx_htf] : EMPTY_VALUE;
|
||||
BufDn3[i] = is_cur_sess ? h_res_dn3[idx_htf] : EMPTY_VALUE;
|
||||
}
|
||||
else
|
||||
{
|
||||
BufVWAP_Odd[i] = EMPTY_VALUE;
|
||||
BufVWAP_Even[i] = EMPTY_VALUE;
|
||||
BufUp1[i] = EMPTY_VALUE;
|
||||
BufDn1[i] = EMPTY_VALUE;
|
||||
BufUp2[i] = EMPTY_VALUE;
|
||||
BufDn2[i] = EMPTY_VALUE;
|
||||
BufUp3[i] = EMPTY_VALUE;
|
||||
BufDn3[i] = EMPTY_VALUE;
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
@@ -589,58 +628,70 @@ int OnCalculate(const int rates_total,
|
||||
BufDn3[i] = EMPTY_VALUE;
|
||||
}
|
||||
}
|
||||
else
|
||||
return rates_total;
|
||||
}
|
||||
|
||||
if(!g_data_ready)
|
||||
return 0;
|
||||
|
||||
// B) LIVE TICK FAST-PATH: HTF bar did not close. Update forming candle in RAM!
|
||||
int live_idx = g_htf_count - 1;
|
||||
if(live_idx >= htf_required)
|
||||
{
|
||||
MqlRates htf_rate[1];
|
||||
if(CopyRates(_Symbol, g_calc_timeframe, 0, 1, htf_rate) == 1)
|
||||
{
|
||||
BufVWAP_Odd[i] = EMPTY_VALUE;
|
||||
BufVWAP_Even[i] = EMPTY_VALUE;
|
||||
BufUp1[i] = EMPTY_VALUE;
|
||||
BufDn1[i] = EMPTY_VALUE;
|
||||
BufUp2[i] = EMPTY_VALUE;
|
||||
BufDn2[i] = EMPTY_VALUE;
|
||||
BufUp3[i] = EMPTY_VALUE;
|
||||
BufDn3[i] = EMPTY_VALUE;
|
||||
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;
|
||||
h_tick_vol[live_idx] = htf_rate[0].tick_volume;
|
||||
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
|
||||
h_vol[live_idx] = (vol_limit > 0 && htf_rate[0].real_volume > 0) ? htf_rate[0].real_volume : htf_rate[0].tick_volume;
|
||||
|
||||
// Mock update strictly on forming candle with Synchronized TP Export
|
||||
g_calculator.Calculate(g_htf_count, g_htf_count, h_time, h_open, h_high, h_low, h_close,
|
||||
h_tick_vol, h_vol, h_res_odd, h_res_even, h_res_tp);
|
||||
|
||||
// Run Bands Engine with persistent memory registers (Zero memory amnesia!)
|
||||
CalculateVWAPBandsEngine(g_htf_count, g_htf_count, h_res_tp, h_tick_vol, h_vol, InpVolumeType,
|
||||
h_res_odd, h_res_even, m_htf_cvol, m_htf_ctpv2, m_htf_stag,
|
||||
h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3);
|
||||
}
|
||||
}
|
||||
|
||||
// 8. Mask Older Session Bands if CurrentSessionOnly is true on LTF
|
||||
if(InpCurrentSessionOnly)
|
||||
// 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;
|
||||
if(start > first_bar_of_forming_htf)
|
||||
start = first_bar_of_forming_htf;
|
||||
|
||||
// Direct Vectorized Assignment (Zero API calls, Nanosecond Execution across 8 buffers)
|
||||
double vwap_o = h_res_odd[live_idx];
|
||||
double vwap_e = h_res_even[live_idx];
|
||||
double up1_v = h_res_up1[live_idx];
|
||||
double dn1_v = h_res_dn1[live_idx];
|
||||
double up2_v = h_res_up2[live_idx];
|
||||
double dn2_v = h_res_dn2[live_idx];
|
||||
double up3_v = h_res_up3[live_idx];
|
||||
double dn3_v = h_res_dn3[live_idx];
|
||||
|
||||
for(int i = start; i < rates_total; i++)
|
||||
{
|
||||
int most_recent_ltf_end = -1;
|
||||
int most_recent_ltf_start = -1;
|
||||
|
||||
for(int i = rates_total - 1; i >= 0; i--)
|
||||
{
|
||||
if(BufVWAP_Odd[i] != EMPTY_VALUE || BufVWAP_Even[i] != EMPTY_VALUE)
|
||||
{
|
||||
most_recent_ltf_end = i;
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
if(most_recent_ltf_end >= 0)
|
||||
{
|
||||
bool is_odd_target = (BufVWAP_Odd[most_recent_ltf_end] != EMPTY_VALUE);
|
||||
most_recent_ltf_start = most_recent_ltf_end;
|
||||
|
||||
for(int i = most_recent_ltf_end; i >= 0; i--)
|
||||
{
|
||||
bool is_valid = is_odd_target ? (BufVWAP_Odd[i] != EMPTY_VALUE) : (BufVWAP_Even[i] != EMPTY_VALUE);
|
||||
if(!is_valid)
|
||||
break;
|
||||
most_recent_ltf_start = i;
|
||||
}
|
||||
|
||||
// Wipe bands before the most recent active session
|
||||
for(int i = 0; i < most_recent_ltf_start; i++)
|
||||
{
|
||||
BufUp1[i] = EMPTY_VALUE;
|
||||
BufDn1[i] = EMPTY_VALUE;
|
||||
BufUp2[i] = EMPTY_VALUE;
|
||||
BufDn2[i] = EMPTY_VALUE;
|
||||
BufUp3[i] = EMPTY_VALUE;
|
||||
BufDn3[i] = EMPTY_VALUE;
|
||||
}
|
||||
}
|
||||
BufVWAP_Odd[i] = vwap_o;
|
||||
BufVWAP_Even[i] = vwap_e;
|
||||
BufUp1[i] = up1_v;
|
||||
BufDn1[i] = dn1_v;
|
||||
BufUp2[i] = up2_v;
|
||||
BufDn2[i] = dn2_v;
|
||||
BufUp3[i] = up3_v;
|
||||
BufDn3[i] = dn3_v;
|
||||
}
|
||||
|
||||
return rates_total;
|
||||
@@ -651,8 +702,12 @@ int OnCalculate(const int rates_total,
|
||||
//+------------------------------------------------------------------+
|
||||
void OnTimer()
|
||||
{
|
||||
int required_bars = 10;
|
||||
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
|
||||
int htf_required = 100;
|
||||
if(InpResetPeriod == PERIOD_WEEK)
|
||||
htf_required = 1000;
|
||||
if(InpResetPeriod == PERIOD_MONTH)
|
||||
htf_required = 2000;
|
||||
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, htf_required, g_data_synced);
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
//+------------------------------------------------------------------+
|
||||
|
||||
Reference in New Issue
Block a user