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refactor: Zero-Heap Live Ticks, Gated Session Masquerade & ALU Optimized

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Toh4iem9
2026-10-12 02:09:06 +02:00
parent 191849bdb7
commit a67bb60ca0
1 changed files with 324 additions and 269 deletions
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Indicators/MyIndicators/VWAP_Bands_Pro.mq5
+324 -269
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@@ -2,10 +2,10 @@
//| VWAP_Bands_Pro.mq5 | //| VWAP_Bands_Pro.mq5 |
//| Copyright 2026, xxxxxxxx| //| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx" #property copyright "Copyright 2026, xxxxxxxx"
#property version "3.00" // Unified Native & MTF Release with Robust Volume-Weighted Dispersion #property version "3.60" // Enterprise Ultra: Zero-Heap Live Ticks, Gated Session Masquerade & ALU Optimized
#property description "Volume Weighted Average Price (VWAP) with Volume-Weighted Standard Deviation Bands." #property description "Volume Weighted Average Price (VWAP) with Volume-Weighted Standard Deviation Bands."
#property description "Features unified Native & MTF pipelines, odd/even gapped lines, and session focus." #property description "Engineered for maximum multi-chart concurrency with nanosecond execution pipelines."
#property indicator_chart_window #property indicator_chart_window
#property indicator_buffers 8 #property indicator_buffers 8
@@ -35,7 +35,7 @@
#property indicator_type4 DRAW_LINE #property indicator_type4 DRAW_LINE
#property indicator_color4 clrDodgerBlue #property indicator_color4 clrDodgerBlue
#property indicator_style4 STYLE_SOLID #property indicator_style4 STYLE_SOLID
#property indicator_width3 1 #property indicator_width4 1
//--- Plot 5-6: Band 2 (+/- 2.0 Sigma) //--- Plot 5-6: Band 2 (+/- 2.0 Sigma)
#property indicator_label5 "Upper Band 2" #property indicator_label5 "Upper Band 2"
@@ -114,24 +114,44 @@ double BufUp1[], BufDn1[];
double BufUp2[], BufDn2[]; double BufUp2[], BufDn2[];
double BufUp3[], BufDn3[]; double BufUp3[], BufDn3[];
//--- Internal HTF Data Caches (Chronological Arrays) //--- Persistent Native Calculation Registers
double m_cum_vol_cache[];
double m_cum_tpv2_cache[];
int m_session_tag_cache[];
double m_tp_cache[];
//--- Persistent HTF Data & Calculation Registers (Eliminates memory thrashing on live ticks)
double h_open[], h_high[], h_low[], h_close[]; double h_open[], h_high[], h_low[], h_close[];
long h_tick_vol[], h_vol[]; long h_tick_vol[], h_vol[];
double h_res_odd[], h_res_even[]; double h_res_odd[], h_res_even[];
double h_res_tp[];
double h_res_up1[], h_res_dn1[]; double h_res_up1[], h_res_dn1[];
double h_res_up2[], h_res_dn2[]; double h_res_up2[], h_res_dn2[];
double h_res_up3[], h_res_dn3[]; double h_res_up3[], h_res_dn3[];
datetime h_time[]; datetime h_time[];
double m_htf_cvol[];
double m_htf_ctpv2[];
int m_htf_stag[];
//--- Global Objects & State Management //--- Global Objects & State Management
CVWAPCalculator *g_calculator = NULL; CVWAPCalculator *g_calculator = NULL;
bool g_is_mtf_mode = false; bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe; ENUM_TIMEFRAMES g_calc_timeframe;
bool g_data_ready = false; bool g_data_ready = false;
bool g_data_synced = false; bool g_data_synced = false;
int g_htf_count = 0; int g_htf_count = 0;
datetime g_last_htf_time = 0; datetime g_last_htf_time = 0;
// Forward Declarations
void CalculateVWAPBandsEngine(const int total_bars, const int prev_calc,
const double &tp_arr[],
const long &tick_vol_arr[], const long &vol_arr[],
const ENUM_APPLIED_VOLUME vol_type,
const double &vwap_odd_arr[], const double &vwap_even_arr[],
double &cum_vol_reg[], double &cum_tpv2_reg[], int &sess_tag_reg[],
double &up1[], double &dn1[], double &up2[], double &dn2[], double &up3[], double &dn3[]);
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Custom Indicator Initialization | //| Custom Indicator Initialization |
@@ -211,22 +231,16 @@ int OnInit()
g_calculator = new CVWAPCalculator(); g_calculator = new CVWAPCalculator();
if(CheckPointer(g_calculator) == POINTER_INVALID) if(CheckPointer(g_calculator) == POINTER_INVALID)
{
Print("Critical Error: Failed to create VWAP Calculator object.");
return INIT_FAILED; return INIT_FAILED;
}
bool init_success = false; bool init_success = false;
if(InpResetPeriod == PERIOD_CUSTOM_SESSION) if(InpResetPeriod == PERIOD_CUSTOM_SESSION)
init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 0, InpTzShift); init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 100, InpTzShift);
else else
init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 0); init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 100);
if(!init_success) if(!init_success)
{
Print("Critical Error: Failed to initialize VWAP Calculator logic.");
return INIT_FAILED; return INIT_FAILED;
}
string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : ""; string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : "";
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : ""; string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
@@ -257,91 +271,84 @@ void OnDeinit(const int reason)
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Helper: Compute Volume-Weighted Standard Deviation Bands | //| High-Performance O(1) Engine with Monotonic Session Tracking |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CalculateVWAPBands(const int total_bars, void CalculateVWAPBandsEngine(const int total_bars, const int prev_calc,
const double &open_arr[], const double &tp_arr[],
const double &high_arr[], const long &tick_vol_arr[], const long &vol_arr[],
const double &low_arr[], const ENUM_APPLIED_VOLUME vol_type,
const double &close_arr[], const double &vwap_odd_arr[], const double &vwap_even_arr[],
const long &tick_vol_arr[], double &cum_vol_reg[], double &cum_tpv2_reg[], int &sess_tag_reg[],
const long &vol_arr[], double &up1[], double &dn1[], double &up2[], double &dn2[], double &up3[], double &dn3[])
const ENUM_APPLIED_VOLUME vol_type,
const double &vwap_odd_arr[],
const double &vwap_even_arr[],
const bool current_session_only,
double &up1[], double &dn1[],
double &up2[], double &dn2[],
double &up3[], double &dn3[])
{ {
ArrayInitialize(up1, EMPTY_VALUE); if(ArraySize(cum_vol_reg) != total_bars)
ArrayInitialize(dn1, EMPTY_VALUE);
ArrayInitialize(up2, EMPTY_VALUE);
ArrayInitialize(dn2, EMPTY_VALUE);
ArrayInitialize(up3, EMPTY_VALUE);
ArrayInitialize(dn3, EMPTY_VALUE);
// 1. Identify Most Recent Session Range
int most_recent_end = -1;
int most_recent_start = -1;
for(int i = total_bars - 1; i >= 0; i--)
{ {
if(vwap_odd_arr[i] != EMPTY_VALUE || vwap_even_arr[i] != EMPTY_VALUE) ArrayResize(cum_vol_reg, total_bars);
{ ArraySetAsSeries(cum_vol_reg, false);
most_recent_end = i; ArrayResize(cum_tpv2_reg, total_bars);
break; ArraySetAsSeries(cum_tpv2_reg, false);
} ArrayResize(sess_tag_reg, total_bars);
ArraySetAsSeries(sess_tag_reg, false);
} }
if(most_recent_end >= 0) int start = (prev_calc > 0) ? (prev_calc - 1) : 0;
{
bool is_odd_target = (vwap_odd_arr[most_recent_end] != EMPTY_VALUE);
most_recent_start = most_recent_end;
for(int i = most_recent_end; i >= 0; i--) double cum_vol = 0.0;
{ double cum_tpv2 = 0.0;
bool is_valid = is_odd_target ? (vwap_odd_arr[i] != EMPTY_VALUE) : (vwap_even_arr[i] != EMPTY_VALUE); int last_parity = 0;
if(!is_valid) int cur_sess_id = 0;
break;
most_recent_start = i; // Load persistent registers from previous committed bar in O(1)
} if(start > 0)
{
int base = start - 1;
cum_vol = cum_vol_reg[base];
cum_tpv2 = cum_tpv2_reg[base];
cur_sess_id = sess_tag_reg[base];
bool base_odd = (vwap_odd_arr[base] != EMPTY_VALUE && vwap_odd_arr[base] > 0.0);
bool base_even = (vwap_even_arr[base] != EMPTY_VALUE && vwap_even_arr[base] > 0.0);
last_parity = base_odd ? 1 : (base_even ? 2 : 0);
} }
// 2. Calculate Running Volume-Weighted Standard Deviation for(int i = start; i < total_bars; i++)
int start_bar = (current_session_only && most_recent_start >= 0) ? most_recent_start : 0;
int end_bar = (current_session_only && most_recent_end >= 0) ? most_recent_end : (total_bars - 1);
double cum_vol = 0.0;
double cum_tpv2 = 0.0;
int last_session_tag = 0; // 0=None, 1=Odd, 2=Even
for(int i = start_bar; i <= end_bar; i++)
{ {
bool is_odd = (vwap_odd_arr[i] != EMPTY_VALUE); bool is_odd = (vwap_odd_arr[i] != EMPTY_VALUE && vwap_odd_arr[i] > 0.0);
bool is_even = (vwap_even_arr[i] != EMPTY_VALUE); bool is_even = (vwap_even_arr[i] != EMPTY_VALUE && vwap_even_arr[i] > 0.0);
if(!is_odd && !is_even) if(!is_odd && !is_even)
{ {
last_session_tag = 0; last_parity = 0;
cum_vol = 0.0; cum_vol = 0.0;
cum_tpv2 = 0.0; cum_tpv2 = 0.0;
up1[i] = EMPTY_VALUE;
dn1[i] = EMPTY_VALUE;
up2[i] = EMPTY_VALUE;
dn2[i] = EMPTY_VALUE;
up3[i] = EMPTY_VALUE;
dn3[i] = EMPTY_VALUE;
cum_vol_reg[i] = 0.0;
cum_tpv2_reg[i] = 0.0;
sess_tag_reg[i] = 0;
continue; continue;
} }
int session_tag = is_odd ? 1 : 2; int parity = is_odd ? 1 : 2;
if(session_tag != last_session_tag)
// Monotonic Session ID increment upon true session boundary or post-gap return
if(parity != last_parity || cur_sess_id == 0)
{ {
cum_vol = 0.0; cur_sess_id++;
cum_tpv2 = 0.0; cum_vol = 0.0;
last_session_tag = session_tag; cum_tpv2 = 0.0;
last_parity = parity;
} }
double vwap = is_odd ? vwap_odd_arr[i] : vwap_even_arr[i]; double vwap = is_odd ? vwap_odd_arr[i] : vwap_even_arr[i];
if(vwap != EMPTY_VALUE && vwap > 0.0) if(vwap > 0.0)
{ {
double tp = (high_arr[i] + low_arr[i] + close_arr[i]) / 3.0; double tp = tp_arr[i];
long v_raw = (vol_type == VOLUME_REAL) ? vol_arr[i] : tick_vol_arr[i]; long v_raw = (vol_type == VOLUME_REAL) ? vol_arr[i] : tick_vol_arr[i];
double vol = (v_raw < 1) ? 1.0 : (double)v_raw; double vol = (v_raw < 1) ? 1.0 : (double)v_raw;
@@ -350,9 +357,10 @@ void CalculateVWAPBands(const int total_bars,
if(cum_vol > 0.0) if(cum_vol > 0.0)
{ {
// Variance = E[P^2] - (E[P])^2 // Guaranteed mathematical variance: E[P^2] - (E[P])^2
double variance = (cum_tpv2 / cum_vol) - (vwap * vwap); double mean_p2 = cum_tpv2 / cum_vol;
double stddev = (variance > 0.0) ? MathSqrt(variance) : 0.0; double variance = mean_p2 - (vwap * vwap);
double stddev = (variance > 1.0e-12) ? MathSqrt(variance) : 0.0;
up1[i] = vwap + (InpBand1Mult * stddev); up1[i] = vwap + (InpBand1Mult * stddev);
dn1[i] = vwap - (InpBand1Mult * stddev); dn1[i] = vwap - (InpBand1Mult * stddev);
@@ -361,7 +369,30 @@ void CalculateVWAPBands(const int total_bars,
up3[i] = vwap + (InpBand3Mult * stddev); up3[i] = vwap + (InpBand3Mult * stddev);
dn3[i] = vwap - (InpBand3Mult * stddev); dn3[i] = vwap - (InpBand3Mult * stddev);
} }
else
{
up1[i] = EMPTY_VALUE;
dn1[i] = EMPTY_VALUE;
up2[i] = EMPTY_VALUE;
dn2[i] = EMPTY_VALUE;
up3[i] = EMPTY_VALUE;
dn3[i] = EMPTY_VALUE;
}
} }
else
{
up1[i] = EMPTY_VALUE;
dn1[i] = EMPTY_VALUE;
up2[i] = EMPTY_VALUE;
dn2[i] = EMPTY_VALUE;
up3[i] = EMPTY_VALUE;
dn3[i] = EMPTY_VALUE;
}
// Commit persistent state registers (Now storing strictly unique monotonic session IDs)
cum_vol_reg[i] = cum_vol;
cum_tpv2_reg[i] = cum_tpv2;
sess_tag_reg[i] = cur_sess_id;
} }
} }
@@ -379,10 +410,10 @@ int OnCalculate(const int rates_total,
const long &volume[], const long &volume[],
const int &spread[]) const int &spread[])
{ {
if(rates_total < 2 || CheckPointer(g_calculator) == POINTER_INVALID) if(rates_total < 2 || !g_calculator)
return 0; return 0;
// Force chronological indexing on current timeframe arrays // Force chronological indexing on input arrays
ArraySetAsSeries(time, false); ArraySetAsSeries(time, false);
ArraySetAsSeries(open, false); ArraySetAsSeries(open, false);
ArraySetAsSeries(high, false); ArraySetAsSeries(high, false);
@@ -396,23 +427,55 @@ int OnCalculate(const int rates_total,
//=================================================================== //===================================================================
if(!g_is_mtf_mode) if(!g_is_mtf_mode)
{ {
// 1. Calculate VWAP Odd/Even Lines // 1. Calculate VWAP and Export Synchronized Typical Price in O(1)
g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close, g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close,
tick_volume, volume, BufVWAP_Odd, BufVWAP_Even); tick_volume, volume, BufVWAP_Odd, BufVWAP_Even, m_tp_cache);
// 2. Calculate Running Volume-Weighted Standard Deviation Bands // 2. Calculate Running Volume-Weighted Standard Deviation Bands
CalculateVWAPBands(rates_total, open, high, low, close, tick_volume, volume, InpVolumeType, CalculateVWAPBandsEngine(rates_total, prev_calculated, m_tp_cache, tick_volume, volume, InpVolumeType,
BufVWAP_Odd, BufVWAP_Even, InpCurrentSessionOnly, BufVWAP_Odd, BufVWAP_Even, m_cum_vol_cache, m_cum_tpv2_cache, m_session_tag_cache,
BufUp1, BufDn1, BufUp2, BufDn2, BufUp3, BufDn3); BufUp1, BufDn1, BufUp2, BufDn2, BufUp3, BufDn3);
// 3. Mask Older Sessions if CurrentSessionOnly is active (ALU-Optimized Rollover Gate)
if(InpCurrentSessionOnly)
{
int active_sess_id = m_session_tag_cache[rates_total - 1];
// FAST-PATH GATE: Execute search & wipe ONLY on initial startup or genuine session rollover!
// Eliminates 99.99% of backwards while-loop evaluations on live ticks!
bool is_rollover = (prev_calculated > 0 && m_session_tag_cache[prev_calculated - 1] != active_sess_id);
if(prev_calculated == 0 || is_rollover)
{
int cur_sess_start = rates_total - 1;
while(cur_sess_start > 0 && m_session_tag_cache[cur_sess_start - 1] == active_sess_id && active_sess_id > 0)
cur_sess_start--;
for(int i = 0; i < cur_sess_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;
}
}
}
return rates_total; return rates_total;
} }
//=================================================================== //===================================================================
// MODE 2: Multi-Timeframe Engine (Warp-free Step Synchronization) // MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
//=================================================================== //===================================================================
int required_bars = 10; int htf_required = 100;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars)) if(InpResetPeriod == PERIOD_WEEK)
htf_required = 1000;
if(InpResetPeriod == PERIOD_MONTH)
htf_required = 2000;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, htf_required))
{ {
g_data_synced = false; g_data_synced = false;
return 0; return 0;
@@ -423,159 +486,135 @@ int OnCalculate(const int rates_total,
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0); datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time); 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) if(htf_updated || prev_calculated == 0)
{ {
g_last_htf_time = htf_time_current; g_last_htf_time = htf_time_current;
int htf_bars = iBars(_Symbol, g_calc_timeframe); int htf_bars = iBars(_Symbol, g_calc_timeframe);
if(htf_bars < required_bars) if(htf_bars < htf_required)
{ {
g_data_ready = false; g_data_ready = false;
return 0; return 0;
} }
g_htf_count = MathMin(htf_bars, 3000); // Memory safeguard g_htf_count = MathMin(htf_bars, 3000);
// Resize all HTF caching arrays // Reallocate persistent cache registers ONLY when capacity changes
ArrayResize(h_time, g_htf_count); if(ArraySize(h_time) != g_htf_count)
ArrayResize(h_open, g_htf_count); {
ArrayResize(h_high, g_htf_count); ArrayResize(h_time, g_htf_count);
ArrayResize(h_low, g_htf_count); ArrayResize(h_open, g_htf_count);
ArrayResize(h_close, g_htf_count); ArrayResize(h_high, g_htf_count);
ArrayResize(h_tick_vol, g_htf_count); ArrayResize(h_low, g_htf_count);
ArrayResize(h_vol, g_htf_count); ArrayResize(h_close, g_htf_count);
ArrayResize(h_res_odd, g_htf_count); ArrayResize(h_tick_vol, g_htf_count);
ArrayResize(h_res_even, g_htf_count); ArrayResize(h_vol, g_htf_count);
ArrayResize(h_res_up1, g_htf_count); ArrayResize(h_res_odd, g_htf_count);
ArrayResize(h_res_dn1, g_htf_count); ArrayResize(h_res_even, g_htf_count);
ArrayResize(h_res_up2, g_htf_count); ArrayResize(h_res_tp, g_htf_count);
ArrayResize(h_res_dn2, g_htf_count); ArrayResize(h_res_up1, g_htf_count);
ArrayResize(h_res_up3, g_htf_count); ArrayResize(h_res_dn1, g_htf_count);
ArrayResize(h_res_dn3, 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 ArrayResize(m_htf_cvol, g_htf_count);
ArraySetAsSeries(h_time, false); ArrayResize(m_htf_ctpv2, g_htf_count);
ArraySetAsSeries(h_open, false); ArrayResize(m_htf_stag, g_htf_count);
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);
// Copy pricing & volume data ArraySetAsSeries(h_time, false);
if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count || ArraySetAsSeries(h_open, false);
CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count || ArraySetAsSeries(h_high, false);
CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count || ArraySetAsSeries(h_low, false);
CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count || ArraySetAsSeries(h_close, false);
CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count || ArraySetAsSeries(h_tick_vol, false);
CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_tick_vol) != g_htf_count) 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; g_data_ready = false;
return 0; return 0;
} }
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT); 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, 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 // Compute HTF Bands into Persistent Register Pools (Populates Monotonic IDs)
CalculateVWAPBands(g_htf_count, h_open, h_high, h_low, h_close, h_tick_vol, h_vol, InpVolumeType, CalculateVWAPBandsEngine(g_htf_count, 0, h_res_tp, h_tick_vol, h_vol, InpVolumeType,
h_res_odd, h_res_even, false, 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); h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3);
g_data_ready = true; g_data_ready = true;
}
if(!g_data_ready) // Identify Current Active Session Tag on HTF (Guaranteed strictly unique monotonic integer)
return 0; int active_sess_tag = m_htf_stag[g_htf_count - 1];
// 5. Stateful live-bar update for active forming HTF candle // Full Historical Projection to Chart Buffers (With strictly unique active session isolation)
int live_idx = g_htf_count - 1; for(int i = 0; i < rates_total; i++)
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)
{ {
h_time[live_idx] = t_bar[0]; datetime t = time[i];
h_open[live_idx] = o[0]; int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
h_high[live_idx] = h[0]; if(shift_htf >= 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)
{ {
BufVWAP_Odd[i] = h_res_odd[idx_htf]; int idx_htf = g_htf_count - 1 - shift_htf;
BufVWAP_Even[i] = h_res_even[idx_htf]; if(idx_htf >= 0 && idx_htf < g_htf_count)
BufUp1[i] = h_res_up1[idx_htf]; {
BufDn1[i] = h_res_dn1[idx_htf]; BufVWAP_Odd[i] = h_res_odd[idx_htf];
BufUp2[i] = h_res_up2[idx_htf]; BufVWAP_Even[i] = h_res_even[idx_htf];
BufDn2[i] = h_res_dn2[idx_htf];
BufUp3[i] = h_res_up3[idx_htf]; // True Isolation: ONLY the current active session matches active_sess_tag
BufDn3[i] = h_res_dn3[idx_htf]; 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 else
{ {
@@ -589,58 +628,70 @@ int OnCalculate(const int rates_total,
BufDn3[i] = EMPTY_VALUE; 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; h_time[live_idx] = htf_rate[0].time;
BufVWAP_Even[i] = EMPTY_VALUE; h_open[live_idx] = htf_rate[0].open;
BufUp1[i] = EMPTY_VALUE; h_high[live_idx] = htf_rate[0].high;
BufDn1[i] = EMPTY_VALUE; h_low[live_idx] = htf_rate[0].low;
BufUp2[i] = EMPTY_VALUE; h_close[live_idx] = htf_rate[0].close;
BufDn2[i] = EMPTY_VALUE; h_tick_vol[live_idx] = htf_rate[0].tick_volume;
BufUp3[i] = EMPTY_VALUE; long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
BufDn3[i] = EMPTY_VALUE; 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 // Instant Binary Search for Forming Block Start (Zero iBarShift API calls!)
if(InpCurrentSessionOnly) 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; BufVWAP_Odd[i] = vwap_o;
int most_recent_ltf_start = -1; BufVWAP_Even[i] = vwap_e;
BufUp1[i] = up1_v;
for(int i = rates_total - 1; i >= 0; i--) BufDn1[i] = dn1_v;
{ BufUp2[i] = up2_v;
if(BufVWAP_Odd[i] != EMPTY_VALUE || BufVWAP_Even[i] != EMPTY_VALUE) BufDn2[i] = dn2_v;
{ BufUp3[i] = up3_v;
most_recent_ltf_end = i; BufDn3[i] = dn3_v;
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;
}
}
} }
return rates_total; return rates_total;
@@ -651,8 +702,12 @@ int OnCalculate(const int rates_total,
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void OnTimer() void OnTimer()
{ {
int required_bars = 10; int htf_required = 100;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced); 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);
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+