From aa413dc03709d05f6ad3156d9235d5120d022c6a Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Fri, 17 Oct 2025 13:58:22 +0200 Subject: [PATCH] refactor: daily, custom session --- Include/MyIncludes/VWAP_Calculator.mqh | 97 +++++++++++++++----------- 1 file changed, 57 insertions(+), 40 deletions(-) diff --git a/Include/MyIncludes/VWAP_Calculator.mqh b/Include/MyIncludes/VWAP_Calculator.mqh index 73a534f..f60443c 100644 --- a/Include/MyIncludes/VWAP_Calculator.mqh +++ b/Include/MyIncludes/VWAP_Calculator.mqh @@ -10,10 +10,10 @@ //--- Enum for VWAP Reset Period --- enum ENUM_VWAP_PERIOD { - PERIOD_SESSION, // Reset every day + PERIOD_SESSION, // Reset every day (can be shifted by timezone) PERIOD_WEEK, // Reset every week PERIOD_MONTH, // Reset every month - PERIOD_CUSTOM_SESSION // NEW: Reset based on custom start/end times + PERIOD_CUSTOM_SESSION // Reset based on custom start/end times }; //+==================================================================+ @@ -27,9 +27,10 @@ protected: ENUM_VWAP_PERIOD m_period; ENUM_APPLIED_VOLUME m_volume_type; double m_typical_price[]; - bool m_enabled; // NEW: To disable calculation if not needed + bool m_enabled; + long m_tz_shift_seconds; // Timezone shift in seconds - //--- NEW: For custom sessions --- + //--- For custom sessions --- int m_start_hour, m_start_min; int m_end_hour, m_end_min; @@ -37,19 +38,19 @@ protected: virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]); public: - CVWAPCalculator(void) { m_enabled = false; }; + CVWAPCalculator(void) { m_enabled = false; m_tz_shift_seconds = 0; }; virtual ~CVWAPCalculator(void) {}; - bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, bool enabled=true); - bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true); // NEW: Overloaded Init + bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true); + bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true); void Calculate(int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[]); }; //+------------------------------------------------------------------+ -//| CVWAPCalculator: Standard Initialization | +//| CVWAPCalculator: Standard Initialization (Updated) | //+------------------------------------------------------------------+ -bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, bool enabled) +bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled) { m_enabled = enabled; if(!m_enabled) @@ -57,6 +58,7 @@ bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type m_period = period; m_volume_type = vol_type; + m_tz_shift_seconds = tz_shift_hours * 3600; if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0) { @@ -67,7 +69,7 @@ bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type } //+------------------------------------------------------------------+ -//| CVWAPCalculator: NEW Overloaded Init for Custom Sessions | +//| CVWAPCalculator: Overloaded Init for Custom Sessions | //+------------------------------------------------------------------+ bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled) { @@ -77,6 +79,7 @@ bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLU m_period = PERIOD_CUSTOM_SESSION; m_volume_type = vol_type; + m_tz_shift_seconds = 0; // Custom sessions don't use timezone shift string parts[]; if(StringSplit(start_time, ':', parts) == 2) @@ -99,7 +102,7 @@ bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLU } //+------------------------------------------------------------------+ -//| NEW: Helper function for custom session time check | +//| Helper function for custom session time check | //+------------------------------------------------------------------+ bool CVWAPCalculator::IsTimeInSession(const MqlDateTime &dt) { @@ -107,14 +110,14 @@ bool CVWAPCalculator::IsTimeInSession(const MqlDateTime &dt) int start_time_in_minutes = m_start_hour * 60 + m_start_min; int end_time_in_minutes = m_end_hour * 60 + m_end_min; - if(end_time_in_minutes < start_time_in_minutes) // Overnight session + if(end_time_in_minutes < start_time_in_minutes) return (current_time_in_minutes >= start_time_in_minutes || current_time_in_minutes < end_time_in_minutes); - else // Same-day session + else return (current_time_in_minutes >= start_time_in_minutes && current_time_in_minutes < end_time_in_minutes); } //+------------------------------------------------------------------+ -//| CVWAPCalculator: Main Calculation Method (Expanded Logic) | +//| CVWAPCalculator: Main Calculation Method (Updated Logic) | //+------------------------------------------------------------------+ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[]) @@ -130,12 +133,10 @@ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const d double cumulative_tpv = 0; double cumulative_vol = 0; int period_index = 0; - bool in_session = false; // For custom session tracking + bool in_session = false; for(int i = 0; i < rates_total; i++) { - MqlDateTime time_struct, prev_time_struct; - TimeToStruct(time[i], time_struct); bool new_period = false; if(i == 0) @@ -144,30 +145,47 @@ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const d } else { - TimeToStruct(time[i-1], prev_time_struct); - if(m_period == PERIOD_CUSTOM_SESSION) + switch(m_period) { - bool is_in_current_session = IsTimeInSession(time_struct); - if(is_in_current_session && !in_session) - new_period = true; - in_session = is_in_current_session; - } - else // Original logic for standard periods - { - switch(m_period) + case PERIOD_SESSION: { - case PERIOD_SESSION: - if(time_struct.day_of_year != prev_time_struct.day_of_year || time_struct.year != prev_time_struct.year) - new_period = true; - break; - case PERIOD_WEEK: - if(time_struct.day_of_week < prev_time_struct.day_of_week) - new_period = true; - break; - case PERIOD_MONTH: - if(time_struct.mon != prev_time_struct.mon || time_struct.year != prev_time_struct.year) - new_period = true; - break; + // CORRECTED: Added (datetime) cast to prevent compiler warnings + datetime adjusted_time_curr = time[i] + (datetime)m_tz_shift_seconds; + datetime adjusted_time_prev = time[i-1] + (datetime)m_tz_shift_seconds; + MqlDateTime dt_curr, dt_prev; + TimeToStruct(adjusted_time_curr, dt_curr); + TimeToStruct(adjusted_time_prev, dt_prev); + if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year) + new_period = true; + break; + } + case PERIOD_WEEK: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(time[i], dt_curr); + TimeToStruct(time[i-1], dt_prev); + if(dt_curr.day_of_week < dt_prev.day_of_week) + new_period = true; + break; + } + case PERIOD_MONTH: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(time[i], dt_curr); + TimeToStruct(time[i-1], dt_prev); + if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year) + new_period = true; + break; + } + case PERIOD_CUSTOM_SESSION: + { + MqlDateTime dt_curr; + TimeToStruct(time[i], dt_curr); + bool is_in_current_session = IsTimeInSession(dt_curr); + if(is_in_current_session && !in_session) + new_period = true; + in_session = is_in_current_session; + break; } } } @@ -188,7 +206,6 @@ void CVWAPCalculator::Calculate(int rates_total, const datetime &time[], const d double vwap_value = (cumulative_vol > 0) ? cumulative_tpv / cumulative_vol : EMPTY_VALUE; - // Only draw if we are inside the custom session, or if it's not a custom session if(m_period != PERIOD_CUSTOM_SESSION || in_session) { if(period_index % 2 != 0)