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refactor: daily, custom session

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This commit is contained in:
Toh4iem9
2025-10-17 13:58:22 +02:00
parent 420584d3b3
commit aa413dc037
1 changed files with 57 additions and 40 deletions
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Include/MyIncludes/VWAP_Calculator.mqh
+57 -40
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@@ -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)