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refactor: Added history limit for buffer output

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This commit is contained in:
Toh4iem9
2025-12-04 19:46:33 +01:00
parent 938086ae95
commit add0baec93
1 changed files with 23 additions and 27 deletions
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Include/MyIncludes/VWAP_Calculator.mqh
+23 -27
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+
//| VWAP_Calculator.mqh|
//| VERSION 1.40: Optimized for incremental calculation. |
//| VERSION 2.00: Added history limit for buffer output. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
@@ -25,7 +25,8 @@ protected:
ENUM_VWAP_PERIOD m_period;
ENUM_APPLIED_VOLUME m_volume_type;
bool m_enabled;
long m_tz_shift_seconds; // Timezone shift in seconds
long m_tz_shift_seconds;
int m_max_history_days; // NEW: Limit buffer output
//--- Persistent Buffers
double m_typical_price[];
@@ -35,25 +36,23 @@ protected:
double m_cumulative_vol;
int m_period_index;
bool m_in_session;
datetime m_last_time; // Time of the last processed bar
datetime m_last_time;
//--- For custom sessions ---
int m_start_hour, m_start_min;
int m_end_hour, m_end_min;
bool IsTimeInSession(const MqlDateTime &dt);
//--- Updated: Accepts start_index
virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]);
public:
CVWAPCalculator(void);
virtual ~CVWAPCalculator(void) {};
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);
//--- Updated Init methods with max_history_days
bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true, int max_history_days=0);
bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true, int max_history_days=0);
//--- Updated: Accepts prev_calculated
void Calculate(int rates_total, int prev_calculated, 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[]);
};
@@ -70,12 +69,13 @@ CVWAPCalculator::CVWAPCalculator(void)
m_period_index = 0;
m_in_session = false;
m_last_time = 0;
m_max_history_days = 0;
}
//+------------------------------------------------------------------+
//| Init (Standard) |
//+------------------------------------------------------------------+
bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled)
bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled, int max_history_days)
{
m_enabled = enabled;
if(!m_enabled)
@@ -84,6 +84,7 @@ 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;
m_max_history_days = max_history_days;
if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
{
@@ -96,7 +97,7 @@ bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type
//+------------------------------------------------------------------+
//| Init (Custom Session) |
//+------------------------------------------------------------------+
bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled)
bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled, int max_history_days)
{
m_enabled = enabled;
if(!m_enabled)
@@ -105,6 +106,7 @@ 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;
m_max_history_days = max_history_days;
string parts[];
if(StringSplit(start_time, ':', parts) == 2)
@@ -150,12 +152,10 @@ void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const date
if(!m_enabled || rates_total < 1)
return;
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
{
start_index = 0;
// Reset State
m_cumulative_tpv = 0;
m_cumulative_vol = 0;
m_period_index = 0;
@@ -170,7 +170,6 @@ void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const date
start_index = prev_calculated - 1;
}
//--- 2. Resize Buffers
if(ArraySize(m_typical_price) != rates_total)
ArrayResize(m_typical_price, rates_total);
if(ArraySize(vwap_odd) != rates_total)
@@ -178,14 +177,16 @@ void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const date
if(ArraySize(vwap_even) != rates_total)
ArrayResize(vwap_even, rates_total);
//--- 3. Prepare Price
if(!PrepareSourceData(rates_total, start_index, open, high, low, close))
return;
//--- 4. Main Loop
// Calculate cutoff time
datetime cutoff_time = 0;
if(m_max_history_days > 0)
cutoff_time = TimeCurrent() - m_max_history_days * 86400;
for(int i = start_index; i < rates_total; i++)
{
// Restore state from member variables (which represent state at i-1)
double current_cum_tpv = m_cumulative_tpv;
double current_cum_vol = m_cumulative_vol;
int current_period_idx = m_period_index;
@@ -199,7 +200,6 @@ void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const date
}
else
{
// Check for period change
switch(m_period)
{
case PERIOD_SESSION:
@@ -260,17 +260,19 @@ void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const date
double vwap_value = (current_cum_vol > 0) ? current_cum_tpv / current_cum_vol : EMPTY_VALUE;
// Fill buffers
// Fill buffers ONLY if within history limit
bool show_data = (time[i] >= cutoff_time);
if(m_period != PERIOD_CUSTOM_SESSION || current_in_session)
{
if(current_period_idx % 2 != 0)
{
vwap_odd[i] = vwap_value;
vwap_even[i] = EMPTY_VALUE; // Clear other buffer to create gap
vwap_odd[i] = show_data ? vwap_value : EMPTY_VALUE;
vwap_even[i] = EMPTY_VALUE;
}
else
{
vwap_even[i] = vwap_value;
vwap_even[i] = show_data ? vwap_value : EMPTY_VALUE;
vwap_odd[i] = EMPTY_VALUE;
}
}
@@ -280,12 +282,6 @@ void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const date
vwap_even[i] = EMPTY_VALUE;
}
//--- CRITICAL: Update persistent state ONLY if this is NOT the last bar (or if we assume it's closed)
// Actually, in MT5 OnCalculate, we iterate up to rates_total-1.
// If we are at i, and i < rates_total-1, then bar i is closed (historical). We can save state.
// If i == rates_total-1, it is the current forming bar. We should NOT save state,
// because next tick we will process i again starting from the state of i-1.
if(i < rates_total - 1)
{
m_cumulative_tpv = current_cum_tpv;