diff --git a/Include/MyIncludes/VWAP_Calculator.mqh b/Include/MyIncludes/VWAP_Calculator.mqh index 821f79b..2688eab 100644 --- a/Include/MyIncludes/VWAP_Calculator.mqh +++ b/Include/MyIncludes/VWAP_Calculator.mqh @@ -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;