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refactor: Zero-Lag MTF Fast-Path & Fused 14-Buffer Mapping

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Toh4iem9
2026-09-29 14:31:14 +02:00
parent 8345622630
commit b09990cc1d
1 changed files with 145 additions and 129 deletions
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Indicators/MyIndicators/Quant/VScore_Bands_Pro.mq5
+145 -129
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@@ -2,8 +2,8 @@
//| VScore_Bands_Pro.mq5 |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.10" // Open-Ended Session Volatility Bands (No Pinching at Session Start)
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.20" // Enterprise Refactor: Zero-Lag MTF Fast-Path & Fused 14-Buffer Mapping
#property description "V-Score Projected Dynamic Bands on Main Chart (Rolling Gaussian Envelope around VWAP)."
#property description "Features open-ended custom session bands, unified Native & MTF pipelines, and thermal palette."
@@ -135,9 +135,9 @@ input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD;
//| |
//+------------------------------------------------------------------+
input group "--- V-Score Z-Levels (Standard Deviations) ---"
input double InpLevelFlow = 1.5; // Flow Level (Point of No Return)
input double InpLevelExtreme = 2.0; // Extreme Level (Warning)
input double InpLevelWall = 2.5; // Wall Level (Climax Exhaustion)
input double InpLevelFlow = 1.5; // Flow Level (Point of Expansion)
input double InpLevelExtreme = 2.0; // Extreme Level (Climax Warning)
input double InpLevelWall = 2.5; // Wall Level (Capitulation Ceiling/Floor)
input group "--- Visual Settings - Centerline ---"
input color InpColorVWAP = clrOrange; // Centerline Color
@@ -201,12 +201,12 @@ datetime h_time[];
//--- Global Objects & State Management
CVWAPCalculator *g_vwap = NULL;
bool g_is_mtf_mode = false;
bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe;
bool g_data_ready = false;
bool g_data_synced = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
bool g_data_ready = false;
bool g_data_synced = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
//+------------------------------------------------------------------+
//| Custom Indicator Initialization |
@@ -248,9 +248,7 @@ int OnInit()
SetIndexBuffer(13, BufDnWall_Even, INDICATOR_DATA);
for(int i = 0; i < 14; i++)
{
PlotIndexSetDouble(i, PLOT_EMPTY_VALUE, EMPTY_VALUE);
}
ArraySetAsSeries(BufVWAP_Odd, false);
ArraySetAsSeries(BufVWAP_Even, false);
@@ -332,22 +330,16 @@ int OnInit()
g_vwap = new CVWAPCalculator();
if(CheckPointer(g_vwap) == POINTER_INVALID)
{
Print("Critical Error: Failed to create VWAP Calculator object.");
return INIT_FAILED;
}
bool init_success = false;
if(InpVWAPReset == PERIOD_CUSTOM_SESSION)
init_success = g_vwap.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 0, InpTzShift);
init_success = g_vwap.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 100, InpTzShift);
else
init_success = g_vwap.Init(InpVWAPReset, InpVolumeType, InpTzShift, true, 0);
init_success = g_vwap.Init(InpVWAPReset, InpVolumeType, InpTzShift, true, 100);
if(!init_success)
{
Print("Critical Error: Failed to initialize VWAP Calculator logic.");
return INIT_FAILED;
}
string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : "";
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
@@ -395,10 +387,10 @@ void CalculateVScoreBandsEngine(const int total, const int prev_calc,
double &uw_odd[], double &uw_even[],
double &dw_odd[], double &dw_even[])
{
if(total < 2)
if(total < 2 || !g_vwap)
return;
// 1. Run Core VWAP
// 1. Run Incremental Core VWAP in True O(1)
g_vwap.Calculate(total, prev_calc, time_arr, open_arr, high_arr, low_arr, close_arr,
tick_vol_arr, vol_arr, odd_vwap, even_vwap);
@@ -414,7 +406,6 @@ void CalculateVScoreBandsEngine(const int total, const int prev_calc,
double cur_vwap = is_odd ? odd_vwap[i] : (is_even ? even_vwap[i] : EMPTY_VALUE);
merged_vwap[i] = cur_vwap;
// Clear all bands at bar i
uf_odd[i] = EMPTY_VALUE;
uf_even[i] = EMPTY_VALUE;
df_odd[i] = EMPTY_VALUE;
@@ -431,7 +422,6 @@ void CalculateVScoreBandsEngine(const int total, const int prev_calc,
if(cur_vwap == EMPTY_VALUE || cur_vwap <= 0.0)
continue;
// Open-Ended Volatility Sampling: Scan backwards to collect InpPeriod valid in-session bars
double sum_sq_diff = 0.0;
int collected = 0;
int k = 0;
@@ -487,7 +477,7 @@ int OnCalculate(const int rates_total,
const long &volume[],
const int &spread[])
{
if(rates_total < 2 || CheckPointer(g_vwap) == POINTER_INVALID)
if(rates_total < 2 || !g_vwap)
return 0;
// Force chronological indexing
@@ -529,10 +519,15 @@ int OnCalculate(const int rates_total,
}
//===================================================================
// MODE 2: Multi-Timeframe Engine (Warp-free Step Synchronization)
// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
//===================================================================
int required_bars = 10;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
int htf_required = 100;
if(InpVWAPReset == PERIOD_WEEK)
htf_required = 1000;
if(InpVWAPReset == PERIOD_MONTH)
htf_required = 2000;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, htf_required))
{
g_data_synced = false;
return 0;
@@ -543,12 +538,13 @@ int OnCalculate(const int rates_total,
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
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)
{
g_last_htf_time = htf_time_current;
int htf_bars = iBars(_Symbol, g_calc_timeframe);
if(htf_bars < required_bars)
if(htf_bars < htf_required)
{
g_data_ready = false;
return 0;
@@ -556,7 +552,6 @@ int OnCalculate(const int rates_total,
g_htf_count = MathMin(htf_bars, 3000);
// Resize all HTF caching arrays
ArrayResize(h_time, g_htf_count);
ArrayResize(h_open, g_htf_count);
ArrayResize(h_high, g_htf_count);
@@ -624,7 +619,7 @@ int OnCalculate(const int rates_total,
ArrayResize(h_price, g_htf_count);
ArraySetAsSeries(h_price, false);
// Compute HTF V-Score Projected Bands
// Compute HTF V-Score Projected Bands across history
CalculateVScoreBandsEngine(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_merged, h_price,
@@ -635,40 +630,89 @@ int OnCalculate(const int rates_total,
h_res_uw_odd, h_res_uw_even,
h_res_dw_odd, h_res_dw_even);
g_data_ready = true;
// Full Historical Projection to Chart Buffers (Only on new HTF candle)
for(int i = 0; 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];
BufVWAP_Even[i] = h_res_even[idx_htf];
BufUpFlow_Odd[i] = h_res_uf_odd[idx_htf];
BufUpFlow_Even[i] = h_res_uf_even[idx_htf];
BufDnFlow_Odd[i] = h_res_df_odd[idx_htf];
BufDnFlow_Even[i] = h_res_df_even[idx_htf];
BufUpExtr_Odd[i] = h_res_ue_odd[idx_htf];
BufUpExtr_Even[i] = h_res_ue_even[idx_htf];
BufDnExtr_Odd[i] = h_res_de_odd[idx_htf];
BufDnExtr_Even[i] = h_res_de_even[idx_htf];
BufUpWall_Odd[i] = h_res_uw_odd[idx_htf];
BufUpWall_Even[i] = h_res_uw_even[idx_htf];
BufDnWall_Odd[i] = h_res_dw_odd[idx_htf];
BufDnWall_Even[i] = h_res_dw_even[idx_htf];
}
else
{
BufVWAP_Odd[i] = EMPTY_VALUE;
BufVWAP_Even[i] = EMPTY_VALUE;
BufUpFlow_Odd[i] = EMPTY_VALUE;
BufUpFlow_Even[i] = EMPTY_VALUE;
BufDnFlow_Odd[i] = EMPTY_VALUE;
BufDnFlow_Even[i] = EMPTY_VALUE;
BufUpExtr_Odd[i] = EMPTY_VALUE;
BufUpExtr_Even[i] = EMPTY_VALUE;
BufDnExtr_Odd[i] = EMPTY_VALUE;
BufDnExtr_Even[i] = EMPTY_VALUE;
BufUpWall_Odd[i] = EMPTY_VALUE;
BufUpWall_Even[i] = EMPTY_VALUE;
BufDnWall_Odd[i] = EMPTY_VALUE;
BufDnWall_Even[i] = EMPTY_VALUE;
}
}
else
{
BufVWAP_Odd[i] = EMPTY_VALUE;
BufVWAP_Even[i] = EMPTY_VALUE;
BufUpFlow_Odd[i] = EMPTY_VALUE;
BufUpFlow_Even[i] = EMPTY_VALUE;
BufDnFlow_Odd[i] = EMPTY_VALUE;
BufDnFlow_Even[i] = EMPTY_VALUE;
BufUpExtr_Odd[i] = EMPTY_VALUE;
BufUpExtr_Even[i] = EMPTY_VALUE;
BufDnExtr_Odd[i] = EMPTY_VALUE;
BufDnExtr_Even[i] = EMPTY_VALUE;
BufUpWall_Odd[i] = EMPTY_VALUE;
BufUpWall_Even[i] = EMPTY_VALUE;
BufDnWall_Odd[i] = EMPTY_VALUE;
BufDnWall_Even[i] = EMPTY_VALUE;
}
}
return rates_total;
}
if(!g_data_ready)
return 0;
// 5. Stateful live-bar update for active forming HTF candle
// B) LIVE TICK FAST-PATH: HTF bar did not close. Update strictly forming block!
int live_idx = g_htf_count - 1;
if(live_idx >= required_bars)
if(live_idx >= htf_required)
{
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)
MqlRates htf_rate[1];
// Single atomic API call instead of 6 separate copies!
if(CopyRates(_Symbol, g_calc_timeframe, 0, 1, htf_rate) == 1)
{
h_time[live_idx] = t_bar[0];
h_open[live_idx] = o[0];
h_high[live_idx] = h[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];
h_time[live_idx] = htf_rate[0].time;
h_open[live_idx] = htf_rate[0].open;
h_high[live_idx] = htf_rate[0].high;
h_low[live_idx] = htf_rate[0].low;
h_close[live_idx] = htf_rate[0].close;
h_tick_vol[live_idx] = htf_rate[0].tick_volume;
h_vol[live_idx] = (htf_rate[0].real_volume > 0) ? htf_rate[0].real_volume : htf_rate[0].tick_volume;
double h_merged[], h_price[];
ArrayResize(h_merged, g_htf_count);
@@ -676,7 +720,7 @@ int OnCalculate(const int rates_total,
ArrayResize(h_price, g_htf_count);
ArraySetAsSeries(h_price, false);
// Mock update on live HTF bar
// Mock update strictly on forming candle
CalculateVScoreBandsEngine(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_merged, h_price,
@@ -689,81 +733,49 @@ int OnCalculate(const int rates_total,
}
}
// 6. Forming LTF Block Flat-Force Anchor (The Staircase Solution)
// Instant Binary Search for Forming Block Start (Zero iBarShift API calls!)
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;
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 (14 Buffers)
// Direct Vectorized Assignment (Zero API calls, Nanosecond Execution across 14 buffers)
double vwap_o = h_res_odd[live_idx];
double vwap_e = h_res_even[live_idx];
double uf_o = h_res_uf_odd[live_idx];
double uf_e = h_res_uf_even[live_idx];
double df_o = h_res_df_odd[live_idx];
double df_e = h_res_df_even[live_idx];
double ue_o = h_res_ue_odd[live_idx];
double ue_e = h_res_ue_even[live_idx];
double de_o = h_res_de_odd[live_idx];
double de_e = h_res_de_even[live_idx];
double uw_o = h_res_uw_odd[live_idx];
double uw_e = h_res_uw_even[live_idx];
double dw_o = h_res_dw_odd[live_idx];
double dw_e = h_res_dw_even[live_idx];
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];
BufVWAP_Even[i] = h_res_even[idx_htf];
BufUpFlow_Odd[i] = h_res_uf_odd[idx_htf];
BufUpFlow_Even[i] = h_res_uf_even[idx_htf];
BufDnFlow_Odd[i] = h_res_df_odd[idx_htf];
BufDnFlow_Even[i] = h_res_df_even[idx_htf];
BufUpExtr_Odd[i] = h_res_ue_odd[idx_htf];
BufUpExtr_Even[i] = h_res_ue_even[idx_htf];
BufDnExtr_Odd[i] = h_res_de_odd[idx_htf];
BufDnExtr_Even[i] = h_res_de_even[idx_htf];
BufUpWall_Odd[i] = h_res_uw_odd[idx_htf];
BufUpWall_Even[i] = h_res_uw_even[idx_htf];
BufDnWall_Odd[i] = h_res_dw_odd[idx_htf];
BufDnWall_Even[i] = h_res_dw_even[idx_htf];
}
else
{
BufVWAP_Odd[i] = EMPTY_VALUE;
BufVWAP_Even[i] = EMPTY_VALUE;
BufUpFlow_Odd[i] = EMPTY_VALUE;
BufUpFlow_Even[i] = EMPTY_VALUE;
BufDnFlow_Odd[i] = EMPTY_VALUE;
BufDnFlow_Even[i] = EMPTY_VALUE;
BufUpExtr_Odd[i] = EMPTY_VALUE;
BufUpExtr_Even[i] = EMPTY_VALUE;
BufDnExtr_Odd[i] = EMPTY_VALUE;
BufDnExtr_Even[i] = EMPTY_VALUE;
BufUpWall_Odd[i] = EMPTY_VALUE;
BufUpWall_Even[i] = EMPTY_VALUE;
BufDnWall_Odd[i] = EMPTY_VALUE;
BufDnWall_Even[i] = EMPTY_VALUE;
}
}
else
{
BufVWAP_Odd[i] = EMPTY_VALUE;
BufVWAP_Even[i] = EMPTY_VALUE;
BufUpFlow_Odd[i] = EMPTY_VALUE;
BufUpFlow_Even[i] = EMPTY_VALUE;
BufDnFlow_Odd[i] = EMPTY_VALUE;
BufDnFlow_Even[i] = EMPTY_VALUE;
BufUpExtr_Odd[i] = EMPTY_VALUE;
BufUpExtr_Even[i] = EMPTY_VALUE;
BufDnExtr_Odd[i] = EMPTY_VALUE;
BufDnExtr_Even[i] = EMPTY_VALUE;
BufUpWall_Odd[i] = EMPTY_VALUE;
BufUpWall_Even[i] = EMPTY_VALUE;
BufDnWall_Odd[i] = EMPTY_VALUE;
BufDnWall_Even[i] = EMPTY_VALUE;
}
BufVWAP_Odd[i] = vwap_o;
BufVWAP_Even[i] = vwap_e;
BufUpFlow_Odd[i] = uf_o;
BufUpFlow_Even[i] = uf_e;
BufDnFlow_Odd[i] = df_o;
BufDnFlow_Even[i] = df_e;
BufUpExtr_Odd[i] = ue_o;
BufUpExtr_Even[i] = ue_e;
BufDnExtr_Odd[i] = de_o;
BufDnExtr_Even[i] = de_e;
BufUpWall_Odd[i] = uw_o;
BufUpWall_Even[i] = uw_e;
BufDnWall_Odd[i] = dw_o;
BufDnWall_Even[i] = dw_e;
}
return rates_total;
@@ -774,8 +786,12 @@ int OnCalculate(const int rates_total,
//+------------------------------------------------------------------+
void OnTimer()
{
int required_bars = 10;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
int htf_required = 100;
if(InpVWAPReset == PERIOD_WEEK)
htf_required = 1000;
if(InpVWAPReset == PERIOD_MONTH)
htf_required = 2000;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, htf_required, g_data_synced);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+