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refactor: Fully functional dynamic Multi-Timeframe John Ehlers' Higher-Order Butterworth Filter

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Toh4iem9
2026-07-03 16:13:31 +02:00
parent 2d1ec7db67
commit c0c4c6028d
1 changed files with 179 additions and 70 deletions
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Indicators/MyIndicators/Authors/Ehlers/1_Smoothers/Butterworth_Filter_MTF_Pro.mq5
+179 -70
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@@ -1,10 +1,11 @@
//+------------------------------------------------------------------+
//| Butterworth_Filter_MTF_Pro.mq5 |
//| Copyright 2025, xxxxxxxx |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#property version "1.00"
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.10" // Fully functional dynamic Multi-Timeframe John Ehlers' Higher-Order Butterworth Filter
#property description "Multi-Timeframe (MTF) John Ehlers' Higher-Order Butterworth Filter."
#property description "Displays HTF Butterworth Filter cleanly on current chart without live-bar warping."
#property indicator_chart_window
#property indicator_buffers 1
@@ -20,7 +21,7 @@
//--- Input Parameters ---
input group "Timeframe Settings"
input ENUM_TIMEFRAMES InpUpperTimeframe = PERIOD_H1; // Target Timeframe
input ENUM_TIMEFRAMES InpTimeframe = PERIOD_H1; // Target Higher Timeframe
input group "Butterworth Settings"
input int InpPeriod = 20; // Critical Period
@@ -30,23 +31,47 @@ input ENUM_APPLIED_PRICE_HA_ALL InpSourcePrice = PRICE_CLOSE_STD; // Price So
//--- Indicator Buffers ---
double BufferFilter_MTF[];
//--- MTF Globals (State & Data) ---
double g_htf_buffer[]; // Internal buffer for HTF calculation results
int g_htf_prev_calculated = 0;
double g_buf_open[], g_buf_high[], g_buf_low[], g_buf_close[]; // HTF Price Data
//--- Internal HTF Data Caches
double h_res_butter[]; // HTF Butterworth Results cached
datetime h_time[]; // HTF Time index
double h_open[], h_high[], h_low[], h_close[]; // HTF Price Data
//--- Global variables ---
CButterworthCalculator *g_calculator;
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;
//+------------------------------------------------------------------+
//| EnsureHTFDataReady |
//+------------------------------------------------------------------+
bool EnsureHTFDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars)
{
ResetLastError();
if(!SymbolInfoInteger(symbol, SYMBOL_SELECT))
{
SymbolSelect(symbol, true);
}
datetime times[];
int copied = CopyTime(symbol, timeframe, 0, required_bars, times);
return (copied >= required_bars);
}
//+------------------------------------------------------------------+
//| OnInit |
//+------------------------------------------------------------------+
int OnInit()
{
g_data_ready = false;
g_data_synced = false;
g_htf_count = 0;
g_last_htf_time = 0;
//--- 1. Resolve Timeframe
g_calc_timeframe = InpUpperTimeframe;
g_calc_timeframe = InpTimeframe;
if(g_calc_timeframe == PERIOD_CURRENT)
g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
@@ -63,13 +88,12 @@ int OnInit()
ArraySetAsSeries(BufferFilter_MTF, false); // Standard indexing
PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
//--- 3. Initialize Calculator
//--- 3. Initialize Calculator (Factory Logic)
if(InpSourcePrice <= PRICE_HA_CLOSE)
g_calculator = new CButterworthCalculator_HA();
else
g_calculator = new CButterworthCalculator();
// Initialize in SOURCE_PRICE mode
if(CheckPointer(g_calculator) == POINTER_INVALID || !g_calculator.Init(InpPeriod, InpPoles, SOURCE_PRICE))
{
Print("Failed to initialize Butterworth Calculator.");
@@ -79,10 +103,9 @@ int OnInit()
//--- 4. Set Shortname
string type = (InpSourcePrice <= PRICE_HA_CLOSE) ? " HA" : "";
string tf_str = g_is_mtf_mode ? (" " + EnumToString(g_calc_timeframe)) : "";
IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("Butterworth%s%s(%d,%d)", type, tf_str, InpPeriod, (int)InpPoles));
// Draw begin logic (approximate for MTF)
// Draw begin logic
int draw_begin = InpPeriod;
if(g_is_mtf_mode)
draw_begin = 0;
@@ -90,6 +113,10 @@ int OnInit()
PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, draw_begin);
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
//--- Initialize 1-second timer for weekend/async chart refreshes (Only if MTF mode is active)
if(g_is_mtf_mode)
EventSetTimer(1);
return(INIT_SUCCEEDED);
}
@@ -98,6 +125,7 @@ int OnInit()
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
EventKillTimer();
if(CheckPointer(g_calculator) != POINTER_INVALID)
delete g_calculator;
}
@@ -116,12 +144,20 @@ int OnCalculate(const int rates_total,
const long &volume[],
const int &spread[])
{
if(rates_total < InpPeriod)
if(rates_total < 2)
return(0);
ENUM_APPLIED_PRICE price_type = (InpSourcePrice <= PRICE_HA_CLOSE) ?
(ENUM_APPLIED_PRICE)(-(int)InpSourcePrice) :
(ENUM_APPLIED_PRICE)InpSourcePrice;
if(CheckPointer(g_calculator) == POINTER_INVALID)
return(0);
//--- Force strict chronological indexing for state-safety on input price arrays
ArraySetAsSeries(time, false);
ArraySetAsSeries(open, false);
ArraySetAsSeries(high, false);
ArraySetAsSeries(low, false);
ArraySetAsSeries(close, false);
ENUM_APPLIED_PRICE price_type = (InpSourcePrice <= PRICE_HA_CLOSE) ? (ENUM_APPLIED_PRICE)(-(int)InpSourcePrice) : (ENUM_APPLIED_PRICE)InpSourcePrice;
//================================================================
// MODE 1: Current Timeframe (Standard)
@@ -136,61 +172,121 @@ int OnCalculate(const int rates_total,
// MODE 2: Multi-Timeframe (MTF Engine)
//================================================================
//--- A. Get HTF Data Count
int htf_rates_total = iBars(_Symbol, g_calc_timeframe);
if(htf_rates_total < InpPeriod)
return(0);
//--- B. Reset HTF State if Full Recalculation needed
if(prev_calculated == 0)
//--- Ensure target timeframe history is ready
int required_bars = InpPeriod + 10;
if(!EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
{
g_htf_prev_calculated = 0;
ArrayInitialize(BufferFilter_MTF, EMPTY_VALUE);
g_data_synced = false;
return 0; // Wait for next tick to let history load
}
//--- C. Fetch HTF Price Data
if(CopyOpen(_Symbol, g_calc_timeframe, 0, htf_rates_total, g_buf_open) < 0 ||
CopyHigh(_Symbol, g_calc_timeframe, 0, htf_rates_total, g_buf_high) < 0 ||
CopyLow(_Symbol, g_calc_timeframe, 0, htf_rates_total, g_buf_low) < 0 ||
CopyClose(_Symbol, g_calc_timeframe, 0, htf_rates_total, g_buf_close) < 0)
g_data_synced = true;
//--- 1. Check if a new HTF bar has formed
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
if(htf_updated || prev_calculated == 0)
{
return(0); // Data not ready
}
g_last_htf_time = htf_time_current;
//--- D. Resize HTF Buffer
if(ArraySize(g_htf_buffer) != htf_rates_total)
ArrayResize(g_htf_buffer, htf_rates_total);
//--- E. Calculate HTF Butterworth (Incremental)
// Step back 1 bar to ensure the open candle is always updated
int htf_calc_start = (g_htf_prev_calculated > 0) ? g_htf_prev_calculated - 1 : 0;
g_calculator.Calculate(htf_rates_total, htf_calc_start, price_type,
g_buf_open, g_buf_high, g_buf_low, g_buf_close,
g_htf_buffer);
g_htf_prev_calculated = htf_rates_total;
//--- F. Map HTF Values to Current Chart (The "Staircase")
// CRITICAL: Set HTF buffer as SERIES for mapping (0 = Newest)
ArraySetAsSeries(g_htf_buffer, true);
// Ensure 'time' array is NOT series for our loop (0 = Oldest)
ArraySetAsSeries(time, false);
int limit = (prev_calculated > 0) ? prev_calculated - 1 : 0;
for(int i = limit; i < rates_total; i++)
{
datetime current_time = time[i];
// iBarShift returns the index relative to the newest bar (0 = Newest)
int htf_index = iBarShift(_Symbol, g_calc_timeframe, current_time, false);
if(htf_index >= 0 && htf_index < htf_rates_total)
int htf_bars = iBars(_Symbol, g_calc_timeframe);
if(htf_bars < required_bars)
{
BufferFilter_MTF[i] = g_htf_buffer[htf_index];
g_data_ready = false;
return 0;
}
g_htf_count = MathMin(htf_bars, 3000);
ArrayResize(h_time, g_htf_count);
ArrayResize(h_open, g_htf_count);
ArrayResize(h_high, g_htf_count);
ArrayResize(h_low, g_htf_count);
ArrayResize(h_close, g_htf_count);
ArrayResize(h_res_butter, g_htf_count);
// Force chronological array alignment on HTF caches after resize
ArraySetAsSeries(h_time, false);
ArraySetAsSeries(h_open, false);
ArraySetAsSeries(h_high, false);
ArraySetAsSeries(h_low, false);
ArraySetAsSeries(h_close, false);
if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count ||
CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count ||
CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count ||
CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count ||
CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count)
{
g_data_ready = false;
return 0;
}
//--- Calculate Butterworth on HTF (Closed bars and forming bar initialized)
g_calculator.Calculate(g_htf_count, 0, price_type, h_open, h_high, h_low, h_close, h_res_butter);
g_data_ready = true;
}
if(!g_data_ready)
return 0;
//--- 2. Live Update for the Current Forming HTF Bar (Index: g_htf_count - 1) on every tick!
int live_idx = g_htf_count - 1;
if(live_idx >= InpPeriod)
{
double o[1], h[1], l[1], c[1];
int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false);
if(shift >= 0 &&
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)
{
h_open[live_idx] = o[0];
h_high[live_idx] = h[0];
h_low[live_idx] = l[0];
h_close[live_idx] = c[0];
// Incremental recalculation on the live HTF index in O(1)
// Passed g_htf_count as prev_calculated to preserve state safety (IIR coefficient protection)
g_calculator.Calculate(g_htf_count, g_htf_count, price_type, h_open, h_high, h_low, h_close, h_res_butter);
}
}
//--- 3. FIXED: Dynamically adjust 'start' to the beginning of the current forming HTF bar
//--- This forces the entire forming LTF step block to remain perfectly flat, updating on every tick!
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++; // This is the start of the forming step on lower TF chart
if(start > first_bar_of_forming_htf)
start = first_bar_of_forming_htf;
//--- 4. Incremental Mapping of HTF results to Current Chart Timeframe (O(1) per tick)
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)
{
BufferFilter_MTF[i] = h_res_butter[idx_htf];
}
else
{
BufferFilter_MTF[i] = EMPTY_VALUE;
}
}
else
{
@@ -198,10 +294,23 @@ int OnCalculate(const int rates_total,
}
}
// CRITICAL: Restore HTF buffer to non-series for next calculation cycle
ArraySetAsSeries(g_htf_buffer, false);
return(rates_total);
}
//+------------------------------------------------------------------+
//| OnTimer |
//| Handles loading checks and force-redraws |
//+------------------------------------------------------------------+
void OnTimer()
{
if(!g_data_synced)
{
int required_bars = InpPeriod + 5;
if(EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
{
g_data_synced = true;
ChartRedraw(); // Force MT5 to invoke OnCalculate
}
}
}
//+------------------------------------------------------------------+