From c0c4c6028df2b9b7411500975acb66d69f6ee324 Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Fri, 3 Jul 2026 16:13:31 +0200 Subject: [PATCH] refactor: Fully functional dynamic Multi-Timeframe John Ehlers' Higher-Order Butterworth Filter --- .../Butterworth_Filter_MTF_Pro.mq5 | 249 +++++++++++++----- 1 file changed, 179 insertions(+), 70 deletions(-) diff --git a/Indicators/MyIndicators/Authors/Ehlers/1_Smoothers/Butterworth_Filter_MTF_Pro.mq5 b/Indicators/MyIndicators/Authors/Ehlers/1_Smoothers/Butterworth_Filter_MTF_Pro.mq5 index 5d642df..abecf58 100644 --- a/Indicators/MyIndicators/Authors/Ehlers/1_Smoothers/Butterworth_Filter_MTF_Pro.mq5 +++ b/Indicators/MyIndicators/Authors/Ehlers/1_Smoothers/Butterworth_Filter_MTF_Pro.mq5 @@ -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 + } + } + } //+------------------------------------------------------------------+