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refactor(indicators): Optimized for incremental calculation
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Toh4iem9
@@ -1,174 +1,203 @@
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//+------------------------------------------------------------------+
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//| MFI_Calculator.mqh |
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//| Calculation engine for Standard and Heikin Ashi MFI. |
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//| VERSION 2.00: Optimized for incremental calculation. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//+==================================================================+
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//| |
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//| CLASS 1: CMFICalculator (Base Class) |
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//| |
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//+==================================================================+
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class CMFICalculator
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{
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protected:
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int m_mfi_period, m_ma_period;
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ENUM_MA_METHOD m_ma_method;
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int m_mfi_period;
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ENUM_APPLIED_VOLUME m_volume_type;
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double m_typical_price[];
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//--- CORRECTED: Added 'open' to signature
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virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]);
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//--- Engine for Signal Line
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CMovingAverageCalculator m_signal_engine;
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//--- Persistent Buffers for Incremental Calculation
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double m_typical_price[];
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double m_pos_mf[]; // Positive Money Flow
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double m_neg_mf[]; // Negative Money Flow
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double m_mfi_buffer[];
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//--- Updated: Accepts start_index
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virtual bool PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CMFICalculator(void) {};
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virtual ~CMFICalculator(void) {};
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bool Init(int mfi_p, int ma_p, ENUM_MA_METHOD ma_m, ENUM_APPLIED_VOLUME vol_t);
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//--- CORRECTED: Added 'open' to signature
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[],
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//--- Init now takes ENUM_MA_TYPE
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bool Init(int mfi_p, int ma_p, ENUM_MA_TYPE ma_m, ENUM_APPLIED_VOLUME vol_t);
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//--- Updated: Accepts prev_calculated
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void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[],
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double &mfi_buffer[], double &signal_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| CMFICalculator: Initialization |
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//| Init |
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//+------------------------------------------------------------------+
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bool CMFICalculator::Init(int mfi_p, int ma_p, ENUM_MA_METHOD ma_m, ENUM_APPLIED_VOLUME vol_t)
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bool CMFICalculator::Init(int mfi_p, int ma_p, ENUM_MA_TYPE ma_m, ENUM_APPLIED_VOLUME vol_t)
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{
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m_mfi_period = (mfi_p < 1) ? 1 : mfi_p;
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m_ma_period = (ma_p < 1) ? 1 : ma_p;
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m_ma_method = ma_m;
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m_volume_type = vol_t;
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// Initialize Signal Engine
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if(!m_signal_engine.Init(ma_p, ma_m))
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return false;
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return true;
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}
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//+------------------------------------------------------------------+
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//| CMFICalculator: Main Calculation Method (Shared Logic) |
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CMFICalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[],
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void CMFICalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[],
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double &mfi_buffer[], double &signal_buffer[])
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{
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if(rates_total <= m_mfi_period + m_ma_period)
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return;
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//--- CORRECTED: Pass 'open' to PreparePriceSeries
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if(!PreparePriceSeries(rates_total, open, high, low, close))
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if(rates_total <= m_mfi_period)
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return;
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double pos_mf[], neg_mf[];
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ArrayResize(pos_mf, rates_total);
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ArrayResize(neg_mf, rates_total);
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//--- 1. Determine Start Index
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int start_index;
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if(prev_calculated == 0)
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start_index = 0;
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else
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start_index = prev_calculated - 1;
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for(int i=1; i<rates_total; i++)
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//--- 2. Resize Buffers
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if(ArraySize(m_typical_price) != rates_total)
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{
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ArrayResize(m_typical_price, rates_total);
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ArrayResize(m_pos_mf, rates_total);
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ArrayResize(m_neg_mf, rates_total);
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ArrayResize(m_mfi_buffer, rates_total);
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}
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//--- 3. Prepare Price (Optimized)
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if(!PreparePriceSeries(rates_total, start_index, open, high, low, close))
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return;
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//--- 4. Calculate Money Flow (Incremental)
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int loop_start_mf = MathMax(1, start_index);
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for(int i = loop_start_mf; i < rates_total; i++)
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{
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double raw_mf = m_typical_price[i] * ((m_volume_type == VOLUME_TICK) ? tick_volume[i] : volume[i]);
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if(m_typical_price[i] > m_typical_price[i-1])
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pos_mf[i] = raw_mf;
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{
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m_pos_mf[i] = raw_mf;
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m_neg_mf[i] = 0;
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}
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else
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if(m_typical_price[i] < m_typical_price[i-1])
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neg_mf[i] = raw_mf;
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}
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double sum_pos = 0, sum_neg = 0;
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for(int i = 1; i < rates_total; i++)
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{
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sum_pos += pos_mf[i];
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sum_neg += neg_mf[i];
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if(i > m_mfi_period)
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{
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sum_pos -= pos_mf[i - m_mfi_period];
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sum_neg -= neg_mf[i - m_mfi_period];
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}
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if(i >= m_mfi_period)
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{
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if(sum_neg > 0)
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{
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double ratio = sum_pos / sum_neg;
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mfi_buffer[i] = 100.0 - (100.0 / (1.0 + ratio));
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m_pos_mf[i] = 0;
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m_neg_mf[i] = raw_mf;
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}
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else
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mfi_buffer[i] = 100.0;
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}
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{
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m_pos_mf[i] = 0;
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m_neg_mf[i] = 0;
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}
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}
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int ma_start_pos = m_mfi_period + m_ma_period - 1;
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for(int i = ma_start_pos; i < rates_total; i++)
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//--- 5. Calculate MFI (Incremental Sliding Window)
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int loop_start_mfi = MathMax(m_mfi_period, start_index);
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// If full recalc, we need to handle the first value specially or just loop
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if(prev_calculated == 0)
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{
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switch(m_ma_method)
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{
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case MODE_EMA:
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case MODE_SMMA:
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if(i == ma_start_pos)
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{
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double sum=0;
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for(int j=0; j<m_ma_period; j++)
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sum+=mfi_buffer[i-j];
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signal_buffer[i] = sum/m_ma_period;
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}
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else
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{
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if(m_ma_method == MODE_EMA)
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{
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double pr=2.0/(m_ma_period+1.0);
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signal_buffer[i] = mfi_buffer[i]*pr + signal_buffer[i-1]*(1.0-pr);
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}
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else
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signal_buffer[i] = (signal_buffer[i-1]*(m_ma_period-1)+mfi_buffer[i])/m_ma_period;
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}
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break;
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case MODE_LWMA:
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{double lwma_sum=0, weight_sum=0; for(int j=0; j<m_ma_period; j++) {int weight=m_ma_period-j; lwma_sum+=mfi_buffer[i-j]*weight; weight_sum+=weight;} if(weight_sum>0) signal_buffer[i]=lwma_sum/weight_sum;}
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break;
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default:
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{double sum=0; for(int j=0; j<m_ma_period; j++) sum+=mfi_buffer[i-j]; signal_buffer[i] = sum/m_ma_period;}
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break;
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}
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// Initialize first few values
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for(int i=0; i<m_mfi_period; i++)
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m_mfi_buffer[i] = 50.0;
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}
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for(int i = loop_start_mfi; i < rates_total; i++)
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{
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double sum_pos = 0;
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double sum_neg = 0;
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// Sum over the lookback period
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// Optimization: We could use a running sum, but for MFI period (usually 14), a loop is fast enough and safer.
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for(int j = 0; j < m_mfi_period; j++)
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{
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sum_pos += m_pos_mf[i-j];
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sum_neg += m_neg_mf[i-j];
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}
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if(sum_neg > 0)
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{
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double ratio = sum_pos / sum_neg;
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m_mfi_buffer[i] = 100.0 - (100.0 / (1.0 + ratio));
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}
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else
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m_mfi_buffer[i] = 100.0;
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}
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//--- 6. Calculate Signal Line (Using Engine)
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// MFI is valid from index: m_mfi_period
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int mfi_offset = m_mfi_period;
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m_signal_engine.CalculateOnArray(rates_total, prev_calculated, m_mfi_buffer, signal_buffer, mfi_offset);
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//--- 7. Copy MFI to Output
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ArrayCopy(mfi_buffer, m_mfi_buffer, 0, 0, rates_total);
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}
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//+------------------------------------------------------------------+
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//| CMFICalculator: Prepares the standard source price series. |
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CMFICalculator::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CMFICalculator::PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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ArrayResize(m_typical_price, rates_total);
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for(int i=0; i<rates_total; i++)
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for(int i = start_index; i < rates_total; i++)
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m_typical_price[i] = (high[i] + low[i] + close[i]) / 3.0;
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return true;
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}
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//+==================================================================+
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//| |
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//| CLASS 2: CMFICalculator_HA (Heikin Ashi) |
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//| |
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//| CLASS 2: CMFICalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CMFICalculator_HA : public CMFICalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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//--- CORRECTED: Added 'open' to signature
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virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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virtual bool PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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};
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//+------------------------------------------------------------------+
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//| CMFICalculator_HA: Prepares the Heikin Ashi source price. |
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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CMFICalculator_HA::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CMFICalculator_HA::PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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//--- CORRECTED: Pass 'open' to the HA calculator
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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// Resize internal HA buffers
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if(ArraySize(m_ha_open) != rates_total)
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{
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ArrayResize(m_ha_open, rates_total);
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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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}
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ArrayResize(m_typical_price, rates_total);
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for(int i=0; i<rates_total; i++)
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m_typical_price[i] = (ha_high[i] + ha_low[i] + ha_close[i]) / 3.0;
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//--- STRICT CALL: Use the optimized 10-param HA calculation
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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//--- Copy to typical price (Optimized loop)
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for(int i = start_index; i < rates_total; i++)
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m_typical_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
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return true;
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}
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//+------------------------------------------------------------------+
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