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@@ -0,0 +1,526 @@
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//+------------------------------------------------------------------+
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//| LScore_MTF_Pro.mq5|
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.00" // Fully optimized Multi-Timeframe Laguerre Z-Score with dynamic levels
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#property description "Multi-Timeframe (MTF) Statistical Laguerre Z-Score (L-Score) Oscillator."
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#property description "Displays HTF Laguerre deviations cleanly directly on lower TF charts without live-bar warping."
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#property indicator_separate_window
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#property indicator_buffers 3
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#property indicator_plots 2
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//--- Plot 1: L-Score Histogram (Swapped Bull/Bear Thermal Palette)
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#property indicator_label1 "L-Score MTF"
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#property indicator_type1 DRAW_COLOR_HISTOGRAM
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// Swapped Palette:
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// 0: Noise/Neutral (Gray)
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// 1: Bullish Flow (LightSkyBlue)
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// 2: Bullish Climax (DeepSkyBlue)
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// 3: Bearish Flow (Coral)
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// 4: Bearish Climax (OrangeRed)
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#property indicator_color1 clrGray, clrLightSkyBlue, clrDeepSkyBlue, clrCoral, clrOrangeRed
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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//--- Plot 2: Optional Signal Line (Wyckoff Reversal Trigger)
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#property indicator_label2 "Signal MTF"
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrFireBrick
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#property indicator_style2 STYLE_SOLID
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#property indicator_width2 1
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#include <MyIncludes\LScore_Calculator.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//--- Input Parameters ---
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input group "Timeframe Settings"
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_H1; // Target Higher Timeframe
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input group "Laguerre Baseline Settings"
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input double InpGamma = 0.5; // Laguerre Gamma (0.0 to 1.0)
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input ENUM_APPLIED_PRICE_HA_ALL InpPrice = PRICE_CLOSE_STD; // Price Source
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input group "Volatility Settings"
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input int InpPeriod = 20; // Sigma Lookback Period (N)
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input group "Signal Line Settings"
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input bool InpShowSignal = true; // Show Signal Line?
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input int InpSignalPeriod= 5; // Signal Line Period
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input ENUM_MA_TYPE InpSignalType = SMA; // Signal Line MA Type
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input group "Indicator Levels"
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input double InpLevelFlowHigh = 2.0; // High Warning Level (Bullish Flow)
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input double InpLevelFlowLow = -2.0; // Low Warning Level (Bearish Flow)
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input double InpLevelClimaxHigh = 2.5; // High Climax Level (Bullish Climax)
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input double InpLevelClimaxLow = -2.5; // Low Climax Level (Bearish Climax)
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input double InpLevelExtremeHigh= 3.0; // High Exhaustion Level
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input double InpLevelExtremeLow = -3.0; // Low Exhaustion Level
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input color InpLevelColor = clrSilver; // Levels Color
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input ENUM_LINE_STYLE InpLevelStyle = STYLE_DOT; // Levels Style
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//--- Buffers ---
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double BufferL_MTF[];
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double BufferColors_MTF[];
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double BufferSignal_MTF[];
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//--- Internal HTF Data Caches
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double h_res[], h_sig[]; // HTF Results cached
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datetime h_time[];
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double h_open[], h_high[], h_low[], h_close[];
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long h_vol[]; // HTF raw volume cache
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double h_vol_double[]; // HTF volume cast to double to support VWMA Signal line
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//--- Volume Cache to support Volume-Weighted types (VWMA) on current timeframe
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double g_double_volume[];
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//--- Global HTF State Tracking
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CLScoreCalculator *g_calculator;
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CMovingAverageCalculator *g_signal_calculator;
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datetime g_last_htf_time = 0;
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int g_htf_count = 0;
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bool g_data_ready = false;
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bool g_data_synced = false;
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bool g_is_mtf_mode = false;
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ENUM_TIMEFRAMES g_calc_timeframe;
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//+------------------------------------------------------------------+
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//| EnsureHTFDataReady |
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//+------------------------------------------------------------------+
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bool EnsureHTFDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars)
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{
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ResetLastError();
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if(!SymbolInfoInteger(symbol, SYMBOL_SELECT))
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{
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SymbolSelect(symbol, true);
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}
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datetime times[];
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int copied = CopyTime(symbol, timeframe, 0, required_bars, times);
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return (copied >= required_bars);
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}
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//+------------------------------------------------------------------+
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//| OnInit |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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g_data_ready = false;
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g_data_synced = false;
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g_last_htf_time = 0;
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g_htf_count = 0;
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//--- 1. Resolve Timeframe
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g_calc_timeframe = InpTimeframe;
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if(g_calc_timeframe == PERIOD_CURRENT)
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g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
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if(g_calc_timeframe < Period())
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{
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PrintFormat("Error: Target timeframe (%s) must be >= current timeframe (%s).",
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EnumToString(g_calc_timeframe), EnumToString(Period()));
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return(INIT_FAILED);
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}
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g_is_mtf_mode = (g_calc_timeframe > Period());
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//--- 2. Setup Buffers
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SetIndexBuffer(0, BufferL_MTF, INDICATOR_DATA);
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SetIndexBuffer(1, BufferColors_MTF, INDICATOR_COLOR_INDEX);
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SetIndexBuffer(2, BufferSignal_MTF, INDICATOR_DATA);
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ArraySetAsSeries(BufferL_MTF, false);
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ArraySetAsSeries(BufferColors_MTF, false);
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ArraySetAsSeries(BufferSignal_MTF, false);
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//--- 3. Dynamically configure horizontal levels to support custom input parameters
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IndicatorSetInteger(INDICATOR_LEVELS, 6);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, InpLevelFlowHigh);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 1, InpLevelFlowLow);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 2, InpLevelClimaxHigh);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 3, InpLevelClimaxLow);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 4, InpLevelExtremeHigh);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 5, InpLevelExtremeLow);
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IndicatorSetInteger(INDICATOR_LEVELCOLOR, InpLevelColor);
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IndicatorSetInteger(INDICATOR_LEVELSTYLE, InpLevelStyle);
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//--- 4. Initialize Calculators
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bool is_ha = (InpPrice <= PRICE_HA_CLOSE);
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g_calculator = new CLScoreCalculator();
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if(CheckPointer(g_calculator) == POINTER_INVALID || !g_calculator.Init(InpGamma, InpPeriod, is_ha))
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{
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Print("Failed to initialize L-Score Calculator.");
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return(INIT_FAILED);
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}
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if(InpShowSignal)
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{
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PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_LINE);
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PlotIndexSetString(1, PLOT_LABEL, "Signal MTF");
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g_signal_calculator = new CMovingAverageCalculator();
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if(CheckPointer(g_signal_calculator) == POINTER_INVALID || !g_signal_calculator.Init(InpSignalPeriod, InpSignalType))
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{
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Print("Failed to initialize Signal Line Calculator.");
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return(INIT_FAILED);
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}
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}
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else
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{
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PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_NONE);
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PlotIndexSetString(1, PLOT_LABEL, NULL);
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}
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//--- 5. Set Shortname
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string type = (InpPrice <= PRICE_HA_CLOSE) ? " HA" : "";
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string tf_str = g_is_mtf_mode ? (" " + EnumToString(g_calc_timeframe)) : "";
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string short_name = "";
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if(InpShowSignal)
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{
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string sig_name = EnumToString(InpSignalType);
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StringToUpper(sig_name);
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short_name = StringFormat("LScore%s%s(%.2f,%d) %s(%d)", type, tf_str, InpGamma, InpPeriod, sig_name, InpSignalPeriod);
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}
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else
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{
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short_name = StringFormat("LScore%s%s(%.2f,%d)", type, tf_str, InpGamma, InpPeriod);
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}
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IndicatorSetString(INDICATOR_SHORTNAME, short_name);
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PlotIndexSetString(0, PLOT_LABEL, "L-Score MTF");
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IndicatorSetInteger(INDICATOR_DIGITS, 2);
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//--- Initialize 1-second timer for weekend/async chart refreshes (Only if MTF mode is active)
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if(g_is_mtf_mode)
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EventSetTimer(1);
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| OnDeinit |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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EventKillTimer();
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if(CheckPointer(g_calculator) != POINTER_INVALID)
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delete g_calculator;
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if(CheckPointer(g_signal_calculator) != POINTER_INVALID)
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delete g_signal_calculator;
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}
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//+------------------------------------------------------------------+
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//| OnCalculate |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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if(rates_total < 2)
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return(0);
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if(CheckPointer(g_calculator) == POINTER_INVALID)
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return(0);
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ENUM_APPLIED_PRICE price_type = (InpPrice <= PRICE_HA_CLOSE) ?
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(ENUM_APPLIED_PRICE)(-(int)InpPrice) :
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(ENUM_APPLIED_PRICE)InpPrice;
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//--- Force standard chronological indexing for state-safety
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ArraySetAsSeries(time, false);
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ArraySetAsSeries(open, false);
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ArraySetAsSeries(high, false);
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ArraySetAsSeries(low, false);
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ArraySetAsSeries(close, false);
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//================================================================
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// MODE 1: Current Timeframe (Standard)
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//================================================================
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if(!g_is_mtf_mode)
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{
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// Determine best volume array (Use Real Volume if available, otherwise fallback to Tick Volume)
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long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
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ArrayResize(g_double_volume, rates_total);
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int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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if(volume_limit > 0)
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{
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for(int i = start_sync; i < rates_total; i++)
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g_double_volume[i] = (double)volume[i];
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}
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else
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{
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for(int i = start_sync; i < rates_total; i++)
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g_double_volume[i] = (double)tick_volume[i];
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}
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// Calculate L-Score
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g_calculator.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, BufferL_MTF);
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// Calculate Signal Line
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if(InpShowSignal && CheckPointer(g_signal_calculator) != POINTER_INVALID)
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{
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g_signal_calculator.CalculateOnArray(rates_total, prev_calculated, BufferL_MTF, g_double_volume, BufferSignal_MTF, InpPeriod - 1);
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}
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// Apply 5-Zone Swapped Thermal Coloring Logic
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int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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for(int i = start_index; i < rates_total; i++)
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{
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double l_val = BufferL_MTF[i];
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if(l_val > InpLevelClimaxHigh)
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BufferColors_MTF[i] = 2.0;
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else
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if(l_val > InpLevelFlowHigh)
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BufferColors_MTF[i] = 1.0;
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else
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if(l_val < InpLevelClimaxLow)
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BufferColors_MTF[i] = 4.0;
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else
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if(l_val < InpLevelFlowLow)
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BufferColors_MTF[i] = 3.0;
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else
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BufferColors_MTF[i] = 0.0;
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}
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return(rates_total);
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}
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//================================================================
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// MODE 2: Multi-Timeframe (MTF Engine)
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//================================================================
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//--- Ensure target timeframe history is ready
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int required_bars = InpPeriod + 10;
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if(!EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
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{
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g_data_synced = false;
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return 0; // Wait for next tick to let history load
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}
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g_data_synced = true;
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//--- Determine best volume array (Use Real Volume if available, otherwise fallback to Tick Volume)
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long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
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//--- 1. Check if a new HTF bar has formed
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datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
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bool htf_updated = (htf_time_current != g_last_htf_time);
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if(htf_updated || prev_calculated == 0)
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{
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g_last_htf_time = htf_time_current;
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int htf_bars = iBars(_Symbol, g_calc_timeframe);
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if(htf_bars < required_bars)
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{
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g_data_ready = false;
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return 0;
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}
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g_htf_count = MathMin(htf_bars, 3000);
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ArrayResize(h_time, g_htf_count);
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ArrayResize(h_open, g_htf_count);
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ArrayResize(h_high, g_htf_count);
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ArrayResize(h_low, g_htf_count);
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ArrayResize(h_close, g_htf_count);
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ArrayResize(h_vol, g_htf_count);
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ArrayResize(h_vol_double, g_htf_count);
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ArrayResize(h_res, g_htf_count);
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ArrayResize(h_sig, g_htf_count);
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if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count ||
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CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count ||
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CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count ||
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CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count ||
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CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count)
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{
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g_data_ready = false;
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return 0;
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}
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// High-Performance dynamic volume routing on the HTF Timeline
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int copied_vol = 0;
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if(volume_limit > 0)
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copied_vol = CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol);
|
||||
else
|
||||
copied_vol = CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol);
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||||
|
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if(copied_vol != g_htf_count)
|
||||
{
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||||
g_data_ready = false;
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return 0;
|
||||
}
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||||
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||||
// Convert HTF volume cache to double precision
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||||
for(int j = 0; j < g_htf_count; j++)
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h_vol_double[j] = (double)h_vol[j];
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||||
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||||
// Force chronological array alignment for calculations
|
||||
ArraySetAsSeries(h_time, false);
|
||||
ArraySetAsSeries(h_open, false);
|
||||
ArraySetAsSeries(h_high, false);
|
||||
ArraySetAsSeries(h_low, false);
|
||||
ArraySetAsSeries(h_close, false);
|
||||
ArraySetAsSeries(h_vol, false);
|
||||
|
||||
//--- Calculate HTF L-Score (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);
|
||||
|
||||
//--- Calculate HTF Signal Line
|
||||
if(InpShowSignal && CheckPointer(g_signal_calculator) != POINTER_INVALID)
|
||||
{
|
||||
g_signal_calculator.CalculateOnArray(g_htf_count, 0, h_res, h_vol_double, h_sig, InpPeriod - 1);
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||||
}
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||||
|
||||
g_data_ready = true;
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||||
}
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||||
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||||
if(!g_data_ready)
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return 0;
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||||
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||||
//--- 2. Live Update for the Current Forming HTF Bar (Index: g_htf_count - 1) on every tick!
|
||||
int live_idx = g_htf_count - 1;
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||||
if(live_idx >= InpPeriod)
|
||||
{
|
||||
double o[1], h[1], l[1], c[1];
|
||||
long vol[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];
|
||||
|
||||
// Copy live volume dynamically
|
||||
int copied = 0;
|
||||
if(volume_limit > 0)
|
||||
copied = CopyRealVolume(_Symbol, g_calc_timeframe, shift, 1, vol);
|
||||
else
|
||||
copied = CopyTickVolume(_Symbol, g_calc_timeframe, shift, 1, vol);
|
||||
|
||||
if(copied == 1)
|
||||
{
|
||||
h_vol[live_idx] = vol[0];
|
||||
h_vol_double[live_idx] = (double)vol[0];
|
||||
}
|
||||
|
||||
// Incremental recalculation on the live HTF index in O(1)
|
||||
g_calculator.Calculate(g_htf_count, g_htf_count, price_type, h_open, h_high, h_low, h_close, h_res);
|
||||
|
||||
// Recalculate Signal Line on HTF live index
|
||||
if(InpShowSignal && CheckPointer(g_signal_calculator) != POINTER_INVALID)
|
||||
{
|
||||
g_signal_calculator.CalculateOnArray(g_htf_count, g_htf_count, h_res, h_vol_double, h_sig, InpPeriod - 1);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
//--- 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)
|
||||
{
|
||||
double l_val = h_res[idx_htf];
|
||||
|
||||
BufferL_MTF[i] = l_val;
|
||||
|
||||
if(InpShowSignal)
|
||||
BufferSignal_MTF[i] = h_sig[idx_htf];
|
||||
else
|
||||
BufferSignal_MTF[i] = EMPTY_VALUE;
|
||||
|
||||
// Swapped 5-Zone Color Logic dynamically mapped to user-defined level parameters:
|
||||
// l_val >= ClimaxHigh -> DeepSkyBlue Climax
|
||||
// l_val >= FlowHigh -> LightSkyBlue Flow
|
||||
// l_val <= ClimaxLow -> OrangeRed Climax
|
||||
// l_val <= FlowLow -> Coral Flow
|
||||
// Else -> Gray Neutral
|
||||
if(l_val >= InpLevelClimaxHigh)
|
||||
BufferColors_MTF[i] = 2.0;
|
||||
else
|
||||
if(l_val >= InpLevelFlowHigh)
|
||||
BufferColors_MTF[i] = 1.0;
|
||||
else
|
||||
if(l_val <= InpLevelClimaxLow)
|
||||
BufferColors_MTF[i] = 4.0;
|
||||
else
|
||||
if(l_val <= InpLevelFlowLow)
|
||||
BufferColors_MTF[i] = 3.0;
|
||||
else
|
||||
BufferColors_MTF[i] = 0.0;
|
||||
}
|
||||
else
|
||||
{
|
||||
BufferL_MTF[i] = EMPTY_VALUE;
|
||||
BufferSignal_MTF[i] = EMPTY_VALUE;
|
||||
BufferColors_MTF[i] = 0.0;
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
BufferL_MTF[i] = EMPTY_VALUE;
|
||||
BufferSignal_MTF[i] = EMPTY_VALUE;
|
||||
BufferColors_MTF[i] = 0.0;
|
||||
}
|
||||
}
|
||||
|
||||
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
|
||||
}
|
||||
}
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
Reference in New Issue
Block a user