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Toh4iem9
@@ -0,0 +1,470 @@
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//+------------------------------------------------------------------+
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//| PairsTrading_Bands_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" // Non-repainting MTF with live forming bar updates
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#property description "Wyckoff-style Cointegration Bands (Multi-Timeframe)."
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#property description "Displays Higher Timeframe Cointegration Channel directly on lower TF chart."
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#property indicator_chart_window
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#property indicator_buffers 5
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#property indicator_plots 5
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//--- Plot 1: Cointegrated Equilibrium Line (Fair Value / Z=0)
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#property indicator_label1 "Equilibrium Center"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrGold
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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//--- Plot 2: Upper Outer Band (Z = Extreme / Sell Zone)
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#property indicator_label2 "Upper Outer Band"
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrOrangeRed
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#property indicator_style2 STYLE_DASH
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#property indicator_width2 1
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//--- Plot 3: Lower Outer Band (Z = Extreme / Buy Zone)
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#property indicator_label3 "Lower Outer Band"
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#property indicator_type3 DRAW_LINE
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#property indicator_color3 clrDeepSkyBlue
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#property indicator_style3 STYLE_DASH
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#property indicator_width3 1
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//--- Plot 4: Upper Inner Band (Z = Warning Zone)
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#property indicator_label4 "Upper Inner Band"
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#property indicator_type4 DRAW_LINE
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#property indicator_color4 clrCoral
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#property indicator_style4 STYLE_DOT
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#property indicator_width4 1
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//--- Plot 5: Lower Inner Band (Z = Warning Zone)
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#property indicator_label5 "Lower Inner Band"
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#property indicator_type5 DRAW_LINE
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#property indicator_color5 clrLightSkyBlue
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#property indicator_style5 STYLE_DOT
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#property indicator_width5 1
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#include <MyIncludes\PairsTrading_Calculator.mqh>
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//--- Anchored Timeframe Resets Enum
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enum ENUM_ANCHOR_PERIOD
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{
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ANCHOR_NONE, // Standard rolling window (InpLookback)
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ANCHOR_SESSION, // Reset every day (Daily VWAP style)
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ANCHOR_WEEK, // Reset every week (Weekly VWAP style)
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ANCHOR_MONTH, // Reset every month (Monthly VWAP style)
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ANCHOR_CUSTOM_SESSION // Reset based on custom broker-time start/end range
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};
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//--- Input Parameters
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input string InpSymbolA = "UKOIL"; // Symbol A (e.g. UKOIL or BRENT)
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input string InpSymbolB = "USOIL"; // Symbol B (Benchmark, e.g. USOIL or WTI)
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_M5; // Target Higher Timeframe (Recommended: Higher than Chart)
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input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period
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input int InpLookback = 120; // Rolling Window size (Used if Anchor = NONE)
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input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time)
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input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time)
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//--- Dynamic Channel Options
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input bool InpDrawCenterLine = true; // Draw Center Equilibrium Line?
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input bool InpDrawInnerBands = true; // Draw Inner (Warning) Bands?
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input double InpInnerMultiplier = 1.5; // Inner Band Z-Score Multiplier
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input bool InpDrawOuterBands = true; // Draw Outer (Extreme) Bands?
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input double InpOuterMultiplier = 2.0; // Outer Band Z-Score Multiplier
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//--- Buffers
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double BufMiddle[];
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double BufUpperOuter[];
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double BufLowerOuter[];
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double BufUpperInner[];
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double BufLowerInner[];
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//--- Internal HTF Data Caches
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datetime h_time[];
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double h_close_A[];
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double h_close_B[];
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//--- HTF Calculator Results
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double h_res_mid[];
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double h_res_std[];
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//--- Global HTF State Tracking
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CPairsTradingCalculator *g_calc;
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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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int g_htf_anchor_start = 0; // Dynamic anchor tracker on HTF timeline
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//--- Parsed Custom Session hours
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int g_start_hour = 9;
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int g_start_min = 0;
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int g_end_hour = 18;
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int g_end_min = 0;
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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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//| IsTimeInSession |
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//+------------------------------------------------------------------+
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bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_hour, int end_min)
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{
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MqlDateTime dt;
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TimeToStruct(time_val, dt);
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int current_min = dt.hour * 60 + dt.min;
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int start_total = start_hour * 60 + start_min;
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int end_total = end_hour * 60 + end_min;
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if(end_total < start_total) // Overlapping midnight session
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{
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return (current_min >= start_total || current_min < end_total);
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}
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else
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{
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return (current_min >= start_total && current_min < end_total);
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}
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}
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//+------------------------------------------------------------------+
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//| SetEmptyValues |
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//+------------------------------------------------------------------+
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void SetEmptyValues(int i)
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{
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BufMiddle[i] = EMPTY_VALUE;
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BufUpperOuter[i] = EMPTY_VALUE;
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BufLowerOuter[i] = EMPTY_VALUE;
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BufUpperInner[i] = EMPTY_VALUE;
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BufLowerInner[i] = EMPTY_VALUE;
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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_last_htf_time = 0;
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g_htf_count = 0;
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g_htf_anchor_start = 0;
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SetIndexBuffer(0, BufMiddle, INDICATOR_DATA);
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SetIndexBuffer(1, BufUpperOuter, INDICATOR_DATA);
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SetIndexBuffer(2, BufLowerOuter, INDICATOR_DATA);
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SetIndexBuffer(3, BufUpperInner, INDICATOR_DATA);
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SetIndexBuffer(4, BufLowerInner, INDICATOR_DATA);
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ArraySetAsSeries(BufMiddle, false);
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ArraySetAsSeries(BufUpperOuter, false);
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ArraySetAsSeries(BufLowerOuter, false);
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ArraySetAsSeries(BufUpperInner, false);
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ArraySetAsSeries(BufLowerInner, false);
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//--- Parse custom session times
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string parts[];
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if(StringSplit(InpCustomStart, ':', parts) == 2)
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{
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g_start_hour = (int)StringToInteger(parts[0]);
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g_start_min = (int)StringToInteger(parts[1]);
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}
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if(StringSplit(InpCustomEnd, ':', parts) == 2)
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{
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g_end_hour = (int)StringToInteger(parts[0]);
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g_end_min = (int)StringToInteger(parts[1]);
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}
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// Configure shortname dynamically based on mode
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string anchor_name = EnumToString(InpAnchor);
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string tf_name = StringSubstr(EnumToString(InpTimeframe), 7);
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string short_name = StringFormat("PairsBands MTF(%s vs %s, %s, %s)",
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InpSymbolA, InpSymbolB, tf_name,
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(InpAnchor == ANCHOR_NONE ? (string)InpLookback : StringSubstr(anchor_name, 7)));
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IndicatorSetString(INDICATOR_SHORTNAME, short_name);
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IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
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g_calc = new CPairsTradingCalculator();
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if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpLookback))
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{
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Print("Error: Failed to initialize PairsBands MTF Calculator Engine.");
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return INIT_FAILED;
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}
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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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if(CheckPointer(g_calc) == POINTER_DYNAMIC)
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delete g_calc;
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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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int required_bars = InpLookback + 10;
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if(InpAnchor != ANCHOR_NONE)
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required_bars = 1000; // Need larger history depth for monthly/weekly/custom anchors
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//--- Ensure both symbol histories are fully loaded on the HTF in the terminal
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if(!EnsureHTFDataReady(InpSymbolA, InpTimeframe, required_bars) ||
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!EnsureHTFDataReady(InpSymbolB, InpTimeframe, required_bars))
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{
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g_data_ready = false;
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return 0; // Wait for next tick to let history load
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}
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//--- 1. Check if a new HTF bar has formed
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datetime htf_time_current = iTime(_Symbol, InpTimeframe, 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, InpTimeframe);
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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, 1000);
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ArrayResize(h_time, g_htf_count);
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ArrayResize(h_close_A, g_htf_count);
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ArrayResize(h_close_B, g_htf_count);
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ArrayResize(h_res_mid, g_htf_count);
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ArrayResize(h_res_std, g_htf_count);
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if(CopyTime(_Symbol, InpTimeframe, 0, g_htf_count, h_time) != 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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//--- 2. High-Performance Linear Price Alignment on the HTF Timeline
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double default_close_A = iClose(InpSymbolA, InpTimeframe, 0);
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double default_close_B = iClose(InpSymbolB, InpTimeframe, 0);
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for(int j = 0; j < g_htf_count; j++)
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{
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int shift_A = iBarShift(InpSymbolA, InpTimeframe, h_time[j], false);
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if(shift_A >= 0)
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h_close_A[j] = iClose(InpSymbolA, InpTimeframe, shift_A);
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else
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h_close_A[j] = (j > 0) ? h_close_A[j-1] : default_close_A;
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int shift_B = iBarShift(InpSymbolB, InpTimeframe, h_time[j], false);
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if(shift_B >= 0)
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h_close_B[j] = iClose(InpSymbolB, InpTimeframe, shift_B);
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else
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h_close_B[j] = (j > 0) ? h_close_B[j-1] : default_close_B;
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}
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//--- 3. Calculate OLS Cointegration on HTF (Closed bars only!)
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//--- Notice the limit is 'g_htf_count - 1' (excluding the live forming bar)
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for(int j = InpLookback; j < g_htf_count - 1; j++)
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{
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// Filter out inactive custom hours on HTF
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if(InpAnchor == ANCHOR_CUSTOM_SESSION)
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{
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if(!IsTimeInSession(h_time[j], g_start_hour, g_start_min, g_end_hour, g_end_min))
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{
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h_res_mid[j] = EMPTY_VALUE;
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h_res_std[j] = 0.0;
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continue;
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}
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}
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// Stateful anchor period tracking on HTF timeline
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bool htf_new_period = false;
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if(j > 0)
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{
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switch(InpAnchor)
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{
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case ANCHOR_SESSION:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(h_time[j], dt_curr);
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TimeToStruct(h_time[j-1], dt_prev);
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if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year)
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htf_new_period = true;
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break;
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}
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case ANCHOR_WEEK:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(h_time[j], dt_curr);
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TimeToStruct(h_time[j-1], dt_prev);
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if(dt_curr.day_of_week < dt_prev.day_of_week)
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htf_new_period = true;
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break;
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}
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case ANCHOR_MONTH:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(h_time[j], dt_curr);
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TimeToStruct(h_time[j-1], dt_prev);
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if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year)
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htf_new_period = true;
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break;
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}
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case ANCHOR_CUSTOM_SESSION:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(h_time[j], dt_curr);
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TimeToStruct(h_time[j-1], dt_prev);
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int min_curr = dt_curr.hour * 60 + dt_curr.min;
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int min_prev = dt_prev.hour * 60 + dt_prev.min;
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int start_min = g_start_hour * 60 + g_start_min;
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bool day_changed = (dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year);
|
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if(day_changed)
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{
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if(min_curr >= start_min)
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htf_new_period = true;
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}
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else
|
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{
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if(min_prev < start_min && min_curr >= start_min)
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htf_new_period = true;
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}
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break;
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}
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default:
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break;
|
||||
}
|
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}
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||||
if(htf_new_period)
|
||||
{
|
||||
g_htf_anchor_start = j;
|
||||
}
|
||||
|
||||
int htf_active_window = 0;
|
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if(InpAnchor == ANCHOR_NONE)
|
||||
htf_active_window = InpLookback;
|
||||
else
|
||||
htf_active_window = j - g_htf_anchor_start + 1;
|
||||
|
||||
// Compute Z-Score on HTF to update calculator states
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g_calc.CalculateZScore(g_htf_count, j, htf_active_window, h_close_A, h_close_B);
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||||
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h_res_mid[j] = g_calc.GetBeta() * h_close_B[j] + g_calc.GetAlpha();
|
||||
h_res_std[j] = g_calc.GetStdDev();
|
||||
}
|
||||
|
||||
g_data_ready = true;
|
||||
}
|
||||
|
||||
if(!g_data_ready)
|
||||
return 0;
|
||||
|
||||
//--- 3. 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 >= InpLookback)
|
||||
{
|
||||
double single_c_A[1], single_c_B[1];
|
||||
|
||||
// Synchronized live price copying from the forming HTF bar 0
|
||||
int shift_A = iBarShift(InpSymbolA, InpTimeframe, htf_time_current, false);
|
||||
int shift_B = iBarShift(InpSymbolB, InpTimeframe, htf_time_current, false);
|
||||
|
||||
if(shift_A >= 0 && shift_B >= 0 &&
|
||||
CopyClose(InpSymbolA, InpTimeframe, shift_A, 1, single_c_A) == 1 &&
|
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CopyClose(InpSymbolB, InpTimeframe, shift_B, 1, single_c_B) == 1)
|
||||
{
|
||||
h_close_A[live_idx] = single_c_A[0];
|
||||
h_close_B[live_idx] = single_c_B[0];
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||||
|
||||
// Determine dynamic window for forming bar
|
||||
int htf_active_window = 0;
|
||||
if(InpAnchor == ANCHOR_NONE)
|
||||
htf_active_window = InpLookback;
|
||||
else
|
||||
htf_active_window = live_idx - g_htf_anchor_start + 1;
|
||||
|
||||
if(InpAnchor != ANCHOR_CUSTOM_SESSION || IsTimeInSession(htf_time_current, g_start_hour, g_start_min, g_end_hour, g_end_min))
|
||||
{
|
||||
g_calc.CalculateZScore(g_htf_count, live_idx, htf_active_window, h_close_A, h_close_B);
|
||||
h_res_mid[live_idx] = g_calc.GetBeta() * h_close_B[live_idx] + g_calc.GetAlpha();
|
||||
h_res_std[live_idx] = g_calc.GetStdDev();
|
||||
}
|
||||
else
|
||||
{
|
||||
h_res_mid[live_idx] = EMPTY_VALUE;
|
||||
h_res_std[live_idx] = 0.0;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
//--- 4. Incremental Mapping of HTF results to Current Chart Timeframe (O(1) per tick)
|
||||
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
|
||||
|
||||
for(int i = start; i < rates_total; i++)
|
||||
{
|
||||
datetime t = time[i];
|
||||
int shift_htf = iBarShift(_Symbol, InpTimeframe, 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 fair_price = h_res_mid[idx_htf];
|
||||
double std_dev = h_res_std[idx_htf];
|
||||
|
||||
if(fair_price != EMPTY_VALUE && std_dev > 0.0)
|
||||
{
|
||||
BufMiddle[i] = InpDrawCenterLine ? fair_price : EMPTY_VALUE;
|
||||
BufUpperOuter[i] = InpDrawOuterBands ? (fair_price + InpOuterMultiplier * std_dev) : EMPTY_VALUE;
|
||||
BufLowerOuter[i] = InpDrawOuterBands ? (fair_price - InpOuterMultiplier * std_dev) : EMPTY_VALUE;
|
||||
BufUpperInner[i] = InpDrawInnerBands ? (fair_price + InpInnerMultiplier * std_dev) : EMPTY_VALUE;
|
||||
BufLowerInner[i] = InpDrawInnerBands ? (fair_price - InpInnerMultiplier * std_dev) : EMPTY_VALUE;
|
||||
}
|
||||
else
|
||||
{
|
||||
SetEmptyValues(i);
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
SetEmptyValues(i);
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
SetEmptyValues(i);
|
||||
}
|
||||
}
|
||||
|
||||
return(rates_total);
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
//+------------------------------------------------------------------+
|
||||
Reference in New Issue
Block a user