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refactor(indicators): Optimized for incremental calculation
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Toh4iem9
@@ -1,64 +1,59 @@
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//+------------------------------------------------------------------+
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//| DPO_Calculator.mqh |
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//| Engine for calculating the Detrended Price Oscillator. |
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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\MovingAverage_Engine.mqh>
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//+==================================================================+
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//| CLASS 1: CDPOCalculator (Base Class) |
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//+==================================================================+
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class CDPOCalculator
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{
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protected:
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int m_period;
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CMovingAverageCalculator *m_ma_calc;
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double m_price[]; // Internal price buffer
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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//--- Persistent Buffers for Incremental Calculation
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double m_price[];
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double m_ma_buffer[];
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//--- Updated: Accepts start_index
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virtual bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CDPOCalculator(void);
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virtual ~CDPOCalculator(void);
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bool Init(int period, ENUM_MA_TYPE ma_type);
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void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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//--- Updated: Accepts prev_calculated
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &dpo_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| |
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//| Constructor |
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//+------------------------------------------------------------------+
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class CDPOCalculator_HA : public CDPOCalculator
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CDPOCalculator::CDPOCalculator(void)
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{
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public:
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CDPOCalculator_HA(void);
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};
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//+==================================================================+
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//| METHOD IMPLEMENTATIONS |
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//+==================================================================+
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CDPOCalculator::CDPOCalculator(void) { m_ma_calc = new CMovingAverageCalculator(); }
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CDPOCalculator::~CDPOCalculator(void) { if(CheckPointer(m_ma_calc) != POINTER_INVALID) delete m_ma_calc; }
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CDPOCalculator_HA::CDPOCalculator_HA(void)
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{
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if(CheckPointer(m_ma_calc) != POINTER_INVALID)
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delete m_ma_calc;
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m_ma_calc = new CMovingAverageCalculator_HA();
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m_ma_calc = new CMovingAverageCalculator();
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}
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//+------------------------------------------------------------------+
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//| |
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//| Destructor |
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//+------------------------------------------------------------------+
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CDPOCalculator::~CDPOCalculator(void)
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{
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if(CheckPointer(m_ma_calc) != POINTER_INVALID)
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delete m_ma_calc;
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CDPOCalculator::Init(int period, ENUM_MA_TYPE ma_type)
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{
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@@ -69,75 +64,159 @@ bool CDPOCalculator::Init(int period, ENUM_MA_TYPE ma_type)
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}
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//+------------------------------------------------------------------+
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//| |
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CDPOCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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void CDPOCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &dpo_buffer[])
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{
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if(rates_total < m_period)
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return;
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if(CheckPointer(m_ma_calc) == POINTER_INVALID)
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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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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// Resize Buffers
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArrayResize(m_ma_buffer, rates_total);
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}
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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//--- Step 1: Calculate the standard, lagging MA into an internal buffer ---
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double ma_buffer[];
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ArrayResize(ma_buffer, rates_total);
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m_ma_calc.Calculate(rates_total, price_type, open, high, low, close, ma_buffer);
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//--- Step 1: Calculate the standard, lagging MA into an internal buffer (Incremental)
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m_ma_calc.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, m_ma_buffer);
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//--- Step 2: Calculate DPO by subtracting the shifted MA from the price ---
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//--- Step 2: Calculate DPO (Incremental Loop)
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int shift = (m_period / 2) + 1;
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int loop_start = MathMax(shift, start_index);
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for(int i = 0; i < rates_total; i++)
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for(int i = loop_start; i < rates_total; i++)
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{
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int source_index = i - shift;
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if(source_index >= 0 && ma_buffer[source_index] != EMPTY_VALUE)
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dpo_buffer[i] = m_price[i] - ma_buffer[source_index];
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// Ensure we don't access out of bounds or empty values
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if(source_index >= 0 && m_ma_buffer[source_index] != EMPTY_VALUE && m_ma_buffer[source_index] != 0.0)
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dpo_buffer[i] = m_price[i] - m_ma_buffer[source_index];
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else
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dpo_buffer[i] = EMPTY_VALUE;
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}
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}
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//+------------------------------------------------------------------+
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//| |
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CDPOCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CDPOCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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if(ArraySize(m_price) != rates_total)
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if(ArrayResize(m_price, rates_total) != rates_total)
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return false;
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switch(price_type)
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for(int i = start_index; i < rates_total; i++)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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break;
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case PRICE_TYPICAL:
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
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break;
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default:
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return false;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
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break;
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default:
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m_price[i] = close[i];
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break;
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}
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}
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return true;
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}
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//+==================================================================+
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//| CLASS 2: CDPOCalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CDPOCalculator_HA : public CDPOCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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public:
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CDPOCalculator_HA(void);
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protected:
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virtual bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, 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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//| Constructor (HA) |
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//+------------------------------------------------------------------+
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CDPOCalculator_HA::CDPOCalculator_HA(void)
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{
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if(CheckPointer(m_ma_calc) != POINTER_INVALID)
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delete m_ma_calc;
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// CRITICAL: Use HA Engine to calculate MA on HA prices
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m_ma_calc = new CMovingAverageCalculator_HA();
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}
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//+------------------------------------------------------------------+
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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CDPOCalculator_HA::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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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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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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// Fill m_price with the selected HA price type
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for(int i = start_index; i < rates_total; i++)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
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break;
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default:
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m_price[i] = m_ha_close[i];
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break;
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}
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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