//+------------------------------------------------------------------+ //| VWAP_Pro.mq5 | //| Copyright 2026, xxxxxxxx| //+------------------------------------------------------------------+ #property copyright "Copyright 2026, xxxxxxxx" #property version "3.00" // Unified Native & MTF Release with Deterministic Anchoring #property description "Volume Weighted Average Price (VWAP) with unified Native & MTF support." #property description "Features odd/even gapped lines, custom session hours, and Heikin Ashi pricing." #property indicator_chart_window #property indicator_buffers 2 #property indicator_plots 2 //--- Plot 1: VWAP Line (Odd Periods) #property indicator_label1 "VWAP" #property indicator_type1 DRAW_LINE #property indicator_color1 clrOrange #property indicator_style1 STYLE_SOLID #property indicator_width1 2 //--- Plot 2: VWAP Line (Even Periods) #property indicator_label2 "" #property indicator_type2 DRAW_LINE #property indicator_color2 clrOrange #property indicator_style2 STYLE_SOLID #property indicator_width2 2 //--- Included Engines & Core Tools #include #include //--- Enum for selecting the candle source --- #ifndef ENUM_CANDLE_SOURCE_DEFINED #define ENUM_CANDLE_SOURCE_DEFINED enum ENUM_CANDLE_SOURCE { CANDLE_STANDARD, // Use standard OHLC data CANDLE_HEIKIN_ASHI // Use Heikin Ashi smoothed data }; #endif //--- Input Parameters --- input group "--- Timeframe Settings ---" input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF) input group "--- Period Settings ---" input ENUM_VWAP_PERIOD InpResetPeriod = PERIOD_SESSION; // Reset Period input int InpSessionTimezoneShift = 0; // Timezone shift in hours vs Broker Time input string InpCustomSessionStart = "09:30"; // Start time (HH:MM) for Custom Session input string InpCustomSessionEnd = "16:00"; // End time (HH:MM) for Custom Session input group "--- Calculation Settings ---" input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK; // Volume Type input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Candle Source input group "--- Visual Settings ---" input color InpColorVWAP = clrOrange; // Line Color input ENUM_LINE_STYLE InpStyleVWAP = STYLE_SOLID; // Line Style input int InpWidthVWAP = 2; // Line Width //--- Indicator Buffers --- double BufferVWAP_Odd[]; double BufferVWAP_Even[]; //--- Internal HTF Data Caches (Chronological Arrays) double h_open[], h_high[], h_low[], h_close[]; long h_tick_vol[], h_vol[]; double h_res_odd[], h_res_even[]; datetime h_time[]; //--- Global Objects & State Management CVWAPCalculator *g_calculator = NULL; bool g_is_mtf_mode = false; ENUM_TIMEFRAMES g_calc_timeframe; bool g_data_ready = false; bool g_data_synced = false; int g_htf_count = 0; datetime g_last_htf_time = 0; //+------------------------------------------------------------------+ //| Custom Indicator Initialization | //+------------------------------------------------------------------+ int OnInit() { g_data_ready = false; g_data_synced = false; g_htf_count = 0; g_last_htf_time = 0; // 1. Resolve Timeframe and validate direction g_calc_timeframe = InpTimeframe; if(g_calc_timeframe == PERIOD_CURRENT) g_calc_timeframe = (ENUM_TIMEFRAMES)Period(); if(g_calc_timeframe < Period()) { PrintFormat("Critical Error: Target timeframe (%s) must be >= current timeframe (%s).", EnumToString(g_calc_timeframe), EnumToString(Period())); return INIT_PARAMETERS_INCORRECT; } g_is_mtf_mode = (g_calc_timeframe > Period()); // 2. Bind Buffers SetIndexBuffer(0, BufferVWAP_Odd, INDICATOR_DATA); SetIndexBuffer(1, BufferVWAP_Even, INDICATOR_DATA); ArraySetAsSeries(BufferVWAP_Odd, false); ArraySetAsSeries(BufferVWAP_Even, false); PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE); PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE); ArrayInitialize(BufferVWAP_Odd, EMPTY_VALUE); ArrayInitialize(BufferVWAP_Even, EMPTY_VALUE); // 3. Configure Dynamic Visual Styling PlotIndexSetInteger(0, PLOT_LINE_COLOR, InpColorVWAP); PlotIndexSetInteger(0, PLOT_LINE_STYLE, InpStyleVWAP); PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthVWAP); PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorVWAP); PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleVWAP); PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthVWAP); PlotIndexSetString(1, PLOT_LABEL, "VWAP (Segment)"); PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, 1); PlotIndexSetInteger(1, PLOT_DRAW_BEGIN, 1); IndicatorSetInteger(INDICATOR_DIGITS, _Digits); // 4. Initialize Core Calculator Engine if(InpCandleSource == CANDLE_HEIKIN_ASHI) g_calculator = new CVWAPCalculator_HA(); else g_calculator = new CVWAPCalculator(); if(CheckPointer(g_calculator) == POINTER_INVALID) { Print("Critical Error: Failed to create VWAP Calculator object."); return INIT_FAILED; } bool init_success = false; if(InpResetPeriod == PERIOD_CUSTOM_SESSION) init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 0, InpSessionTimezoneShift); else init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpSessionTimezoneShift, true, 0); if(!init_success) { Print("Critical Error: Failed to initialize VWAP Calculator logic."); return INIT_FAILED; } string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : ""; string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : ""; string short_name = StringFormat("VWAP%s%s(%s)", ha_tag, tf_str, EnumToString(InpResetPeriod)); IndicatorSetString(INDICATOR_SHORTNAME, short_name); PlotIndexSetString(0, PLOT_LABEL, short_name); // 5. Initialize Background Synchronization Timer (Only for MTF mode) if(g_is_mtf_mode) EventSetTimer(1); return(INIT_SUCCEEDED); } //+------------------------------------------------------------------+ //| Custom Indicator Deinitialization | //+------------------------------------------------------------------+ void OnDeinit(const int reason) { if(g_is_mtf_mode) EventKillTimer(); if(CheckPointer(g_calculator) != POINTER_INVALID) { delete g_calculator; g_calculator = NULL; } } //+------------------------------------------------------------------+ //| Custom Indicator Calculation Loop | //+------------------------------------------------------------------+ int OnCalculate(const int rates_total, const int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[]) { if(rates_total < 2 || CheckPointer(g_calculator) == POINTER_INVALID) return 0; // Force chronological indexing on current timeframe arrays ArraySetAsSeries(time, false); ArraySetAsSeries(open, false); ArraySetAsSeries(high, false); ArraySetAsSeries(low, false); ArraySetAsSeries(close, false); ArraySetAsSeries(tick_volume, false); ArraySetAsSeries(volume, false); //=================================================================== // MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1)) //=================================================================== if(!g_is_mtf_mode) { g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, BufferVWAP_Odd, BufferVWAP_Even); return rates_total; } //=================================================================== // MODE 2: Multi-Timeframe Engine (Warp-free Step Synchronization) //=================================================================== int required_bars = 10; if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars)) { g_data_synced = false; return 0; } g_data_synced = true; datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0); bool htf_updated = (htf_time_current != g_last_htf_time); if(htf_updated || prev_calculated == 0) { g_last_htf_time = htf_time_current; int htf_bars = iBars(_Symbol, g_calc_timeframe); if(htf_bars < required_bars) { g_data_ready = false; return 0; } g_htf_count = MathMin(htf_bars, 3000); // Memory safeguard // Resize all HTF caching arrays ArrayResize(h_time, g_htf_count); ArrayResize(h_open, g_htf_count); ArrayResize(h_high, g_htf_count); ArrayResize(h_low, g_htf_count); ArrayResize(h_close, g_htf_count); ArrayResize(h_tick_vol, g_htf_count); ArrayResize(h_vol, g_htf_count); ArrayResize(h_res_odd, g_htf_count); ArrayResize(h_res_even, g_htf_count); // Force chronological alignment ArraySetAsSeries(h_time, false); ArraySetAsSeries(h_open, false); ArraySetAsSeries(h_high, false); ArraySetAsSeries(h_low, false); ArraySetAsSeries(h_close, false); ArraySetAsSeries(h_tick_vol, false); ArraySetAsSeries(h_vol, false); ArraySetAsSeries(h_res_odd, false); ArraySetAsSeries(h_res_even, false); // Copy pricing & volume data if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count || CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count || CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count || CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count || CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count || CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_tick_vol) != g_htf_count) { g_data_ready = false; return 0; } long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT); if(vol_limit > 0) CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol); else ArrayCopy(h_vol, h_tick_vol, 0, 0, g_htf_count); // Compute HTF VWAP Values g_calculator.Calculate(g_htf_count, 0, h_time, h_open, h_high, h_low, h_close, h_tick_vol, h_vol, h_res_odd, h_res_even); g_data_ready = true; } if(!g_data_ready) return 0; // 5. Stateful live-bar update for active forming HTF candle int live_idx = g_htf_count - 1; if(live_idx >= required_bars) { double o[1], h[1], l[1], c[1]; datetime t_bar[1]; long tv[1], v[1]; int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false); if(shift >= 0 && CopyTime(_Symbol, g_calc_timeframe, shift, 1, t_bar) == 1 && 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 && CopyTickVolume(_Symbol, g_calc_timeframe, shift, 1, tv) == 1) { h_time[live_idx] = t_bar[0]; h_open[live_idx] = o[0]; h_high[live_idx] = h[0]; h_low[live_idx] = l[0]; h_close[live_idx] = c[0]; h_tick_vol[live_idx] = tv[0]; long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT); if(vol_limit > 0 && CopyRealVolume(_Symbol, g_calc_timeframe, shift, 1, v) == 1) h_vol[live_idx] = v[0]; else h_vol[live_idx] = tv[0]; // Mock update on live bar g_calculator.Calculate(g_htf_count, g_htf_count, h_time, h_open, h_high, h_low, h_close, h_tick_vol, h_vol, h_res_odd, h_res_even); } } // 6. Forming LTF Block Flat-Force Anchor (The Staircase Solution) 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++; if(start > first_bar_of_forming_htf) start = first_bar_of_forming_htf; // 7. Chronological Mapping Loop to Chart Timeframe 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) { BufferVWAP_Odd[i] = h_res_odd[idx_htf]; BufferVWAP_Even[i] = h_res_even[idx_htf]; } else { BufferVWAP_Odd[i] = EMPTY_VALUE; BufferVWAP_Even[i] = EMPTY_VALUE; } } else { BufferVWAP_Odd[i] = EMPTY_VALUE; BufferVWAP_Even[i] = EMPTY_VALUE; } } return rates_total; } //+------------------------------------------------------------------+ //| OnTimer Event Handler (Data Synchronization Daemon) | //+------------------------------------------------------------------+ void OnTimer() { int required_bars = 10; CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced); } //+------------------------------------------------------------------+ //+------------------------------------------------------------------+