//+------------------------------------------------------------------+ //| VScore_Calculator.mqh | //| Engine for Statistical V-Score (VWAP Z-Score) Calculation. | //| Copyright 2026, xxxxxxxx| //+------------------------------------------------------------------+ #property copyright "Copyright 2026, xxxxxxxx" #property version "3.00" // Overloaded initialization, bounds safety & Custom Session support #ifndef VSCORE_CALCULATOR_MQH #define VSCORE_CALCULATOR_MQH #include //+==================================================================+ //| Class CVScoreCalculator | //+==================================================================+ class CVScoreCalculator { protected: int m_period; CVWAPCalculator *m_vwap_calc; // Persistent Buffers for Incremental Calculation double m_vwap_buf[]; double m_vwap_odd[]; double m_vwap_even[]; double m_price[]; public: CVScoreCalculator(); virtual ~CVScoreCalculator(); //--- Legacy Signature (100% Backward Compatible) bool Init(int period, ENUM_VWAP_PERIOD vwap_reset); //--- Enhanced Pro Signature (Standard Periods) bool Init(const int period, const ENUM_VWAP_PERIOD vwap_reset, const ENUM_APPLIED_VOLUME vol_type, const int tz_shift_hours=0, const bool is_heikin_ashi=false, const int max_history_days=0); //--- Enhanced Pro Signature (Custom Session) bool Init(const int period, const string custom_start, const string custom_end, const ENUM_APPLIED_VOLUME vol_type, const int tz_shift_hours=0, const bool is_heikin_ashi=false, const int max_history_days=0); void Calculate(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[], double &out_vscore[]); }; //+------------------------------------------------------------------+ //| Constructor | //+------------------------------------------------------------------+ CVScoreCalculator::CVScoreCalculator() : m_period(20), m_vwap_calc(NULL) { ArraySetAsSeries(m_vwap_buf, false); ArraySetAsSeries(m_vwap_odd, false); ArraySetAsSeries(m_vwap_even, false); ArraySetAsSeries(m_price, false); } //+------------------------------------------------------------------+ //| Destructor | //+------------------------------------------------------------------+ CVScoreCalculator::~CVScoreCalculator() { if(CheckPointer(m_vwap_calc) != POINTER_INVALID) { delete m_vwap_calc; m_vwap_calc = NULL; } } //+------------------------------------------------------------------+ //| Legacy Init (Preserves compatibility with all scripts) | //+------------------------------------------------------------------+ bool CVScoreCalculator::Init(int period, ENUM_VWAP_PERIOD vwap_reset) { long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT); ENUM_APPLIED_VOLUME vol_type = (volume_limit > 0) ? VOLUME_REAL : VOLUME_TICK; return Init(period, vwap_reset, vol_type, 0, false, 0); } //+------------------------------------------------------------------+ //| Enhanced Init (Standard Periods) | //+------------------------------------------------------------------+ bool CVScoreCalculator::Init(const int period, const ENUM_VWAP_PERIOD vwap_reset, const ENUM_APPLIED_VOLUME vol_type, const int tz_shift_hours, const bool is_heikin_ashi, const int max_history_days) { m_period = (period < 2) ? 2 : period; if(CheckPointer(m_vwap_calc) != POINTER_INVALID) { delete m_vwap_calc; m_vwap_calc = NULL; } if(is_heikin_ashi) m_vwap_calc = new CVWAPCalculator_HA(); else m_vwap_calc = new CVWAPCalculator(); if(CheckPointer(m_vwap_calc) == POINTER_INVALID) return false; return m_vwap_calc.Init(vwap_reset, vol_type, tz_shift_hours, true, max_history_days); } //+------------------------------------------------------------------+ //| Enhanced Init (Custom Session) | //+------------------------------------------------------------------+ bool CVScoreCalculator::Init(const int period, const string custom_start, const string custom_end, const ENUM_APPLIED_VOLUME vol_type, const int tz_shift_hours, const bool is_heikin_ashi, const int max_history_days) { m_period = (period < 2) ? 2 : period; if(CheckPointer(m_vwap_calc) != POINTER_INVALID) { delete m_vwap_calc; m_vwap_calc = NULL; } if(is_heikin_ashi) m_vwap_calc = new CVWAPCalculator_HA(); else m_vwap_calc = new CVWAPCalculator(); if(CheckPointer(m_vwap_calc) == POINTER_INVALID) return false; return m_vwap_calc.Init(custom_start, custom_end, vol_type, true, max_history_days, tz_shift_hours); } //+------------------------------------------------------------------+ //| Main Calculation (Bounds-Safe O(1)) | //+------------------------------------------------------------------+ void CVScoreCalculator::Calculate(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[], double &out_vscore[]) { if(rates_total < m_period || CheckPointer(m_vwap_calc) == POINTER_INVALID) return; // 1. Safe Allocation of Internal Buffers if(ArraySize(m_vwap_buf) != rates_total) { ArrayResize(m_vwap_buf, rates_total); ArrayResize(m_vwap_odd, rates_total); ArrayResize(m_vwap_even, rates_total); ArrayResize(m_price, rates_total); ArraySetAsSeries(m_vwap_buf, false); ArraySetAsSeries(m_vwap_odd, false); ArraySetAsSeries(m_vwap_even, false); ArraySetAsSeries(m_price, false); } if(ArraySize(out_vscore) != rates_total) { ArrayResize(out_vscore, rates_total); ArraySetAsSeries(out_vscore, false); ArrayInitialize(out_vscore, 0.0); } // 2. Compute Underlying VWAP m_vwap_calc.Calculate(rates_total, prev_calculated, time, open, high, low, close, tick_volume, volume, m_vwap_odd, m_vwap_even); int start = (prev_calculated > m_period) ? (prev_calculated - 1) : (m_period - 1); if(start < m_period - 1) start = m_period - 1; // 3. Compute V-Score (Standard Deviation Distance from VWAP) for(int i = start; i < rates_total; i++) { m_price[i] = close[i]; double current_vwap = (m_vwap_odd[i] != EMPTY_VALUE && m_vwap_odd[i] > 0.0) ? m_vwap_odd[i] : m_vwap_even[i]; m_vwap_buf[i] = current_vwap; if(current_vwap == 0.0 || current_vwap == EMPTY_VALUE) { out_vscore[i] = 0.0; continue; } double sum_sq_diff = 0.0; for(int k = 0; k < m_period; k++) { int idx = i - k; double p = m_price[idx]; double v = m_vwap_buf[idx]; if(v == 0.0 || v == EMPTY_VALUE) v = p; double diff = p - v; sum_sq_diff += diff * diff; } double std_dev = MathSqrt(sum_sq_diff / (double)m_period); if(std_dev > 1.0e-9) out_vscore[i] = (close[i] - current_vwap) / std_dev; else out_vscore[i] = 0.0; } } #endif // VSCORE_CALCULATOR_MQH //+------------------------------------------------------------------+