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https://github.com/softwaredevelop/mql5.git
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Toh4iem9
349 lines
13 KiB
Plaintext
349 lines
13 KiB
Plaintext
//+------------------------------------------------------------------+
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//| VWAP_Calculator.mqh|
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//| VERSION 2.00: Added history limit for buffer output. |
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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\HeikinAshi_Tools.mqh>
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//--- Enum for VWAP Reset Period ---
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enum ENUM_VWAP_PERIOD
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{
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PERIOD_SESSION, // Reset every day (can be shifted by timezone)
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PERIOD_WEEK, // Reset every week
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PERIOD_MONTH, // Reset every month
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PERIOD_CUSTOM_SESSION // Reset based on custom start/end times
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};
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//+==================================================================+
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//| CLASS 1: CVWAPCalculator (Base Class) |
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//+==================================================================+
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class CVWAPCalculator
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{
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protected:
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ENUM_VWAP_PERIOD m_period;
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ENUM_APPLIED_VOLUME m_volume_type;
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bool m_enabled;
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long m_tz_shift_seconds;
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int m_max_history_days; // NEW: Limit buffer output
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//--- Persistent Buffers
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double m_typical_price[];
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//--- Persistent State for Incremental Calculation
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double m_cumulative_tpv;
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double m_cumulative_vol;
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int m_period_index;
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bool m_in_session;
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datetime m_last_time;
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//--- For custom sessions ---
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int m_start_hour, m_start_min;
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int m_end_hour, m_end_min;
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bool IsTimeInSession(const MqlDateTime &dt);
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virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CVWAPCalculator(void);
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virtual ~CVWAPCalculator(void) {};
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//--- Updated Init methods with max_history_days
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bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true, int max_history_days=0);
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bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true, int max_history_days=0);
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void Calculate(int rates_total, int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
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const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[]);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CVWAPCalculator::CVWAPCalculator(void)
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{
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m_enabled = false;
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m_tz_shift_seconds = 0;
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m_cumulative_tpv = 0;
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m_cumulative_vol = 0;
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m_period_index = 0;
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m_in_session = false;
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m_last_time = 0;
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m_max_history_days = 0;
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}
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//+------------------------------------------------------------------+
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//| Init (Standard) |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled, int max_history_days)
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{
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m_enabled = enabled;
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if(!m_enabled)
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return true;
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m_period = period;
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m_volume_type = vol_type;
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m_tz_shift_seconds = tz_shift_hours * 3600;
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m_max_history_days = max_history_days;
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if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
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{
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Print("VWAP Error: Real Volume is not available for '", _Symbol, "'.");
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return false;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Init (Custom Session) |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled, int max_history_days)
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{
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m_enabled = enabled;
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if(!m_enabled)
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return true;
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m_period = PERIOD_CUSTOM_SESSION;
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m_volume_type = vol_type;
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m_tz_shift_seconds = 0;
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m_max_history_days = max_history_days;
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string parts[];
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if(StringSplit(start_time, ':', parts) == 2)
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{
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m_start_hour = (int)StringToInteger(parts[0]);
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m_start_min = (int)StringToInteger(parts[1]);
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}
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if(StringSplit(end_time, ':', parts) == 2)
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{
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m_end_hour = (int)StringToInteger(parts[0]);
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m_end_min = (int)StringToInteger(parts[1]);
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}
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if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
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{
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Print("VWAP Error: Real Volume is not available for '", _Symbol, "'.");
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return false;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Helper |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator::IsTimeInSession(const MqlDateTime &dt)
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{
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int current_time_in_minutes = dt.hour * 60 + dt.min;
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int start_time_in_minutes = m_start_hour * 60 + m_start_min;
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int end_time_in_minutes = m_end_hour * 60 + m_end_min;
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if(end_time_in_minutes < start_time_in_minutes)
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return (current_time_in_minutes >= start_time_in_minutes || current_time_in_minutes < end_time_in_minutes);
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else
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return (current_time_in_minutes >= start_time_in_minutes && current_time_in_minutes < end_time_in_minutes);
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}
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//+------------------------------------------------------------------+
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CVWAPCalculator::Calculate(int rates_total, int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[],
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const long &tick_volume[], const long &volume[], double &vwap_odd[], double &vwap_even[])
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{
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if(!m_enabled || rates_total < 1)
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return;
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int start_index;
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if(prev_calculated == 0)
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{
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start_index = 0;
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m_cumulative_tpv = 0;
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m_cumulative_vol = 0;
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m_period_index = 0;
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m_in_session = false;
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m_last_time = 0;
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ArrayInitialize(vwap_odd, EMPTY_VALUE);
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ArrayInitialize(vwap_even, EMPTY_VALUE);
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}
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else
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{
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start_index = prev_calculated - 1;
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}
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if(ArraySize(m_typical_price) != rates_total)
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ArrayResize(m_typical_price, rates_total);
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if(ArraySize(vwap_odd) != rates_total)
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ArrayResize(vwap_odd, rates_total);
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if(ArraySize(vwap_even) != rates_total)
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ArrayResize(vwap_even, rates_total);
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if(!PrepareSourceData(rates_total, start_index, open, high, low, close))
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return;
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// Calculate cutoff time
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datetime cutoff_time = 0;
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if(m_max_history_days > 0)
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cutoff_time = TimeCurrent() - m_max_history_days * 86400;
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for(int i = start_index; i < rates_total; i++)
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{
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double current_cum_tpv = m_cumulative_tpv;
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double current_cum_vol = m_cumulative_vol;
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int current_period_idx = m_period_index;
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bool current_in_session = m_in_session;
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bool new_period = false;
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if(i == 0)
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{
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new_period = true;
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}
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else
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{
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switch(m_period)
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{
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case PERIOD_SESSION:
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{
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datetime adjusted_time_curr = time[i] + (datetime)m_tz_shift_seconds;
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datetime adjusted_time_prev = time[i-1] + (datetime)m_tz_shift_seconds;
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(adjusted_time_curr, dt_curr);
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TimeToStruct(adjusted_time_prev, 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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new_period = true;
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break;
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}
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case PERIOD_WEEK:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(time[i], dt_curr);
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TimeToStruct(time[i-1], dt_prev);
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if(dt_curr.day_of_week < dt_prev.day_of_week)
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new_period = true;
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break;
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}
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case PERIOD_MONTH:
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{
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MqlDateTime dt_curr, dt_prev;
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TimeToStruct(time[i], dt_curr);
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TimeToStruct(time[i-1], dt_prev);
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if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year)
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new_period = true;
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break;
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}
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case PERIOD_CUSTOM_SESSION:
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{
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MqlDateTime dt_curr;
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TimeToStruct(time[i], dt_curr);
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bool is_in_current_session = IsTimeInSession(dt_curr);
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if(is_in_current_session && !current_in_session)
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new_period = true;
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current_in_session = is_in_current_session;
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break;
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}
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}
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}
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if(new_period)
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{
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current_cum_tpv = 0;
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current_cum_vol = 0;
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current_period_idx++;
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}
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long current_volume = (m_volume_type == VOLUME_TICK) ? tick_volume[i] : volume[i];
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if(current_volume < 1)
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current_volume = 1;
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current_cum_tpv += m_typical_price[i] * (double)current_volume;
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current_cum_vol += (double)current_volume;
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double vwap_value = (current_cum_vol > 0) ? current_cum_tpv / current_cum_vol : EMPTY_VALUE;
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// Fill buffers ONLY if within history limit
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bool show_data = (time[i] >= cutoff_time);
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if(m_period != PERIOD_CUSTOM_SESSION || current_in_session)
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{
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if(current_period_idx % 2 != 0)
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{
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vwap_odd[i] = show_data ? vwap_value : EMPTY_VALUE;
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vwap_even[i] = EMPTY_VALUE;
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}
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else
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{
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vwap_even[i] = show_data ? vwap_value : EMPTY_VALUE;
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vwap_odd[i] = EMPTY_VALUE;
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}
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}
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else
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{
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vwap_odd[i] = EMPTY_VALUE;
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vwap_even[i] = EMPTY_VALUE;
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}
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if(i < rates_total - 1)
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{
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m_cumulative_tpv = current_cum_tpv;
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m_cumulative_vol = current_cum_vol;
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m_period_index = current_period_idx;
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m_in_session = current_in_session;
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m_last_time = time[i];
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}
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}
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}
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//+------------------------------------------------------------------+
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//| Prepare Price (Standard - Optimized Copy) |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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if(ArraySize(m_typical_price) != rates_total)
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ArrayResize(m_typical_price, rates_total);
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// Optimized loop starting from start_index
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for(int i = start_index; i < rates_total; i++)
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m_typical_price[i] = (high[i] + low[i] + close[i]) / 3.0;
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return true;
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}
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//+==================================================================+
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//| CLASS 2: CVWAPCalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CVWAPCalculator_HA : public CVWAPCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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virtual bool PrepareSourceData(int rates_total, int start_index, 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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//| Prepare Price (Heikin Ashi - Optimized Copy) |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator_HA::PrepareSourceData(int rates_total, int start_index, 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,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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if(ArraySize(m_typical_price) != rates_total)
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ArrayResize(m_typical_price, rates_total);
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// Optimized loop starting from start_index
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for(int i = start_index; i < rates_total; i++)
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m_typical_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
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return true;
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}
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//+------------------------------------------------------------------+
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