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561 lines
20 KiB
Plaintext
561 lines
20 KiB
Plaintext
//+------------------------------------------------------------------+
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//| VHF_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 "2.00" // Enterprise Edition: Two-Pointer MTF Fast-Path, MovingAverage_Engine & Dynamic Regimes
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#property description "Vertical Horizontal Filter (Adam White, 1991) with Unified Native & MTF Support."
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#property description "Driven by unified CMovingAverageCalculator and CVHFCalculator with zero-heap execution."
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#property indicator_separate_window
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#property indicator_buffers 3
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#property indicator_plots 2
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// Horizontal Visual Levels Declarations
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#property indicator_level1 0.30
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#property indicator_level2 0.40
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#property indicator_levelcolor clrSilver
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#property indicator_levelstyle STYLE_DOT
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// Plot 1: VHF Main Plot (Pre-allocated 3 color slots)
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#property indicator_label1 "VHF"
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#property indicator_type1 DRAW_COLOR_HISTOGRAM
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#property indicator_color1 clrGray, clrDodgerBlue, clrGold
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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// Plot 2: VHF Signal Line
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#property indicator_label2 "Signal Line"
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrMagenta
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#property indicator_style2 STYLE_SOLID
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#property indicator_width2 2
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#include <MyIncludes\VHF_Calculator.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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#include <MyIncludes\DataSync_Tools.mqh>
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//--- Visual Style Selector
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enum ENUM_VHF_VISUAL
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{
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VISUAL_VHF_LINE, // Dynamic Multi-Color Line (Clean Continuous Curve)
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VISUAL_VHF_HISTOGRAM // Dynamic Color Histogram (Anchored at 0.0 baseline)
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};
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//--- Enum for selecting candle source ---
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#ifndef ENUM_CANDLE_SOURCE_DEFINED
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#define ENUM_CANDLE_SOURCE_DEFINED
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enum ENUM_CANDLE_SOURCE
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{
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CANDLE_STANDARD, // Standard raw candles
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CANDLE_HEIKIN_ASHI // Heikin Ashi smoothed candles
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};
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#endif
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//--- Input Parameters
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input group "--- Timeframe Settings ---"
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF)
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input group "--- VHF Engine Settings ---"
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input int InpPeriod = 28; // VHF Period (Standard is 28)
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input ENUM_VHF_MODE InpMode = VHF_MODE_CLOSE_ONLY; // Calculation Mode (Close vs High-Low)
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input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // Price Source
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input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Candle Source (Standard vs Heikin Ashi)
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input int InpHistoryBars = 1000; // History Bars Limit (0 = Full Chart)
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input group "--- Regime Thresholds ---"
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input double InpLevelTrend = 0.30; // Trend Inception Level (Above = Trending)
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input double InpLevelStrong = 0.40; // Strong Trend Level (Above = Strong Trend)
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input group "--- Visual Appearance ---"
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input ENUM_VHF_VISUAL InpVisualType = VISUAL_VHF_HISTOGRAM; // Display Mode (Line vs Histogram)
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input color InpColorChop = clrGray; // Congestion / Chop (< 0.30)
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input color InpColorTrend = clrDodgerBlue; // Emerging Trend (0.30 - 0.40)
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input color InpColorStrong = clrGold; // Strong Trend (> 0.40)
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input int InpWidthPlot = 2; // Main Plot Width
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input group "--- Signal Line Settings ---"
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input bool InpShowSignal = true; // Display Signal Line
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input int InpSignalPeriod = 9; // Signal Smoothing Period
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input ENUM_MA_TYPE InpSignalType = EMA; // Signal Line MA Type (Engine Standard)
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input color InpColorSignal = clrMagenta; // Signal Line Color (Universal Contrast)
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input ENUM_LINE_STYLE InpStyleSignal = STYLE_SOLID; // Signal Line Style
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input int InpWidthSignal = 2; // Signal Line Width
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//--- Visual Indicator Buffers
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double BufVHF[];
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double BufColor[];
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double BufSignal[];
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//--- Volume Cache (For Engine Calculation)
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double g_double_volume[];
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//--- Internal HTF Data Caches (Chronological Arrays)
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double h_open[], h_high[], h_low[], h_close[];
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long h_tick_vol[], h_vol[];
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double h_double_vol[];
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double h_res_vhf[];
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double h_res_sig[];
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datetime h_time[];
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//--- Global Engine Pointers & State Management
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CVHFCalculator *g_calc = NULL;
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CMovingAverageCalculator *g_signal_calculator = NULL;
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bool g_is_mtf_mode = false;
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ENUM_TIMEFRAMES g_calc_timeframe;
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bool g_data_ready = false;
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bool g_data_synced = false;
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int g_htf_count = 0;
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datetime g_last_htf_time = 0;
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//+------------------------------------------------------------------+
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//| Custom Indicator Initialization |
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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_data_synced = false;
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g_htf_count = 0;
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g_last_htf_time = 0;
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// 1. Resolve Timeframe and validate direction
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g_calc_timeframe = InpTimeframe;
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if(g_calc_timeframe == PERIOD_CURRENT)
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g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
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if(g_calc_timeframe < Period())
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{
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PrintFormat("Critical Error: Target timeframe (%s) must be >= current timeframe (%s).",
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EnumToString(g_calc_timeframe), EnumToString(Period()));
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return INIT_PARAMETERS_INCORRECT;
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}
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g_is_mtf_mode = (g_calc_timeframe > Period());
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// 2. Setup Buffers & Chronological Indexing
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SetIndexBuffer(0, BufVHF, INDICATOR_DATA);
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SetIndexBuffer(1, BufColor, INDICATOR_COLOR_INDEX);
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SetIndexBuffer(2, BufSignal, INDICATOR_DATA);
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ArraySetAsSeries(BufVHF, false);
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ArraySetAsSeries(BufColor, false);
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ArraySetAsSeries(BufSignal, false);
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ArrayInitialize(BufVHF, EMPTY_VALUE);
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ArrayInitialize(BufColor, 0.0);
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ArrayInitialize(BufSignal, EMPTY_VALUE);
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PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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IndicatorSetInteger(INDICATOR_DIGITS, 3);
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// 3. Anchor Subwindow Base strictly at 0.0
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IndicatorSetDouble(INDICATOR_MINIMUM, 0.0);
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// 4. Configure Visual Appearance & Plot Type
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if(InpVisualType == VISUAL_VHF_HISTOGRAM)
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
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else
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PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
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PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthPlot);
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// Pre-allocate and assign 3 dynamic color slots
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PlotIndexSetInteger(0, PLOT_COLOR_INDEXES, 3);
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PlotIndexSetInteger(0, PLOT_LINE_COLOR, 0, InpColorChop); // Index 0: Congestion (< InpLevelTrend)
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PlotIndexSetInteger(0, PLOT_LINE_COLOR, 1, InpColorTrend); // Index 1: Trend Inception (InpLevelTrend - InpLevelStrong)
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PlotIndexSetInteger(0, PLOT_LINE_COLOR, 2, InpColorStrong); // Index 2: Strong Trend (> InpLevelStrong)
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// Configure Signal Line Visibility & Style
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if(!InpShowSignal)
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{
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PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_NONE);
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}
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else
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{
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PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_LINE);
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PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorSignal);
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PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleSignal);
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PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthSignal);
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}
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// Configure Dynamic Threshold Levels on Subwindow
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, InpLevelTrend);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 1, InpLevelStrong);
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// 5. Initialize Core Calculation Engine (Standard or Heikin Ashi)
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if(InpCandleSource == CANDLE_HEIKIN_ASHI)
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g_calc = new CVHFCalculator_HA();
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else
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g_calc = new CVHFCalculator();
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if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpPeriod, InpMode))
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{
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Print("Critical Error: Failed to initialize CVHFCalculator.");
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return INIT_FAILED;
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}
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// 6. Initialize Unified Moving Average Engine for Signal Line
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if(InpShowSignal)
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{
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g_signal_calculator = new CMovingAverageCalculator();
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if(CheckPointer(g_signal_calculator) == POINTER_INVALID || !g_signal_calculator.Init(InpSignalPeriod, InpSignalType))
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{
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Print("Critical Error: Failed to initialize CMovingAverageCalculator for Signal Line.");
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return INIT_FAILED;
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}
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}
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string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : "";
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string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
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string mode_str = (InpMode == VHF_MODE_CLOSE_ONLY) ? "Close" : "HighLow";
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string ma_str = EnumToString(InpSignalType);
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string name = StringFormat("VHF%s%s(%d|%s|%s %d)", ha_tag, tf_str, InpPeriod, mode_str, ma_str, InpSignalPeriod);
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IndicatorSetString(INDICATOR_SHORTNAME, name);
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// 7. Background Timer for MTF synchronization
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if(g_is_mtf_mode)
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EventSetTimer(1);
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Custom Indicator Deinitialization |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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if(g_is_mtf_mode)
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EventKillTimer();
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if(CheckPointer(g_calc) != POINTER_INVALID)
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{
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delete g_calc;
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g_calc = NULL;
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}
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if(CheckPointer(g_signal_calculator) != POINTER_INVALID)
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{
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delete g_signal_calculator;
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g_signal_calculator = NULL;
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}
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}
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//+------------------------------------------------------------------+
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//| Custom Indicator Calculation Loop |
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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 warmup = InpPeriod + 2;
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int required_bars = warmup + InpSignalPeriod + 10;
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if(rates_total < required_bars || !g_calc)
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return 0;
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// Force chronological indexing
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ArraySetAsSeries(time, false);
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ArraySetAsSeries(open, false);
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ArraySetAsSeries(high, false);
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ArraySetAsSeries(low, false);
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ArraySetAsSeries(close, false);
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ArraySetAsSeries(tick_volume, false);
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ArraySetAsSeries(volume, false);
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//===================================================================
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// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1))
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//===================================================================
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if(!g_is_mtf_mode)
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{
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// Synchronize double volume cache for engine compatibility
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long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
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if(ArraySize(g_double_volume) != rates_total)
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{
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ArrayResize(g_double_volume, rates_total);
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ArraySetAsSeries(g_double_volume, false);
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}
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int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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if(volume_limit > 0)
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{
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for(int i = start_sync; i < rates_total; i++)
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g_double_volume[i] = (double)volume[i];
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}
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else
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{
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for(int i = start_sync; i < rates_total; i++)
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g_double_volume[i] = (double)tick_volume[i];
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}
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// 1. Calculate VHF via Core Engine
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g_calc.Calculate(rates_total, prev_calculated, InpPrice, open, high, low, close, BufVHF, InpHistoryBars);
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int start = (prev_calculated > 0) ? (prev_calculated - 1) : warmup;
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int actual_start = warmup;
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if(InpHistoryBars > 0 && prev_calculated == 0)
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{
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int limit_start = rates_total - InpHistoryBars;
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if(limit_start > start)
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{
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start = limit_start;
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actual_start = limit_start;
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}
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}
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if(prev_calculated == 0)
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{
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for(int i = 0; i < start; i++)
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{
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BufVHF[i] = EMPTY_VALUE;
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BufColor[i] = 0.0;
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BufSignal[i] = EMPTY_VALUE;
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}
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}
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// 2. Color Mapping
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for(int i = start; i < rates_total; i++)
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{
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double v = BufVHF[i];
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if(v == EMPTY_VALUE)
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{
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BufColor[i] = 0.0;
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continue;
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}
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if(v >= InpLevelStrong)
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BufColor[i] = 2.0; // Strong Trend (Gold)
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else
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if(v >= InpLevelTrend)
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BufColor[i] = 1.0; // Emerging Trend (Blue)
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else
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BufColor[i] = 0.0; // Congestion / Chop (Gray)
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}
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// 3. Compute Signal Line via Unified CalculateOnArray Engine with exact actual_start offset
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if(InpShowSignal && g_signal_calculator != NULL)
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{
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g_signal_calculator.CalculateOnArray(rates_total, prev_calculated, BufVHF, g_double_volume, BufSignal, actual_start);
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}
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else
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{
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for(int i = start_sync; i < rates_total; i++)
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BufSignal[i] = EMPTY_VALUE;
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}
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return rates_total;
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}
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//===================================================================
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// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
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//===================================================================
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int required_bars_mtf = warmup + 10;
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if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars_mtf))
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{
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g_data_synced = false;
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return 0;
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}
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g_data_synced = true;
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datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
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bool htf_updated = (htf_time_current != g_last_htf_time);
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// A) HTF Bar Closure / Startup: Perform full history sync once
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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, g_calc_timeframe);
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if(htf_bars < required_bars_mtf)
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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, 2000);
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if(ArraySize(h_time) != g_htf_count)
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{
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ArrayResize(h_time, g_htf_count);
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ArrayResize(h_open, g_htf_count);
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ArrayResize(h_high, g_htf_count);
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ArrayResize(h_low, g_htf_count);
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ArrayResize(h_close, g_htf_count);
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ArrayResize(h_tick_vol, g_htf_count);
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ArrayResize(h_vol, g_htf_count);
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ArrayResize(h_double_vol, g_htf_count);
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ArrayResize(h_res_vhf, g_htf_count);
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ArrayResize(h_res_sig, g_htf_count);
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ArraySetAsSeries(h_time, false);
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ArraySetAsSeries(h_open, false);
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ArraySetAsSeries(h_high, false);
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ArraySetAsSeries(h_low, false);
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ArraySetAsSeries(h_close, false);
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ArraySetAsSeries(h_tick_vol, false);
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ArraySetAsSeries(h_vol, false);
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ArraySetAsSeries(h_double_vol, false);
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ArraySetAsSeries(h_res_vhf, false);
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ArraySetAsSeries(h_res_sig, false);
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}
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MqlRates htf_bulk_rates[];
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if(CopyRates(_Symbol, g_calc_timeframe, 0, g_htf_count, htf_bulk_rates) != 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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for(int i = 0; i < g_htf_count; i++)
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{
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h_time[i] = htf_bulk_rates[i].time;
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h_open[i] = htf_bulk_rates[i].open;
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h_high[i] = htf_bulk_rates[i].high;
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h_low[i] = htf_bulk_rates[i].low;
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h_close[i] = htf_bulk_rates[i].close;
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h_tick_vol[i] = htf_bulk_rates[i].tick_volume;
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h_vol[i] = (long)htf_bulk_rates[i].real_volume;
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h_double_vol[i] = (h_vol[i] > 0) ? (double)h_vol[i] : (double)h_tick_vol[i];
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}
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// Compute HTF VHF Values
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g_calc.Calculate(g_htf_count, 0, InpPrice, h_open, h_high, h_low, h_close, h_res_vhf, InpHistoryBars);
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// Compute HTF Signal Line via Unified Engine with exact persistent volume buffer
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if(InpShowSignal && g_signal_calculator != NULL)
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{
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int htf_actual_start = (InpHistoryBars > 0) ? MathMax(warmup, g_htf_count - InpHistoryBars) : warmup;
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g_signal_calculator.CalculateOnArray(g_htf_count, 0, h_res_vhf, h_double_vol, h_res_sig, htf_actual_start);
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}
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g_data_ready = true;
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// TWO-POINTER CHRONOLOGICAL SWEEP (Zero API calls, Nanosecond Execution!)
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int htf_ptr = 0;
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datetime oldest_htf = h_time[0];
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for(int i = 0; i < rates_total; i++)
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{
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datetime t = time[i];
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if(t < oldest_htf)
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{
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BufVHF[i] = EMPTY_VALUE;
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BufColor[i] = 0.0;
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BufSignal[i] = EMPTY_VALUE;
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continue;
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}
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while(htf_ptr + 1 < g_htf_count && h_time[htf_ptr + 1] <= t)
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htf_ptr++;
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double v = h_res_vhf[htf_ptr];
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BufVHF[i] = v;
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if(v == EMPTY_VALUE)
|
|
{
|
|
BufColor[i] = 0.0;
|
|
}
|
|
else
|
|
{
|
|
if(v >= InpLevelStrong)
|
|
BufColor[i] = 2.0;
|
|
else
|
|
if(v >= InpLevelTrend)
|
|
BufColor[i] = 1.0;
|
|
else
|
|
BufColor[i] = 0.0;
|
|
}
|
|
|
|
BufSignal[i] = (InpShowSignal && h_res_sig[htf_ptr] != EMPTY_VALUE) ? h_res_sig[htf_ptr] : EMPTY_VALUE;
|
|
}
|
|
|
|
return rates_total;
|
|
}
|
|
|
|
if(!g_data_ready)
|
|
return 0;
|
|
|
|
// B) LIVE TICK FAST-PATH: HTF bar did not close. Update forming candle in RAM!
|
|
int live_idx = g_htf_count - 1;
|
|
if(live_idx >= required_bars_mtf)
|
|
{
|
|
MqlRates htf_rate[1];
|
|
if(CopyRates(_Symbol, g_calc_timeframe, 0, 1, htf_rate) == 1)
|
|
{
|
|
h_time[live_idx] = htf_rate[0].time;
|
|
h_open[live_idx] = htf_rate[0].open;
|
|
h_high[live_idx] = htf_rate[0].high;
|
|
h_low[live_idx] = htf_rate[0].low;
|
|
h_close[live_idx] = htf_rate[0].close;
|
|
h_tick_vol[live_idx] = htf_rate[0].tick_volume;
|
|
h_vol[live_idx] = (long)htf_rate[0].real_volume;
|
|
h_double_vol[live_idx] = (h_vol[live_idx] > 0) ? (double)h_vol[live_idx] : (double)h_tick_vol[live_idx];
|
|
|
|
// Mock incremental calculation strictly on forming HTF bar
|
|
g_calc.Calculate(g_htf_count, g_htf_count, InpPrice, h_open, h_high, h_low, h_close, h_res_vhf, InpHistoryBars);
|
|
|
|
// SAFE INCREMENTAL UPDATE: Passes full-size h_double_vol array! Zero out-of-bounds!
|
|
if(InpShowSignal && g_signal_calculator != NULL)
|
|
{
|
|
int htf_actual_start = (InpHistoryBars > 0) ? MathMax(warmup, g_htf_count - InpHistoryBars) : warmup;
|
|
g_signal_calculator.CalculateOnArray(g_htf_count, g_htf_count, h_res_vhf, h_double_vol, h_res_sig, htf_actual_start);
|
|
}
|
|
}
|
|
}
|
|
|
|
// Instant Binary Search for Forming Block Start
|
|
int first_bar_of_forming_htf = ArrayBsearch(time, htf_time_current);
|
|
if(first_bar_of_forming_htf < 0)
|
|
first_bar_of_forming_htf = 0;
|
|
if(time[first_bar_of_forming_htf] < htf_time_current && first_bar_of_forming_htf < rates_total - 1)
|
|
first_bar_of_forming_htf++;
|
|
|
|
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
|
|
if(start > first_bar_of_forming_htf)
|
|
start = first_bar_of_forming_htf;
|
|
|
|
// Vectorized Assignment across forming block
|
|
double v_val = h_res_vhf[live_idx];
|
|
double col_val = 0.0;
|
|
double sig_val = InpShowSignal ? h_res_sig[live_idx] : EMPTY_VALUE;
|
|
|
|
if(v_val != EMPTY_VALUE)
|
|
{
|
|
if(v_val >= InpLevelStrong)
|
|
col_val = 2.0;
|
|
else
|
|
if(v_val >= InpLevelTrend)
|
|
col_val = 1.0;
|
|
else
|
|
col_val = 0.0;
|
|
}
|
|
|
|
for(int i = start; i < rates_total; i++)
|
|
{
|
|
BufVHF[i] = v_val;
|
|
BufColor[i] = col_val;
|
|
BufSignal[i] = sig_val;
|
|
}
|
|
|
|
return rates_total;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| OnTimer Event Handler (Data Synchronization Daemon) |
|
|
//+------------------------------------------------------------------+
|
|
void OnTimer()
|
|
{
|
|
int warmup = InpPeriod + 2;
|
|
int required_bars_mtf = warmup + InpSignalPeriod + 10;
|
|
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars_mtf, g_data_synced);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//+------------------------------------------------------------------+
|