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https://github.com/softwaredevelop/mql5.git
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Toh4iem9
340 lines
13 KiB
Plaintext
340 lines
13 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Session_Analysis_Calculator.mqh |
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//| Calculation engine for drawing session boxes and analytics. |
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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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//+==================================================================+
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//| |
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//| CLASS 1: CSessionAnalyzer (Base Class) |
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//| |
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//+==================================================================+
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class CSessionAnalyzer
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{
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protected:
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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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color m_color;
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string m_prefix;
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bool m_enabled;
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bool m_fill_box;
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bool m_show_vwap;
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bool m_show_mean;
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bool m_show_linreg;
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ENUM_APPLIED_VOLUME m_volume_type;
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double m_src_high[], m_src_low[], m_src_close[], m_src_price[];
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bool IsTimeInSession(const MqlDateTime &dt);
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virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type);
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public:
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void Init(bool enabled, string start_time, string end_time, color box_color, bool fill_box, bool show_vwap, bool show_mean, bool show_linreg, ENUM_APPLIED_VOLUME vol_type, string prefix);
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void Update(const int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], ENUM_APPLIED_PRICE price_type);
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void Cleanup(void);
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};
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//+------------------------------------------------------------------+
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void CSessionAnalyzer::Init(bool enabled, string start_time, string end_time, color box_color, bool fill_box, bool show_vwap, bool show_mean, bool show_linreg, ENUM_APPLIED_VOLUME vol_type, string prefix)
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{
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m_enabled = enabled;
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m_prefix = prefix;
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m_color = box_color;
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m_fill_box = fill_box;
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m_show_vwap = show_vwap;
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m_show_mean = show_mean;
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m_show_linreg = show_linreg;
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m_volume_type = vol_type;
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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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}
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//+------------------------------------------------------------------+
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bool CSessionAnalyzer::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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{
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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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else
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{
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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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//+------------------------------------------------------------------+
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void CSessionAnalyzer::Cleanup(void)
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{
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if(!m_enabled)
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return;
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ObjectsDeleteAll(0, m_prefix);
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}
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//+------------------------------------------------------------------+
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void CSessionAnalyzer::Update(const int rates_total, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], ENUM_APPLIED_PRICE price_type)
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{
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if(!m_enabled || rates_total < 2)
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return;
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if(!PrepareSourceData(rates_total, open, high, low, close, price_type))
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return;
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Cleanup();
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bool in_session = false;
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int session_start_bar = -1;
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double session_high = 0, session_low = 0;
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long session_id = 0;
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double cumulative_tpv = 0, cumulative_vol = 0, prev_vwap = 0;
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double cumulative_price = 0;
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int bar_count = 0;
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double sum_x = 0, sum_y = 0, sum_xy = 0, sum_x2 = 0;
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for(int i = 1; i < rates_total; i++)
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{
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MqlDateTime dt;
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TimeToStruct(time[i], dt);
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bool is_in_current_session = IsTimeInSession(dt);
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if(is_in_current_session && !in_session)
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{
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in_session = true;
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session_start_bar = i;
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session_high = m_src_high[i];
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session_low = m_src_low[i];
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session_id = (long)time[i] - (dt.hour*3600 + dt.min*60 + dt.sec);
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cumulative_tpv = 0;
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cumulative_vol = 0;
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prev_vwap = 0;
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cumulative_price = 0;
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bar_count = 0;
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sum_x = 0;
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sum_y = 0;
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sum_xy = 0;
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sum_x2 = 0;
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}
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else
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if(!is_in_current_session && in_session)
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{
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in_session = false;
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}
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if(in_session)
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{
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session_high = MathMax(session_high, m_src_high[i]);
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session_low = MathMin(session_low, m_src_low[i]);
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if(m_show_vwap)
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{
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double typical_price = (m_src_high[i] + m_src_low[i] + m_src_close[i]) / 3.0;
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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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cumulative_tpv += typical_price * (double)current_volume;
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cumulative_vol += (double)current_volume;
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double current_vwap = (cumulative_vol > 0) ? cumulative_tpv / cumulative_vol : 0;
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if(prev_vwap > 0)
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{
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//--- *** KEY CHANGE: Name the VWAP segment by its STARTING time for consistency ***
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string vwap_line_name = m_prefix + "VWAP_" + (string)time[i-1];
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ObjectCreate(0, vwap_line_name, OBJ_TREND, 0, time[i-1], prev_vwap, time[i], current_vwap);
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ObjectSetInteger(0, vwap_line_name, OBJPROP_COLOR, m_color);
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ObjectSetInteger(0, vwap_line_name, OBJPROP_WIDTH, 1);
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}
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prev_vwap = current_vwap;
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}
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if(m_show_mean || m_show_linreg)
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{
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cumulative_price += m_src_price[i];
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double x = bar_count;
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double y = m_src_price[i];
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sum_x += x;
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sum_y += y;
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sum_xy += x * y;
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sum_x2 += x * x;
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bar_count++;
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}
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string box_name = m_prefix + "Box_" + (string)session_id;
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if(ObjectFind(0, box_name) < 0)
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{
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ObjectCreate(0, box_name, OBJ_RECTANGLE, 0, time[session_start_bar], session_high, time[i], session_low);
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ObjectSetInteger(0, box_name, OBJPROP_COLOR, m_color);
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ObjectSetInteger(0, box_name, OBJPROP_STYLE, STYLE_SOLID);
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ObjectSetInteger(0, box_name, OBJPROP_BACK, true);
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ObjectSetInteger(0, box_name, OBJPROP_FILL, m_fill_box);
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}
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else
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{
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ObjectSetDouble(0, box_name, OBJPROP_PRICE, 0, session_high);
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ObjectSetDouble(0, box_name, OBJPROP_PRICE, 1, session_low);
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ObjectSetInteger(0, box_name, OBJPROP_TIME, 1, time[i]);
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}
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if(m_show_mean && bar_count > 0)
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{
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double mean_price = cumulative_price / bar_count;
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string mean_line_name = m_prefix + "Mean_" + (string)session_id;
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if(ObjectFind(0, mean_line_name) < 0)
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ObjectCreate(0, mean_line_name, OBJ_TREND, 0, time[session_start_bar], mean_price, time[i], mean_price);
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else
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{
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ObjectSetDouble(0, mean_line_name, OBJPROP_PRICE, 0, mean_price);
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ObjectSetDouble(0, mean_line_name, OBJPROP_PRICE, 1, mean_price);
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ObjectSetInteger(0, mean_line_name, OBJPROP_TIME, 1, time[i]);
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}
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ObjectSetInteger(0, mean_line_name, OBJPROP_COLOR, m_color);
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ObjectSetInteger(0, mean_line_name, OBJPROP_STYLE, STYLE_SOLID);
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}
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if(m_show_linreg && bar_count > 1)
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{
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double denominator = (bar_count * sum_x2 - sum_x * sum_x);
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if(denominator != 0)
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{
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double b = (bar_count * sum_xy - sum_x * sum_y) / denominator;
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double a = (sum_y - b * sum_x) / bar_count;
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double start_price = a;
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double end_price = a + b * (bar_count - 1);
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string lr_line_name = m_prefix + "LinReg_" + (string)session_id;
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if(ObjectFind(0, lr_line_name) < 0)
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ObjectCreate(0, lr_line_name, OBJ_TREND, 0, time[session_start_bar], start_price, time[i], end_price);
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else
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{
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ObjectMove(0, lr_line_name, 0, time[session_start_bar], start_price);
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ObjectMove(0, lr_line_name, 1, time[i], end_price);
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}
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ObjectSetInteger(0, lr_line_name, OBJPROP_COLOR, m_color);
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ObjectSetInteger(0, lr_line_name, OBJPROP_STYLE, STYLE_SOLID);
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ObjectSetInteger(0, lr_line_name, OBJPROP_WIDTH, 1);
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}
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}
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}
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}
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}
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//+------------------------------------------------------------------+
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//| CSessionAnalyzer: Prepares the standard source data. |
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//+------------------------------------------------------------------+
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bool CSessionAnalyzer::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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{
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ArrayResize(m_src_high, rates_total);
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ArrayCopy(m_src_high, high, 0, 0, rates_total);
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ArrayResize(m_src_low, rates_total);
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ArrayCopy(m_src_low, low, 0, 0, rates_total);
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ArrayResize(m_src_close, rates_total);
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ArrayCopy(m_src_close, close, 0, 0, rates_total);
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ArrayResize(m_src_price, rates_total);
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switch(price_type)
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{
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case PRICE_OPEN:
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ArrayCopy(m_src_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_src_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_src_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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m_src_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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m_src_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_src_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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ArrayCopy(m_src_price, close, 0, 0, rates_total);
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break;
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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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//| CLASS 2: CSessionAnalyzer_HA (Heikin Ashi) |
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//| |
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//+==================================================================+
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class CSessionAnalyzer_HA : public CSessionAnalyzer
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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protected:
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virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) override;
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};
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//+------------------------------------------------------------------+
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//| CSessionAnalyzer_HA: Prepares the HA source data. |
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//+------------------------------------------------------------------+
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bool CSessionAnalyzer_HA::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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ArrayCopy(m_src_high, ha_high, 0, 0, rates_total);
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ArrayCopy(m_src_low, ha_low, 0, 0, rates_total);
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ArrayCopy(m_src_close, ha_close, 0, 0, rates_total);
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ArrayResize(m_src_price, rates_total);
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switch(price_type)
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{
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case PRICE_OPEN:
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ArrayCopy(m_src_price, ha_open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_src_price, ha_high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_src_price, ha_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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m_src_price[i] = (ha_high[i]+ha_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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m_src_price[i] = (ha_high[i]+ha_low[i]+ha_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_src_price[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0;
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break;
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default:
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ArrayCopy(m_src_price, ha_close, 0, 0, rates_total);
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break;
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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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