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https://github.com/softwaredevelop/mql5.git
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Toh4iem9
262 lines
10 KiB
Plaintext
262 lines
10 KiB
Plaintext
//+------------------------------------------------------------------+
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//| VWAP_Calculator.mqh|
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//| Calculation engine for Standard and Heikin Ashi VWAP. |
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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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//| |
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//| CLASS 1: CVWAPCalculator (Base Class) |
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//| |
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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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double m_typical_price[];
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bool m_enabled;
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long m_tz_shift_seconds; // Timezone shift in seconds
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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, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CVWAPCalculator(void) { m_enabled = false; m_tz_shift_seconds = 0; };
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virtual ~CVWAPCalculator(void) {};
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bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true);
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bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true);
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void Calculate(int rates_total, 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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//| CVWAPCalculator: Standard Initialization (Updated) |
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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)
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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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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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//| CVWAPCalculator: Overloaded Init for Custom Sessions |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled)
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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; // Custom sessions don't use timezone shift
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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 function for custom session time check |
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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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//| CVWAPCalculator: Main Calculation Method (Updated Logic) |
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//+------------------------------------------------------------------+
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void CVWAPCalculator::Calculate(int rates_total, 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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if(!PrepareSourceData(rates_total, open, high, low, close))
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return;
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ArrayInitialize(vwap_odd, EMPTY_VALUE);
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ArrayInitialize(vwap_even, EMPTY_VALUE);
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double cumulative_tpv = 0;
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double cumulative_vol = 0;
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int period_index = 0;
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bool in_session = false;
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for(int i = 0; i < rates_total; i++)
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{
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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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// CORRECTED: Added (datetime) cast to prevent compiler warnings
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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 && !in_session)
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new_period = true;
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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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cumulative_tpv = 0;
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cumulative_vol = 0;
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period_index++;
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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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cumulative_tpv += m_typical_price[i] * (double)current_volume;
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cumulative_vol += (double)current_volume;
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double vwap_value = (cumulative_vol > 0) ? cumulative_tpv / cumulative_vol : EMPTY_VALUE;
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if(m_period != PERIOD_CUSTOM_SESSION || in_session)
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{
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if(period_index % 2 != 0)
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vwap_odd[i] = vwap_value;
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else
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vwap_even[i] = vwap_value;
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}
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}
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}
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//+------------------------------------------------------------------+
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//| CVWAPCalculator: Prepares the standard source data. |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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ArrayResize(m_typical_price, rates_total);
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for(int i=0; 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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//| |
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//| CLASS 2: CVWAPCalculator_HA (Heikin Ashi) |
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//| |
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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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protected:
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virtual bool PrepareSourceData(int rates_total, 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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//| CVWAPCalculator_HA: Prepares the HA source data. |
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//+------------------------------------------------------------------+
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bool CVWAPCalculator_HA::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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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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ArrayResize(m_typical_price, rates_total);
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for(int i=0; i<rates_total; i++)
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m_typical_price[i] = (ha_high[i] + ha_low[i] + ha_close[i]) / 3.0;
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return true;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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