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https://github.com/softwaredevelop/mql5.git
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Toh4iem9
748 lines
29 KiB
Plaintext
748 lines
29 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Market_Scanner_Pro.mq5 |
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//| QuantScan 8.1 - Optimization |
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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 "8.10" // Cost moved to M5, Squeeze Engine integrated
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#property description "Exports 'QuantScan 8.0' dataset for LLM Analysis."
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#property description "Features mixed Live/Closed logic and numeric TSI data."
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#property script_show_inputs
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//--- Include Custom Calculators
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#include <MyIncludes\DSMA_Calculator.mqh>
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#include <MyIncludes\VWAP_Calculator.mqh>
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#include <MyIncludes\Laguerre_RSI_Calculator.mqh>
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#include <MyIncludes\TSI_Calculator.mqh>
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#include <MyIncludes\MurreyMath_Calculator.mqh>
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#include <MyIncludes\ATR_Calculator.mqh>
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#include <MyIncludes\Bollinger_Bands_Calculator.mqh>
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#include <MyIncludes\KeltnerChannel_Calculator.mqh>
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#include <MyIncludes\MathStatistics_Calculator.mqh>
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#include <MyIncludes\ZScore_Calculator.mqh>
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#include <MyIncludes\EfficiencyRatio_Calculator.mqh>
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#include <MyIncludes\RelativeVolume_Calculator.mqh>
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#include <MyIncludes\SessionLevels_Calculator.mqh>
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#include <MyIncludes\Metrics_Tools.mqh>
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#include <MyIncludes\DataSync_Tools.mqh>
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// NEW INCLUDE
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#include <MyIncludes\Squeeze_Calculator.mqh>
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//--- Input Parameters ---
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input group "Scanner Config"
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input bool InpUseMarketWatch = false;
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input string InpSymbolList = "EURUSD,USDJPY,GBPUSD,USDCHF,AUDUSD,XAUUSD,US500,DE40,XTIUSD,ETHUSD";
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input string InpBenchmark = "US500";
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input string InpForexBench = "DX";
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input string InpBrokerTimeZone = "EET (UTC+2)";
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input int InpScanHistory = 500;
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input group "Benchmark Settings"
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input int InpBetaLookback = 60;
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input group "Timeframes"
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input ENUM_TIMEFRAMES InpTFFast = PERIOD_M5; // Layer 3 (Trigger)
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input ENUM_TIMEFRAMES InpTFMiddle= PERIOD_M15; // Layer 2 (Flow)
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input ENUM_TIMEFRAMES InpTFSlow = PERIOD_H1; // Layer 1 (Context)
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input group "Metric Settings"
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input int InpDSMAPeriod = 40;
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input double InpLaguerreGamma = 0.50;
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input int InpMurreyPeriod = 64;
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input int InpATRPeriod = 14;
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input int InpRSBars = 24;
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input int InpRVOLPeriod = 20;
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input int InpERPeriod = 10;
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input int InpZScorePeriod = 20;
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input int InpSlopeLookback = 5;
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input group "TSI Settings"
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input int InpTSI_Slow = 25;
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input int InpTSI_Fast = 13;
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input int InpTSI_Signal = 13;
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input group "Squeeze Settings"
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input int InpSqueezeLength = 20;
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input double InpBBMult = 2.0;
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input double InpKCMult = 1.5;
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//--- Struct for QuantScan Data
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struct QuantData
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{
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string timestamp;
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string symbol;
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double price;
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// --- Layer 1: H1 Context ---
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double trend_score; // Closed
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double trend_qual; // Closed
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double trend_slope; // Closed
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string zone; // Levels Closed, Price Live
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string rel_strength_str; // Live
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string beta_str; // Live
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string alpha_str; // Live
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double h1_tsi_val; // Live
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double h1_tsi_hist; // Live
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// --- Layer 2: M15 Flow (ALL LIVE) ---
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double dist_pdh;
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double dist_pdl;
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double m15_momentum;
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double m15_vol_qual;
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string m15_squeeze;
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double m15_vwap_slope;
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double m15_z_score;
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double m15_vola_regime;
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double m15_tsi_val;
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double m15_tsi_hist;
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// Cost moved from here
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// --- Layer 3: M5 Trigger (ALL LIVE) ---
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double m5_momentum;
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double m5_vol_qual;
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double m5_tsi_val;
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double m5_tsi_hist;
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double m5_velocity;
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double spread_cost; // MOVED HERE
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// --- Composites ---
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double vol_thrust;
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double rev_prob;
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string absorption;
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string mtf_align;
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};
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//--- Helper: Detect Asset Class
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bool IsForexPair(string sym)
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{
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// Safety: If symbol IS one of the benchmarks, we don't classify it as generic forex pair here
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if(sym == InpBenchmark || sym == InpForexBench)
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return false;
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if(StringFind(sym, "USD") != -1 || StringFind(sym, "EUR") != -1 ||
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StringFind(sym, "GBP") != -1 || StringFind(sym, "JPY") != -1 ||
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StringFind(sym, "CHF") != -1 || StringFind(sym, "AUD") != -1 ||
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StringFind(sym, "CAD") != -1 || StringFind(sym, "NZD") != -1 ||
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StringFind(sym, "XAU") != -1 || StringFind(sym, "XAG") != -1)
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{
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if(StringFind(sym, "XTI") != -1)
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return false;
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if(StringFind(sym, "UKO") != -1)
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return false;
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if(StringFind(sym, "USO") != -1)
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return false;
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if(StringFind(sym, "BTC") != -1)
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return false;
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if(StringFind(sym, "ETH") != -1)
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return false;
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return true;
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}
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return false;
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}
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//--- Helper: Get Sentiment
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string GetSentimentForTF(ENUM_TIMEFRAMES tf)
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{
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if(!CDataSync::EnsureDataReady(InpBenchmark, tf, 2))
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return "N/A";
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if(!CDataSync::EnsureDataReady(InpForexBench, tf, 2))
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return "N/A";
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double u_close[2], d_close[2];
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if(CopyClose(InpBenchmark, tf, 1, 2, u_close) != 2)
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return "N/A";
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if(CopyClose(InpForexBench, tf, 1, 2, d_close) != 2)
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return "N/A";
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double us500_chg = (u_close[1] - u_close[0]);
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double dxy_chg = (d_close[1] - d_close[0]);
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double us500_pct = (u_close[0]!=0) ? (us500_chg / u_close[0])*100 : 0;
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double dxy_pct = (d_close[0]!=0) ? (dxy_chg / d_close[0])*100 : 0;
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string state = "MIXED";
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if(dxy_chg < 0 && us500_chg > 0)
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state = "RISK-ON";
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else
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if(dxy_chg > 0 && us500_chg < 0)
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state = "RISK-OFF";
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else
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if(dxy_chg > 0 && us500_chg > 0)
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state = "STRESS";
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else
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if(dxy_chg < 0 && us500_chg < 0)
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state = "DEFLATION";
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string tf_name = EnumToString(tf);
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StringReplace(tf_name, "PERIOD_", "");
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return StringFormat("%s: %s (US:%.2f%% DX:%.2f%%)", tf_name, state, us500_pct, dxy_pct);
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}
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//--- Wrappers Declarations
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bool FetchData(string sym, ENUM_TIMEFRAMES tf, int count, datetime &t[], double &o[], double &h[], double &l[], double &c[], long &v[]);
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double Calc_ATR(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx);
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double Calc_ER(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx);
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double Calc_ZScore(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx);
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double Calc_RVOL(const long &vol[], int p, int idx);
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double Calc_DSMA_Score(const double &o[], const double &h[], const double &l[], const double &c[], double atr, int idx);
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string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const double &h[], const double &l[], const double &c[], int idx);
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double Calc_LaguerreRSI(const double &o[], const double &h[], const double &l[], const double &c[], int idx);
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void Calc_TSI_Values(const double &o[], const double &h[], const double &l[], const double &c[], int idx, double &val, double &hist);
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string Calc_MurreyZone(string symbol, ENUM_TIMEFRAMES tf);
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void Calc_DSMA_Series(const double &o[], const double &h[], const double &l[], const double &c[], double &out_buf[]);
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void Calc_VWAP_Series(const datetime &t[], const double &o[], const double &h[], const double &l[], const double &c[], const long &v[], ENUM_VWAP_PERIOD p, double &out_buf[]);
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double Calc_Velocity(const double &close[], double atr, int period, int idx);
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//+------------------------------------------------------------------+
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//| Script Start |
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//+------------------------------------------------------------------+
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void OnStart()
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{
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string symbols[];
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int total_symbols = 0;
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if(InpUseMarketWatch)
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{
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total_symbols = SymbolsTotal(true);
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ArrayResize(symbols, total_symbols);
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for(int i=0; i<total_symbols; i++)
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symbols[i] = SymbolName(i, true);
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}
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else
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{
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string sep = ",";
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ushort u_sep = StringGetCharacter(sep, 0);
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total_symbols = StringSplit(InpSymbolList, u_sep, symbols);
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}
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// Global Sentiment
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string sentiment_line = "### GLOBAL_SENTIMENT | ";
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bool has_us500 = SymbolSelect(InpBenchmark, true);
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bool has_dxy = SymbolSelect(InpForexBench, true);
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if(has_us500 && has_dxy)
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{
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sentiment_line += GetSentimentForTF(InpTFSlow) + " | " + GetSentimentForTF(InpTFMiddle) + " | " + GetSentimentForTF(InpTFFast) + " ###";
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}
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else
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sentiment_line += "Benchmarks Missing ###";
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double bench_change_pct = 0.0;
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if(has_us500)
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{
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if(CDataSync::EnsureDataReady(InpBenchmark, InpTFSlow))
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{
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double b_close[], b_open[];
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if(CopyClose(InpBenchmark, InpTFSlow, 1, 1, b_close) > 0 && CopyOpen(InpBenchmark, InpTFSlow, InpRSBars, 1, b_open) > 0)
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if(b_open[0] != 0)
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bench_change_pct = ((b_close[0] - b_open[0]) / b_open[0]) * 100.0;
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}
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}
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string filename = "QuantScan_" + TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES) + ".csv";
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StringReplace(filename, ":", "");
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StringReplace(filename, " ", "_");
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int file_handle = FileOpen(filename, FILE_CSV|FILE_WRITE|FILE_ANSI, ";");
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if(file_handle == INVALID_HANDLE)
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return;
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FileWrite(file_handle, sentiment_line);
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// Header
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string str_slow = EnumToString(InpTFSlow);
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StringReplace(str_slow, "PERIOD_", "");
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string str_mid = EnumToString(InpTFMiddle);
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StringReplace(str_mid, "PERIOD_", "");
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string str_fast = EnumToString(InpTFFast);
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StringReplace(str_fast, "PERIOD_", "");
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string header = "TIME (" + InpBrokerTimeZone + ");SYMBOL;PRICE;";
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header += StringFormat("TREND_SC_%s;TREND_QUAL_%s;TREND_SLOPE_%s;ZONE_%s;REL_STR_%s;BETA_%s;ALPHA_%s;TSI_VAL_%s;TSI_HIST_%s;",
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str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow, str_slow);
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// M15 Header (Removed COST_ATR)
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header += StringFormat("DIST_PDH_%s;DIST_PDL_%s;MOM_%s;RVOL_%s;SQZ_%s;VWAP_SLOPE_%s;Z_SCORE_%s;VOL_REGIME_%s;TSI_VAL_%s;TSI_HIST_%s;",
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str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid);
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// M5 Header (Added COST_ATR)
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header += StringFormat("MOM_%s;RVOL_%s;TSI_VAL_%s;TSI_HIST_%s;VEL_%s;COST_ATR_%s;", str_fast, str_fast, str_fast, str_fast, str_fast, str_fast);
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header += "VOL_THRUST;REV_PROB;ABSORPTION;MTF_ALIGN";
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FileWrite(file_handle, header);
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PrintFormat("Scanning %d symbols...", total_symbols);
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for(int i=0; i<total_symbols; i++)
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{
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string sym = symbols[i];
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StringTrimLeft(sym);
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StringTrimRight(sym);
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QuantData data;
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ZeroMemory(data);
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if(RunQuantAnalysis(sym, bench_change_pct, data))
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{
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FileWrite(file_handle,
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data.timestamp,
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data.symbol,
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DoubleToString(data.price, (int)SymbolInfoInteger(sym, SYMBOL_DIGITS)),
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// H1
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DoubleToString(data.trend_score, 2),
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DoubleToString(data.trend_qual, 2),
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DoubleToString(data.trend_slope, 2),
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data.zone,
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data.rel_strength_str,
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data.beta_str,
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data.alpha_str,
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DoubleToString(data.h1_tsi_val, 2),
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DoubleToString(data.h1_tsi_hist, 2),
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// M15
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DoubleToString(data.dist_pdh, 2),
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DoubleToString(data.dist_pdl, 2),
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DoubleToString(data.m15_momentum, 2),
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DoubleToString(data.m15_vol_qual, 2),
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data.m15_squeeze,
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DoubleToString(data.m15_vwap_slope, 2),
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DoubleToString(data.m15_z_score, 2),
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DoubleToString(data.m15_vola_regime, 2),
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// Removed Spread Cost from here in CSV Write order!
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DoubleToString(data.m15_tsi_val, 2),
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DoubleToString(data.m15_tsi_hist, 2),
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// M5
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DoubleToString(data.m5_momentum, 2),
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DoubleToString(data.m5_vol_qual, 2),
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DoubleToString(data.m5_tsi_val, 2),
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DoubleToString(data.m5_tsi_hist, 2),
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DoubleToString(data.m5_velocity, 2),
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DoubleToString(data.spread_cost, 2), // Added Here
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// Composites
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DoubleToString(data.vol_thrust, 2),
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DoubleToString(data.rev_prob, 0) + "%",
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data.absorption,
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data.mtf_align
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);
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}
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else
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Print("Scan Failed (Sync): ", sym);
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}
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FileClose(file_handle);
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Print("Done. File: ", filename);
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}
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//+------------------------------------------------------------------+
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//| Core Logic |
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//+------------------------------------------------------------------+
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bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
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{
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data.timestamp = TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES);
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StringReplace(data.timestamp, ".", ".");
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data.symbol = sym;
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data.price = SymbolInfoDouble(sym, SYMBOL_BID);
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// =================================================================
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// LAYER 1: CONTEXT (H1)
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// =================================================================
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double slow_o[], slow_h[], slow_l[], slow_c[];
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long slow_v[];
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datetime slow_t[];
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if(!FetchData(sym, InpTFSlow, InpScanHistory, slow_t, slow_o, slow_h, slow_l, slow_c, slow_v))
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return false;
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// Indices
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int idx_live_slow = ArraySize(slow_c) - 1;
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int idx_closed_slow = ArraySize(slow_c) - 2;
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double slow_atr = Calc_ATR(slow_o, slow_h, slow_l, slow_c, InpATRPeriod, idx_closed_slow);
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if(slow_atr == 0)
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return false;
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// Trend Score/Qual/Slope -> CLOSED (Stability)
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double dsma_series[];
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Calc_DSMA_Series(slow_o, slow_h, slow_l, slow_c, dsma_series);
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data.trend_score = (slow_atr!=0) ? (slow_c[idx_closed_slow] - dsma_series[idx_closed_slow]) / slow_atr : 0;
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data.trend_slope = CMetricsTools::CalculateSlope(dsma_series[idx_closed_slow], dsma_series[idx_closed_slow - InpSlopeLookback], slow_atr, InpSlopeLookback);
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data.trend_qual = Calc_ER(slow_o, slow_h, slow_l, slow_c, InpERPeriod, idx_closed_slow);
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// Zone (Murrey) - Calcs on history, Checks against LIVE Price
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data.zone = Calc_MurreyZone(sym, InpTFSlow);
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// TSI -> LIVE
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Calc_TSI_Values(slow_o, slow_h, slow_l, slow_c, idx_live_slow, data.h1_tsi_val, data.h1_tsi_hist);
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// Beta/Alpha -> LIVE
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bool is_benchmark = (sym == InpBenchmark || sym == InpForexBench);
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if(is_benchmark)
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{
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data.rel_strength_str="BENCH";
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data.beta_str="1.0";
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data.alpha_str="0.0";
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}
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else
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{
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string bench_sym = InpBenchmark;
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if(IsForexPair(sym) && SymbolSelect(InpForexBench, true))
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bench_sym = InpForexBench;
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// Ensure sync for benchmark on H1
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if(CDataSync::EnsureDataReady(bench_sym, InpTFSlow, InpBetaLookback+2))
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{
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double bench_c[];
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if(CopyClose(bench_sym, InpTFSlow, 0, InpBetaLookback+2, bench_c) > InpBetaLookback)
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{
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CMathStatisticsCalculator stats;
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double asset_ret[], bench_ret[];
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// Build subset from LIVE backwards
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int h1_size = ArraySize(slow_c);
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int bench_size = ArraySize(bench_c);
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double asset_subset[];
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ArrayResize(asset_subset, InpBetaLookback);
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double bench_subset[];
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ArrayResize(bench_subset, InpBetaLookback);
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// i=0 is oldest in subset. We want subset[last] to be current live.
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for(int k=0; k<InpBetaLookback; k++)
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{
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asset_subset[k] = slow_c[h1_size - InpBetaLookback + k];
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bench_subset[k] = bench_c[bench_size - InpBetaLookback + k];
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}
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stats.ComputeReturns(asset_subset, asset_ret);
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stats.ComputeReturns(bench_subset, bench_ret);
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double beta_val = stats.CalculateBeta(asset_ret, bench_ret);
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double a_tot = (asset_subset[InpBetaLookback-1] - asset_subset[0]) / asset_subset[0];
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double b_tot = (bench_subset[InpBetaLookback-1] - bench_subset[0]) / bench_subset[0];
|
|
double alpha_val = stats.CalculateAlpha(a_tot, b_tot, beta_val);
|
|
double rel_val = (a_tot - b_tot) * 100.0;
|
|
|
|
data.rel_strength_str = DoubleToString(rel_val, 2) + "%";
|
|
data.beta_str = DoubleToString(beta_val, 2);
|
|
data.alpha_str = DoubleToString(alpha_val, 4);
|
|
}
|
|
}
|
|
else
|
|
{
|
|
data.rel_strength_str = "0%";
|
|
data.beta_str = "0";
|
|
data.alpha_str = "0";
|
|
}
|
|
}
|
|
|
|
// =================================================================
|
|
// LAYER 2: FLOW (M15) - ALL LIVE (idx-1)
|
|
// =================================================================
|
|
double mid_o[], mid_h[], mid_l[], mid_c[];
|
|
long mid_v[];
|
|
datetime mid_t[];
|
|
if(!FetchData(sym, InpTFMiddle, InpScanHistory, mid_t, mid_o, mid_h, mid_l, mid_c, mid_v))
|
|
return false;
|
|
|
|
int idx_live_mid = ArraySize(mid_c) - 1;
|
|
double mid_atr = Calc_ATR(mid_o, mid_h, mid_l, mid_c, InpATRPeriod, idx_live_mid);
|
|
|
|
data.m15_momentum = Calc_LaguerreRSI(mid_o, mid_h, mid_l, mid_c, idx_live_mid);
|
|
data.m15_vol_qual = Calc_RVOL(mid_v, InpRVOLPeriod, idx_live_mid);
|
|
data.m15_squeeze = Calc_Squeeze(sym, InpTFMiddle, mid_o, mid_h, mid_l, mid_c, idx_live_mid);
|
|
data.m15_z_score = Calc_ZScore(mid_o, mid_h, mid_l, mid_c, InpZScorePeriod, idx_live_mid);
|
|
|
|
double vwap_series[];
|
|
Calc_VWAP_Series(mid_t, mid_o, mid_h, mid_l, mid_c, mid_v, PERIOD_SESSION, vwap_series);
|
|
data.m15_vwap_slope = CMetricsTools::CalculateSlope(vwap_series[idx_live_mid], vwap_series[idx_live_mid - InpSlopeLookback], mid_atr, InpSlopeLookback);
|
|
|
|
//data.spread_cost = CMetricsTools::CalculateSpreadCost(sym, mid_atr);
|
|
|
|
double atr_f = Calc_ATR(mid_o, mid_h, mid_l, mid_c, 5, idx_live_mid);
|
|
double atr_s = Calc_ATR(mid_o, mid_h, mid_l, mid_c, 50, idx_live_mid);
|
|
data.m15_vola_regime = (atr_s!=0) ? atr_f/atr_s : 1.0;
|
|
|
|
CSessionLevelsCalculator sess_calc;
|
|
if(sess_calc.Init(PERIOD_D1))
|
|
{
|
|
SessionLevels sl;
|
|
if(sess_calc.GetLevels(sym, mid_t[idx_live_mid], sl))
|
|
{
|
|
data.dist_pdh = CMetricsTools::CalculateDistance(mid_c[idx_live_mid], sl.prev_high, mid_atr);
|
|
data.dist_pdl = CMetricsTools::CalculateDistance(mid_c[idx_live_mid], sl.prev_low, mid_atr);
|
|
}
|
|
}
|
|
|
|
Calc_TSI_Values(mid_o, mid_h, mid_l, mid_c, idx_live_mid, data.m15_tsi_val, data.m15_tsi_hist);
|
|
|
|
// =================================================================
|
|
// LAYER 3: TRIGGER (M5) - ALL LIVE (idx-1)
|
|
// =================================================================
|
|
double fast_o[], fast_h[], fast_l[], fast_c[];
|
|
long fast_v[];
|
|
datetime fast_t[];
|
|
if(!FetchData(sym, InpTFFast, 300, fast_t, fast_o, fast_h, fast_l, fast_c, fast_v))
|
|
return false;
|
|
|
|
int idx_live_fast = ArraySize(fast_c) - 1;
|
|
double fast_atr = Calc_ATR(fast_o, fast_h, fast_l, fast_c, InpATRPeriod, idx_live_fast);
|
|
|
|
data.m5_momentum = Calc_LaguerreRSI(fast_o, fast_h, fast_l, fast_c, idx_live_fast);
|
|
data.m5_vol_qual = Calc_RVOL(fast_v, InpRVOLPeriod, idx_live_fast);
|
|
Calc_TSI_Values(fast_o, fast_h, fast_l, fast_c, idx_live_fast, data.m5_tsi_val, data.m5_tsi_hist);
|
|
data.m5_velocity = Calc_Velocity(fast_c, fast_atr, 3, idx_live_fast);
|
|
data.spread_cost = CMetricsTools::CalculateSpreadCost(sym, fast_atr);
|
|
|
|
// =================================================================
|
|
// COMPOSITES
|
|
// =================================================================
|
|
if(data.m15_vol_qual > 0)
|
|
data.vol_thrust = data.m5_vol_qual / data.m15_vol_qual;
|
|
else
|
|
data.vol_thrust = 0;
|
|
|
|
double score = 0;
|
|
if(MathAbs(data.m15_z_score) > 3.0)
|
|
score += 40;
|
|
else
|
|
if(MathAbs(data.m15_z_score) > 2.0)
|
|
score += 20;
|
|
if(StringFind(data.zone, "Extreme") >= 0)
|
|
score += 30;
|
|
if(data.m15_momentum > 0.90 || data.m15_momentum < 0.10)
|
|
score += 30;
|
|
data.rev_prob = score;
|
|
|
|
// Absorption: Use Last Closed M15 (idx_live_mid - 1) for safety
|
|
int idx_abs = idx_live_mid - 1;
|
|
if(idx_abs >= 0 && mid_atr > 0)
|
|
{
|
|
double body = MathAbs(mid_c[idx_abs] - mid_o[idx_abs]);
|
|
CRelativeVolumeCalculator rv;
|
|
rv.Init(InpRVOLPeriod);
|
|
double bar_rvol = rv.CalculateSingle(ArraySize(mid_v), mid_v, idx_abs);
|
|
if(bar_rvol > 2.0 && body < (0.4 * mid_atr))
|
|
data.absorption = "YES";
|
|
else
|
|
data.absorption = "NO";
|
|
}
|
|
else
|
|
data.absorption = "-";
|
|
|
|
// MTF Align (Based on TSI Histogram sign)
|
|
bool h1_bull = (data.h1_tsi_hist > 0);
|
|
bool m15_bull = (data.m15_tsi_hist > 0);
|
|
bool m5_bull = (data.m5_tsi_hist > 0);
|
|
|
|
if(h1_bull == m15_bull && m15_bull == m5_bull)
|
|
data.mtf_align = "FULL_" + (h1_bull ? "BULL" : "BEAR");
|
|
else
|
|
if(h1_bull == m15_bull)
|
|
data.mtf_align = "MAJOR_" + (h1_bull ? "BULL" : "BEAR");
|
|
else
|
|
data.mtf_align = "MIXED";
|
|
|
|
return true;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| WRAPPERS (Helpers) UPDATED FOR INDEX |
|
|
//+------------------------------------------------------------------+
|
|
bool FetchData(string sym, ENUM_TIMEFRAMES tf, int count, datetime &t[], double &o[], double &h[], double &l[], double &c[], long &v[])
|
|
{
|
|
if(!CDataSync::EnsureDataReady(sym, tf, count))
|
|
return false;
|
|
ArraySetAsSeries(t, false);
|
|
ArraySetAsSeries(o, false);
|
|
ArraySetAsSeries(h, false);
|
|
ArraySetAsSeries(l, false);
|
|
ArraySetAsSeries(c, false);
|
|
ArraySetAsSeries(v, false);
|
|
if(CopyTime(sym, tf, 0, count, t)!=count || CopyOpen(sym, tf, 0, count, o)!=count ||
|
|
CopyHigh(sym, tf, 0, count, h)!=count || CopyLow(sym, tf, 0, count, l)!=count ||
|
|
CopyClose(sym, tf, 0, count, c)!=count || CopyTickVolume(sym, tf, 0, count, v)!=count)
|
|
return false;
|
|
return true;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
void Calc_TSI_Values(const double &o[], const double &h[], const double &l[], const double &c[], int idx, double &val, double &hist)
|
|
{
|
|
CTSICalculator calc;
|
|
calc.Init(InpTSI_Slow, EMA, InpTSI_Fast, EMA, InpTSI_Signal, EMA);
|
|
double tsi[], sig[], osc[];
|
|
int total=ArraySize(c);
|
|
ArrayResize(tsi, total);
|
|
ArrayResize(sig, total);
|
|
ArrayResize(osc, total);
|
|
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, tsi, sig, osc);
|
|
if(idx < total)
|
|
{
|
|
val = tsi[idx];
|
|
hist = tsi[idx] - sig[idx];
|
|
}
|
|
}
|
|
|
|
// Other wrappers updated to take 'int idx' and return buf[idx]
|
|
double Calc_ATR(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx)
|
|
{
|
|
CATRCalculator calc;
|
|
if(!calc.Init(p, ATR_POINTS))
|
|
return 0;
|
|
double buf[];
|
|
int total=ArraySize(c);
|
|
calc.Calculate(total, 0, o, h, l, c, buf);
|
|
return buf[idx];
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
double Calc_ER(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx)
|
|
{
|
|
CEfficiencyRatioCalculator calc;
|
|
if(!calc.Init(p))
|
|
return 0;
|
|
double buf[];
|
|
int total=ArraySize(c);
|
|
ArrayResize(buf, total);
|
|
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, buf);
|
|
return buf[idx];
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
double Calc_ZScore(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx)
|
|
{
|
|
CZScoreCalculator calc;
|
|
if(!calc.Init(p))
|
|
return 0;
|
|
double buf[];
|
|
int total=ArraySize(c);
|
|
ArrayResize(buf, total);
|
|
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, buf);
|
|
return buf[idx];
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
double Calc_RVOL(const long &vol[], int p, int idx)
|
|
{
|
|
CRelativeVolumeCalculator calc;
|
|
calc.Init(p);
|
|
return calc.CalculateSingle(ArraySize(vol), vol, idx);
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| WRAPPER UPDATE: Calc_Squeeze using Engine |
|
|
//+------------------------------------------------------------------+
|
|
string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const double &h[], const double &l[], const double &c[], int idx)
|
|
{
|
|
int total = ArraySize(c);
|
|
CSqueezeCalculator sqz;
|
|
// Init with Inputs: Period, BB Mult, KC Mult, Mom Period(dummy 12)
|
|
if(!sqz.Init(InpSqueezeLength, InpBBMult, InpKCMult, 12))
|
|
return "ERR";
|
|
|
|
double mom[], val[], col[];
|
|
ArrayResize(mom, total);
|
|
ArrayResize(val, total);
|
|
ArrayResize(col, total);
|
|
|
|
// Wrapper expects Calc call.
|
|
sqz.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, mom, val, col);
|
|
|
|
// Check color index at idx.
|
|
// CSqueezeCalculator logic: out_sqz_color[i] = is_squeeze ? 1.0 : 0.0;
|
|
// 1.0 = Red (ON), 0.0 = Green (OFF)
|
|
if(idx < total)
|
|
return (col[idx] == 1.0) ? "ON" : "OFF";
|
|
|
|
return "N/A";
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
double Calc_LaguerreRSI(const double &o[], const double &h[], const double &l[], const double &c[], int idx)
|
|
{
|
|
CLaguerreRSICalculator calc;
|
|
calc.Init(InpLaguerreGamma, 3, SMA);
|
|
double lrsi[], sig[];
|
|
int total=ArraySize(c);
|
|
ArrayResize(lrsi, total);
|
|
ArrayResize(sig, total);
|
|
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, lrsi, sig);
|
|
return lrsi[idx] / 100.0;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
string Calc_MurreyZone(string symbol, ENUM_TIMEFRAMES tf)
|
|
{
|
|
CMurreyMathCalculator calc;
|
|
calc.Init(symbol, tf, InpMurreyPeriod, 0);
|
|
double levels[];
|
|
if(!calc.Calculate(levels))
|
|
return "N/A";
|
|
double price = iClose(symbol, tf, 0); // Always Live Price
|
|
if(price < levels[2])
|
|
return "Extreme Low";
|
|
if(price > levels[10])
|
|
return "Extreme High";
|
|
if(price >= levels[2] && price < levels[3])
|
|
return "0/8-1/8 (Bottom)";
|
|
if(price >= levels[3] && price < levels[4])
|
|
return "1/8-2/8 (Weak)";
|
|
if(price >= levels[4] && price < levels[6])
|
|
return "2/8-4/8 (Lower)";
|
|
if(price >= levels[6] && price < levels[8])
|
|
return "4/8-6/8 (Upper)";
|
|
if(price >= levels[8] && price < levels[9])
|
|
return "6/8-7/8 (Weak)";
|
|
return "7/8-8/8 (Top)";
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
void Calc_DSMA_Series(const double &o[], const double &h[], const double &l[], const double &c[], double &out_buf[])
|
|
{
|
|
CDSMACalculator calc;
|
|
if(!calc.Init(InpDSMAPeriod))
|
|
return;
|
|
int total=ArraySize(c);
|
|
ArrayResize(out_buf, total);
|
|
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, out_buf);
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
void Calc_VWAP_Series(const datetime &t[], const double &o[], const double &h[], const double &l[], const double &c[], const long &v[], ENUM_VWAP_PERIOD p, double &out_buf[])
|
|
{
|
|
CVWAPCalculator calc;
|
|
if(!calc.Init(p, VOLUME_TICK, 0, true))
|
|
return;
|
|
double odd[], even[];
|
|
int total=ArraySize(c);
|
|
ArrayResize(odd, total);
|
|
ArrayResize(even, total);
|
|
calc.Calculate(total, 0, t, o, h, l, c, v, v, odd, even);
|
|
ArrayResize(out_buf, total);
|
|
for(int i=0; i<total; i++)
|
|
out_buf[i] = (odd[i]!=EMPTY_VALUE && odd[i]!=0) ? odd[i] : even[i];
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
double Calc_Velocity(const double &close[], double atr, int period, int idx)
|
|
{
|
|
if(atr == 0)
|
|
return 0;
|
|
int total = ArraySize(close);
|
|
// We measure displacement from [idx - period] to [idx]
|
|
if(idx < period)
|
|
return 0;
|
|
return CMetricsTools::CalculateSlope(close[idx], close[idx-period], atr, period);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//+------------------------------------------------------------------+
|