gavindiaz/mql5
1
0
Fork 0
mirror of https://github.com/softwaredevelop/mql5.git synced 2026-08-25 18:28:04 +00:00
Code Issues Packages Projects Releases Wiki Activity
Files
7d0bd2842f062b5177d61f892f5c653558ea0e16
mql5/Include/MyIncludes/VWAP_Calculator.mqh
T

384 lines
14 KiB
Plaintext
Raw Blame History

//+------------------------------------------------------------------+
//| VWAP_Calculator.mqh|
//| VERSION 3.00: Deterministic Session Anchoring & Bounds Safe |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.00" // Fully deterministic session logic with zero live-tick flickering
#ifndef VWAP_CALCULATOR_MQH
#define VWAP_CALCULATOR_MQH
#include <MyIncludes\HeikinAshi_Tools.mqh>
//--- Enum for VWAP Reset Period ---
#ifndef ENUM_VWAP_PERIOD_DEFINED
#define ENUM_VWAP_PERIOD_DEFINED
enum ENUM_VWAP_PERIOD
{
PERIOD_SESSION, // Reset every day (can be shifted by timezone)
PERIOD_WEEK, // Reset every week
PERIOD_MONTH, // Reset every month
PERIOD_CUSTOM_SESSION // Reset based on custom start/end times
};
#endif
//+==================================================================+
//| CLASS 1: CVWAPCalculator (Base Class) |
//+==================================================================+
class CVWAPCalculator
{
protected:
ENUM_VWAP_PERIOD m_period;
ENUM_APPLIED_VOLUME m_volume_type;
bool m_enabled;
long m_tz_shift_seconds;
int m_max_history_days;
//--- Persistent Price Buffer
double m_typical_price[];
//--- Custom Session Parameters
int m_start_hour, m_start_min;
int m_end_hour, m_end_min;
bool IsTimeInSession(const datetime bar_time);
virtual bool PrepareSourceData(const int rates_total, const int start_index,
const double &open[], const double &high[],
const double &low[], const double &close[]);
public:
CVWAPCalculator(void);
virtual ~CVWAPCalculator(void) {};
//--- Backward-Compatible Initialization Signatures
bool Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours=0, bool enabled=true, int max_history_days=0);
bool Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled=true, int max_history_days=0, int tz_shift_hours=0);
void Calculate(const int rates_total,
const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
double &vwap_odd[],
double &vwap_even[]);
};
//+------------------------------------------------------------------+
//| Constructor |
//+------------------------------------------------------------------+
CVWAPCalculator::CVWAPCalculator(void) : m_period(PERIOD_SESSION),
m_volume_type(VOLUME_TICK),
m_enabled(true),
m_tz_shift_seconds(0),
m_max_history_days(0),
m_start_hour(9), m_start_min(30),
m_end_hour(16), m_end_min(0)
{
ArraySetAsSeries(m_typical_price, false);
}
//+------------------------------------------------------------------+
//| Init (Standard Periods) |
//+------------------------------------------------------------------+
bool CVWAPCalculator::Init(ENUM_VWAP_PERIOD period, ENUM_APPLIED_VOLUME vol_type, int tz_shift_hours, bool enabled, int max_history_days)
{
m_enabled = enabled;
if(!m_enabled)
return true;
m_period = period;
m_volume_type = vol_type;
m_tz_shift_seconds = (long)tz_shift_hours * 3600;
m_max_history_days = max_history_days;
if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
{
PrintFormat("VWAP Warning: Real Volume not available for '%s'. Falling back to Tick Volume.", _Symbol);
m_volume_type = VOLUME_TICK;
}
return true;
}
//+------------------------------------------------------------------+
//| Init (Custom Session) |
//+------------------------------------------------------------------+
bool CVWAPCalculator::Init(string start_time, string end_time, ENUM_APPLIED_VOLUME vol_type, bool enabled, int max_history_days, int tz_shift_hours)
{
m_enabled = enabled;
if(!m_enabled)
return true;
m_period = PERIOD_CUSTOM_SESSION;
m_volume_type = vol_type;
m_tz_shift_seconds = (long)tz_shift_hours * 3600;
m_max_history_days = max_history_days;
string start_parts[], end_parts[];
if(StringSplit(start_time, ':', start_parts) == 2)
{
m_start_hour = (int)StringToInteger(start_parts[0]);
m_start_min = (int)StringToInteger(start_parts[1]);
}
if(StringSplit(end_time, ':', end_parts) == 2)
{
m_end_hour = (int)StringToInteger(end_parts[0]);
m_end_min = (int)StringToInteger(end_parts[1]);
}
if(m_volume_type == VOLUME_REAL && SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT) <= 0)
{
PrintFormat("VWAP Warning: Real Volume not available for '%s'. Falling back to Tick Volume.", _Symbol);
m_volume_type = VOLUME_TICK;
}
return true;
}
//+------------------------------------------------------------------+
//| Stateless Custom Session In-Time Check |
//+------------------------------------------------------------------+
bool CVWAPCalculator::IsTimeInSession(const datetime bar_time)
{
MqlDateTime dt;
TimeToStruct(bar_time + (datetime)m_tz_shift_seconds, dt);
int current_min = dt.hour * 60 + dt.min;
int start_min = m_start_hour * 60 + m_start_min;
int end_min = m_end_hour * 60 + m_end_min;
if(end_min > start_min)
{
return (current_min >= start_min && current_min < end_min);
}
else
if(end_min < start_min)
{
// Overnight session
return (current_min >= start_min || current_min < end_min);
}
else
{
// 24-hour continuous session
return true;
}
}
//+------------------------------------------------------------------+
//| Main Calculation (Deterministic & Zero-Flicker) |
//+------------------------------------------------------------------+
void CVWAPCalculator::Calculate(const int rates_total,
const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
double &vwap_odd[],
double &vwap_even[])
{
if(!m_enabled || rates_total < 1)
return;
//--- Safe array allocation
if(ArraySize(vwap_odd) != rates_total)
{
ArrayResize(vwap_odd, rates_total);
ArraySetAsSeries(vwap_odd, false);
ArrayInitialize(vwap_odd, EMPTY_VALUE);
}
if(ArraySize(vwap_even) != rates_total)
{
ArrayResize(vwap_even, rates_total);
ArraySetAsSeries(vwap_even, false);
ArrayInitialize(vwap_even, EMPTY_VALUE);
}
int start_index = (prev_calculated == 0) ? 0 : (prev_calculated - 1);
if(!PrepareSourceData(rates_total, start_index, open, high, low, close))
return;
datetime cutoff_time = 0;
if(m_max_history_days > 0)
cutoff_time = TimeCurrent() - (datetime)(m_max_history_days * 86400);
// Deterministic Scan
double cum_tpv = 0.0;
double cum_vol = 0.0;
int period_index = 0;
bool in_session = false;
for(int i = 0; i < rates_total; i++)
{
bool new_period = false;
if(m_period == PERIOD_CUSTOM_SESSION)
{
bool is_inside = IsTimeInSession(time[i]);
if(is_inside && !in_session)
new_period = true;
in_session = is_inside;
}
else
{
in_session = true;
if(i == 0)
{
new_period = true;
}
else
{
switch(m_period)
{
case PERIOD_SESSION:
{
datetime curr_t = time[i] + (datetime)m_tz_shift_seconds;
datetime prev_t = time[i - 1] + (datetime)m_tz_shift_seconds;
MqlDateTime dt_c, dt_p;
TimeToStruct(curr_t, dt_c);
TimeToStruct(prev_t, dt_p);
if(dt_c.day_of_year != dt_p.day_of_year || dt_c.year != dt_p.year)
new_period = true;
break;
}
case PERIOD_WEEK:
{
MqlDateTime dt_c, dt_p;
TimeToStruct(time[i], dt_c);
TimeToStruct(time[i - 1], dt_p);
if(dt_c.day_of_week < dt_p.day_of_week)
new_period = true;
break;
}
case PERIOD_MONTH:
{
MqlDateTime dt_c, dt_p;
TimeToStruct(time[i], dt_c);
TimeToStruct(time[i - 1], dt_p);
if(dt_c.mon != dt_p.mon || dt_c.year != dt_p.year)
new_period = true;
break;
}
}
}
}
// Reset accumulators on session open
if(new_period)
{
cum_tpv = 0.0;
cum_vol = 0.0;
period_index++;
}
if(in_session)
{
long current_vol = (m_volume_type == VOLUME_REAL) ? volume[i] : tick_volume[i];
if(current_vol < 1)
current_vol = 1;
cum_tpv += m_typical_price[i] * (double)current_vol;
cum_vol += (double)current_vol;
double vwap_val = (cum_vol > 0.0) ? (cum_tpv / cum_vol) : EMPTY_VALUE;
bool show = (time[i] >= cutoff_time);
if(period_index % 2 != 0)
{
vwap_odd[i] = show ? vwap_val : EMPTY_VALUE;
vwap_even[i] = EMPTY_VALUE;
}
else
{
vwap_even[i] = show ? vwap_val : EMPTY_VALUE;
vwap_odd[i] = EMPTY_VALUE;
}
}
else
{
vwap_odd[i] = EMPTY_VALUE;
vwap_even[i] = EMPTY_VALUE;
}
}
}
//+------------------------------------------------------------------+
//| Prepare Price (Standard Typical Price) |
//+------------------------------------------------------------------+
bool CVWAPCalculator::PrepareSourceData(const int rates_total, const int start_index,
const double &open[], const double &high[],
const double &low[], const double &close[])
{
if(ArraySize(m_typical_price) != rates_total)
{
ArrayResize(m_typical_price, rates_total);
ArraySetAsSeries(m_typical_price, false);
}
for(int i = start_index; i < rates_total; i++)
m_typical_price[i] = (high[i] + low[i] + close[i]) / 3.0;
return true;
}
//+==================================================================+
//| CLASS 2: CVWAPCalculator_HA (Heikin Ashi) |
//+==================================================================+
class CVWAPCalculator_HA : public CVWAPCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected:
virtual bool PrepareSourceData(const int rates_total, const int start_index,
const double &open[], const double &high[],
const double &low[], const double &close[]) override;
};
//+------------------------------------------------------------------+
//| Prepare Price (Heikin Ashi Typical Price) |
//+------------------------------------------------------------------+
bool CVWAPCalculator_HA::PrepareSourceData(const int rates_total, const int start_index,
const double &open[], const double &high[],
const double &low[], const double &close[])
{
if(ArraySize(m_ha_open) != rates_total)
{
ArrayResize(m_ha_open, rates_total);
ArrayResize(m_ha_high, rates_total);
ArrayResize(m_ha_low, rates_total);
ArrayResize(m_ha_close, rates_total);
ArraySetAsSeries(m_ha_open, false);
ArraySetAsSeries(m_ha_high, false);
ArraySetAsSeries(m_ha_low, false);
ArraySetAsSeries(m_ha_close, false);
}
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
m_ha_open, m_ha_high, m_ha_low, m_ha_close);
if(ArraySize(m_typical_price) != rates_total)
{
ArrayResize(m_typical_price, rates_total);
ArraySetAsSeries(m_typical_price, false);
}
for(int i = start_index; i < rates_total; i++)
m_typical_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
return true;
}
#endif // VWAP_CALCULATOR_MQH
//+------------------------------------------------------------------+
Reference in New Issue View Git Blame Copy Permalink