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mql5/Indicators/MyIndicators/Rolling_VWAP_Pro.mq5
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Toh4iem9 aafc8dcc80 feat: add Rolling_VWAP_Pro
2026-09-14 13:00:01 +02:00

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//+------------------------------------------------------------------+
//| Rolling_VWAP_Pro.mq5|
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.20"
#property description "Professional Rolling Volume Weighted Average Price (Rolling VWAP)."
#property description "Continuous non-resetting algorithm supporting Bar and Time window models."
#property indicator_chart_window
#property indicator_buffers 1
#property indicator_plots 1
//--- Plot: Single Continuous Rolling VWAP Stream
#property indicator_label1 "Rolling VWAP"
#property indicator_type1 DRAW_LINE
#property indicator_color1 clrDeepSkyBlue
#property indicator_style1 STYLE_SOLID
#property indicator_width1 2
//--- Included Core Suite Frameworks
#include <MyIncludes\Rolling_VWAP_Calculator.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
//--- Candle Source Enum
#ifndef ENUM_CANDLE_SOURCE_DEFINED
#define ENUM_CANDLE_SOURCE_DEFINED
enum ENUM_CANDLE_SOURCE
{
CANDLE_STANDARD, // Standard OHLC Data
CANDLE_HEIKIN_ASHI // Heikin Ashi Smoothed Data
};
#endif
//--- Inputs
input group "--- Timeframe Settings ---"
input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF)
input group "--- Rolling Window Configuration ---"
input ENUM_ROLLING_TYPE InpRollingType = ROLLING_BARS; // Window Type (Bars vs Time)
input int InpRollingWindow = 144; // Window Length (Bars or Minutes)
input group "--- Calculation Sources ---"
input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK; // Volume Type
input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Candle Source
input group "--- Visual Styling ---"
input color InpColorVWAP = clrDeepSkyBlue; // Line Color
input ENUM_LINE_STYLE InpStyleVWAP = STYLE_SOLID; // Line Style
input int InpWidthVWAP = 2; // Line Width
//--- Indicator Output Buffer
double BufferRollingVWAP[];
//--- Internal HTF Data Caches (Strict Chronological Indexing)
double h_open[], h_high[], h_low[], h_close[];
long h_tick_vol[], h_vol[];
double h_res_vwap[];
datetime h_time[];
//--- Global Dynamic Calculator Pointer
CRollingVWAPCalculator *g_calculator = NULL;
bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe;
bool g_data_ready = false;
bool g_data_synced = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
g_data_ready = false;
g_data_synced = false;
g_htf_count = 0;
g_last_htf_time = 0;
// 1. Resolve Timeframe and Direction Guard
g_calc_timeframe = InpTimeframe;
if(g_calc_timeframe == PERIOD_CURRENT)
g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
if(g_calc_timeframe < Period())
{
PrintFormat("Rolling VWAP Error: Target timeframe (%s) must be >= current timeframe (%s).",
EnumToString(g_calc_timeframe), EnumToString(Period()));
return INIT_PARAMETERS_INCORRECT;
}
g_is_mtf_mode = (g_calc_timeframe > Period());
// 2. Bind Output Buffer
SetIndexBuffer(0, BufferRollingVWAP, INDICATOR_DATA);
ArraySetAsSeries(BufferRollingVWAP, false);
PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
ArrayInitialize(BufferRollingVWAP, EMPTY_VALUE);
// 3. Configure Visual Properties
PlotIndexSetInteger(0, PLOT_LINE_COLOR, InpColorVWAP);
PlotIndexSetInteger(0, PLOT_LINE_STYLE, InpStyleVWAP);
PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthVWAP);
PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, 1);
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
// 4. Instantiate Calculation Engine
if(InpCandleSource == CANDLE_HEIKIN_ASHI)
g_calculator = new CRollingVWAPCalculator_HA();
else
g_calculator = new CRollingVWAPCalculator();
if(CheckPointer(g_calculator) == POINTER_INVALID)
{
Print("Rolling VWAP Critical Error: Failed to instantiate engine pointer.");
return INIT_FAILED;
}
if(!g_calculator.Init(InpRollingType, InpRollingWindow, InpVolumeType, true))
{
Print("Rolling VWAP Critical Error: Engine initialization failed.");
return INIT_FAILED;
}
// 5. Compose Indicator Title
string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : "";
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string type_str = (InpRollingType == ROLLING_BARS) ? "Bars" : "Min";
string short_name = StringFormat("Rolling_VWAP%s%s(%d %s)", ha_tag, tf_str, InpRollingWindow, type_str);
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
PlotIndexSetString(0, PLOT_LABEL, short_name);
// 6. Asynchronous Background Sync Daemon for MTF
if(g_is_mtf_mode)
EventSetTimer(1);
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
if(g_is_mtf_mode)
EventKillTimer();
if(CheckPointer(g_calculator) != POINTER_INVALID)
{
delete g_calculator;
g_calculator = NULL;
}
}
//+------------------------------------------------------------------+
//| Custom indicator calculation iteration |
//+------------------------------------------------------------------+
int OnCalculate(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[],
const int &spread[])
{
if(rates_total < 2 || CheckPointer(g_calculator) == POINTER_INVALID)
return 0;
// Enforce strict chronological alignment on inputs
ArraySetAsSeries(time, false);
ArraySetAsSeries(open, false);
ArraySetAsSeries(high, false);
ArraySetAsSeries(low, false);
ArraySetAsSeries(close, false);
ArraySetAsSeries(tick_volume, false);
ArraySetAsSeries(volume, false);
//===================================================================
// MODE 1: Direct Native Timeframe Calculation (Zero-Lag O(1))
//===================================================================
if(!g_is_mtf_mode)
{
g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close,
tick_volume, volume, BufferRollingVWAP);
return rates_total;
}
//===================================================================
// MODE 2: Synchronized MTF Engine
//===================================================================
int required_bars = (InpRollingType == ROLLING_BARS) ? (InpRollingWindow + 10) : 50;
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
{
g_data_synced = false;
return 0;
}
g_data_synced = true;
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
if(htf_updated || prev_calculated == 0)
{
g_last_htf_time = htf_time_current;
int htf_bars = iBars(_Symbol, g_calc_timeframe);
if(htf_bars < required_bars)
{
g_data_ready = false;
return 0;
}
g_htf_count = MathMin(htf_bars, 3000); // Enterprise memory guard
// Resize all HTF caching structures
ArrayResize(h_time, g_htf_count);
ArrayResize(h_open, g_htf_count);
ArrayResize(h_high, g_htf_count);
ArrayResize(h_low, g_htf_count);
ArrayResize(h_close, g_htf_count);
ArrayResize(h_tick_vol, g_htf_count);
ArrayResize(h_vol, g_htf_count);
ArrayResize(h_res_vwap, g_htf_count);
// Force chronological array directions
ArraySetAsSeries(h_time, false);
ArraySetAsSeries(h_open, false);
ArraySetAsSeries(h_high, false);
ArraySetAsSeries(h_low, false);
ArraySetAsSeries(h_close, false);
ArraySetAsSeries(h_tick_vol, false);
ArraySetAsSeries(h_vol, false);
ArraySetAsSeries(h_res_vwap, false);
// Copy HTF pricing and volume arrays
if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count ||
CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count ||
CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count ||
CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count ||
CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count ||
CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_tick_vol) != g_htf_count)
{
g_data_ready = false;
return 0;
}
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
if(vol_limit > 0)
CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol);
else
ArrayCopy(h_vol, h_tick_vol, 0, 0, g_htf_count);
// Full calculation pass on synchronized HTF historical bars
g_calculator.Calculate(g_htf_count, 0, h_time, h_open, h_high, h_low, h_close,
h_tick_vol, h_vol, h_res_vwap);
g_data_ready = true;
}
if(!g_data_ready)
return 0;
// Stateful live-bar update for active forming HTF candle
int live_idx = g_htf_count - 1;
if(live_idx >= required_bars)
{
double o[1], h[1], l[1], c[1];
datetime t_bar[1];
long tv[1], v[1];
int shift = iBarShift(_Symbol, g_calc_timeframe, htf_time_current, false);
if(shift >= 0 &&
CopyTime(_Symbol, g_calc_timeframe, shift, 1, t_bar) == 1 &&
CopyOpen(_Symbol, g_calc_timeframe, shift, 1, o) == 1 &&
CopyHigh(_Symbol, g_calc_timeframe, shift, 1, h) == 1 &&
CopyLow(_Symbol, g_calc_timeframe, shift, 1, l) == 1 &&
CopyClose(_Symbol, g_calc_timeframe, shift, 1, c) == 1 &&
CopyTickVolume(_Symbol, g_calc_timeframe, shift, 1, tv) == 1)
{
h_time[live_idx] = t_bar[0];
h_open[live_idx] = o[0];
h_high[live_idx] = h[0];
h_low[live_idx] = l[0];
h_close[live_idx] = c[0];
h_tick_vol[live_idx] = tv[0];
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
if(vol_limit > 0 && CopyRealVolume(_Symbol, g_calc_timeframe, shift, 1, v) == 1)
h_vol[live_idx] = v[0];
else
h_vol[live_idx] = tv[0];
// Mock update strictly on forming candle
g_calculator.Calculate(g_htf_count, g_htf_count, h_time, h_open, h_high, h_low, h_close,
h_tick_vol, h_vol, h_res_vwap);
}
}
// Forming LTF Block Flat-Force Anchor (Staircase Warp Prevention)
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
int first_bar_of_forming_htf = rates_total - 1;
while(first_bar_of_forming_htf > 0 &&
iBarShift(_Symbol, g_calc_timeframe, time[first_bar_of_forming_htf], false) == 0)
{
first_bar_of_forming_htf--;
}
first_bar_of_forming_htf++;
if(start > first_bar_of_forming_htf)
start = first_bar_of_forming_htf;
// Chronological Projection Mapping to Chart Timeframe
for(int i = start; i < rates_total; i++)
{
datetime t = time[i];
int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
if(shift_htf >= 0)
{
int idx_htf = g_htf_count - 1 - shift_htf;
if(idx_htf >= 0 && idx_htf < g_htf_count)
BufferRollingVWAP[i] = h_res_vwap[idx_htf];
else
BufferRollingVWAP[i] = EMPTY_VALUE;
}
else
{
BufferRollingVWAP[i] = EMPTY_VALUE;
}
}
return rates_total;
}
//+------------------------------------------------------------------+
//| OnTimer Event Handler (Data Synchronization Daemon) |
//+------------------------------------------------------------------+
void OnTimer()
{
int required_bars = (InpRollingType == ROLLING_BARS) ? (InpRollingWindow + 10) : 50;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
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