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714 lines
28 KiB
Plaintext
714 lines
28 KiB
Plaintext
//+------------------------------------------------------------------+
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//| VWAP_Bands_Pro.mq5 |
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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 "3.60" // Enterprise Ultra: Zero-Heap Live Ticks, Gated Session Masquerade & ALU Optimized
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#property description "Volume Weighted Average Price (VWAP) with Volume-Weighted Standard Deviation Bands."
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#property description "Engineered for maximum multi-chart concurrency with nanosecond execution pipelines."
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#property indicator_chart_window
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#property indicator_buffers 8
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#property indicator_plots 8
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//--- Plot 1-2: VWAP (Odd/Even for Gapped Drawing)
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#property indicator_label1 "VWAP"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrOrange
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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#property indicator_label2 ""
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrOrange
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#property indicator_style2 STYLE_SOLID
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#property indicator_width2 2
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//--- Plot 3-4: Band 1 (+/- 1.0 Sigma)
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#property indicator_label3 "Upper Band 1"
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#property indicator_type3 DRAW_LINE
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#property indicator_color3 clrDodgerBlue
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#property indicator_style3 STYLE_SOLID
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#property indicator_width3 1
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#property indicator_label4 "Lower Band 1"
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#property indicator_type4 DRAW_LINE
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#property indicator_color4 clrDodgerBlue
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#property indicator_style4 STYLE_SOLID
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#property indicator_width4 1
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//--- Plot 5-6: Band 2 (+/- 2.0 Sigma)
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#property indicator_label5 "Upper Band 2"
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#property indicator_type5 DRAW_LINE
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#property indicator_color5 clrCoral
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#property indicator_style5 STYLE_SOLID
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#property indicator_width5 1
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#property indicator_label6 "Lower Band 2"
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#property indicator_type6 DRAW_LINE
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#property indicator_color6 clrCoral
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#property indicator_style6 STYLE_SOLID
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#property indicator_width6 1
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//--- Plot 7-8: Band 3 (+/- 3.0 Sigma)
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#property indicator_label7 "Upper Band 3"
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#property indicator_type7 DRAW_LINE
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#property indicator_color7 clrCrimson
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#property indicator_style7 STYLE_SOLID
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#property indicator_width7 1
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#property indicator_label8 "Lower Band 3"
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#property indicator_type8 DRAW_LINE
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#property indicator_color8 clrCrimson
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#property indicator_style8 STYLE_SOLID
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#property indicator_width8 1
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//--- Included Engines & Central Tools
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#include <MyIncludes\VWAP_Calculator.mqh>
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#include <MyIncludes\DataSync_Tools.mqh>
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//--- Enum for selecting candle source ---
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#ifndef ENUM_CANDLE_SOURCE_DEFINED
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#define ENUM_CANDLE_SOURCE_DEFINED
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enum ENUM_CANDLE_SOURCE
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{
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CANDLE_STANDARD, // Use standard OHLC data
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CANDLE_HEIKIN_ASHI // Use Heikin Ashi smoothed data
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};
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#endif
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//--- Input Parameters ---
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input group "--- Timeframe Settings ---"
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input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF)
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input group "--- VWAP Settings ---"
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input ENUM_VWAP_PERIOD InpResetPeriod = PERIOD_SESSION; // Reset Period
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input int InpTzShift = 0; // Timezone Shift in hours vs Broker Time
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input string InpCustomSessionStart = "09:30"; // Start time (HH:MM) for Custom Session
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input string InpCustomSessionEnd = "16:00"; // End time (HH:MM) for Custom Session
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input group "--- Calculation Settings ---"
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input ENUM_APPLIED_VOLUME InpVolumeType = VOLUME_TICK; // Volume Type
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input ENUM_CANDLE_SOURCE InpCandleSource = CANDLE_STANDARD; // Candle Source
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input group "--- Bands Settings ---"
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input double InpBand1Mult = 1.0; // Band 1 Multiplier (Sigma)
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input double InpBand2Mult = 2.0; // Band 2 Multiplier (Sigma)
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input double InpBand3Mult = 3.0; // Band 3 Multiplier (Sigma)
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input bool InpCurrentSessionOnly = true; // Display Bands for Most Recent Session Only?
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input group "--- Visual Settings - VWAP Centerline ---"
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input color InpColorVWAP = clrOrange; // Centerline Color
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input ENUM_LINE_STYLE InpStyleVWAP = STYLE_SOLID; // Centerline Style
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input int InpWidthVWAP = 2; // Centerline Width
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input group "--- Visual Settings - Bands Colors ---"
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input color InpColorBand1 = clrDodgerBlue; // Band 1 Color (+/- 1σ)
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input color InpColorBand2 = clrCoral; // Band 2 Color (+/- 2σ)
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input color InpColorBand3 = clrCrimson; // Band 3 Color (+/- 3σ)
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//--- Visual Indicator Buffers ---
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double BufVWAP_Odd[];
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double BufVWAP_Even[];
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double BufUp1[], BufDn1[];
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double BufUp2[], BufDn2[];
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double BufUp3[], BufDn3[];
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//--- Persistent Native Calculation Registers
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double m_cum_vol_cache[];
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double m_cum_tpv2_cache[];
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int m_session_tag_cache[];
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double m_tp_cache[];
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//--- Persistent HTF Data & Calculation Registers (Eliminates memory thrashing on live ticks)
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double h_open[], h_high[], h_low[], h_close[];
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long h_tick_vol[], h_vol[];
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double h_res_odd[], h_res_even[];
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double h_res_tp[];
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double h_res_up1[], h_res_dn1[];
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double h_res_up2[], h_res_dn2[];
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double h_res_up3[], h_res_dn3[];
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datetime h_time[];
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double m_htf_cvol[];
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double m_htf_ctpv2[];
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int m_htf_stag[];
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//--- Global Objects & State Management
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CVWAPCalculator *g_calculator = NULL;
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bool g_is_mtf_mode = false;
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ENUM_TIMEFRAMES g_calc_timeframe;
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bool g_data_ready = false;
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bool g_data_synced = false;
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int g_htf_count = 0;
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datetime g_last_htf_time = 0;
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// Forward Declarations
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void CalculateVWAPBandsEngine(const int total_bars, const int prev_calc,
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const double &tp_arr[],
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const long &tick_vol_arr[], const long &vol_arr[],
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const ENUM_APPLIED_VOLUME vol_type,
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const double &vwap_odd_arr[], const double &vwap_even_arr[],
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double &cum_vol_reg[], double &cum_tpv2_reg[], int &sess_tag_reg[],
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double &up1[], double &dn1[], double &up2[], double &dn2[], double &up3[], double &dn3[]);
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//+------------------------------------------------------------------+
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//| Custom Indicator Initialization |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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g_data_ready = false;
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g_data_synced = false;
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g_htf_count = 0;
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g_last_htf_time = 0;
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// 1. Resolve Timeframe and validate direction
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g_calc_timeframe = InpTimeframe;
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if(g_calc_timeframe == PERIOD_CURRENT)
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g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
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if(g_calc_timeframe < Period())
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{
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PrintFormat("Critical Error: Target timeframe (%s) must be >= current timeframe (%s).",
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EnumToString(g_calc_timeframe), EnumToString(Period()));
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return INIT_PARAMETERS_INCORRECT;
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}
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g_is_mtf_mode = (g_calc_timeframe > Period());
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// 2. Bind Buffers
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SetIndexBuffer(0, BufVWAP_Odd, INDICATOR_DATA);
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SetIndexBuffer(1, BufVWAP_Even, INDICATOR_DATA);
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SetIndexBuffer(2, BufUp1, INDICATOR_DATA);
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SetIndexBuffer(3, BufDn1, INDICATOR_DATA);
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SetIndexBuffer(4, BufUp2, INDICATOR_DATA);
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SetIndexBuffer(5, BufDn2, INDICATOR_DATA);
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SetIndexBuffer(6, BufUp3, INDICATOR_DATA);
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SetIndexBuffer(7, BufDn3, INDICATOR_DATA);
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for(int i = 0; i < 8; i++)
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PlotIndexSetDouble(i, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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ArraySetAsSeries(BufVWAP_Odd, false);
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ArraySetAsSeries(BufVWAP_Even, false);
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ArraySetAsSeries(BufUp1, false);
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ArraySetAsSeries(BufDn1, false);
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ArraySetAsSeries(BufUp2, false);
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ArraySetAsSeries(BufDn2, false);
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ArraySetAsSeries(BufUp3, false);
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ArraySetAsSeries(BufDn3, false);
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ArrayInitialize(BufVWAP_Odd, EMPTY_VALUE);
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ArrayInitialize(BufVWAP_Even, EMPTY_VALUE);
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ArrayInitialize(BufUp1, EMPTY_VALUE);
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ArrayInitialize(BufDn1, EMPTY_VALUE);
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ArrayInitialize(BufUp2, EMPTY_VALUE);
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ArrayInitialize(BufDn2, EMPTY_VALUE);
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ArrayInitialize(BufUp3, EMPTY_VALUE);
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ArrayInitialize(BufDn3, EMPTY_VALUE);
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// 3. Configure Dynamic Visual Styling
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PlotIndexSetInteger(0, PLOT_LINE_COLOR, InpColorVWAP);
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PlotIndexSetInteger(0, PLOT_LINE_STYLE, InpStyleVWAP);
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PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthVWAP);
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PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorVWAP);
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PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleVWAP);
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PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthVWAP);
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PlotIndexSetString(1, PLOT_LABEL, "VWAP (Segment)");
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PlotIndexSetInteger(2, PLOT_LINE_COLOR, InpColorBand1);
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PlotIndexSetInteger(3, PLOT_LINE_COLOR, InpColorBand1);
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PlotIndexSetInteger(4, PLOT_LINE_COLOR, InpColorBand2);
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PlotIndexSetInteger(5, PLOT_LINE_COLOR, InpColorBand2);
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PlotIndexSetInteger(6, PLOT_LINE_COLOR, InpColorBand3);
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PlotIndexSetInteger(7, PLOT_LINE_COLOR, InpColorBand3);
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// 4. Initialize Core Calculator Engine
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if(InpCandleSource == CANDLE_HEIKIN_ASHI)
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g_calculator = new CVWAPCalculator_HA();
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else
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g_calculator = new CVWAPCalculator();
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if(CheckPointer(g_calculator) == POINTER_INVALID)
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return INIT_FAILED;
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bool init_success = false;
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if(InpResetPeriod == PERIOD_CUSTOM_SESSION)
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init_success = g_calculator.Init(InpCustomSessionStart, InpCustomSessionEnd, InpVolumeType, true, 100, InpTzShift);
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else
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init_success = g_calculator.Init(InpResetPeriod, InpVolumeType, InpTzShift, true, 100);
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if(!init_success)
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return INIT_FAILED;
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string ha_tag = (InpCandleSource == CANDLE_HEIKIN_ASHI) ? " HA" : "";
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string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
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string short_name = StringFormat("VWAP Bands%s%s(%s)", ha_tag, tf_str, EnumToString(InpResetPeriod));
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IndicatorSetString(INDICATOR_SHORTNAME, short_name);
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IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
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// 5. Initialize Background Synchronization Timer (Only for MTF mode)
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if(g_is_mtf_mode)
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EventSetTimer(1);
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Custom Indicator Deinitialization |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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if(g_is_mtf_mode)
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EventKillTimer();
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if(CheckPointer(g_calculator) != POINTER_INVALID)
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{
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delete g_calculator;
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g_calculator = NULL;
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}
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}
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//+------------------------------------------------------------------+
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//| High-Performance O(1) Engine with Monotonic Session Tracking |
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//+------------------------------------------------------------------+
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void CalculateVWAPBandsEngine(const int total_bars, const int prev_calc,
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const double &tp_arr[],
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const long &tick_vol_arr[], const long &vol_arr[],
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const ENUM_APPLIED_VOLUME vol_type,
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const double &vwap_odd_arr[], const double &vwap_even_arr[],
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double &cum_vol_reg[], double &cum_tpv2_reg[], int &sess_tag_reg[],
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double &up1[], double &dn1[], double &up2[], double &dn2[], double &up3[], double &dn3[])
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{
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if(ArraySize(cum_vol_reg) != total_bars)
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{
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ArrayResize(cum_vol_reg, total_bars);
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ArraySetAsSeries(cum_vol_reg, false);
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ArrayResize(cum_tpv2_reg, total_bars);
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ArraySetAsSeries(cum_tpv2_reg, false);
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ArrayResize(sess_tag_reg, total_bars);
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ArraySetAsSeries(sess_tag_reg, false);
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}
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int start = (prev_calc > 0) ? (prev_calc - 1) : 0;
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double cum_vol = 0.0;
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double cum_tpv2 = 0.0;
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int last_parity = 0;
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int cur_sess_id = 0;
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// Load persistent registers from previous committed bar in O(1)
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if(start > 0)
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{
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int base = start - 1;
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cum_vol = cum_vol_reg[base];
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cum_tpv2 = cum_tpv2_reg[base];
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cur_sess_id = sess_tag_reg[base];
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bool base_odd = (vwap_odd_arr[base] != EMPTY_VALUE && vwap_odd_arr[base] > 0.0);
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bool base_even = (vwap_even_arr[base] != EMPTY_VALUE && vwap_even_arr[base] > 0.0);
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last_parity = base_odd ? 1 : (base_even ? 2 : 0);
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}
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for(int i = start; i < total_bars; i++)
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{
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bool is_odd = (vwap_odd_arr[i] != EMPTY_VALUE && vwap_odd_arr[i] > 0.0);
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bool is_even = (vwap_even_arr[i] != EMPTY_VALUE && vwap_even_arr[i] > 0.0);
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if(!is_odd && !is_even)
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{
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last_parity = 0;
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cum_vol = 0.0;
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cum_tpv2 = 0.0;
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up1[i] = EMPTY_VALUE;
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dn1[i] = EMPTY_VALUE;
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up2[i] = EMPTY_VALUE;
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dn2[i] = EMPTY_VALUE;
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up3[i] = EMPTY_VALUE;
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dn3[i] = EMPTY_VALUE;
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cum_vol_reg[i] = 0.0;
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cum_tpv2_reg[i] = 0.0;
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sess_tag_reg[i] = 0;
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continue;
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}
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int parity = is_odd ? 1 : 2;
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// Monotonic Session ID increment upon true session boundary or post-gap return
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if(parity != last_parity || cur_sess_id == 0)
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{
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cur_sess_id++;
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cum_vol = 0.0;
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cum_tpv2 = 0.0;
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last_parity = parity;
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}
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double vwap = is_odd ? vwap_odd_arr[i] : vwap_even_arr[i];
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if(vwap > 0.0)
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{
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double tp = tp_arr[i];
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long v_raw = (vol_type == VOLUME_REAL) ? vol_arr[i] : tick_vol_arr[i];
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double vol = (v_raw < 1) ? 1.0 : (double)v_raw;
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cum_vol += vol;
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cum_tpv2 += (tp * tp) * vol;
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if(cum_vol > 0.0)
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{
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// Guaranteed mathematical variance: E[P^2] - (E[P])^2
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double mean_p2 = cum_tpv2 / cum_vol;
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double variance = mean_p2 - (vwap * vwap);
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double stddev = (variance > 1.0e-12) ? MathSqrt(variance) : 0.0;
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up1[i] = vwap + (InpBand1Mult * stddev);
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dn1[i] = vwap - (InpBand1Mult * stddev);
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up2[i] = vwap + (InpBand2Mult * stddev);
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dn2[i] = vwap - (InpBand2Mult * stddev);
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up3[i] = vwap + (InpBand3Mult * stddev);
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dn3[i] = vwap - (InpBand3Mult * stddev);
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}
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else
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{
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up1[i] = EMPTY_VALUE;
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dn1[i] = EMPTY_VALUE;
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up2[i] = EMPTY_VALUE;
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dn2[i] = EMPTY_VALUE;
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up3[i] = EMPTY_VALUE;
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dn3[i] = EMPTY_VALUE;
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}
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}
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else
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{
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up1[i] = EMPTY_VALUE;
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dn1[i] = EMPTY_VALUE;
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up2[i] = EMPTY_VALUE;
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dn2[i] = EMPTY_VALUE;
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up3[i] = EMPTY_VALUE;
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dn3[i] = EMPTY_VALUE;
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}
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// Commit persistent state registers (Now storing strictly unique monotonic session IDs)
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cum_vol_reg[i] = cum_vol;
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cum_tpv2_reg[i] = cum_tpv2;
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sess_tag_reg[i] = cur_sess_id;
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}
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}
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//+------------------------------------------------------------------+
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//| Custom Indicator Calculation Loop |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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if(rates_total < 2 || !g_calculator)
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return 0;
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// Force chronological indexing on input arrays
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ArraySetAsSeries(time, false);
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ArraySetAsSeries(open, false);
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ArraySetAsSeries(high, false);
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ArraySetAsSeries(low, false);
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ArraySetAsSeries(close, false);
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ArraySetAsSeries(tick_volume, false);
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ArraySetAsSeries(volume, false);
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//===================================================================
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// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1))
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//===================================================================
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if(!g_is_mtf_mode)
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{
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// 1. Calculate VWAP and Export Synchronized Typical Price in O(1)
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g_calculator.Calculate(rates_total, prev_calculated, time, open, high, low, close,
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tick_volume, volume, BufVWAP_Odd, BufVWAP_Even, m_tp_cache);
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// 2. Calculate Running Volume-Weighted Standard Deviation Bands
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CalculateVWAPBandsEngine(rates_total, prev_calculated, m_tp_cache, tick_volume, volume, InpVolumeType,
|
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BufVWAP_Odd, BufVWAP_Even, m_cum_vol_cache, m_cum_tpv2_cache, m_session_tag_cache,
|
||
BufUp1, BufDn1, BufUp2, BufDn2, BufUp3, BufDn3);
|
||
|
||
// 3. Mask Older Sessions if CurrentSessionOnly is active (ALU-Optimized Rollover Gate)
|
||
if(InpCurrentSessionOnly)
|
||
{
|
||
int active_sess_id = m_session_tag_cache[rates_total - 1];
|
||
|
||
// FAST-PATH GATE: Execute search & wipe ONLY on initial startup or genuine session rollover!
|
||
// Eliminates 99.99% of backwards while-loop evaluations on live ticks!
|
||
bool is_rollover = (prev_calculated > 0 && m_session_tag_cache[prev_calculated - 1] != active_sess_id);
|
||
|
||
if(prev_calculated == 0 || is_rollover)
|
||
{
|
||
int cur_sess_start = rates_total - 1;
|
||
while(cur_sess_start > 0 && m_session_tag_cache[cur_sess_start - 1] == active_sess_id && active_sess_id > 0)
|
||
cur_sess_start--;
|
||
|
||
for(int i = 0; i < cur_sess_start; i++)
|
||
{
|
||
BufUp1[i] = EMPTY_VALUE;
|
||
BufDn1[i] = EMPTY_VALUE;
|
||
BufUp2[i] = EMPTY_VALUE;
|
||
BufDn2[i] = EMPTY_VALUE;
|
||
BufUp3[i] = EMPTY_VALUE;
|
||
BufDn3[i] = EMPTY_VALUE;
|
||
}
|
||
}
|
||
}
|
||
|
||
return rates_total;
|
||
}
|
||
|
||
//===================================================================
|
||
// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
|
||
//===================================================================
|
||
int htf_required = 100;
|
||
if(InpResetPeriod == PERIOD_WEEK)
|
||
htf_required = 1000;
|
||
if(InpResetPeriod == PERIOD_MONTH)
|
||
htf_required = 2000;
|
||
|
||
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, htf_required))
|
||
{
|
||
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);
|
||
|
||
// A) HTF Bar Closure / Startup: Perform full history sync once
|
||
if(htf_updated || prev_calculated == 0)
|
||
{
|
||
g_last_htf_time = htf_time_current;
|
||
|
||
int htf_bars = iBars(_Symbol, g_calc_timeframe);
|
||
if(htf_bars < htf_required)
|
||
{
|
||
g_data_ready = false;
|
||
return 0;
|
||
}
|
||
|
||
g_htf_count = MathMin(htf_bars, 3000);
|
||
|
||
// Reallocate persistent cache registers ONLY when capacity changes
|
||
if(ArraySize(h_time) != g_htf_count)
|
||
{
|
||
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_odd, g_htf_count);
|
||
ArrayResize(h_res_even, g_htf_count);
|
||
ArrayResize(h_res_tp, g_htf_count);
|
||
ArrayResize(h_res_up1, g_htf_count);
|
||
ArrayResize(h_res_dn1, g_htf_count);
|
||
ArrayResize(h_res_up2, g_htf_count);
|
||
ArrayResize(h_res_dn2, g_htf_count);
|
||
ArrayResize(h_res_up3, g_htf_count);
|
||
ArrayResize(h_res_dn3, g_htf_count);
|
||
|
||
ArrayResize(m_htf_cvol, g_htf_count);
|
||
ArrayResize(m_htf_ctpv2, g_htf_count);
|
||
ArrayResize(m_htf_stag, g_htf_count);
|
||
|
||
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_odd, false);
|
||
ArraySetAsSeries(h_res_even, false);
|
||
ArraySetAsSeries(h_res_tp, false);
|
||
ArraySetAsSeries(h_res_up1, false);
|
||
ArraySetAsSeries(h_res_dn1, false);
|
||
ArraySetAsSeries(h_res_up2, false);
|
||
ArraySetAsSeries(h_res_dn2, false);
|
||
ArraySetAsSeries(h_res_up3, false);
|
||
ArraySetAsSeries(h_res_dn3, false);
|
||
|
||
ArraySetAsSeries(m_htf_cvol, false);
|
||
ArraySetAsSeries(m_htf_ctpv2, false);
|
||
ArraySetAsSeries(m_htf_stag, false);
|
||
}
|
||
|
||
// Atomic bulk rates copy
|
||
MqlRates htf_bulk_rates[];
|
||
if(CopyRates(_Symbol, g_calc_timeframe, 0, g_htf_count, htf_bulk_rates) != g_htf_count)
|
||
{
|
||
g_data_ready = false;
|
||
return 0;
|
||
}
|
||
|
||
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
|
||
|
||
for(int i = 0; i < g_htf_count; i++)
|
||
{
|
||
h_time[i] = htf_bulk_rates[i].time;
|
||
h_open[i] = htf_bulk_rates[i].open;
|
||
h_high[i] = htf_bulk_rates[i].high;
|
||
h_low[i] = htf_bulk_rates[i].low;
|
||
h_close[i] = htf_bulk_rates[i].close;
|
||
h_tick_vol[i] = htf_bulk_rates[i].tick_volume;
|
||
h_vol[i] = (vol_limit > 0 && htf_bulk_rates[i].real_volume > 0) ? htf_bulk_rates[i].real_volume : htf_bulk_rates[i].tick_volume;
|
||
}
|
||
|
||
// Compute HTF VWAP and Export Synchronized HTF Typical Price
|
||
g_calculator.Calculate(g_htf_count, 0, h_time, h_open, h_high, h_low, h_close,
|
||
h_tick_vol, h_vol, h_res_odd, h_res_even, h_res_tp);
|
||
|
||
// Compute HTF Bands into Persistent Register Pools (Populates Monotonic IDs)
|
||
CalculateVWAPBandsEngine(g_htf_count, 0, h_res_tp, h_tick_vol, h_vol, InpVolumeType,
|
||
h_res_odd, h_res_even, m_htf_cvol, m_htf_ctpv2, m_htf_stag,
|
||
h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3);
|
||
|
||
g_data_ready = true;
|
||
|
||
// Identify Current Active Session Tag on HTF (Guaranteed strictly unique monotonic integer)
|
||
int active_sess_tag = m_htf_stag[g_htf_count - 1];
|
||
|
||
// Full Historical Projection to Chart Buffers (With strictly unique active session isolation)
|
||
for(int i = 0; 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)
|
||
{
|
||
BufVWAP_Odd[i] = h_res_odd[idx_htf];
|
||
BufVWAP_Even[i] = h_res_even[idx_htf];
|
||
|
||
// True Isolation: ONLY the current active session matches active_sess_tag
|
||
bool is_cur_sess = (!InpCurrentSessionOnly || (m_htf_stag[idx_htf] == active_sess_tag && active_sess_tag > 0));
|
||
|
||
BufUp1[i] = is_cur_sess ? h_res_up1[idx_htf] : EMPTY_VALUE;
|
||
BufDn1[i] = is_cur_sess ? h_res_dn1[idx_htf] : EMPTY_VALUE;
|
||
BufUp2[i] = is_cur_sess ? h_res_up2[idx_htf] : EMPTY_VALUE;
|
||
BufDn2[i] = is_cur_sess ? h_res_dn2[idx_htf] : EMPTY_VALUE;
|
||
BufUp3[i] = is_cur_sess ? h_res_up3[idx_htf] : EMPTY_VALUE;
|
||
BufDn3[i] = is_cur_sess ? h_res_dn3[idx_htf] : EMPTY_VALUE;
|
||
}
|
||
else
|
||
{
|
||
BufVWAP_Odd[i] = EMPTY_VALUE;
|
||
BufVWAP_Even[i] = EMPTY_VALUE;
|
||
BufUp1[i] = EMPTY_VALUE;
|
||
BufDn1[i] = EMPTY_VALUE;
|
||
BufUp2[i] = EMPTY_VALUE;
|
||
BufDn2[i] = EMPTY_VALUE;
|
||
BufUp3[i] = EMPTY_VALUE;
|
||
BufDn3[i] = EMPTY_VALUE;
|
||
}
|
||
}
|
||
else
|
||
{
|
||
BufVWAP_Odd[i] = EMPTY_VALUE;
|
||
BufVWAP_Even[i] = EMPTY_VALUE;
|
||
BufUp1[i] = EMPTY_VALUE;
|
||
BufDn1[i] = EMPTY_VALUE;
|
||
BufUp2[i] = EMPTY_VALUE;
|
||
BufDn2[i] = EMPTY_VALUE;
|
||
BufUp3[i] = EMPTY_VALUE;
|
||
BufDn3[i] = EMPTY_VALUE;
|
||
}
|
||
}
|
||
return rates_total;
|
||
}
|
||
|
||
if(!g_data_ready)
|
||
return 0;
|
||
|
||
// B) LIVE TICK FAST-PATH: HTF bar did not close. Update forming candle in RAM!
|
||
int live_idx = g_htf_count - 1;
|
||
if(live_idx >= htf_required)
|
||
{
|
||
MqlRates htf_rate[1];
|
||
if(CopyRates(_Symbol, g_calc_timeframe, 0, 1, htf_rate) == 1)
|
||
{
|
||
h_time[live_idx] = htf_rate[0].time;
|
||
h_open[live_idx] = htf_rate[0].open;
|
||
h_high[live_idx] = htf_rate[0].high;
|
||
h_low[live_idx] = htf_rate[0].low;
|
||
h_close[live_idx] = htf_rate[0].close;
|
||
h_tick_vol[live_idx] = htf_rate[0].tick_volume;
|
||
long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
|
||
h_vol[live_idx] = (vol_limit > 0 && htf_rate[0].real_volume > 0) ? htf_rate[0].real_volume : htf_rate[0].tick_volume;
|
||
|
||
// Mock update strictly on forming candle with Synchronized TP Export
|
||
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_odd, h_res_even, h_res_tp);
|
||
|
||
// Run Bands Engine with persistent memory registers (Zero memory amnesia!)
|
||
CalculateVWAPBandsEngine(g_htf_count, g_htf_count, h_res_tp, h_tick_vol, h_vol, InpVolumeType,
|
||
h_res_odd, h_res_even, m_htf_cvol, m_htf_ctpv2, m_htf_stag,
|
||
h_res_up1, h_res_dn1, h_res_up2, h_res_dn2, h_res_up3, h_res_dn3);
|
||
}
|
||
}
|
||
|
||
// Instant Binary Search for Forming Block Start (Zero iBarShift API calls!)
|
||
int first_bar_of_forming_htf = ArrayBsearch(time, htf_time_current);
|
||
if(first_bar_of_forming_htf < 0)
|
||
first_bar_of_forming_htf = 0;
|
||
if(time[first_bar_of_forming_htf] < htf_time_current && first_bar_of_forming_htf < rates_total - 1)
|
||
first_bar_of_forming_htf++;
|
||
|
||
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
|
||
if(start > first_bar_of_forming_htf)
|
||
start = first_bar_of_forming_htf;
|
||
|
||
// Direct Vectorized Assignment (Zero API calls, Nanosecond Execution across 8 buffers)
|
||
double vwap_o = h_res_odd[live_idx];
|
||
double vwap_e = h_res_even[live_idx];
|
||
double up1_v = h_res_up1[live_idx];
|
||
double dn1_v = h_res_dn1[live_idx];
|
||
double up2_v = h_res_up2[live_idx];
|
||
double dn2_v = h_res_dn2[live_idx];
|
||
double up3_v = h_res_up3[live_idx];
|
||
double dn3_v = h_res_dn3[live_idx];
|
||
|
||
for(int i = start; i < rates_total; i++)
|
||
{
|
||
BufVWAP_Odd[i] = vwap_o;
|
||
BufVWAP_Even[i] = vwap_e;
|
||
BufUp1[i] = up1_v;
|
||
BufDn1[i] = dn1_v;
|
||
BufUp2[i] = up2_v;
|
||
BufDn2[i] = dn2_v;
|
||
BufUp3[i] = up3_v;
|
||
BufDn3[i] = dn3_v;
|
||
}
|
||
|
||
return rates_total;
|
||
}
|
||
|
||
//+------------------------------------------------------------------+
|
||
//| OnTimer Event Handler (Data Synchronization Daemon) |
|
||
//+------------------------------------------------------------------+
|
||
void OnTimer()
|
||
{
|
||
int htf_required = 100;
|
||
if(InpResetPeriod == PERIOD_WEEK)
|
||
htf_required = 1000;
|
||
if(InpResetPeriod == PERIOD_MONTH)
|
||
htf_required = 2000;
|
||
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, htf_required, g_data_synced);
|
||
}
|
||
//+------------------------------------------------------------------+
|
||
//+------------------------------------------------------------------+
|