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mql5/Indicators/MyIndicators/Quant/PairsTrading_Pro.mq5
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//+------------------------------------------------------------------+
//| PairsTrading_Pro.mq5 |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.40" // Refactored with single comparison symbol and O(1) chart-native access
#property description "Universal Dynamic & Anchored Cointegration (Z-Score) Monitor."
#property description "Supports custom broker-time session ranges to eliminate gap distortion."
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots 1
//--- Standardized window limits to prevent single-spike scale squishing!
#property indicator_minimum -3.5
#property indicator_maximum 3.5
//--- Institutional Levels Configuration (Perfect alignment under fixed scale)
#property indicator_level1 2.5
#property indicator_level2 2.0
#property indicator_level3 1.5
#property indicator_level4 -1.5
#property indicator_level5 -2.0
#property indicator_level6 -2.5
#property indicator_levelcolor clrSilver
#property indicator_levelstyle STYLE_DOT
//--- Plot: Color Histogram (5-Zone Thermal Palette)
#property indicator_label1 "Spread Z-Score"
#property indicator_type1 DRAW_COLOR_HISTOGRAM
// 5-Color Palette:
// 0: Noise/Neutral (Gray)
// 1: Bull Flow (Coral - warning)
// 2: Bull Extreme (OrangeRed - Sell Spread zone)
// 3: Bear Flow (LightSkyBlue - warning)
// 4: Bear Extreme (DeepSkyBlue - Buy Spread zone)
#property indicator_color1 clrGray, clrCoral, clrOrangeRed, clrLightSkyBlue, clrDeepSkyBlue
#property indicator_style1 STYLE_SOLID
#property indicator_width1 2
#include <MyIncludes\PairsTrading_Calculator.mqh>
//--- Anchored Timeframe Resets Enum
enum ENUM_ANCHOR_PERIOD
{
ANCHOR_NONE, // Standard rolling window (InpLookback)
ANCHOR_SESSION, // Reset every day (Daily VWAP style)
ANCHOR_WEEK, // Reset every week (Weekly VWAP style)
ANCHOR_MONTH, // Reset every month (Monthly VWAP style)
ANCHOR_CUSTOM_SESSION // Reset based on custom broker-time start/end range
};
//--- Input Parameters
input string InpSecondSymbol = "USOIL"; // Comparison Symbol (Symbol B)
input ENUM_ANCHOR_PERIOD InpAnchor = ANCHOR_NONE; // Dynamic Anchored Reset Period
input int InpLookback = 120; // Rolling Window size (Used if Anchor = NONE)
input string InpCustomStart = "09:00"; // Custom Session Start (HH:MM, Broker Time)
input string InpCustomEnd = "18:00"; // Custom Session End (HH:MM, Broker Time)
//--- Buffers
double ExtZScoreBuffer[];
double ExtColorsBuffer[];
//--- Aligned price arrays
double g_sync_close_A[];
double g_sync_close_B[];
//--- Global Engine and State Tracking
CPairsTradingCalculator *g_calc;
bool g_data_synced = false;
int g_anchor_start_idx = 0; // Dynamic anchor index tracker
//--- Parsed Custom Session hours
int g_start_hour = 9;
int g_start_min = 0;
int g_end_hour = 18;
int g_end_min = 0;
//+------------------------------------------------------------------+
//| EnsureDataReady (Multi-symbol history sync helper) |
//+------------------------------------------------------------------+
bool EnsureDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars)
{
ResetLastError();
if(!SymbolInfoInteger(symbol, SYMBOL_SELECT))
{
SymbolSelect(symbol, true);
}
datetime times[];
int copied = CopyTime(symbol, timeframe, 0, required_bars, times);
return (copied >= required_bars);
}
//+------------------------------------------------------------------+
//| IsTimeInSession |
//| Determines if broker time is within custom active session |
//+------------------------------------------------------------------+
bool IsTimeInSession(datetime time_val, int start_hour, int start_min, int end_hour, int end_min)
{
MqlDateTime dt;
TimeToStruct(time_val, dt);
int current_min = dt.hour * 60 + dt.min;
int start_total = start_hour * 60 + start_min;
int end_total = end_hour * 60 + end_min;
if(end_total < start_total) // Overlapping midnight session
{
return (current_min >= start_total || current_min < end_total);
}
else
{
return (current_min >= start_total && current_min < end_total);
}
}
//+------------------------------------------------------------------+
//| OnInit |
//+------------------------------------------------------------------+
int OnInit()
{
g_data_synced = false;
g_anchor_start_idx = 0;
//--- Verify if the secondary comparison symbol exists in broker offerings
bool is_custom = false;
if(!SymbolExist(InpSecondSymbol, is_custom))
{
string err_msg = StringFormat("PairsTrading Pro Error: Symbol '%s' does not exist in your broker's database!", InpSecondSymbol);
Alert(err_msg);
Print(err_msg);
return(INIT_FAILED);
}
SetIndexBuffer(0, ExtZScoreBuffer, INDICATOR_DATA);
SetIndexBuffer(1, ExtColorsBuffer, INDICATOR_COLOR_INDEX);
ArraySetAsSeries(ExtZScoreBuffer, false);
ArraySetAsSeries(ExtColorsBuffer, false);
//--- Parse custom session times
string parts[];
if(StringSplit(InpCustomStart, ':', parts) == 2)
{
g_start_hour = (int)StringToInteger(parts[0]);
g_start_min = (int)StringToInteger(parts[1]);
}
if(StringSplit(InpCustomEnd, ':', parts) == 2)
{
g_end_hour = (int)StringToInteger(parts[0]);
g_end_min = (int)StringToInteger(parts[1]);
}
// Configure shortname dynamically based on mode
string anchor_name = EnumToString(InpAnchor);
string short_name = StringFormat("PairsTrade Pro(%s vs %s, %s)",
_Symbol, InpSecondSymbol,
(InpAnchor == ANCHOR_NONE ? (string)InpLookback : StringSubstr(anchor_name, 7)));
IndicatorSetString(INDICATOR_SHORTNAME, short_name);
IndicatorSetInteger(INDICATOR_DIGITS, 2);
g_calc = new CPairsTradingCalculator();
if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpLookback))
{
Print("Error: Failed to initialize PairsTrading Calculator.");
return INIT_FAILED;
}
//--- Initialize 1-second timer for weekend/async chart refreshes
EventSetTimer(1);
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| OnDeinit |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
EventKillTimer();
if(CheckPointer(g_calc) != POINTER_INVALID)
delete g_calc;
}
//+------------------------------------------------------------------+
//| OnCalculate |
//+------------------------------------------------------------------+
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[])
{
int required_bars = InpLookback + 10;
if(InpAnchor != ANCHOR_NONE)
required_bars = 1000; // Need larger history depth for monthly/weekly/custom anchors
//--- Ensure both symbol histories are fully loaded in the terminal
if(!EnsureDataReady(_Symbol, _Period, required_bars) ||
!EnsureDataReady(InpSecondSymbol, _Period, required_bars))
{
g_data_synced = false;
return 0; // Wait for next tick to let history load
}
g_data_synced = true;
//--- Get standalone default fallback values for Symbol B to ensure absolute chart independence
double default_close_B = iClose(InpSecondSymbol, _Period, 0);
//--- 1. Advanced Bar-Time Synchronization & Alignment Loop (O(1) incremental)
ArrayResize(g_sync_close_A, rates_total);
ArrayResize(g_sync_close_B, rates_total);
int loop_start = (prev_calculated == 0) ? 0 : prev_calculated - 1;
if(loop_start < 0)
loop_start = 0;
for(int i = loop_start; i < rates_total; i++)
{
// Symbol A is the native chart symbol -> direct O(1) memory access
g_sync_close_A[i] = close[i];
// Sync Symbol B Price
int shift_B = iBarShift(InpSecondSymbol, _Period, time[i], false);
if(shift_B >= 0)
g_sync_close_B[i] = iClose(InpSecondSymbol, _Period, shift_B);
else
g_sync_close_B[i] = (i > 0) ? g_sync_close_B[i-1] : default_close_B; // FIXED: chart-independent fallback
}
//--- 2. Calculate the rolling OLS Cointegration Z-Score
int calc_start = (prev_calculated == 0) ? InpLookback : prev_calculated - 1;
if(calc_start < InpLookback)
calc_start = InpLookback;
for(int i = calc_start; i < rates_total; i++)
{
//--- A. Filter out inactive hours if custom session anchor is selected
if(InpAnchor == ANCHOR_CUSTOM_SESSION)
{
if(!IsTimeInSession(time[i], g_start_hour, g_start_min, g_end_hour, g_end_min))
{
ExtZScoreBuffer[i] = EMPTY_VALUE; // Plot absolutely nothing overnight to keep statistics pure!
ExtColorsBuffer[i] = 0.0;
continue;
}
}
//--- B. Check if a new Anchor period has started (Stateful tracking)
bool new_period = false;
switch(InpAnchor)
{
case ANCHOR_SESSION:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(time[i], dt_curr);
TimeToStruct(time[i-1], dt_prev);
if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year)
new_period = true;
break;
}
case ANCHOR_WEEK:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(time[i], dt_curr);
TimeToStruct(time[i-1], dt_prev);
if(dt_curr.day_of_week < dt_prev.day_of_week)
new_period = true;
break;
}
case ANCHOR_MONTH:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(time[i], dt_curr);
TimeToStruct(time[i-1], dt_prev);
if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year)
new_period = true;
break;
}
case ANCHOR_CUSTOM_SESSION:
{
MqlDateTime dt_curr, dt_prev;
TimeToStruct(time[i], dt_curr);
TimeToStruct(time[i-1], dt_prev);
int min_curr = dt_curr.hour * 60 + dt_curr.min;
int min_prev = dt_prev.hour * 60 + dt_prev.min;
int start_min = g_start_hour * 60 + g_start_min;
bool day_changed = (dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year);
if(day_changed)
{
if(min_curr >= start_min)
new_period = true;
}
else
{
if(min_prev < start_min && min_curr >= start_min)
new_period = true;
}
break;
}
default:
break;
}
if(new_period)
{
g_anchor_start_idx = i;
}
//--- C. Compute the dynamic window size
int active_window_size = 0;
if(InpAnchor == ANCHOR_NONE)
{
active_window_size = InpLookback;
}
else
{
active_window_size = i - g_anchor_start_idx + 1;
}
//--- D. Calculate Z-Score
double z = g_calc.CalculateZScore(rates_total, i, active_window_size, g_sync_close_A, g_sync_close_B);
ExtZScoreBuffer[i] = z;
//--- 3. 5-Zone Thermal Color Mapping
if(z == 0.0)
{
ExtColorsBuffer[i] = 0.0; // Seed/Unstable bars stay Gray
}
else
if(z >= 2.0)
{
ExtColorsBuffer[i] = 2.0; // Index 2: OrangeRed (Sell Spread)
}
else
if(z >= 1.5)
{
ExtColorsBuffer[i] = 1.0; // Index 1: Coral (Sell Warning)
}
else
if(z <= -2.0)
{
ExtColorsBuffer[i] = 4.0; // Index 4: DeepSkyBlue (Buy Spread)
}
else
if(z <= -1.5)
{
ExtColorsBuffer[i] = 3.0; // Index 3: LightSkyBlue (Buy Warning)
}
else
{
ExtColorsBuffer[i] = 0.0; // Index 0: Gray (Neutral Noise)
}
}
return(rates_total);
}
//+------------------------------------------------------------------+
//| OnTimer |
//| Handles loading checks and force-redraws |
//+------------------------------------------------------------------+
void OnTimer()
{
if(!g_data_synced)
{
int required_bars = InpLookback + 5;
if(EnsureDataReady(InpSecondSymbol, _Period, required_bars))
{
g_data_synced = true;
ChartRedraw(); // Force MT5 to invoke OnCalculate
}
}
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
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