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547 lines
21 KiB
Plaintext
547 lines
21 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Velocity_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 "4.10" // Enterprise Refactor: Zero-Lag MTF Fast-Path & Fused Kinematics
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#property description "Kinematic Velocity Vector vs. Speed Envelope Indicator."
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#property description "Displays Velocity (Histogram), Speed Envelopes, and customizable Signal Line with Native & MTF support."
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#property indicator_separate_window
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#property indicator_buffers 5
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#property indicator_plots 4
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//--- Plot 1: Velocity Histogram (Swapped Bull/Bear Thermal Palette)
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#property indicator_label1 "Velocity"
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#property indicator_type1 DRAW_COLOR_HISTOGRAM
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#property indicator_color1 clrGray, clrLightSkyBlue, clrDeepSkyBlue, clrCoral, clrOrangeRed
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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//--- Plot 2: Speed Positive (Top Envelope)
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#property indicator_label2 "Speed (+)"
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrDarkOrange
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#property indicator_style2 STYLE_SOLID
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#property indicator_width2 1
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//--- Plot 3: Speed Negative (Bottom Envelope)
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#property indicator_label3 "Speed (-)"
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#property indicator_type3 DRAW_LINE
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#property indicator_color3 clrDarkOrange
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#property indicator_style3 STYLE_SOLID
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#property indicator_width2 1
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//--- Plot 4: Optional Smoothed Signal Line
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#property indicator_label4 "Signal"
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#property indicator_type4 DRAW_LINE
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#property indicator_color4 clrFireBrick
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#property indicator_style4 STYLE_SOLID
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#property indicator_width4 1
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//--- Included Engines & Central Tools
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#include <MyIncludes\Velocity_Calculator.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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#include <MyIncludes\DataSync_Tools.mqh>
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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 "--- Velocity Kinematics Settings ---"
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input int InpVelPeriod = 3; // Velocity Vector Lookback
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input int InpATRPeriod = 14; // Volatility Base (ATR Period)
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input double InpThresholdLow = 0.3; // Low Threshold (Flow Zone)
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input double InpThresholdHigh = 1.0; // High Threshold (Climax Zone)
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input ENUM_APPLIED_PRICE_HA_ALL InpSourcePrice = PRICE_CLOSE_STD; // Velocity Price Source (Standard / HA)
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input ENUM_ATR_SOURCE InpATRSource = ATR_SOURCE_STANDARD; // ATR Volatility Source
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input group "--- Speed Envelope Settings ---"
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input bool InpShowSpeed = true; // Show Speed Envelope?
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input color InpColorSpeed = clrDarkOrange; // Speed Envelope Color
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input ENUM_LINE_STYLE InpStyleSpeed = STYLE_SOLID; // Speed Envelope Style
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input int InpWidthSpeed = 1; // Speed Envelope Width
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input group "--- Signal Line Settings ---"
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input bool InpShowSignal = true; // Show Signal Line?
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input int InpSignalPeriod = 5; // Signal Line Period
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input ENUM_MA_TYPE InpSignalType = EMA; // Signal Line MA Type
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input color InpColorSignal = clrFireBrick; // Signal Line Color
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input group "--- Indicator Levels ---"
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input double InpLevelClimaxPos = 1.0; // Positive Climax Level
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input double InpLevelFlowPos = 0.3; // Positive Flow Level
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input double InpLevelFlowNeg =-0.3; // Negative Flow Level
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input double InpLevelClimaxNeg =-1.0; // Negative Climax Level
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input color InpLevelColor = clrSilver; // Level Lines Color
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input ENUM_LINE_STYLE InpLevelStyle = STYLE_DOT; // Level Lines Style
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//--- Visual Indicator Buffers ---
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double BufVel[];
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double BufCol[];
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double BufSpeedPos[];
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double BufSpeedNeg[];
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double BufSignal[];
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//--- Volume Cache (For Current Timeframe VWMA)
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double g_double_volume[];
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//--- Internal HTF Data Caches (Chronological Arrays)
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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_vel[], h_res_col[];
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double h_res_sp_pos[], h_res_sp_neg[], h_res_sig[];
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datetime h_time[];
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//--- Global Objects & State Management
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CVelocityCalculator *g_velocity_calc = NULL;
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CMovingAverageCalculator *g_signal_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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//+------------------------------------------------------------------+
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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, BufVel, INDICATOR_DATA);
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SetIndexBuffer(1, BufCol, INDICATOR_COLOR_INDEX);
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SetIndexBuffer(2, BufSpeedPos, INDICATOR_DATA);
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SetIndexBuffer(3, BufSpeedNeg, INDICATOR_DATA);
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SetIndexBuffer(4, BufSignal, INDICATOR_DATA);
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ArraySetAsSeries(BufVel, false);
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ArraySetAsSeries(BufCol, false);
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ArraySetAsSeries(BufSpeedPos, false);
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ArraySetAsSeries(BufSpeedNeg, false);
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ArraySetAsSeries(BufSignal, false);
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ArrayInitialize(BufVel, 0.0);
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ArrayInitialize(BufCol, 0.0);
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ArrayInitialize(BufSpeedPos, EMPTY_VALUE);
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ArrayInitialize(BufSpeedNeg, EMPTY_VALUE);
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ArrayInitialize(BufSignal, EMPTY_VALUE);
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PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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PlotIndexSetDouble(2, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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PlotIndexSetDouble(3, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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// 3. Configure Speed Envelopes Visuals
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if(InpShowSpeed)
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{
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PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_LINE);
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PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorSpeed);
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PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleSpeed);
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PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthSpeed);
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PlotIndexSetString(1, PLOT_LABEL, "Speed (+)");
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PlotIndexSetInteger(2, PLOT_DRAW_TYPE, DRAW_LINE);
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PlotIndexSetInteger(2, PLOT_LINE_COLOR, InpColorSpeed);
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PlotIndexSetInteger(2, PLOT_LINE_STYLE, InpStyleSpeed);
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PlotIndexSetInteger(2, PLOT_LINE_WIDTH, InpWidthSpeed);
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PlotIndexSetString(2, PLOT_LABEL, "Speed (-)");
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}
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else
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{
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PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_NONE);
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PlotIndexSetString(1, PLOT_LABEL, NULL);
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PlotIndexSetInteger(2, PLOT_DRAW_TYPE, DRAW_NONE);
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PlotIndexSetString(2, PLOT_LABEL, NULL);
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}
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// 4. Configure Optional Signal Line
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if(InpShowSignal)
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{
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PlotIndexSetInteger(3, PLOT_DRAW_TYPE, DRAW_LINE);
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PlotIndexSetInteger(3, PLOT_LINE_COLOR, InpColorSignal);
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PlotIndexSetString(3, PLOT_LABEL, "Signal");
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g_signal_calculator = new CMovingAverageCalculator();
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if(CheckPointer(g_signal_calculator) == POINTER_INVALID ||
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!g_signal_calculator.Init(InpSignalPeriod, InpSignalType))
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{
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Print("Critical Error: Failed to initialize Signal Line Calculator Engine.");
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return INIT_FAILED;
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}
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}
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else
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{
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PlotIndexSetInteger(3, PLOT_DRAW_TYPE, DRAW_NONE);
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PlotIndexSetString(3, PLOT_LABEL, NULL);
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}
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// 5. Configure 4 Kinematic Levels
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IndicatorSetInteger(INDICATOR_LEVELS, 4);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, InpLevelClimaxPos);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 1, InpLevelFlowPos);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 2, InpLevelFlowNeg);
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IndicatorSetDouble(INDICATOR_LEVELVALUE, 3, InpLevelClimaxNeg);
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IndicatorSetInteger(INDICATOR_LEVELCOLOR, InpLevelColor);
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IndicatorSetInteger(INDICATOR_LEVELSTYLE, InpLevelStyle);
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int warmup = InpATRPeriod + InpVelPeriod;
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int draw_begin = warmup + InpSignalPeriod + 2;
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if(g_is_mtf_mode)
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draw_begin = 0;
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PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, draw_begin);
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PlotIndexSetInteger(1, PLOT_DRAW_BEGIN, draw_begin);
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PlotIndexSetInteger(2, PLOT_DRAW_BEGIN, draw_begin);
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PlotIndexSetInteger(3, PLOT_DRAW_BEGIN, draw_begin);
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IndicatorSetInteger(INDICATOR_DIGITS, 3);
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// 6. Initialize Core Velocity Engine
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g_velocity_calc = new CVelocityCalculator();
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if(CheckPointer(g_velocity_calc) == POINTER_INVALID ||
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!g_velocity_calc.Init(InpVelPeriod, InpATRPeriod, InpSourcePrice, InpATRSource))
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{
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Print("Critical Error: Failed to initialize Velocity Calculator Engine.");
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return INIT_FAILED;
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}
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string ha_tag = (InpSourcePrice <= PRICE_HA_CLOSE) ? " HA" : "";
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string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
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string sig_str = "";
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if(InpShowSignal)
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{
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string sig_name = EnumToString(InpSignalType);
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StringToUpper(sig_name);
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sig_str = StringFormat(" | %s(%d)", sig_name, InpSignalPeriod);
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}
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string short_name = StringFormat("Velocity%s%s(V%d, ATR%d)%s",
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ha_tag, tf_str,
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InpVelPeriod, InpATRPeriod,
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sig_str);
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IndicatorSetString(INDICATOR_SHORTNAME, short_name);
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PlotIndexSetString(0, PLOT_LABEL, "Velocity");
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// 7. 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_velocity_calc) != POINTER_INVALID)
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{
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delete g_velocity_calc;
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g_velocity_calc = NULL;
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}
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if(CheckPointer(g_signal_calculator) != POINTER_INVALID)
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{
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delete g_signal_calculator;
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g_signal_calculator = NULL;
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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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int warmup = InpATRPeriod + InpVelPeriod;
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int required_bars = warmup + InpSignalPeriod + 10;
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if(rates_total < required_bars || g_velocity_calc == NULL)
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return 0;
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// Force chronological indexing
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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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long volume_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
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if(ArraySize(g_double_volume) != rates_total)
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{
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ArrayResize(g_double_volume, rates_total);
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ArraySetAsSeries(g_double_volume, false);
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}
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int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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if(volume_limit > 0)
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{
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for(int i = start_sync; i < rates_total; i++)
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g_double_volume[i] = (double)volume[i];
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}
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else
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{
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for(int i = start_sync; i < rates_total; i++)
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g_double_volume[i] = (double)tick_volume[i];
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}
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// 1. Compute Velocity & Speed Envelopes in O(1)
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g_velocity_calc.Calculate(rates_total, prev_calculated, open, high, low, close,
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BufVel, BufCol, BufSpeedPos, BufSpeedNeg,
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InpThresholdLow, InpThresholdHigh);
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// 2. Compute Signal MA Line
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if(InpShowSignal && g_signal_calculator != NULL)
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{
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g_signal_calculator.CalculateOnArray(rates_total, prev_calculated, BufVel, g_double_volume, BufSignal, warmup);
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}
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else
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{
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for(int i = start_sync; i < rates_total; i++)
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BufSignal[i] = EMPTY_VALUE;
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}
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return rates_total;
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}
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//===================================================================
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// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
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//===================================================================
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if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
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{
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g_data_synced = false;
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return 0;
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}
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g_data_synced = true;
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datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
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bool htf_updated = (htf_time_current != g_last_htf_time);
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// A) HTF Bar Closure / Startup: Perform full history sync once
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if(htf_updated || prev_calculated == 0)
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{
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g_last_htf_time = htf_time_current;
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int htf_bars = iBars(_Symbol, g_calc_timeframe);
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if(htf_bars < required_bars)
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{
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g_data_ready = false;
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return 0;
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}
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g_htf_count = MathMin(htf_bars, 3000); // Memory safeguard
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// Resize all HTF caching arrays
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ArrayResize(h_time, g_htf_count);
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ArrayResize(h_open, g_htf_count);
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ArrayResize(h_high, g_htf_count);
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ArrayResize(h_low, g_htf_count);
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ArrayResize(h_close, g_htf_count);
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ArrayResize(h_tick_vol, g_htf_count);
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ArrayResize(h_vol, g_htf_count);
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ArrayResize(h_res_vel, g_htf_count);
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ArrayResize(h_res_col, g_htf_count);
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ArrayResize(h_res_sp_pos, g_htf_count);
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ArrayResize(h_res_sp_neg, g_htf_count);
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ArrayResize(h_res_sig, g_htf_count);
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ArraySetAsSeries(h_time, false);
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ArraySetAsSeries(h_open, false);
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ArraySetAsSeries(h_high, false);
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ArraySetAsSeries(h_low, false);
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ArraySetAsSeries(h_close, false);
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ArraySetAsSeries(h_tick_vol, false);
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ArraySetAsSeries(h_vol, false);
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ArraySetAsSeries(h_res_vel, false);
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ArraySetAsSeries(h_res_col, false);
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ArraySetAsSeries(h_res_sp_pos, false);
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ArraySetAsSeries(h_res_sp_neg, false);
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ArraySetAsSeries(h_res_sig, false);
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if(CopyTime(_Symbol, g_calc_timeframe, 0, g_htf_count, h_time) != g_htf_count ||
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CopyOpen(_Symbol, g_calc_timeframe, 0, g_htf_count, h_open) != g_htf_count ||
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CopyHigh(_Symbol, g_calc_timeframe, 0, g_htf_count, h_high) != g_htf_count ||
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CopyLow(_Symbol, g_calc_timeframe, 0, g_htf_count, h_low) != g_htf_count ||
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CopyClose(_Symbol, g_calc_timeframe, 0, g_htf_count, h_close) != g_htf_count ||
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CopyTickVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_tick_vol) != g_htf_count)
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{
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g_data_ready = false;
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return 0;
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}
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long vol_limit = (long)SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_LIMIT);
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if(vol_limit > 0)
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CopyRealVolume(_Symbol, g_calc_timeframe, 0, g_htf_count, h_vol);
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else
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ArrayCopy(h_vol, h_tick_vol, 0, 0, g_htf_count);
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// Compute HTF Velocity & Envelopes across history
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g_velocity_calc.Calculate(g_htf_count, 0, h_open, h_high, h_low, h_close,
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h_res_vel, h_res_col, h_res_sp_pos, h_res_sp_neg,
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InpThresholdLow, InpThresholdHigh);
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if(InpShowSignal && g_signal_calculator != NULL)
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{
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double htf_double_vol[];
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ArrayResize(htf_double_vol, g_htf_count);
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ArraySetAsSeries(htf_double_vol, false);
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for(int k = 0; k < g_htf_count; k++)
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htf_double_vol[k] = (double)h_vol[k];
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g_signal_calculator.CalculateOnArray(g_htf_count, 0, h_res_vel, htf_double_vol, h_res_sig, warmup);
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}
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g_data_ready = true;
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// Full Historical Projection to Chart Buffers (Only on new HTF candle)
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for(int i = 0; i < rates_total; i++)
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{
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datetime t = time[i];
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int shift_htf = iBarShift(_Symbol, g_calc_timeframe, t, false);
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if(shift_htf >= 0)
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{
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int idx_htf = g_htf_count - 1 - shift_htf;
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if(idx_htf >= 0 && idx_htf < g_htf_count)
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{
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BufVel[i] = h_res_vel[idx_htf];
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BufCol[i] = h_res_col[idx_htf];
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BufSpeedPos[i] = InpShowSpeed ? h_res_sp_pos[idx_htf] : EMPTY_VALUE;
|
|
BufSpeedNeg[i] = InpShowSpeed ? h_res_sp_neg[idx_htf] : EMPTY_VALUE;
|
|
BufSignal[i] = InpShowSignal ? h_res_sig[idx_htf] : EMPTY_VALUE;
|
|
}
|
|
else
|
|
{
|
|
BufVel[i] = 0.0;
|
|
BufCol[i] = 0.0;
|
|
BufSpeedPos[i] = EMPTY_VALUE;
|
|
BufSpeedNeg[i] = EMPTY_VALUE;
|
|
BufSignal[i] = EMPTY_VALUE;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
BufVel[i] = 0.0;
|
|
BufCol[i] = 0.0;
|
|
BufSpeedPos[i] = EMPTY_VALUE;
|
|
BufSpeedNeg[i] = EMPTY_VALUE;
|
|
BufSignal[i] = EMPTY_VALUE;
|
|
}
|
|
}
|
|
return rates_total;
|
|
}
|
|
|
|
if(!g_data_ready)
|
|
return 0;
|
|
|
|
// B) LIVE TICK FAST-PATH: HTF bar did not close. Update strictly forming block!
|
|
int live_idx = g_htf_count - 1;
|
|
if(live_idx >= required_bars)
|
|
{
|
|
MqlRates htf_rate[1];
|
|
// Single atomic API call instead of 6 separate copies!
|
|
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;
|
|
h_vol[live_idx] = (htf_rate[0].real_volume > 0) ? htf_rate[0].real_volume : htf_rate[0].tick_volume;
|
|
|
|
// Mock update strictly on forming candle
|
|
g_velocity_calc.Calculate(g_htf_count, g_htf_count, h_open, h_high, h_low, h_close,
|
|
h_res_vel, h_res_col, h_res_sp_pos, h_res_sp_neg,
|
|
InpThresholdLow, InpThresholdHigh);
|
|
|
|
if(InpShowSignal && g_signal_calculator != NULL)
|
|
{
|
|
double htf_double_vol[];
|
|
ArrayResize(htf_double_vol, g_htf_count);
|
|
ArraySetAsSeries(htf_double_vol, false);
|
|
for(int k = 0; k < g_htf_count; k++)
|
|
htf_double_vol[k] = (double)h_vol[k];
|
|
|
|
g_signal_calculator.CalculateOnArray(g_htf_count, g_htf_count, h_res_vel, htf_double_vol, h_res_sig, warmup);
|
|
}
|
|
}
|
|
}
|
|
|
|
// 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)
|
|
double vel_val = h_res_vel[live_idx];
|
|
double col_val = h_res_col[live_idx];
|
|
double sp_pos_val = InpShowSpeed ? h_res_sp_pos[live_idx] : EMPTY_VALUE;
|
|
double sp_neg_val = InpShowSpeed ? h_res_sp_neg[live_idx] : EMPTY_VALUE;
|
|
double sig_val = InpShowSignal ? h_res_sig[live_idx] : EMPTY_VALUE;
|
|
|
|
for(int i = start; i < rates_total; i++)
|
|
{
|
|
BufVel[i] = vel_val;
|
|
BufCol[i] = col_val;
|
|
BufSpeedPos[i] = sp_pos_val;
|
|
BufSpeedNeg[i] = sp_neg_val;
|
|
BufSignal[i] = sig_val;
|
|
}
|
|
|
|
return rates_total;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| OnTimer Event Handler (Data Synchronization Daemon) |
|
|
//+------------------------------------------------------------------+
|
|
void OnTimer()
|
|
{
|
|
int warmup = InpATRPeriod + InpVelPeriod;
|
|
int required_bars = warmup + InpSignalPeriod + 10;
|
|
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//+------------------------------------------------------------------+
|