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mql5/Indicators/MyIndicators/Quant/Entropy_Pro.mq5
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//+------------------------------------------------------------------+
//| Entropy_Pro.mq5 |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "2.30" // Fixed: 0.0 Baseline Anchor, 3-Color Slot Allocation & Dual Visual Mode
#property description "Institutional Sample Entropy (SampEn) with Multi-Timeframe Support."
#property description "Measures market structural order. Low = Clean Trend / Squeeze, High = Chaotic Noise."
#property indicator_separate_window
#property indicator_buffers 3
#property indicator_plots 2
// Horizontal Visual Levels Declarations
#property indicator_level1 0.8
#property indicator_level2 1.3
#property indicator_levelcolor clrSilver
#property indicator_levelstyle STYLE_DOT
// Plot 1: Entropy Main Plot (Pre-allocating 3 color slots is MANDATORY in MT5!)
#property indicator_label1 "SampEn"
#property indicator_type1 DRAW_COLOR_HISTOGRAM
#property indicator_color1 clrDeepSkyBlue, clrGold, clrCrimson
#property indicator_style1 STYLE_SOLID
// Plot 2: Entropy Signal Line
#property indicator_label2 "Signal EMA"
#property indicator_type2 DRAW_LINE
#property indicator_color2 clrSlateGray
#property indicator_style2 STYLE_SOLID
#property indicator_width2 1
#include <MyIncludes\Entropy_Calculator.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
//--- Visual Style Selector
enum ENUM_ENTROPY_VISUAL
{
VISUAL_HISTOGRAM, // Dynamic Color Histogram (Anchored strictly at 0.0)
VISUAL_LINE // Dynamic Color Line (Clean Continuous Curve)
};
//--- Input Parameters
input group "--- Timeframe Settings ---"
input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF)
input group "--- Entropy Settings ---"
input int InpPeriod = 50; // Analysis Window (N, recommended 40-80)
input int InpDim = 2; // Pattern Length (m)
input double InpTol = 0.30; // Tolerance Multiplier (r * StdDev)
input ENUM_ENTROPY_MODE InpEntropyMode = ENTROPY_DETRENDED; // Calculation Mode (Detrended preserves trends!)
input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // Applied Price
input int InpHistoryBars = 1000; // History Bars Limit (0 = Full Chart)
input group "--- Regime Thresholds ---"
input double InpLevelOrder = 0.8; // Order Threshold (Below = Trend / Squeeze)
input double InpLevelChaos = 1.3; // Chaos Threshold (Above = Noise / Chop)
input group "--- Visual Appearance ---"
input ENUM_ENTROPY_VISUAL InpVisualType = VISUAL_HISTOGRAM; // Display Mode (Histogram vs Line)
input color InpColorOrder = clrDeepSkyBlue; // Low Entropy / Order (Trend / Squeeze)
input color InpColorNeutral = clrGold; // Normal Entropy (Transition Equilibrium)
input color InpColorChaos = clrCrimson; // High Entropy / Chaos (Noise / Chop)
input int InpWidthPlot = 2; // Main Plot Width
input group "--- Signal Line Settings ---"
input bool InpShowSignal = true; // Display Signal Line on Chart
input int InpSignalPeriod = 9; // Signal Smoothing EMA Period
input color InpColorSignal = clrSlateGray; // Signal Line Color
input ENUM_LINE_STYLE InpStyleSignal = STYLE_SOLID; // Signal Line Style
input int InpWidthSignal = 1; // Signal Line Width
//--- Visual Indicator Buffers
double BufEn[];
double BufCol[];
double BufSignal[];
//--- Internal HTF Data Caches (Chronological Arrays)
double h_open[], h_high[], h_low[], h_close[];
double h_res_en[];
datetime h_time[];
//--- Global Objects & State Management
CEntropyCalculator *g_calc = NULL;
bool g_is_mtf_mode = false;
ENUM_TIMEFRAMES g_calc_timeframe;
bool g_data_ready = false;
bool g_data_synced = false;
int g_htf_count = 0;
datetime g_last_htf_time = 0;
//+------------------------------------------------------------------+
//| Custom Indicator Initialization |
//+------------------------------------------------------------------+
int OnInit()
{
g_data_ready = false;
g_data_synced = false;
g_htf_count = 0;
g_last_htf_time = 0;
// 1. Resolve Timeframe and validate direction
g_calc_timeframe = InpTimeframe;
if(g_calc_timeframe == PERIOD_CURRENT)
g_calc_timeframe = (ENUM_TIMEFRAMES)Period();
if(g_calc_timeframe < Period())
{
PrintFormat("Critical Error: Target timeframe (%s) must be >= current timeframe (%s).",
EnumToString(g_calc_timeframe), EnumToString(Period()));
return INIT_PARAMETERS_INCORRECT;
}
g_is_mtf_mode = (g_calc_timeframe > Period());
// 2. Setup Buffers & Chronological Indexing
SetIndexBuffer(0, BufEn, INDICATOR_DATA);
SetIndexBuffer(1, BufCol, INDICATOR_COLOR_INDEX);
SetIndexBuffer(2, BufSignal, INDICATOR_DATA);
ArraySetAsSeries(BufEn, false);
ArraySetAsSeries(BufCol, false);
ArraySetAsSeries(BufSignal, false);
ArrayInitialize(BufEn, EMPTY_VALUE);
ArrayInitialize(BufCol, 0.0);
ArrayInitialize(BufSignal, EMPTY_VALUE);
PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE);
IndicatorSetInteger(INDICATOR_DIGITS, 3);
// 3. Anchor Subwindow Base strictly at 0.0 (Prevents floating histogram!)
IndicatorSetDouble(INDICATOR_MINIMUM, 0.0);
// 4. Configure Dynamic Plot Type (Histogram vs Line)
if(InpVisualType == VISUAL_HISTOGRAM)
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
else
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthPlot);
// Pre-allocate and assign the 3 color table slots
PlotIndexSetInteger(0, PLOT_COLOR_INDEXES, 3);
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 0, InpColorOrder); // Color Index 0: Order
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 1, InpColorNeutral); // Color Index 1: Transition
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 2, InpColorChaos); // Color Index 2: Chaos
// Configure Signal Line Visibility & Style
if(!InpShowSignal)
{
PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_NONE);
}
else
{
PlotIndexSetInteger(1, PLOT_DRAW_TYPE, DRAW_LINE);
PlotIndexSetInteger(1, PLOT_LINE_COLOR, InpColorSignal);
PlotIndexSetInteger(1, PLOT_LINE_STYLE, InpStyleSignal);
PlotIndexSetInteger(1, PLOT_LINE_WIDTH, InpWidthSignal);
}
// Configure Dynamic Horizontal Threshold Levels
IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, InpLevelOrder);
IndicatorSetDouble(INDICATOR_LEVELVALUE, 1, InpLevelChaos);
// 5. Initialize Calculation Engine
g_calc = new CEntropyCalculator();
if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpPeriod, InpDim, InpTol, InpEntropyMode))
{
Print("Critical Error: Failed to initialize CEntropyCalculator.");
return INIT_FAILED;
}
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string mode_str = (InpEntropyMode == ENTROPY_DETRENDED) ? "Detrended" : ((InpEntropyMode == ENTROPY_LOG_RETURNS) ? "Returns" : "Raw");
string name = StringFormat("SampEn%s(%d,m=%d,r=%.2f|%s)", tf_str, InpPeriod, InpDim, InpTol, mode_str);
IndicatorSetString(INDICATOR_SHORTNAME, name);
// 6. Background Timer for MTF synchronization
if(g_is_mtf_mode)
EventSetTimer(1);
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Custom Indicator Deinitialization |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
if(g_is_mtf_mode)
EventKillTimer();
if(CheckPointer(g_calc) != POINTER_INVALID)
{
delete g_calc;
g_calc = NULL;
}
}
//+------------------------------------------------------------------+
//| Custom Indicator Calculation Loop |
//+------------------------------------------------------------------+
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 = InpPeriod + InpDim + 5;
if(rates_total < required_bars || !g_calc)
return 0;
// Force chronological indexing
ArraySetAsSeries(time, false);
ArraySetAsSeries(open, false);
ArraySetAsSeries(high, false);
ArraySetAsSeries(low, false);
ArraySetAsSeries(close, false);
double alpha = 2.0 / (double)(InpSignalPeriod + 1);
//===================================================================
// MODE 1: Direct Current Timeframe Calculation (Zero-Lag O(1))
//===================================================================
if(!g_is_mtf_mode)
{
g_calc.Calculate(rates_total, prev_calculated, InpPrice, open, high, low, close, BufEn, InpHistoryBars);
int start = (prev_calculated > 0) ? (prev_calculated - 1) : required_bars;
if(InpHistoryBars > 0 && prev_calculated == 0)
{
int limit_start = rates_total - InpHistoryBars;
if(limit_start > start)
start = limit_start;
}
// Dynamic Color Indexing & Signal Smoothing
for(int i = start; i < rates_total; i++)
{
double en = BufEn[i];
if(en == EMPTY_VALUE)
{
BufCol[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
continue;
}
// Dynamic Color Assignment across 3 active slots
if(en < InpLevelOrder)
BufCol[i] = 0.0; // Index 0: InpColorOrder (DeepSkyBlue)
else
if(en <= InpLevelChaos)
BufCol[i] = 1.0; // Index 1: InpColorNeutral (Gold)
else
BufCol[i] = 2.0; // Index 2: InpColorChaos (Crimson Red)
// Signal EMA Calculation
if(i == start || BufSignal[i - 1] == EMPTY_VALUE)
BufSignal[i] = en;
else
BufSignal[i] = BufSignal[i - 1] + alpha * (en - BufSignal[i - 1]);
}
return rates_total;
}
//===================================================================
// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
//===================================================================
if(!CDataSync::EnsureHTFDataReady(_Symbol, g_calc_timeframe, required_bars))
{
g_data_synced = false;
return 0;
}
g_data_synced = true;
datetime htf_time_current = iTime(_Symbol, g_calc_timeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
// 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 < required_bars)
{
g_data_ready = false;
return 0;
}
g_htf_count = MathMin(htf_bars, 2000);
// 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_res_en, 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_res_en, 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;
}
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;
}
// Compute HTF Entropy Values
g_calc.Calculate(g_htf_count, 0, InpPrice, h_open, h_high, h_low, h_close, h_res_en, InpHistoryBars);
g_data_ready = true;
// TWO-POINTER CHRONOLOGICAL SWEEP (Zero API calls, Nanosecond Execution!)
int htf_ptr = 0;
datetime oldest_htf = h_time[0];
for(int i = 0; i < rates_total; i++)
{
datetime t = time[i];
if(t < oldest_htf)
{
BufEn[i] = EMPTY_VALUE;
BufCol[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
continue;
}
while(htf_ptr + 1 < g_htf_count && h_time[htf_ptr + 1] <= t)
htf_ptr++;
double en = h_res_en[htf_ptr];
BufEn[i] = en;
if(en == EMPTY_VALUE)
{
BufCol[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
}
else
{
if(en < InpLevelOrder)
BufCol[i] = 0.0;
else
if(en <= InpLevelChaos)
BufCol[i] = 1.0;
else
BufCol[i] = 2.0;
if(i == 0 || BufSignal[i - 1] == EMPTY_VALUE)
BufSignal[i] = en;
else
BufSignal[i] = BufSignal[i - 1] + alpha * (en - BufSignal[i - 1]);
}
}
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 >= required_bars)
{
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;
// Mock incremental calculation strictly on forming HTF bar
g_calc.Calculate(g_htf_count, g_htf_count, InpPrice, h_open, h_high, h_low, h_close, h_res_en, InpHistoryBars);
}
}
// Instant Binary Search for Forming Block Start
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;
// Vectorized Assignment across forming block
double en_val = h_res_en[live_idx];
double col_val = 1.0;
if(en_val != EMPTY_VALUE)
{
if(en_val < InpLevelOrder)
col_val = 0.0;
else
if(en_val <= InpLevelChaos)
col_val = 1.0;
else
col_val = 2.0;
}
for(int i = start; i < rates_total; i++)
{
BufEn[i] = en_val;
BufCol[i] = col_val;
if(i > 0 && BufSignal[i - 1] != EMPTY_VALUE && en_val != EMPTY_VALUE)
BufSignal[i] = BufSignal[i - 1] + alpha * (en_val - BufSignal[i - 1]);
else
BufSignal[i] = en_val;
}
return rates_total;
}
//+------------------------------------------------------------------+
//| OnTimer Event Handler (Data Synchronization Daemon) |
//+------------------------------------------------------------------+
void OnTimer()
{
int required_bars = InpPeriod + InpDim + 5;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
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