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mql5/Indicators/MyIndicators/Quant/FDI_Pro.mq5
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//+------------------------------------------------------------------+
//| FDI_Pro.mq5 |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "2.20" // Enterprise Edition: High-Contrast Magenta Signal, Pure Brownian Normalization & O(1) ALU
#property description "Fractal Dimension Index (FDI) with High-Performance Multi-Timeframe Engine."
#property description "Measures curve complexity. Low = Persistent Trend, 1.50 = Random Walk, High = Anti-persistent Chop."
#property indicator_separate_window
#property indicator_buffers 3
#property indicator_plots 2
// Horizontal Visual Levels Declarations
#property indicator_level1 1.45
#property indicator_level2 1.50
#property indicator_level3 1.55
#property indicator_levelcolor clrSilver
#property indicator_levelstyle STYLE_DOT
// Plot 1: FDI Main Plot (Pre-allocated 3 color slots)
#property indicator_label1 "FDI"
#property indicator_type1 DRAW_COLOR_LINE
#property indicator_color1 clrDeepSkyBlue, clrGold, clrCrimson
#property indicator_style1 STYLE_SOLID
#property indicator_width1 2
// Plot 2: FDI Signal Line (High-contrast Magenta for dark & light templates)
#property indicator_label2 "Signal EMA"
#property indicator_type2 DRAW_LINE
#property indicator_color2 clrMagenta
#property indicator_style2 STYLE_SOLID
#property indicator_width2 2
#include <MyIncludes\FDI_Calculator.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
//--- Visual Style Selector
enum ENUM_FDI_VISUAL
{
VISUAL_FDI_LINE, // Dynamic Multi-Color Line (Clean Continuous Curve)
VISUAL_FDI_HISTOGRAM // Dynamic Color Histogram
};
//--- Input Parameters
input group "--- Timeframe Settings ---"
input ENUM_TIMEFRAMES InpTimeframe = PERIOD_CURRENT; // Calculation Timeframe (Current or HTF)
input group "--- FDI Settings ---"
input int InpPeriod = 30; // Analysis Window (N, recommended 20-50)
input ENUM_FDI_METHOD InpMethod = FDI_NORMALIZED_BROWNIAN;// Calculation Method (Brownian = True 1.50 baseline)
input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // Price Source
input int InpHistoryBars = 1000; // History Bars Limit (0 = Full Chart)
input group "--- Regime Thresholds ---"
input bool InpAutoThresholds = true; // Auto-Adapt Thresholds to chosen Period & Method
input double InpLevelTrend = 1.45; // Manual Trend Threshold (if Auto is false)
input double InpLevelChop = 1.55; // Manual Chop Threshold (if Auto is false)
input group "--- Visual Appearance ---"
input ENUM_FDI_VISUAL InpVisualType = VISUAL_FDI_LINE; // Display Mode (Line vs Histogram)
input color InpColorTrend = clrDeepSkyBlue; // Persistent Trend (Order)
input color InpColorRandom = clrGold; // Random Walk Equilibrium
input color InpColorChop = clrCrimson; // Anti-persistent Chop (Chaos)
input int InpWidthPlot = 2; // Main Plot Width
input group "--- Signal Line Settings ---"
input bool InpShowSignal = true; // Display Signal Line
input int InpSignalPeriod = 9; // Signal Smoothing EMA Period
input color InpColorSignal = clrMagenta; // Signal Line Color (High-Contrast Universal)
input ENUM_LINE_STYLE InpStyleSignal = STYLE_SOLID; // Signal Line Style
input int InpWidthSignal = 2; // Signal Line Width
//--- Visual Indicator Buffers
double BufFDI[];
double BufColor[];
double BufSignal[];
//--- Internal HTF Data Caches (Chronological Arrays)
double h_open[], h_high[], h_low[], h_close[];
double h_res_fdi[];
datetime h_time[];
//--- Global Objects & State Management
CFDICalculator *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;
double g_level_trend = 1.45;
double g_level_random = 1.50;
double g_level_chop = 1.55;
//+------------------------------------------------------------------+
//| 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, BufFDI, INDICATOR_DATA);
SetIndexBuffer(1, BufColor, INDICATOR_COLOR_INDEX);
SetIndexBuffer(2, BufSignal, INDICATOR_DATA);
ArraySetAsSeries(BufFDI, false);
ArraySetAsSeries(BufColor, false);
ArraySetAsSeries(BufSignal, false);
ArrayInitialize(BufFDI, EMPTY_VALUE);
ArrayInitialize(BufColor, 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. Initialize Calculation Engine
g_calc = new CFDICalculator();
if(CheckPointer(g_calc) == POINTER_INVALID || !g_calc.Init(InpPeriod, InpMethod))
{
Print("Critical Error: Failed to initialize CFDICalculator.");
return INIT_FAILED;
}
// 4. Auto-Calibrate Thresholds to the Exact Theoretical Distribution
if(InpAutoThresholds)
{
g_level_random = g_calc.GetTheoreticalRandomWalkD();
g_level_trend = g_level_random - 0.05;
g_level_chop = g_level_random + 0.05;
}
else
{
g_level_trend = InpLevelTrend;
g_level_random = 1.50;
g_level_chop = InpLevelChop;
}
// Configure Visual Appearance & Plot Type
if(InpVisualType == VISUAL_FDI_HISTOGRAM)
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
else
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
PlotIndexSetInteger(0, PLOT_LINE_WIDTH, InpWidthPlot);
// Assign 3 dynamic color slots
PlotIndexSetInteger(0, PLOT_COLOR_INDEXES, 3);
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 0, InpColorTrend); // Index 0: Trend (< g_level_trend)
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 1, InpColorRandom); // Index 1: Random (g_level_trend - g_level_chop)
PlotIndexSetInteger(0, PLOT_LINE_COLOR, 2, InpColorChop); // Index 2: Chop (> g_level_chop)
// 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 Threshold Levels on Subwindow
IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, g_level_trend);
IndicatorSetDouble(INDICATOR_LEVELVALUE, 1, g_level_random);
IndicatorSetDouble(INDICATOR_LEVELVALUE, 2, g_level_chop);
string tf_str = g_is_mtf_mode ? (" [" + EnumToString(g_calc_timeframe) + "]") : "";
string meth_str = (InpMethod == FDI_NORMALIZED_BROWNIAN) ? "Brownian" : ((InpMethod == FDI_CANONICAL_SEVCIK) ? "Sevcik" : "Classic");
string name = StringFormat("FDI%s(%d|%s)", tf_str, InpPeriod, meth_str);
IndicatorSetString(INDICATOR_SHORTNAME, name);
// 5. 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[])
{
if(rates_total < InpPeriod || !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, BufFDI, InpHistoryBars);
int start = (prev_calculated > 0) ? (prev_calculated - 1) : InpPeriod;
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 fdi = BufFDI[i];
if(fdi == EMPTY_VALUE)
{
BufColor[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
continue;
}
// Map Regimes using Auto-Calibrated Thresholds
if(fdi < g_level_trend)
BufColor[i] = 0.0; // Index 0: Persistent Trend (DeepSkyBlue)
else
if(fdi <= g_level_chop)
BufColor[i] = 1.0; // Index 1: Random Walk Equilibrium (Gold)
else
BufColor[i] = 2.0; // Index 2: Anti-persistent Chop (Crimson Red)
// Signal EMA Calculation
if(i == start || BufSignal[i - 1] == EMPTY_VALUE)
BufSignal[i] = fdi;
else
BufSignal[i] = BufSignal[i - 1] + alpha * (fdi - BufSignal[i - 1]);
}
return rates_total;
}
//===================================================================
// MODE 2: Multi-Timeframe Engine (High-Performance Fast-Path)
//===================================================================
int required_bars = InpPeriod + 10;
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_fdi, 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_fdi, 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 FDI Values
g_calc.Calculate(g_htf_count, 0, InpPrice, h_open, h_high, h_low, h_close, h_res_fdi, 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)
{
BufFDI[i] = EMPTY_VALUE;
BufColor[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
continue;
}
while(htf_ptr + 1 < g_htf_count && h_time[htf_ptr + 1] <= t)
htf_ptr++;
double fdi = h_res_fdi[htf_ptr];
BufFDI[i] = fdi;
if(fdi == EMPTY_VALUE)
{
BufColor[i] = 1.0;
BufSignal[i] = EMPTY_VALUE;
}
else
{
if(fdi < g_level_trend)
BufColor[i] = 0.0;
else
if(fdi <= g_level_chop)
BufColor[i] = 1.0;
else
BufColor[i] = 2.0;
if(i == 0 || BufSignal[i - 1] == EMPTY_VALUE)
BufSignal[i] = fdi;
else
BufSignal[i] = BufSignal[i - 1] + alpha * (fdi - 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_fdi, 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 fdi_val = h_res_fdi[live_idx];
double col_val = 1.0;
if(fdi_val != EMPTY_VALUE)
{
if(fdi_val < g_level_trend)
col_val = 0.0;
else
if(fdi_val <= g_level_chop)
col_val = 1.0;
else
col_val = 2.0;
}
for(int i = start; i < rates_total; i++)
{
BufFDI[i] = fdi_val;
BufColor[i] = col_val;
if(i > 0 && BufSignal[i - 1] != EMPTY_VALUE && fdi_val != EMPTY_VALUE)
BufSignal[i] = BufSignal[i - 1] + alpha * (fdi_val - BufSignal[i - 1]);
else
BufSignal[i] = fdi_val;
}
return rates_total;
}
//+------------------------------------------------------------------+
//| OnTimer Event Handler (Data Synchronization Daemon) |
//+------------------------------------------------------------------+
void OnTimer()
{
int required_bars = InpPeriod + 10;
CDataSync::OnTimerUpdate(_Symbol, g_calc_timeframe, required_bars, g_data_synced);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
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