derivado de mnbvc188199/Warrior_EA
e9c562b39f
- Introduced `FeatureScale.mqh` with `FeatSquash` function for stateless feature scaling. - Added `RegimeMath.mqh` class for regime arithmetic, including efficiency and variance calculations. - Documented the Mind trading logic in `MIND.md`, detailing the trading process and modes. - Created `VOLNORM_PLAN.md` and `VOLNORM_RESULTS.md` for tick-volume normalization testing. - Implemented `read_book.py` for analyzing trade book data and correlations. - Developed `volnorm.py` for testing tick-volume normalization with new and old methods.
345 linhas
20 KiB
MQL5
345 linhas
20 KiB
MQL5
//+------------------------------------------------------------------+
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//| WyckoffFeed.mqh |
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//| AnimateDread |
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//| |
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//| THE ONE PLACE THE ADWyckoff INDICATOR API LIVES. |
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//| |
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//| Three custom indicators, three separate handles, one accessor. |
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//| Every iCustom parameter list, every buffer index and every |
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//| sentinel is stated here and nowhere else, because the indicators |
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//| are under active revision and their parameter counts have already |
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//| changed once (v4.x -> v5.5) while the callers went on passing the |
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//| old list. A wrong parameter ORDER is silent: MQL5 fills the |
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//| missing ones with defaults and the indicator computes something |
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//| plausible from the wrong numbers. |
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//| |
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//| VERSIONED BY BUFFER COUNT, checked at Create(). If an indicator |
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//| comes back with a different number of buffers than this file was |
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//| written against, the feed refuses to load and says so - it does |
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//| NOT read whatever is there. A shifted buffer map reads a real |
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//| number from the wrong column, which is the failure that cannot be |
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//| seen in a result. Refusing is recoverable; guessing is not. |
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//| |
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//| CAUSALITY. The indicators zero the forming bar and only advance |
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//| their state machine on closed bars (ADWyckoffEventStream.mq5:22, |
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//| and the write loop stamps bar si with the event detected AT si - |
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//| nothing is back-filled to the pivot that started it). So shift 1 |
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//| is the newest safely readable bar and every accessor here |
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//| defaults to it. Shift 0 is always zero by construction. |
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//+------------------------------------------------------------------+
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#ifndef WARRIOR_WYCKOFFFEED_MQH
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#define WARRIOR_WYCKOFFFEED_MQH
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#include <Indicators\Custom.mqh>
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//--- Indicator file names, relative to MQL5\Indicators
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#define WYK_IND_EVENTS "ADWyckoffEventStream"
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#define WYK_IND_FAILURE "ADWyckoffFailedStructure"
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#define WYK_IND_INVERSION "ADWyckoffSignificantBarInversion"
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//--- The buffer counts this file was written against. See the version note above.
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#define WYK_EVENTS_BUFFERS 29 // ADWyckoffEventStream v5.7 (26 + PF count and two PF targets)
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#define WYK_FAILURE_BUFFERS 5 // ADWyckoffFailedStructure v2.00
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#define WYK_INVERSION_BUFFERS 5 // ADWyckoffSignificantBarInversion v2.00
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//--- EventStream buffer map (SetIndexBuffer, ADWyckoffEventStream.mq5:1734-1746)
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#define WYK_B_EVENT 0 // sparse, -9..+9, 0 = no event
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#define WYK_B_PHASE 1 // persistent, phase * sign(direction), +-1..+-5 = A..E
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#define WYK_B_ZONE_TOP 2 // continuous while a range is open, 0 once it closes
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#define WYK_B_ZONE_BOTTOM 3
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#define WYK_B_EVENT_PRICE 4 // close on an event bar, else 0
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#define WYK_B_STRUCT_PHASE 5 // sparse, event-derived phase
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#define WYK_B_CHOCH_TR 6 // trend -> range change of character
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#define WYK_B_CHOCH_RT 7 // range -> trend
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#define WYK_B_SLOPE_A_BULL 8 // context flags, 0/1, mutually exclusive
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#define WYK_B_SLOPE_A_BEAR 9
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#define WYK_B_SLOPE_D_BULL 10
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#define WYK_B_SLOPE_D_BEAR 11
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#define WYK_B_REACC 12 // 0/1, only once resolved with the trend
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#define WYK_B_REDIS 13
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#define WYK_B_SPRING_GRADE 14 // +-1..+-3 on the shake bar, else 0
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#define WYK_B_CHARACTER 15 // +1 accumulation / -1 distribution / 0 not anchored
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#define WYK_B_TEST_PLACE 16 // +1 upper half / -1 below climax / 0 neutral
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#define WYK_B_AR_STRENGTH 17 // 1 when the AR reached 2x recent legs
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#define WYK_B_CREEK 18 // HELD levels - these do NOT reset to 0 when the range closes
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#define WYK_B_ICE 19
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#define WYK_B_RANGE_MID 20
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#define WYK_B_STOP_LONG 21 // Ice - tolerance
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#define WYK_B_STOP_SHORT 22 // Creek + tolerance
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#define WYK_B_TARGET_LONG 23 // Creek + range height
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#define WYK_B_TARGET_SHORT 24 // Ice - range height
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#define WYK_B_EVENT_LEVEL 25 // held close of the last event bar
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#define WYK_B_PF_COUNT 26 // v5.7: not read by any module yet
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#define WYK_B_TARGET_LONG_PF 27 // v5.7: not read by any module yet
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#define WYK_B_TARGET_SHORT_PF 28 // v5.7: not read by any module yet
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//--- FailedStructure buffer map
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#define WYK_F_VALUE 0 // signed quality, clamped +-2.5
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#define WYK_F_BULL_FAILURE 1 // 0/1
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#define WYK_F_BEAR_FAILURE 2
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#define WYK_F_FAILED_ACCUM 3
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#define WYK_F_FAILED_DISTRIB 4
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//--- SignificantBarInversion buffer map
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#define WYK_I_QUALITY 0 // signed, +bull / -bear, +-0..2, 0 when not significant
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#define WYK_I_BULL_SIG 1 // 0/1
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#define WYK_I_BEAR_SIG 2
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#define WYK_I_BULL_FLIP 3
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#define WYK_I_BEAR_FLIP 4
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//--- EVENT VOCABULARY. Defined in the indicator only as switch cases in EvName()
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//--- (ADWyckoffEventStream.mq5:435-445) - there is no enum to include, so it is mirrored here.
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//--- Sign is the structure's direction: + bullish, - bearish.
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#define WYK_EV_NONE 0
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#define WYK_EV_PS 1 // preliminary support / PSY preliminary supply
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#define WYK_EV_SC 2 // selling climax / BC buying climax
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#define WYK_EV_AR 3 // automatic rally / automatic reaction
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#define WYK_EV_ST 4 // secondary test
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#define WYK_EV_SPRING 5 // spring / UTAD upthrust after distribution
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#define WYK_EV_LPS 6 // last point of support / LPSY last point of supply
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#define WYK_EV_SOS 7 // sign of strength / SOW sign of weakness
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#define WYK_EV_TEST 8 // test
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#define WYK_EV_BU 9 // back-up / BD back-down
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//--- Phases carried on WYK_B_PHASE, signed by direction: 1=A 2=B 3=C 4=D 5=E
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#define WYK_PHASE_A 1
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#define WYK_PHASE_B 2
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#define WYK_PHASE_C 3
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#define WYK_PHASE_D 4
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#define WYK_PHASE_E 5
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//+------------------------------------------------------------------+
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//| CWyckoffFeed |
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//+------------------------------------------------------------------+
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class CWyckoffFeed
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{
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protected:
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CiCustom m_events;
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CiCustom m_failure;
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CiCustom m_inversion;
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bool m_ok;
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string m_why;
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string m_symbolName;
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ENUM_TIMEFRAMES m_periodValue;
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string m_createdFor; // "symbol/period" this feed was built for, "" if never built
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bool Build(CiCustom &ind, CIndicators *owner, const string name,
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const int wantBuffers, MqlParam ¶ms[]);
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public:
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CWyckoffFeed(void) : m_ok(false), m_why("not created"), m_createdFor("") {}
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~CWyckoffFeed(void) {}
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//--- Creates all three handles against `symbol`/`period` and registers them with `owner`.
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//--- Returns false and leaves Why() set if any one of them fails or reports the wrong width.
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bool Create(CIndicators *owner, const string symbol, const ENUM_TIMEFRAMES period,
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const int lookback = 50, const int zigzag = 3, const int arLegs = 3,
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const double boundaryTol = 0.50, const int maxRangeBars = 200);
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bool Ok(void) const { return m_ok; }
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string Why(void) const { return m_why; }
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string CreatedFor(void) const { return m_createdFor; }
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//--- Grow all three handles past the stdlib's 1024-bar buffer, for a caller that walks deep
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//--- history (the neural module's training sweep). Same contract as CWarriorSignal::
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//--- DeepenPrices(): grows only, and `size` must be bars that already exist or CSeries prints
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//--- a failure line. A feed left at its default still ANSWERS past shift 1023 - with 0.0 - and
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//--- zero is a legitimate "no structure here" for every one of these reads, so the shortfall
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//--- is indistinguishable from data unless the buffer is grown to match the caller's reach.
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bool Deepen(const int size);
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//--- Raw reads. Shift 1 = the newest CLOSED bar and the newest that carries anything.
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double Event(const int shift = 1) { return m_events.GetData(WYK_B_EVENT, shift); }
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double Phase(const int shift = 1) { return m_events.GetData(WYK_B_PHASE, shift); }
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double SpringGrade(const int shift = 1){ return m_events.GetData(WYK_B_SPRING_GRADE, shift);}
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double Character(const int shift = 1) { return m_events.GetData(WYK_B_CHARACTER, shift); }
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double TestPlace(const int shift = 1) { return m_events.GetData(WYK_B_TEST_PLACE, shift); }
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double ARStrength(const int shift = 1) { return m_events.GetData(WYK_B_AR_STRENGTH, shift);}
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double Reaccumulation(const int shift = 1) { return m_events.GetData(WYK_B_REACC, shift); }
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double Redistribution(const int shift = 1) { return m_events.GetData(WYK_B_REDIS, shift); }
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double ChochTrendToRange(const int shift = 1) { return m_events.GetData(WYK_B_CHOCH_TR, shift); }
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double ChochRangeToTrend(const int shift = 1) { return m_events.GetData(WYK_B_CHOCH_RT, shift); }
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//--- The four slope-context flags. Mutually exclusive by construction in the indicator
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//--- (ADWyckoffEventStream.mq5:1860-1863 picks exactly one branch), so at most one is ever 1.
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double SlopeAccumBull(const int shift = 1) { return m_events.GetData(WYK_B_SLOPE_A_BULL, shift); }
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double SlopeAccumBear(const int shift = 1) { return m_events.GetData(WYK_B_SLOPE_A_BEAR, shift); }
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double SlopeDistribBull(const int shift = 1){ return m_events.GetData(WYK_B_SLOPE_D_BULL, shift); }
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double SlopeDistribBear(const int shift = 1){ return m_events.GetData(WYK_B_SLOPE_D_BEAR, shift); }
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double ZoneTop(const int shift = 1) { return m_events.GetData(WYK_B_ZONE_TOP, shift); }
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double ZoneBottom(const int shift = 1) { return m_events.GetData(WYK_B_ZONE_BOTTOM, shift);}
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//--- HELD price levels. These persist after the range closes, so a non-zero value is NOT proof
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//--- that a range is currently open - test RangeOpen() when that matters.
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double Creek(const int shift = 1) { return m_events.GetData(WYK_B_CREEK, shift); }
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double Ice(const int shift = 1) { return m_events.GetData(WYK_B_ICE, shift); }
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double RangeMid(const int shift = 1) { return m_events.GetData(WYK_B_RANGE_MID, shift); }
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double StopLong(const int shift = 1) { return m_events.GetData(WYK_B_STOP_LONG, shift); }
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double StopShort(const int shift = 1) { return m_events.GetData(WYK_B_STOP_SHORT, shift); }
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double TargetLong(const int shift = 1) { return m_events.GetData(WYK_B_TARGET_LONG, shift);}
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double TargetShort(const int shift = 1){ return m_events.GetData(WYK_B_TARGET_SHORT, shift);}
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double FailValue(const int shift = 1) { return m_failure.GetData(WYK_F_VALUE, shift); }
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double BullFailure(const int shift = 1) { return m_failure.GetData(WYK_F_BULL_FAILURE, shift); }
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double BearFailure(const int shift = 1) { return m_failure.GetData(WYK_F_BEAR_FAILURE, shift); }
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double FailedAccum(const int shift = 1) { return m_failure.GetData(WYK_F_FAILED_ACCUM, shift); }
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double FailedDistrib(const int shift = 1){ return m_failure.GetData(WYK_F_FAILED_DISTRIB, shift); }
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double BarQuality(const int shift = 1) { return m_inversion.GetData(WYK_I_QUALITY, shift); }
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double BullBar(const int shift = 1) { return m_inversion.GetData(WYK_I_BULL_SIG, shift); }
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double BearBar(const int shift = 1) { return m_inversion.GetData(WYK_I_BEAR_SIG, shift); }
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double BullFlip(const int shift = 1) { return m_inversion.GetData(WYK_I_BULL_FLIP, shift);}
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double BearFlip(const int shift = 1) { return m_inversion.GetData(WYK_I_BEAR_FLIP, shift);}
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//--- Derived, so that no caller has to re-derive them differently.
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//--- The event CODE without its direction, and the direction on its own.
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int EventCode(const int shift = 1) { return (int)MathAbs(Event(shift)); }
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int EventDir(const int shift = 1)
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{
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const double e = Event(shift);
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return (e > 0.0) ? 1 : ((e < 0.0) ? -1 : 0);
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}
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//--- A range is OPEN only while both boundaries are being published; they zero when it closes.
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bool RangeOpen(const int shift = 1)
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{
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const double t = ZoneTop(shift), b = ZoneBottom(shift);
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return (t > 0.0 && b > 0.0 && t > b);
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}
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//--- Phase letter 1..5 and its direction, split out of the signed buffer.
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int PhaseLetter(const int shift = 1) { return (int)MathAbs(Phase(shift)); }
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int PhaseDir(const int shift = 1)
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{
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const double p = Phase(shift);
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return (p > 0.0) ? 1 : ((p < 0.0) ? -1 : 0);
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}
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};
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//+------------------------------------------------------------------+
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bool CWyckoffFeed::Build(CiCustom &ind, CIndicators *owner, const string name,
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const int wantBuffers, MqlParam ¶ms[])
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{
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if(owner == NULL)
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{
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m_why = "no indicator collection";
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return false;
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}
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if(!ind.NumBuffers(wantBuffers))
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{
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m_why = name + ": NumBuffers(" + IntegerToString(wantBuffers) + ") refused";
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return false;
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}
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if(!owner.Add(GetPointer(ind)))
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{
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m_why = name + ": could not be added to the indicator collection";
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return false;
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}
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if(!ind.Create(m_symbolName, m_periodValue, IND_CUSTOM, ArraySize(params), params))
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{
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m_why = name + ": Create() failed - is the indicator compiled and present in MQL5\\Indicators?";
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return false;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Create all three handles. |
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//| |
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//| The parameter lists are the indicators' OWN input order, checked |
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//| against source on 2026-09-10: |
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//| EventStream (9): Lookback, ZigZag, ARLegs, BoundaryTol, |
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//| MaxRangeBars, ShowLabels, ShowZones, |
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//| ShowPhases, ShowPanel |
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//| Failure (3): LookbackPeriod, ZigZagStrength, ShowMarkers |
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//| Inversion (2): Lookback, ShowMarkers |
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//| |
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//| Every display flag is passed FALSE. The EA's handle exists to be |
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//| read, not drawn; an indicator that also renders labels, zones, |
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//| phase bands and a panel on every tester bar costs real time and |
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//| draws objects nobody looks at. The operator's own chart copy is |
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//| a separate handle with its own inputs and is unaffected. |
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//+------------------------------------------------------------------+
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bool CWyckoffFeed::Create(CIndicators *owner, const string symbol, const ENUM_TIMEFRAMES period,
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const int lookback, const int zigzag, const int arLegs,
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const double boundaryTol, const int maxRangeBars)
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{
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m_ok = false;
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m_symbolName = symbol;
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m_periodValue = period;
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MqlParam ev[10];
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ev[0].type = TYPE_STRING; ev[0].string_value = WYK_IND_EVENTS;
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ev[1].type = TYPE_INT; ev[1].integer_value = lookback;
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ev[2].type = TYPE_INT; ev[2].integer_value = zigzag;
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ev[3].type = TYPE_INT; ev[3].integer_value = arLegs;
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ev[4].type = TYPE_DOUBLE; ev[4].double_value = boundaryTol;
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ev[5].type = TYPE_INT; ev[5].integer_value = maxRangeBars;
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ev[6].type = TYPE_BOOL; ev[6].integer_value = 0; // ShowLabels
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ev[7].type = TYPE_BOOL; ev[7].integer_value = 0; // ShowZones
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ev[8].type = TYPE_BOOL; ev[8].integer_value = 0; // ShowPhases
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ev[9].type = TYPE_BOOL; ev[9].integer_value = 0; // ShowPanel
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if(!Build(m_events, owner, WYK_IND_EVENTS, WYK_EVENTS_BUFFERS, ev))
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return false;
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MqlParam fs[4];
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fs[0].type = TYPE_STRING; fs[0].string_value = WYK_IND_FAILURE;
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fs[1].type = TYPE_INT; fs[1].integer_value = lookback;
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fs[2].type = TYPE_INT; fs[2].integer_value = zigzag;
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fs[3].type = TYPE_BOOL; fs[3].integer_value = 0; // ShowMarkers
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if(!Build(m_failure, owner, WYK_IND_FAILURE, WYK_FAILURE_BUFFERS, fs))
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return false;
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MqlParam sb[3];
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sb[0].type = TYPE_STRING; sb[0].string_value = WYK_IND_INVERSION;
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sb[1].type = TYPE_INT; sb[1].integer_value = lookback;
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sb[2].type = TYPE_BOOL; sb[2].integer_value = 0; // ShowMarkers
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if(!Build(m_inversion, owner, WYK_IND_INVERSION, WYK_INVERSION_BUFFERS, sb))
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return false;
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m_ok = true;
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m_why = "ok";
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m_createdFor = symbol + "/" + IntegerToString((int)period);
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PrintFormat("CWyckoffFeed: %s %s - EventStream(%d buf) FailedStructure(%d buf)"
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" SignificantBarInversion(%d buf) | lookback %d zigzag %d arLegs %d tol %.2f"
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" maxRange %d | reads shift 1 (newest closed bar)",
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symbol, EnumToString(period), WYK_EVENTS_BUFFERS, WYK_FAILURE_BUFFERS,
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WYK_INVERSION_BUFFERS, lookback, zigzag, arLegs, boundaryTol, maxRangeBars);
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return true;
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}
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//+------------------------------------------------------------------+
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bool CWyckoffFeed::Deepen(const int size)
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{
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if(!m_ok || size <= 0)
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return false;
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bool ok = true;
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if(size > m_events.BufferSize())
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ok = m_events.BufferResize(size) && ok;
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if(size > m_failure.BufferSize())
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ok = m_failure.BufferResize(size) && ok;
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if(size > m_inversion.BufferSize())
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ok = m_inversion.BufferResize(size) && ok;
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return ok;
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}
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//+------------------------------------------------------------------+
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//| ONE FEED PER CHART, SHARED BY EVERY WYCKOFF MODULE. |
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//| |
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//| Three modules read these indicators. Each building its own feed |
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//| would issue three identical iCustom requests - MT5 de-duplicates |
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//| handles with identical parameters, so it would work, but it also |
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//| prints the load line three times and makes "how many handles am I |
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//| holding" unanswerable from the log. More importantly it invites |
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//| the modules to drift apart: two feeds created with different |
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//| lookbacks are two different opinions wearing one name. |
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//| |
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//| Global, like g_metaLabel, and guarded by the symbol/period it was |
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//| built for so a chart change rebuilds it rather than silently |
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//| serving another instrument's numbers. |
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//+------------------------------------------------------------------+
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CWyckoffFeed g_wyckoffFeed;
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bool WyckoffFeedEnsure(CIndicators *owner, const string symbol, const ENUM_TIMEFRAMES period,
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const int lookback = 50, const int zigzag = 3, const int arLegs = 3,
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const double boundaryTol = 0.50, const int maxRangeBars = 200)
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{
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const string want = symbol + "/" + IntegerToString((int)period);
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if(g_wyckoffFeed.Ok() && g_wyckoffFeed.CreatedFor() == want)
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return true;
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return g_wyckoffFeed.Create(owner, symbol, period, lookback, zigzag, arLegs,
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boundaryTol, maxRangeBars);
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}
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#endif // WARRIOR_WYCKOFFFEED_MQH
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