Warrior_EA/System/NewsRelevance.mqh

//+------------------------------------------------------------------+
//|                                              NewsRelevance.mqh   |
//|                                                     AnimateDread |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "AnimateDread"
#property link      "https://www.mql5.com"
//--- Module-scope cache: a symbol's currency composition never changes at runtime, and
//--- CalendarCountries() enumerating every country in the terminal's calendar database on every
//--- call (both the live NewsFilter veto and, per-bar, the NN news feature) would be pure waste.
string g_newsRelevanceCachedSymbol = "";
string g_newsRelevanceCountryCodes[];
//+------------------------------------------------------------------+
//| Builds the ISO country codes relevant to symbol's base+quote      |
//| currency (e.g. EURUSD -> every Eurozone country + the US) by      |
//| cross-referencing CalendarCountries() against                     |
//| SYMBOL_CURRENCY_BASE/SYMBOL_CURRENCY_PROFIT. This is what          |
//| CalendarValueHistory()'s country_code filter needs to actually    |
//| scope news to the traded symbol, instead of vetoing/scoring on     |
//| ANY country's events regardless of relevance.                     |
//+------------------------------------------------------------------+
void GetRelevantCountryCodes(string symbol, string &countryCodes[])
  {
   if(symbol == g_newsRelevanceCachedSymbol)
     {
      ArrayCopy(countryCodes, g_newsRelevanceCountryCodes);
      return;
     }
   ArrayResize(countryCodes, 0);
   string baseCcy = SymbolInfoString(symbol, SYMBOL_CURRENCY_BASE);
   string profitCcy = SymbolInfoString(symbol, SYMBOL_CURRENCY_PROFIT);
   MqlCalendarCountry countries[];
   int total = CalendarCountries(countries);
   for(int i = 0; i < total; i++)
     {
      if(countries[i].currency == baseCcy || countries[i].currency == profitCcy)
        {
         int n = ArraySize(countryCodes);
         ArrayResize(countryCodes, n + 1);
         countryCodes[n] = countries[i].code;
        }
     }
   g_newsRelevanceCachedSymbol = symbol;
   ArrayCopy(g_newsRelevanceCountryCodes, countryCodes);
  }
//+------------------------------------------------------------------+
//| Impact-weighted proximity, in [0,1], to the CLOSEST relevant       |
//| (symbol-currency-matched) calendar event on one side of pivotTime: |
//| searchForward=false looks backward (recency - "how close was the   |
//| last relevant release"), true looks forward (proximity to the      |
//| next SCHEDULED relevant release - legitimate to use even for a     |
//| historical training bar, since release times are publicly known    |
//| in advance; this is NOT the same as knowing the release's actual    |
//| outcome ahead of time, which would be real lookahead bias and is    |
//| deliberately not exposed anywhere here).                            |
//| Returns 0.0 if no relevant event falls within windowMinutes on the |
//| requested side, else (impact_type/3.0) * (1 - minutesAway/window)  |
//| for whichever qualifying event is closest to pivotTime.             |
//+------------------------------------------------------------------+
double ImpactWeightedProximity(string symbol, datetime pivotTime, int windowMinutes, bool searchForward)
  {
   if(windowMinutes <= 0)
      return 0.0;
   string countryCodes[];
   GetRelevantCountryCodes(symbol, countryCodes);
   if(ArraySize(countryCodes) == 0)
      return 0.0;
   datetime windowStart = searchForward ? pivotTime : pivotTime - windowMinutes * 60;
   datetime windowEnd = searchForward ? pivotTime + windowMinutes * 60 : pivotTime;
   double best = 0.0;
   for(int c = 0; c < ArraySize(countryCodes); c++)
     {
      MqlCalendarValue values[];
      if(!CalendarValueHistory(values, windowStart, windowEnd, countryCodes[c]))
         continue;
      for(int i = 0; i < ArraySize(values); i++)
        {
         double minutesAway = MathAbs((double)(values[i].time - pivotTime)) / 60.0;
         double weight = (values[i].impact_type / 3.0) * (1.0 - minutesAway / windowMinutes);
         if(weight > best)
            best = weight;
        }
     }
   return best;
  }