413 lines
18 KiB
MQL5
413 lines
18 KiB
MQL5
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//+------------------------------------------------------------------+
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//| CLiquidityLevels.mqh |
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//| Модуль уровней ликвидности (Liquidity Levels) |
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//| Sweep detection + con_buy/con_sell для ICT Entry |
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//+------------------------------------------------------------------+
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#ifndef CLIQUIDITY_LEVELS_MQH
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#define CLIQUIDITY_LEVELS_MQH
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//--- Требует SLiquiditySwingState и SStructureSwingState из CSwingDetector.mqh
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//--- Подключать ПОСЛЕ CSwingDetector.mqh
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//+------------------------------------------------------------------+
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//| Структура состояния уровней ликвидности |
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//+------------------------------------------------------------------+
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struct SLiquidityLevelsState
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{
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bool break_dem; // Sweep Demand на этом баре
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bool break_sup; // Sweep Supply на этом баре
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bool con_buy; // Условие Buy активно (persistent)
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bool con_sell; // Условие Sell активно (persistent)
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double value_dem_lid; // Значение последнего swept Demand уровня
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double value_sup_lid; // Значение последнего swept Supply уровня
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datetime pre_bar_Dlid_left; // Время создания swept Demand
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datetime pre_bar_Dlid_right; // Время sweep Demand
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datetime pre_bar_Slid_left; // Время создания swept Supply
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datetime pre_bar_Slid_right; // Время sweep Supply
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//--- Копии для Entry Signal (сохраняются при активации con_buy/con_sell)
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double pre_dem_lid;
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double pre_sup_lid;
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datetime pre2_bar_Dlid_left;
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datetime pre2_bar_Dlid_right;
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datetime pre2_bar_Slid_left;
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datetime pre2_bar_Slid_right;
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};
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//+------------------------------------------------------------------+
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//| Класс CLiquidityLevels — уровни ликвидности и sweep |
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//+------------------------------------------------------------------+
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class CLiquidityLevels
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{
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public:
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CLiquidityLevels();
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~CLiquidityLevels();
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//--- Инициализация — вызывать из OnInit()
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bool Init(int len, int max_levels, bool show_lid);
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//--- Per-bar расчёт — вызывается из цикла CSwingDetector.Calculate
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void Calculate(int bar,
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const SLiquiditySwingState &liq,
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const SStructureSwingState &str,
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const double &high[],
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const double &low[],
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const double &open[],
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const double &close[],
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const datetime &time[],
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double &buf_liq_up1[],
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double &buf_liq_up2[],
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double &buf_liq_up3[],
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double &buf_liq_dn1[],
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double &buf_liq_dn2[],
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double &buf_liq_dn3[],
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int rates_total);
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//--- Полный сброс — вызывать при prev_calculated == 0
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void FullReset();
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//--- Геттеры
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SLiquidityLevelsState GetState() const { return m_state; }
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bool GetConBuy() const { return m_state.con_buy; }
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bool GetConSell() const { return m_state.con_sell; }
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bool GetBreakDem() const { return m_state.break_dem; }
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bool GetBreakSup() const { return m_state.break_sup; }
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private:
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//--- Параметры
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int m_len; // Сила пивота Liquidity Swings (Len=5)
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int m_max_levels; // Максимум уровней в массиве
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bool m_show_lid; // Заполнять буферы отрисовки
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//--- Массивы уровней (ring buffer: [0] = самый новый)
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double m_lid_sup[]; // Supply уровни (Swing Highs)
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double m_lid_dem[]; // Demand уровни (Swing Lows)
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datetime m_lid_bar_sup[]; // Время создания Supply уровней
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datetime m_lid_bar_dem[]; // Время создания Demand уровней
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int m_count_sup; // Количество активных Supply
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int m_count_dem; // Количество активных Demand
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//--- Состояние
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SLiquidityLevelsState m_state;
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//--- Внутренние методы
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void AddSupplyLevel(double value, datetime time_created);
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void AddDemandLevel(double value, datetime time_created);
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void RemoveSupplyLevel(int index);
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void RemoveDemandLevel(int index);
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void CheckSweepDemand(double bar_low, datetime bar_time);
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void CheckSweepSupply(double bar_high, datetime bar_time);
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void UpdateConditions(double bar_close, double bar_open,
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bool up_trend, bool down_trend);
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void FillBuffers(int bar,
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double &buf_liq_up1[],
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double &buf_liq_up2[],
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double &buf_liq_up3[],
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double &buf_liq_dn1[],
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double &buf_liq_dn2[],
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double &buf_liq_dn3[]);
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void ResetState();
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};
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//+------------------------------------------------------------------+
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//| Конструктор |
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//+------------------------------------------------------------------+
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CLiquidityLevels::CLiquidityLevels()
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{
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m_len = 5;
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m_max_levels = 200;
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m_show_lid = true;
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m_count_sup = 0;
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m_count_dem = 0;
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ZeroMemory(m_state);
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}
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//+------------------------------------------------------------------+
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//| Деструктор |
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//+------------------------------------------------------------------+
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CLiquidityLevels::~CLiquidityLevels()
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{
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}
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//+------------------------------------------------------------------+
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//| Инициализация параметров |
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//+------------------------------------------------------------------+
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bool CLiquidityLevels::Init(int len, int max_levels, bool show_lid)
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{
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m_len = len;
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m_max_levels = max_levels;
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m_show_lid = show_lid;
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//--- Выделяем массивы фиксированного размера
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ArrayResize(m_lid_sup, m_max_levels);
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ArrayResize(m_lid_dem, m_max_levels);
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ArrayResize(m_lid_bar_sup, m_max_levels);
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ArrayResize(m_lid_bar_dem, m_max_levels);
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ResetState();
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return true;
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}
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//+------------------------------------------------------------------+
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//| Полный сброс — при prev_calculated == 0 |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::FullReset()
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{
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ResetState();
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}
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//+------------------------------------------------------------------+
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//| Сброс всего состояния |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::ResetState()
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{
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m_count_sup = 0;
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m_count_dem = 0;
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ArrayInitialize(m_lid_sup, 0);
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ArrayInitialize(m_lid_dem, 0);
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ArrayInitialize(m_lid_bar_sup, 0);
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ArrayInitialize(m_lid_bar_dem, 0);
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ZeroMemory(m_state);
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}
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//+------------------------------------------------------------------+
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//| Добавить Supply уровень (Swing High → ликвидность сверху) |
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//| Ring buffer: вставка в начало, последний элемент теряется |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::AddSupplyLevel(double value, datetime time_created)
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{
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//--- Сдвиг вправо на 1 позицию (от конца к началу)
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int last = MathMin(m_count_sup, m_max_levels - 1);
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for(int i = last; i > 0; i--)
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{
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m_lid_sup[i] = m_lid_sup[i - 1];
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m_lid_bar_sup[i] = m_lid_bar_sup[i - 1];
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}
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//--- Новый уровень в [0]
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m_lid_sup[0] = value;
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m_lid_bar_sup[0] = time_created;
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m_count_sup = MathMin(m_count_sup + 1, m_max_levels);
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}
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//+------------------------------------------------------------------+
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//| Добавить Demand уровень (Swing Low → ликвидность снизу) |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::AddDemandLevel(double value, datetime time_created)
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{
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int last = MathMin(m_count_dem, m_max_levels - 1);
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for(int i = last; i > 0; i--)
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{
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m_lid_dem[i] = m_lid_dem[i - 1];
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m_lid_bar_dem[i] = m_lid_bar_dem[i - 1];
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}
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m_lid_dem[0] = value;
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m_lid_bar_dem[0] = time_created;
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m_count_dem = MathMin(m_count_dem + 1, m_max_levels);
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}
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//+------------------------------------------------------------------+
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//| Удалить Supply уровень по индексу (сдвиг влево) |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::RemoveSupplyLevel(int index)
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{
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for(int j = index; j < m_count_sup - 1; j++)
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{
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m_lid_sup[j] = m_lid_sup[j + 1];
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m_lid_bar_sup[j] = m_lid_bar_sup[j + 1];
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}
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m_count_sup--;
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}
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//+------------------------------------------------------------------+
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//| Удалить Demand уровень по индексу (сдвиг влево) |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::RemoveDemandLevel(int index)
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{
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for(int j = index; j < m_count_dem - 1; j++)
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{
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m_lid_dem[j] = m_lid_dem[j + 1];
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m_lid_bar_dem[j] = m_lid_bar_dem[j + 1];
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}
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m_count_dem--;
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}
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//+------------------------------------------------------------------+
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//| Проверка sweep Demand уровней (tz.md строки 608-620) |
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//| Sweep: цена Low пробивает уровень поддержки |
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//| Множественный sweep: while-loop пока low <= lid_dem[0] |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::CheckSweepDemand(double bar_low, datetime bar_time)
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{
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if(m_count_dem == 0)
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return;
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if(bar_low > m_lid_dem[0])
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return;
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//--- Минимум один уровень пробит
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while(m_count_dem > 0 && bar_low <= m_lid_dem[0])
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{
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//--- Сохраняем данные swept уровня
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m_state.value_dem_lid = m_lid_dem[0];
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m_state.pre_bar_Dlid_left = m_lid_bar_dem[0];
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m_state.pre_bar_Dlid_right = bar_time;
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//--- Удаляем уровень из массива
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RemoveDemandLevel(0);
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}
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m_state.break_dem = true;
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}
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//+------------------------------------------------------------------+
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//| Проверка sweep Supply уровней (tz.md строки 622-634) |
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//| Sweep: цена High пробивает уровень сопротивления |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::CheckSweepSupply(double bar_high, datetime bar_time)
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{
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if(m_count_sup == 0)
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return;
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if(bar_high < m_lid_sup[0])
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return;
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//--- Минимум один уровень пробит
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while(m_count_sup > 0 && bar_high >= m_lid_sup[0])
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{
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//--- Сохраняем данные swept уровня
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m_state.value_sup_lid = m_lid_sup[0];
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m_state.pre_bar_Slid_left = m_lid_bar_sup[0];
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m_state.pre_bar_Slid_right = bar_time;
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//--- Удаляем уровень из массива
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RemoveSupplyLevel(0);
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}
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m_state.break_sup = true;
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}
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//+------------------------------------------------------------------+
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//| Обновление торговых условий con_buy/con_sell |
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//| (tz.md строки 921-933, 965-977) |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::UpdateConditions(double bar_close, double bar_open,
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bool up_trend, bool down_trend)
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{
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//=== Активация con_buy: Demand swept + цена выше swept уровня ===
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if(m_state.break_dem
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&& bar_close > m_state.value_dem_lid
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&& bar_open > m_state.value_dem_lid
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&& up_trend)
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{
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m_state.con_buy = true;
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m_state.pre_dem_lid = m_state.value_dem_lid;
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m_state.pre2_bar_Dlid_left = m_state.pre_bar_Dlid_left;
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m_state.pre2_bar_Dlid_right = m_state.pre_bar_Dlid_right;
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m_state.con_sell = false; // Деактивация противоположного
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}
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//=== Активация con_sell: Supply swept + цена ниже swept уровня ===
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if(m_state.break_sup
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&& bar_close < m_state.value_sup_lid
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&& bar_open < m_state.value_sup_lid
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&& down_trend)
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{
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m_state.con_sell = true;
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m_state.pre_sup_lid = m_state.value_sup_lid;
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m_state.pre2_bar_Slid_left = m_state.pre_bar_Slid_left;
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m_state.pre2_bar_Slid_right = m_state.pre_bar_Slid_right;
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m_state.con_buy = false; // Деактивация противоположного
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}
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//=== Деактивация con_buy: цена вернулась ниже swept уровня ===
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if(m_state.con_buy && bar_close < m_state.value_dem_lid)
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m_state.con_buy = false;
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//=== Деактивация con_sell: цена вернулась выше swept уровня ===
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if(m_state.con_sell && bar_close > m_state.value_sup_lid)
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m_state.con_sell = false;
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}
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//+------------------------------------------------------------------+
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//| Заполнение буферов: 3 ближайших уровня на сторону |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::FillBuffers(int bar,
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double &buf_liq_up1[],
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double &buf_liq_up2[],
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double &buf_liq_up3[],
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double &buf_liq_dn1[],
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double &buf_liq_dn2[],
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double &buf_liq_dn3[])
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{
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if(m_show_lid)
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{
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buf_liq_up1[bar] = (m_count_sup > 0) ? m_lid_sup[0] : EMPTY_VALUE;
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buf_liq_up2[bar] = (m_count_sup > 1) ? m_lid_sup[1] : EMPTY_VALUE;
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buf_liq_up3[bar] = (m_count_sup > 2) ? m_lid_sup[2] : EMPTY_VALUE;
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buf_liq_dn1[bar] = (m_count_dem > 0) ? m_lid_dem[0] : EMPTY_VALUE;
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buf_liq_dn2[bar] = (m_count_dem > 1) ? m_lid_dem[1] : EMPTY_VALUE;
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buf_liq_dn3[bar] = (m_count_dem > 2) ? m_lid_dem[2] : EMPTY_VALUE;
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}
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else
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{
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buf_liq_up1[bar] = EMPTY_VALUE;
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buf_liq_up2[bar] = EMPTY_VALUE;
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buf_liq_up3[bar] = EMPTY_VALUE;
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buf_liq_dn1[bar] = EMPTY_VALUE;
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buf_liq_dn2[bar] = EMPTY_VALUE;
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buf_liq_dn3[bar] = EMPTY_VALUE;
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}
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}
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//+------------------------------------------------------------------+
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//| Главный per-bar расчёт |
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//| Порядок: добавление → sweep → conditions → буферы |
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//+------------------------------------------------------------------+
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void CLiquidityLevels::Calculate(int bar,
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const SLiquiditySwingState &liq,
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const SStructureSwingState &str,
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const double &high[],
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const double &low[],
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const double &open[],
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const double &close[],
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const datetime &time[],
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double &buf_liq_up1[],
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double &buf_liq_up2[],
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double &buf_liq_up3[],
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double &buf_liq_dn1[],
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double &buf_liq_dn2[],
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double &buf_liq_dn3[],
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int rates_total)
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{
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//--- 1. Сброс per-bar флагов
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m_state.break_dem = false;
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m_state.break_sup = false;
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//--- 2. Добавление уровней при подтверждении свинга
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//--- Supply: Ch_swh AND sw_high >= ph (ss_high = ph для текущего бара)
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if(liq.ch_swh && liq.sw_high >= liq.ss_high)
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{
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//--- Время создания уровня = время бара свинга
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int bar_idx = liq.bar_sw_high;
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if(bar_idx >= 0 && bar_idx < rates_total)
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AddSupplyLevel(liq.sw_high, time[bar_idx]);
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}
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//--- Demand: Ch_swl AND sw_low <= pl (ss_low = pl для текущего бара)
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if(liq.ch_swl && liq.sw_low <= liq.ss_low)
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{
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int bar_idx = liq.bar_sw_low;
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if(bar_idx >= 0 && bar_idx < rates_total)
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AddDemandLevel(liq.sw_low, time[bar_idx]);
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}
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//--- 3. Sweep detection
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CheckSweepDemand(low[bar], time[bar]);
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CheckSweepSupply(high[bar], time[bar]);
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|
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//--- 4. Обновление торговых условий
|
||
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UpdateConditions(close[bar], open[bar], str.up_trend, str.down_trend);
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||
|
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//--- 5. Заполнение буферов
|
||
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FillBuffers(bar, buf_liq_up1, buf_liq_up2, buf_liq_up3,
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||
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buf_liq_dn1, buf_liq_dn2, buf_liq_dn3);
|
||
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}
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#endif // CLIQUIDITY_LEVELS_MQH
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