Warrior_EA/Scripts/ExportIndicatorBuffers.mq5

//+------------------------------------------------------------------+
//| ExportIndicatorBuffers.mq5                                        |
//| Dump every buffer of the AD/Wyckoff indicator suite over full     |
//| history to CSV, so the research pipeline can use the PRODUCTION   |
//| definitions instead of a Python re-implementation of them.        |
//|                                                                   |
//| Read-only: creates indicator handles, copies buffers, writes      |
//| files under Common\Files\Warrior_EA\indicators\. No orders, no    |
//| chart changes, no writes to any model or AltData file.            |
//|                                                                   |
//| Buffer counts are not exposed by the API for a custom indicator,  |
//| so each is probed from 0 upward until a copy fails - that is the  |
//| only way to learn the count, and a failed probe is not an error.  |
//+------------------------------------------------------------------+
#property script_show_inputs
#property strict

input string InpSymbols   = "EURUSD,GBPUSD,USDJPY,AUDUSD,USDCAD,XAUUSD,SP500,BTCUSD";
input string InpTimeframes = "M15,H1";      // must match the research timeframes
input int    InpMaxBars   = 400000;         // per symbol/timeframe
input int    InpMaxBuffers = 12;            // probe ceiling

string IndicatorList[] = {"ADCumulativeDelta", "ADShorteningOfThrust", "ADWyckoffEventStream",
                          "ADWyckoffFailedStructure", "ADWyckoffSignificantBarInversion",
                          "ADZigZag", "ADVolume", "ADTWAP"};

ENUM_TIMEFRAMES TfFromString(const string s)
  {
   if(s == "M1")  return PERIOD_M1;
   if(s == "M5")  return PERIOD_M5;
   if(s == "M15") return PERIOD_M15;
   if(s == "M30") return PERIOD_M30;
   if(s == "H1")  return PERIOD_H1;
   if(s == "H4")  return PERIOD_H4;
   if(s == "D1")  return PERIOD_D1;
   return PERIOD_CURRENT;
  }

//--- how many buffers does this handle actually publish?
int ProbeBuffers(const int h, const int bars)
  {
   double tmp[];
   int n = 0;
   for(int b = 0; b < InpMaxBuffers; b++)
     {
      if(CopyBuffer(h, b, 0, MathMin(16, bars), tmp) <= 0)
         break;
      n++;
     }
   return n;
  }

bool ExportOne(const string sym, const string tfName, const string indName)
  {
   ENUM_TIMEFRAMES tf = TfFromString(tfName);
   int have = Bars(sym, tf);
   if(have <= 100)
     {
      PrintFormat("  %s %s %s: only %d bars, skipped", sym, tfName, indName, have);
      return false;
     }
   int bars = MathMin(have, InpMaxBars);
   int h = iCustom(sym, tf, indName);
   if(h == INVALID_HANDLE)
     {
      PrintFormat("  %s %s %s: INVALID_HANDLE err=%d", sym, tfName, indName, GetLastError());
      return false;
     }
   //--- an indicator needs a moment to calculate its first pass over deep history
   int spins = 0;
   while(BarsCalculated(h) < bars && spins < 600)
     {
      Sleep(100);
      spins++;
     }
   int ready = BarsCalculated(h);
   if(ready <= 100)
     {
      PrintFormat("  %s %s %s: BarsCalculated=%d, skipped", sym, tfName, indName, ready);
      IndicatorRelease(h);
      return false;
     }
   bars = MathMin(bars, ready);
   int nbuf = ProbeBuffers(h, bars);
   if(nbuf <= 0)
     {
      PrintFormat("  %s %s %s: no readable buffers", sym, tfName, indName);
      IndicatorRelease(h);
      return false;
     }
   //--- pull the buffers and the bar times, oldest-first
   datetime times[];
   if(CopyTime(sym, tf, 0, bars, times) <= 0)
     {
      IndicatorRelease(h);
      return false;
     }
   ArraySetAsSeries(times, false);
   double buf[][12];
   ArrayResize(buf, bars);
   double one[];
   for(int b = 0; b < nbuf; b++)
     {
      if(CopyBuffer(h, b, 0, bars, one) <= 0)
         continue;
      ArraySetAsSeries(one, false);
      for(int i = 0; i < bars && i < ArraySize(one); i++)
         buf[i][b] = one[i];
     }
   string dir = "Warrior_EA\\indicators";
   FolderCreate(dir, FILE_COMMON);
   string path = dir + "\\" + sym + "_" + tfName + "_" + indName + ".csv";
   int fh = FileOpen(path, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON |
                     FILE_SHARE_READ | FILE_SHARE_WRITE);
   if(fh == INVALID_HANDLE)
     {
      PrintFormat("  cannot write %s err=%d", path, GetLastError());
      IndicatorRelease(h);
      return false;
     }
   string head = "time";
   for(int b = 0; b < nbuf; b++)
      head += ",b" + IntegerToString(b);
   FileWriteString(fh, head + "\n");
   int written = 0;
   for(int i = 0; i < bars; i++)
     {
      //--- skip the leading warm-up where every buffer is still empty
      bool any = false;
      for(int b = 0; b < nbuf; b++)
         if(buf[i][b] != EMPTY_VALUE && MathAbs(buf[i][b]) < 1e15)
           {
            any = true;
            break;
           }
      if(!any)
         continue;
      string line = IntegerToString((long)times[i]);
      for(int b = 0; b < nbuf; b++)
        {
         double v = buf[i][b];
         line += "," + ((v == EMPTY_VALUE || MathAbs(v) >= 1e15) ? "" : DoubleToString(v, 8));
        }
      FileWriteString(fh, line + "\n");
      written++;
     }
   FileClose(fh);
   IndicatorRelease(h);
   PrintFormat("  %s %s %-34s %d buffers, %d rows", sym, tfName, indName, nbuf, written);
   return true;
  }

void OnStart()
  {
   string syms[], tfs[];
   int ns = StringSplit(InpSymbols, ',', syms);
   int nt = StringSplit(InpTimeframes, ',', tfs);
   int ok = 0, fail = 0;
   for(int s = 0; s < ns; s++)
     {
      string sym = syms[s];
      StringTrimLeft(sym);
      StringTrimRight(sym);
      if(!SymbolSelect(sym, true))
        {
         PrintFormat("  %s: not available on this server", sym);
         continue;
        }
      for(int t = 0; t < nt; t++)
        {
         string tfn = tfs[t];
         StringTrimLeft(tfn);
         StringTrimRight(tfn);
         for(int k = 0; k < ArraySize(IndicatorList); k++)
           {
            if(ExportOne(sym, tfn, IndicatorList[k]))
               ok++;
            else
               fail++;
           }
        }
     }
   PrintFormat("ExportIndicatorBuffers: %d exported, %d skipped -> Common\\Files\\Warrior_EA\\indicators", ok, fail);
  }
//+------------------------------------------------------------------+