Warrior_EA/CustomIndicators/ADWyckoffFailedStructure.mq5

//+------------------------------------------------------------------+
//|                                      ADWyckoffFailedStructure.mq5|
//|                         Wyckoff Failed Structure / Break family   |
//+------------------------------------------------------------------+
#property copyright "AD Institutional Indicators"
#property link      ""
#property version   "1.00"
#property description "Wyckoff Failed Structure — bullish/bearish structural failure"
#property indicator_separate_window
#property indicator_buffers 5
#property indicator_plots   5

#property indicator_minimum -2.5
#property indicator_maximum 2.5
#property indicator_level1 0

#property indicator_label1  "Value"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrWhite
#property indicator_width1  1

#property indicator_label2  "BullishStructuralFailure"
#property indicator_type2   DRAW_LINE
#property indicator_color2  clrLime
#property indicator_width2  1

#property indicator_label3  "BearishStructuralFailure"
#property indicator_type3   DRAW_LINE
#property indicator_color3  clrRed
#property indicator_width3  1

#property indicator_label4  "FailedAccumulation"
#property indicator_type4   DRAW_LINE
#property indicator_color4  clrAqua
#property indicator_width4  1

#property indicator_label5  "FailedDistribution"
#property indicator_type5   DRAW_LINE
#property indicator_color5  clrOrange
#property indicator_width5  1

input int    InpLookbackPeriod       = 50;
input int    InpZigZagStrength       = 3;
input double InpVolumeClimaxMultiplier = 2.5;
input double InpVolumeHighMultiplier  = 1.5;
input double InpRangeClimaxMultiplier = 1.8;
input double InpRangeSignificantMult  = 1.2;
input double InpSTVolumeRatio        = 0.6;
input double InpATRMultiplier        = 0.5;
input int    InpContextMode          = 0;
input int    InpSessionType          = 5;
input int    InpSessionCount         = 1;

double ExtValueBuffer[];
double ExtBullishFailureBuffer[];
double ExtBearishFailureBuffer[];
double ExtFailedAccumulationBuffer[];
double ExtFailedDistributionBuffer[];

double H[];
double L[];
double C[];
double V[];
datetime T[];

int    ExtLookbackPeriod;
int    ExtZigZagStrength;
double ExtVolumeClimaxMultiplier;
double ExtVolumeHighMultiplier;
double ExtRangeClimaxMultiplier;
double ExtRangeSignificantMult;
double ExtSTVolumeRatio;
double ExtATRMultiplier;
int    ExtContextMode;
int    ExtSessionType;
int    ExtSessionCount;

double lastBullHigh = 0.0;
double lastBullLow = 0.0;
double lastBearHigh = 0.0;
double lastBearLow = 0.0;

int ClampInt(const int value, const int minValue, const int maxValue) { return (int)MathMax(minValue, MathMin(maxValue, value)); }
double ClampDouble(const double value, const double minValue, const double maxValue) { return MathMax(minValue, MathMin(maxValue, value)); }

bool IsPreviousSessionTypeMT5(const int sessionType) { return (sessionType >= 1 && sessionType <= 4); }
bool IsZigZagSessionTypeMT5(const int sessionType) { return (sessionType == 9 || sessionType == 10); }
int MapBaseCalendarTypeMT5(const int sessionType)
{
   if(sessionType == 1 || sessionType == 5) return 1;
   if(sessionType == 2 || sessionType == 6) return 2;
   if(sessionType == 3 || sessionType == 7) return 3;
   if(sessionType == 4 || sessionType == 8) return 4;
   return 1;
}

datetime DayStartMT5(const datetime t)
{
   MqlDateTime dt;
   TimeToStruct(t, dt);
   dt.hour = 0; dt.min = 0; dt.sec = 0;
   return StructToTime(dt);
}

datetime AddMonthsSafeMT5(const datetime t, const int months)
{
   MqlDateTime dt;
   TimeToStruct(t, dt);
   int m = dt.mon + months;
   while(m > 12) { m -= 12; dt.year++; }
   while(m < 1) { m += 12; dt.year--; }
   dt.mon = m; dt.day = 1; dt.hour = 0; dt.min = 0; dt.sec = 0;
   return StructToTime(dt);
}

datetime ResolveCalendarContextStartMT5(const datetime currentTime)
{
   int st = ExtSessionType;
   int baseType = MapBaseCalendarTypeMT5(st);
   datetime currentStart = DayStartMT5(currentTime);
   if(baseType == 2)
   {
      MqlDateTime w; TimeToStruct(currentStart, w);
      int dow = w.day_of_week;
      int back = (dow == 0) ? 6 : (dow - 1);
      currentStart -= (datetime)(back * 86400);
   }
   else if(baseType == 3)
   {
      MqlDateTime m; TimeToStruct(currentStart, m);
      m.day = 1; m.hour = 0; m.min = 0; m.sec = 0;
      currentStart = StructToTime(m);
   }
   else if(baseType == 4)
   {
      MqlDateTime y; TimeToStruct(currentStart, y);
      y.mon = 1; y.day = 1; y.hour = 0; y.min = 0; y.sec = 0;
      currentStart = StructToTime(y);
   }

   int shift = IsPreviousSessionTypeMT5(st) ? -ExtSessionCount : -(ExtSessionCount - 1);
   if(baseType == 1) return currentStart + (datetime)(shift * 86400);
   if(baseType == 2) return currentStart + (datetime)(shift * 7 * 86400);
   if(baseType == 3) return AddMonthsSafeMT5(currentStart, shift);
   return AddMonthsSafeMT5(currentStart, shift * 12);
}

void ResetState()
{
   lastBullHigh = 0.0;
   lastBullLow = 0.0;
   lastBearHigh = 0.0;
   lastBearLow = 0.0;
   ArrayInitialize(ExtValueBuffer, 0);
   ArrayInitialize(ExtBullishFailureBuffer, 0);
   ArrayInitialize(ExtBearishFailureBuffer, 0);
   ArrayInitialize(ExtFailedAccumulationBuffer, 0);
   ArrayInitialize(ExtFailedDistributionBuffer, 0);
}

void SetOutputs(const int outIndex, const double value, const double bull, const double bear, const double failedAccum, const double failedDist)
{
   ExtValueBuffer[outIndex] = value;
   ExtBullishFailureBuffer[outIndex] = bull;
   ExtBearishFailureBuffer[outIndex] = bear;
   ExtFailedAccumulationBuffer[outIndex] = failedAccum;
   ExtFailedDistributionBuffer[outIndex] = failedDist;
}

int ResolveMaxShift(const int currentBar, const int rates_total, const datetime &time[])
{
   int lookback = MathMax(5, MathMin(200, ExtLookbackPeriod));
   int available = currentBar;
   if(ExtContextMode != 1)
      return MathMin(available, lookback - 1);

   if(IsZigZagSessionTypeMT5(ExtSessionType))
      return MathMin(available, (lookback * ExtSessionCount) - 1);

   datetime start = ResolveCalendarContextStartMT5(time[currentBar]);
   int lower = 0;
   for(int j = 0; j <= currentBar; j++)
   {
      if(time[j] >= start)
      {
         lower = j;
         break;
      }
   }
   return MathMax(0, currentBar - lower);
}

double ComputeATRChrono(const int i, const int period)
{
   int available = MathMin(period, i);
   if(available <= 0)
      return H[i] - L[i];

   double sum = 0.0;
   for(int k = 0; k < available; k++)
   {
      int idx = i - k;
      double hi = H[idx];
      double lo = L[idx];
      double prevClose = (idx > 0) ? C[idx - 1] : hi;
      double tr = MathMax(hi - lo, MathMax(MathAbs(hi - prevClose), MathAbs(lo - prevClose)));
      sum += tr;
   }
   return sum / available;
}

int OnInit()
{
   ExtLookbackPeriod = ClampInt(InpLookbackPeriod, 5, 200);
   ExtZigZagStrength = ClampInt(InpZigZagStrength, 1, 10);
   ExtVolumeClimaxMultiplier = ClampDouble(InpVolumeClimaxMultiplier, 1.0, 5.0);
   ExtVolumeHighMultiplier = ClampDouble(InpVolumeHighMultiplier, 0.5, 3.0);
   ExtRangeClimaxMultiplier = ClampDouble(InpRangeClimaxMultiplier, 1.0, 5.0);
   ExtRangeSignificantMult = ClampDouble(InpRangeSignificantMult, 0.5, 3.0);
   ExtSTVolumeRatio = ClampDouble(InpSTVolumeRatio, 0.1, 1.0);
   ExtATRMultiplier = ClampDouble(InpATRMultiplier, 0.1, 3.0);
   ExtContextMode = (InpContextMode == 1) ? 1 : 0;
   ExtSessionType = ClampInt(InpSessionType, 1, 10);
   ExtSessionCount = ClampInt(InpSessionCount, 1, 20);

   SetIndexBuffer(0, ExtValueBuffer, INDICATOR_DATA);
   SetIndexBuffer(1, ExtBullishFailureBuffer, INDICATOR_DATA);
   SetIndexBuffer(2, ExtBearishFailureBuffer, INDICATOR_DATA);
   SetIndexBuffer(3, ExtFailedAccumulationBuffer, INDICATOR_DATA);
   SetIndexBuffer(4, ExtFailedDistributionBuffer, INDICATOR_DATA);

   ArraySetAsSeries(ExtValueBuffer, true);
   ArraySetAsSeries(ExtBullishFailureBuffer, true);
   ArraySetAsSeries(ExtBearishFailureBuffer, true);
   ArraySetAsSeries(ExtFailedAccumulationBuffer, true);
   ArraySetAsSeries(ExtFailedDistributionBuffer, true);

   IndicatorSetInteger(INDICATOR_DIGITS, 3);
   IndicatorSetString(INDICATOR_SHORTNAME,
      "WFS(" + IntegerToString(ExtLookbackPeriod) + "," + IntegerToString(ExtZigZagStrength) + "," +
      DoubleToString(ExtRangeSignificantMult, 2) + "," + DoubleToString(ExtVolumeHighMultiplier, 2) + ")");

   PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   PlotIndexSetInteger(1, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   PlotIndexSetInteger(2, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   PlotIndexSetInteger(3, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   PlotIndexSetInteger(4, PLOT_DRAW_BEGIN, ExtLookbackPeriod);
   ResetState();
   return(INIT_SUCCEEDED);
}

void OnDeinit(const int reason) {}

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 < ExtLookbackPeriod + 2)
      return(0);

   ArraySetAsSeries(time, true);
   // open was missing here: it's read directly (not through the chronological H/L/C/V/T cache
   // below) at `open[si]` using the series-space index `si`, while open itself stayed in its
   // default chronological orientation - a genuine future-data leak (worst at the oldest processed
   // bar, which read the NEWEST bar's open) into bullSig/bearSig and, from there, every output
   // buffer (Value/BullishStructuralFailure/BearishStructuralFailure/FailedAccumulation/
   // FailedDistribution). Flipping it here makes it consistent with every other array below.
   ArraySetAsSeries(open, true);
   ArraySetAsSeries(high, true);
   ArraySetAsSeries(low, true);
   ArraySetAsSeries(close, true);
   ArraySetAsSeries(tick_volume, true);
   ArraySetAsSeries(volume, true);

   ArrayResize(H, rates_total);
   ArrayResize(L, rates_total);
   ArrayResize(C, rates_total);
   ArrayResize(V, rates_total);
   ArrayResize(T, rates_total);

   ResetState();

   for(int chrono = 0; chrono < rates_total; chrono++)
   {
      int si = rates_total - 1 - chrono;
      H[chrono] = high[si];
      L[chrono] = low[si];
      C[chrono] = close[si];
      V[chrono] = (double)MathMax(tick_volume[si], 1);
      T[chrono] = time[si];
   }

   for(int chrono = 0; chrono < rates_total && !IsStopped(); chrono++)
   {
      int si = rates_total - 1 - chrono;
      int maxShift = ResolveMaxShift(chrono, rates_total, T);

      double sumRange = 0.0;
      double sumVolume = 0.0;
      int n = 0;
      int from = MathMax(0, chrono - maxShift);
      for(int k = from; k <= chrono; k++)
      {
         sumRange += MathMax(H[k] - L[k], 0.000001);
         sumVolume += MathMax(V[k], 1.0);
         n++;
      }

      if(n <= 0)
      {
         SetOutputs(si, 0.0, 0.0, 0.0, 0.0, 0.0);
         continue;
      }

      double avgRange = sumRange / n;
      double avgVolume = sumVolume / n;
      if(!MathIsValidNumber(avgRange) || !MathIsValidNumber(avgVolume) || avgRange <= 0 || avgVolume <= 0)
      {
         SetOutputs(si, 0.0, 0.0, 0.0, 0.0, 0.0);
         continue;
      }

      double hi = H[chrono];
      double lo = L[chrono];
      double op = open[si];
      double cl = C[chrono];
      double vol = MathMax(V[chrono], 1.0);
      double prevClose = (chrono > 0) ? C[chrono - 1] : cl;
      double barRange = MathMax(hi - lo, 0.000001);

      double closePos = (cl - lo) / barRange;
      closePos = ClampDouble(closePos, 0.0, 1.0);

      double rangeRatio = barRange / avgRange;
      double volRatio = vol / avgVolume;
      double rangeGate = ClampDouble(ExtRangeSignificantMult, 0.5, 3.0);
      double volGate = ClampDouble(ExtVolumeHighMultiplier, 0.5, 3.0);
      double climaxRangeGate = ClampDouble(ExtRangeClimaxMultiplier, 0.5, 5.0);
      double climaxVolGate = ClampDouble(ExtVolumeClimaxMultiplier, 0.5, 5.0);
      double atrNow = ComputeATRChrono(chrono, 14);
      double atrRatio = barRange / MathMax(atrNow * ExtATRMultiplier, 0.000001);
      double breakBuffer = MathMax(atrNow * 0.05, barRange * 0.02) * MathMax(1.0, (double)ExtZigZagStrength);
      double stGate = ExtSTVolumeRatio;

      bool bullSig = rangeRatio >= rangeGate && volRatio >= volGate && closePos >= 0.70 && cl > op && atrRatio >= 1.0 && volRatio >= stGate;
      bool bearSig = rangeRatio >= rangeGate && volRatio >= volGate && closePos <= 0.30 && cl < op && atrRatio >= 1.0 && volRatio >= stGate;
      bool climaxBull = rangeRatio >= climaxRangeGate && volRatio >= climaxVolGate && closePos >= 0.80 && cl > op;
      bool climaxBear = rangeRatio >= climaxRangeGate && volRatio >= climaxVolGate && closePos <= 0.20 && cl < op;

      double qualityBase = MathMax(rangeRatio / MathMax(rangeGate, 0.000001), volRatio / MathMax(volGate, 0.000001));
      double quality = ClampDouble(qualityBase + ((climaxBull || climaxBear) ? 0.5 : 0.0), 0.0, 2.5);

      double resistance = (lastBearHigh > 0.0) ? lastBearHigh : 0.0;
      double support = (lastBullLow > 0.0) ? lastBullLow : 0.0;
      bool bullishContext = cl > op || closePos >= 0.55;
      bool bearishContext = cl < op || closePos <= 0.45;

      bool bullishFailure = false;
      bool bearishFailure = false;

      if(bearishContext && bullSig && resistance > 0.0)
         bullishFailure = (prevClose <= resistance + breakBuffer && cl > resistance + breakBuffer);

      if(bullishContext && bearSig && support > 0.0)
         bearishFailure = (prevClose >= support - breakBuffer && cl < support - breakBuffer);

      double signedValue = 0.0;
      if(bullishFailure)
         signedValue = quality;
      else if(bearishFailure)
         signedValue = -quality;

      if(bullSig)
      {
         lastBullHigh = hi;
         lastBullLow = lo;
      }
      if(bearSig)
      {
         lastBearHigh = hi;
         lastBearLow = lo;
      }

      // Normalize: guard against NaN/Inf from edge-case inputs
      if(!MathIsValidNumber(signedValue)) signedValue = 0.0;

      SetOutputs(si, signedValue, bullishFailure ? 1.0 : 0.0, bearishFailure ? 1.0 : 0.0, bearishFailure ? 1.0 : 0.0, bullishFailure ? 1.0 : 0.0);
   }

   return(rates_total);
}
//+------------------------------------------------------------------+