Warrior_EA/Mind/MarketContext.mqh

//+------------------------------------------------------------------+
//|                                                 MarketContext.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| WHAT THE TRADER SAW WHEN THEY PRESSED THE BUTTON.                 |
//|                                                                   |
//| One fixed-width record of every modality's reading at the signal  |
//| bar. It is the single source of truth for three consumers that    |
//| used to be three hand-kept lists: the modalities WRITE it, the    |
//| trade book PERSISTS it (header and row both come from CtxName()), |
//| and the reviewer BUCKETS it. Add a field once, here, and all      |
//| three follow; nothing else spells a column name.                  |
//|                                                                   |
//| CTX_NA marks a reading the modality could not produce. It is      |
//| never zero: a missing Wyckoff read must not look like "phase 0".  |
//+------------------------------------------------------------------+
#ifndef WARRIOR_MARKETCONTEXT_MQH
#define WARRIOR_MARKETCONTEXT_MQH

#define CTX_NA (-999.0)

enum ENUM_CTX
  {
   //--- price shape (ModalityPrice)
   CTX_Z = 0,        // z-score(20) of the close
   CTX_DIST_ATR,     // (close - SMA20) / ATR
   CTX_RET1_ATR,     // last bar's return, in ATR
   CTX_DROP5_ATR,    // 5-bar return, in ATR
   CTX_RANGE_ATR,    // bar range, in ATR
   CTX_CLOSE_LOC,    // where the close sat in its own range, 0..1
   CTX_ER,           // efficiency ratio (20)
   CTX_VR,           // variance ratio (60, 5)
   CTX_REGIME,       // 0 chop / 1 trend / 2 mean-revert
   //--- volatility (ModalityPrice)
   CTX_VOL_PCT,      // expanding-window percentile of Garman-Klass sigma(30)
   CTX_ATR_RATIO,    // ATR / mean ATR of the last 100 bars
   //--- volume, clock removed (ModalityVolume)
   CTX_RVOL,         // ln(tick volume / same-hour median), level-detrended
   CTX_RVOL_RAW,     // the same without the detrend
   CTX_ABSORB,       // effort minus result: rvol - ln(range/ATR). High = volume without progress
   //--- Wyckoff structure (ModalityWyckoff)
   CTX_WYK_OK,       // 1 when the indicators answered
   CTX_WYK_PHASE,    // phase * direction: +-1..5 = A..E
   CTX_WYK_EVENT,    // last event within the look-back, signed code (+-1..9)
   CTX_WYK_AGE,      // bars since that event
   CTX_WYK_SPRING,   // strongest spring/UTAD grade within the look-back, signed
   CTX_WYK_CHAR,     // +1 accumulation / -1 distribution / 0 not anchored
   CTX_WYK_RANGEPOS, // close inside the open range, 0..1 (NA when no range is open)
   CTX_WYK_FAIL,     // failed-structure quality, signed
   CTX_WYK_BIAS,     // the reader's verdict for a LONG, -1..+1
   //--- cross-index breadth (ModalityBreadth)
   CTX_BREADTH_N,    // peers that answered
   CTX_BREADTH,      // fraction of them at z(20) <= -1
   //--- calendar (ModalityCalendar)
   CTX_DOW,
   CTX_HOUR,
   CTX_DOM,          // day of month
   CTX_TO_MONTH_END, // calendar days to month end
   CTX_N
  };

string CtxName(const int i)
  {
   switch(i)
     {
      case CTX_Z:            return "z20";
      case CTX_DIST_ATR:     return "dist_sma_atr";
      case CTX_RET1_ATR:     return "ret1_atr";
      case CTX_DROP5_ATR:    return "ret5_atr";
      case CTX_RANGE_ATR:    return "range_atr";
      case CTX_CLOSE_LOC:    return "close_loc";
      case CTX_ER:           return "er20";
      case CTX_VR:           return "vr60_5";
      case CTX_REGIME:       return "regime";
      case CTX_VOL_PCT:      return "vol_pct";
      case CTX_ATR_RATIO:    return "atr_ratio";
      case CTX_RVOL:         return "rvol_tod";
      case CTX_RVOL_RAW:     return "rvol_tod_raw";
      case CTX_ABSORB:       return "absorb";
      case CTX_WYK_OK:       return "wyk_ok";
      case CTX_WYK_PHASE:    return "wyk_phase";
      case CTX_WYK_EVENT:    return "wyk_event";
      case CTX_WYK_AGE:      return "wyk_event_age";
      case CTX_WYK_SPRING:   return "wyk_spring";
      case CTX_WYK_CHAR:     return "wyk_char";
      case CTX_WYK_RANGEPOS: return "wyk_range_pos";
      case CTX_WYK_FAIL:     return "wyk_fail";
      case CTX_WYK_BIAS:     return "wyk_bias";
      case CTX_BREADTH_N:    return "breadth_n";
      case CTX_BREADTH:      return "breadth";
      case CTX_DOW:          return "dow";
      case CTX_HOUR:         return "hour";
      case CTX_DOM:          return "dom";
      case CTX_TO_MONTH_END: return "to_month_end";
     }
   return "?";
  }

struct SMarketContext
  {
   datetime          bar;          // open time of the signal bar
   double            v[CTX_N];
   string            story;        // the same reading, as a trader would say it

   void              Reset(const datetime t)
     {
      bar = t;
      story = "";
      for(int i = 0; i < CTX_N; i++)
         v[i] = CTX_NA;
     }
   bool              Has(const int f) const { return v[f] != CTX_NA; }
  };

//--- The CSV columns for a context, in field order. Header and row are built from the same loop,
//--- so they cannot disagree about width or order.
string CtxHeader(void)
  {
   string h = "";
   for(int i = 0; i < CTX_N; i++)
      h += (i > 0 ? "," : "") + CtxName(i);
   return h;
  }

string CtxRow(const SMarketContext &c)
  {
   string r = "";
   for(int i = 0; i < CTX_N; i++)
      r += (i > 0 ? "," : "") + DoubleToString(c.v[i], 5);
   return r;
  }
#endif // WARRIOR_MARKETCONTEXT_MQH