Warrior_EA/Mind/VolumeFeed.mqh

//+------------------------------------------------------------------+
//|                                                    VolumeFeed.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| ONE PLACE THAT ANSWERS "HOW BUSY WAS THIS BAR, FOR ITS HOUR".     |
//|                                                                   |
//| The neural module and the management net each used to compute      |
//| their own bar-over-recent-mean volume ratio, and both carried the |
//| same defect (see Mind\VolumeProfile.mqh: the ratio mostly encoded  |
//| the hour of day). They now ask this feed instead, so there is one |
//| definition of relative volume in the codebase and one place to fix |
//| it. The Mind's own volume modality reads the same profile.        |
//|                                                                   |
//| One feed per chart, guarded by the symbol/period it was built for, |
//| like g_wyckoffFeed. It owns a bar cache of the whole history - the |
//| stdlib series stop at shift 1023 and the neural module trains far  |
//| deeper than that.                                                 |
//+------------------------------------------------------------------+
#ifndef WARRIOR_VOLUMEFEED_MQH
#define WARRIOR_VOLUMEFEED_MQH

#include "VolumeProfile.mqh"

class CVolumeFeed
  {
protected:
   CBarCache         m_cache;
   CVolumeProfile    m_profile;
   string            m_for;

public:
                     CVolumeFeed(void) : m_for("") {}
   bool              Ensure(const string symbol, const ENUM_TIMEFRAMES tf)
     {
      const string want = symbol + "/" + IntegerToString((int)tf);
      if(m_for == want)
         return true;
      m_cache.Init(symbol, tf, 14, 30);
      m_profile.Init(GetPointer(m_cache));
      m_for = want;
      return true;
     }
   //--- Bring the cache up to the newest closed bar and fold it into the profile.
   bool              Sync(void)
     {
      if(m_for == "" || !m_cache.Sync())
         return false;
      m_profile.Update();
      return true;
     }
   //--- The bar that OPENED at `barTime`: its level-detrended log volume against the hour's norm,
   //--- that reading's mean over the last five bars, and its change from the previous bar.
   //--- False when any of them is not yet defined - the caller drops the row, as it does for any
   //--- other feature it cannot compute.
   bool              Reading(const datetime barTime, double &now, double &mean5, double &change) const
     {
      const int i = m_cache.IndexOf(barTime);
      if(i < 5)
         return false;
      now = m_profile.Detrended(i);
      const double prev = m_profile.Detrended(i - 1);
      if(now == VOLPROF_NA || prev == VOLPROF_NA)
         return false;
      double s = now;
      for(int k = 1; k < 5; k++)
        {
         const double d = m_profile.Detrended(i - k);
         if(d == VOLPROF_NA)
            return false;
         s += d;
        }
      mean5 = s / 5.0;
      change = now - prev;
      return true;
     }
  };

CVolumeFeed g_volFeed;
#endif // WARRIOR_VOLUMEFEED_MQH