Warrior_EA/Mind/VolumeProfile.mqh

//+------------------------------------------------------------------+
//|                                                  VolumeProfile.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| TICK VOLUME WITH THE CLOCK TAKEN OUT.                             |
//|                                                                   |
//| THE DEFECT THIS REPLACES. Relative volume was computed as the bar |
//| over the mean of the previous 20 bars in three places. On H1/H4   |
//| those 20 bars span several sessions, so the ratio answered "which |
//| hour is this?": measured 2026-09-30 (research/VOLNORM_RESULTS.md) |
//| 57-77% of its variance was hour-of-day. The cash open read as     |
//| "high participation" every single day.                            |
//|                                                                   |
//| THE FIX. Each bar is divided by the MEDIAN of the same hour-of-day |
//| slot over its previous SlotWindow occurrences (causal: prior bars |
//| only), in logs. After that R^2 on hour-of-day is 0.1-1.4%.        |
//|                                                                   |
//| THE SECOND DEFECT, NOT YET PROVEN FIXED. The slot median lags a    |
//| level shift, and this feed's tick counts shift a lot (SP500 34M   |
//| ticks in 2022, 10.5M in 2024; DAX40 258M -> 13M). The plain        |
//| version left the yearly mean of the feature drifting more than the |
//| old one. Detrended() subtracts the mean of the previous TrendBars  |
//| valid readings, so a step change is absorbed within a few days.   |
//| That variant is UNTESTED as a predictor: the trade book records   |
//| both, so the first backtest's journal is the test.                |
//+------------------------------------------------------------------+
#ifndef WARRIOR_VOLUMEPROFILE_MQH
#define WARRIOR_VOLUMEPROFILE_MQH

#include "..\System\BarCache.mqh"

#define VOLPROF_NA (-999.0)

class CVolumeProfile
  {
protected:
   CBarCache        *m_cache;         // not owned
   int               m_slotWindow;    // same-hour readings the median looks back over
   int               m_minSeen;       // readings before a slot can answer
   int               m_trendBars;     // level-detrend look-back, in valid readings
   int               m_done;          // cache bars already folded in
   double            m_ring[];        // 24 slots x m_slotWindow volumes
   int               m_seen[24];      // valid readings pushed per slot (saturates at the window)
   int               m_head[24];      // next write position per slot
   double            m_raw[];         // per cache bar
   double            m_det[];

   static int        HourOf(const datetime t)
     {
      MqlDateTime s;
      TimeToStruct(t, s);
      return s.hour;
     }
   double            SlotMedian(const int slot) const;

public:
                     CVolumeProfile(void) : m_cache(NULL), m_slotWindow(60), m_minSeen(20),
                                            m_trendBars(20), m_done(0) {}
                    ~CVolumeProfile(void) {}
   void              Init(CBarCache *cache, const int slotWindow = 60, const int trendBars = 20)
     {
      m_cache = cache;
      m_slotWindow = MathMax(slotWindow, 10);
      m_minSeen = MathMin(20, m_slotWindow);
      m_trendBars = MathMax(trendBars, 5);
      m_done = 0;
      ArrayResize(m_ring, 24 * m_slotWindow);
      ArrayInitialize(m_ring, 0.0);
      ArrayInitialize(m_seen, 0);
      ArrayInitialize(m_head, 0);
      ArrayResize(m_raw, 0);
      ArrayResize(m_det, 0);
     }
   //--- Fold in every cache bar not yet seen. Call after the cache has synced.
   void              Update(void);
   //--- VOLPROF_NA until the slot has m_minSeen readings (raw) / the trend has 10 (detrended).
   double            Raw(const int i) const { return (i >= 0 && i < m_done) ? m_raw[i] : VOLPROF_NA; }
   double            Detrended(const int i) const { return (i >= 0 && i < m_done) ? m_det[i] : VOLPROF_NA; }
  };
//+------------------------------------------------------------------+
double CVolumeProfile::SlotMedian(const int slot) const
  {
   const int n = MathMin(m_seen[slot], m_slotWindow);
   double tmp[];
   ArrayResize(tmp, n);
   for(int k = 0; k < n; k++)
      tmp[k] = m_ring[slot * m_slotWindow + k];
   ArraySort(tmp);
   return (n % 2 == 1) ? tmp[n / 2] : 0.5 * (tmp[n / 2 - 1] + tmp[n / 2]);
  }
//+------------------------------------------------------------------+
void CVolumeProfile::Update(void)
  {
   if(m_cache == NULL)
      return;
   const int n = m_cache.Count();
   if(n <= m_done)
      return;
   ArrayResize(m_raw, n);
   ArrayResize(m_det, n);
   for(int i = m_done; i < n; i++)
     {
      const int slot = HourOf(m_cache.Time(i));
      const double v = m_cache.Volume(i);
      double raw = VOLPROF_NA;
      if(v > 0.0 && m_seen[slot] >= m_minSeen)
        {
         const double med = SlotMedian(slot);
         if(med > 0.0)
            raw = MathLog(v / med);
        }
      m_raw[i] = raw;
      //--- Level detrend: this reading against the mean of the previous valid ones.
      double det = VOLPROF_NA;
      if(raw != VOLPROF_NA)
        {
         double s = 0.0;
         int c = 0;
         for(int j = i - 1; j >= 0 && c < m_trendBars; j--)
           {
            if(m_raw[j] == VOLPROF_NA)
               continue;
            s += m_raw[j];
            c++;
           }
         if(c >= 10)
            det = raw - s / c;
        }
      m_det[i] = det;
      //--- Only AFTER the reading is taken does this bar enter its slot's history.
      if(v > 0.0)
        {
         m_ring[slot * m_slotWindow + m_head[slot]] = v;
         m_head[slot] = (m_head[slot] + 1) % m_slotWindow;
         if(m_seen[slot] < m_slotWindow)
            m_seen[slot]++;
        }
     }
   m_done = n;
  }
#endif // WARRIOR_VOLUMEPROFILE_MQH