forked from animatedread/Warrior_EA
e9c562b39f
- Introduced `FeatureScale.mqh` with `FeatSquash` function for stateless feature scaling. - Added `RegimeMath.mqh` class for regime arithmetic, including efficiency and variance calculations. - Documented the Mind trading logic in `MIND.md`, detailing the trading process and modes. - Created `VOLNORM_PLAN.md` and `VOLNORM_RESULTS.md` for tick-volume normalization testing. - Implemented `read_book.py` for analyzing trade book data and correlations. - Developed `volnorm.py` for testing tick-volume normalization with new and old methods.
79 lines
3.1 KiB
MQL5
79 lines
3.1 KiB
MQL5
//+------------------------------------------------------------------+
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//| VolumeFeed.mqh |
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//| AnimateDread |
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//| |
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//| ONE PLACE THAT ANSWERS "HOW BUSY WAS THIS BAR, FOR ITS HOUR". |
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//| |
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//| The neural module and the management net each used to compute |
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//| their own bar-over-recent-mean volume ratio, and both carried the |
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//| same defect (see Mind\VolumeProfile.mqh: the ratio mostly encoded |
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//| the hour of day). They now ask this feed instead, so there is one |
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//| definition of relative volume in the codebase and one place to fix |
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//| it. The Mind's own volume modality reads the same profile. |
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//| |
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//| One feed per chart, guarded by the symbol/period it was built for, |
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//| like g_wyckoffFeed. It owns a bar cache of the whole history - the |
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//| stdlib series stop at shift 1023 and the neural module trains far |
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//| deeper than that. |
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//+------------------------------------------------------------------+
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#ifndef WARRIOR_VOLUMEFEED_MQH
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#define WARRIOR_VOLUMEFEED_MQH
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#include "VolumeProfile.mqh"
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class CVolumeFeed
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{
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protected:
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CBarCache m_cache;
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CVolumeProfile m_profile;
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string m_for;
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public:
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CVolumeFeed(void) : m_for("") {}
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bool Ensure(const string symbol, const ENUM_TIMEFRAMES tf)
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{
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const string want = symbol + "/" + IntegerToString((int)tf);
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if(m_for == want)
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return true;
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m_cache.Init(symbol, tf, 14, 30);
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m_profile.Init(GetPointer(m_cache));
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m_for = want;
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return true;
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}
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//--- Bring the cache up to the newest closed bar and fold it into the profile.
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bool Sync(void)
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{
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if(m_for == "" || !m_cache.Sync())
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return false;
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m_profile.Update();
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return true;
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}
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//--- The bar that OPENED at `barTime`: its level-detrended log volume against the hour's norm,
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//--- that reading's mean over the last five bars, and its change from the previous bar.
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//--- False when any of them is not yet defined - the caller drops the row, as it does for any
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//--- other feature it cannot compute.
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bool Reading(const datetime barTime, double &now, double &mean5, double &change) const
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{
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const int i = m_cache.IndexOf(barTime);
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if(i < 5)
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return false;
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now = m_profile.Detrended(i);
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const double prev = m_profile.Detrended(i - 1);
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if(now == VOLPROF_NA || prev == VOLPROF_NA)
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return false;
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double s = now;
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for(int k = 1; k < 5; k++)
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{
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const double d = m_profile.Detrended(i - k);
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if(d == VOLPROF_NA)
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return false;
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s += d;
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}
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mean5 = s / 5.0;
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change = now - prev;
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return true;
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}
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};
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CVolumeFeed g_volFeed;
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#endif // WARRIOR_VOLUMEFEED_MQH
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