228 lines
7 KiB
MQL5
228 lines
7 KiB
MQL5
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//+------------------------------------------------------------------+
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//| CStandardBars.mqh |
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//| Patrick M. Njoroge |
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//| https://www.mql5.com/en/users/patricknjoroge743 |
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//+------------------------------------------------------------------+
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//| Standard bar constructors: time, tick, volume, dollar. |
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//| Mirror the four non-imbalance branches of _make_bar_type_grouper|
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//| on the Python side. |
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//+------------------------------------------------------------------+
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#property copyright "Patrick M. Njoroge"
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#property link "https://www.mql5.com/en/users/patricknjoroge743"
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#ifndef __CSTANDARD_BARS_MQH__
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#define __CSTANDARD_BARS_MQH__
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#include <AlternativeBars\CBarConstructor.mqh>
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//+------------------------------------------------------------------+
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//| CTimeBar — closes when the tick's floor(time/bar_seconds) |
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//| differs from the current window. Label is the right edge of the |
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//| window, matching Python's resample(closed='left', label='right').|
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//+------------------------------------------------------------------+
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class CTimeBar : public CBarConstructor
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{
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private:
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int m_bar_seconds;
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datetime m_current_window_start;
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datetime BarFloor(const datetime t) const
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{
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return (datetime)((long)t - ((long)t % m_bar_seconds));
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}
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public:
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CTimeBar(const int bar_seconds) : CBarConstructor("time")
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{
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m_bar_seconds = bar_seconds;
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m_current_window_start = 0;
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}
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virtual bool ProcessTick(const MqlTick &tick,
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const long tick_num,
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SBar &out_bar) override
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{
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datetime window = BarFloor(tick.time);
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if(!m_initialized)
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{
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SeedBar(tick, tick_num);
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m_current_window_start = window;
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return false;
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}
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if(window != m_current_window_start)
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{
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FillBar(out_bar);
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//--- Override bar.time with the right-edge label
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out_bar.time = m_current_window_start + m_bar_seconds;
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SeedBar(tick, tick_num);
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m_current_window_start = window;
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return true;
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}
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UpdateAccumulator(tick, tick_num);
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return false;
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}
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virtual bool SaveState(const int fh) override
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{
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if(!CBarConstructor::SaveState(fh))
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return false;
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FileWriteLong(fh, (long)m_current_window_start);
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return true;
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}
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virtual bool LoadState(const int fh) override
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{
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if(!CBarConstructor::LoadState(fh))
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return false;
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m_current_window_start = (datetime)FileReadLong(fh);
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return true;
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}
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};
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//+------------------------------------------------------------------+
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//| CTickBar — closes when tick count in the current bar reaches |
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//| bar_size. The (bar_size+1)-th tick is the first of the new bar, |
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//| matching Python's np.arange(len(df)) // bar_size semantics. |
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//+------------------------------------------------------------------+
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class CTickBar : public CBarConstructor
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{
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private:
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int m_bar_size;
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public:
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CTickBar(const int bar_size) : CBarConstructor("tick")
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{
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m_bar_size = bar_size;
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}
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virtual bool ProcessTick(const MqlTick &tick,
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const long tick_num,
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SBar &out_bar) override
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{
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if(!m_initialized)
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{
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SeedBar(tick, tick_num);
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return false;
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}
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if(m_tick_volume >= m_bar_size)
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{
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FillBar(out_bar);
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SeedBar(tick, tick_num);
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return true;
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}
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UpdateAccumulator(tick, tick_num);
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return false;
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}
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};
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//+------------------------------------------------------------------+
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//| CCumSumBar — shared parent for volume and dollar bars. Maintains |
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//| a global cumulative metric and a derived bar_id that increments |
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//| when cum crosses a multiple of bar_size. The crossing tick is |
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//| the first of the new bar, matching Python's cumsum // bar_size. |
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//+------------------------------------------------------------------+
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class CCumSumBar : public CBarConstructor
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{
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protected:
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double m_bar_size;
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double m_cum_global;
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long m_prev_bar_id;
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//--- Per-tick metric. Overridden by concrete derived classes.
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virtual double TickMetric(const MqlTick &tick) = 0;
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public:
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CCumSumBar(const string bar_type, const double bar_size)
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: CBarConstructor(bar_type)
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{
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m_bar_size = bar_size;
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m_cum_global = 0.0;
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m_prev_bar_id = -1;
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}
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virtual bool ProcessTick(const MqlTick &tick,
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const long tick_num,
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SBar &out_bar) override
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{
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double x = TickMetric(tick);
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m_cum_global += x;
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long bar_id = (long)MathFloor(m_cum_global / m_bar_size);
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if(!m_initialized)
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{
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SeedBar(tick, tick_num);
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m_prev_bar_id = bar_id;
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return false;
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}
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if(bar_id != m_prev_bar_id)
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{
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FillBar(out_bar);
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SeedBar(tick, tick_num);
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m_prev_bar_id = bar_id;
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return true;
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}
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UpdateAccumulator(tick, tick_num);
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return false;
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}
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virtual bool SaveState(const int fh) override
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{
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if(!CBarConstructor::SaveState(fh))
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return false;
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FileWriteDouble(fh, m_cum_global);
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FileWriteLong(fh, m_prev_bar_id);
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return true;
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}
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virtual bool LoadState(const int fh) override
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{
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if(!CBarConstructor::LoadState(fh))
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return false;
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m_cum_global = FileReadDouble(fh);
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m_prev_bar_id = FileReadLong(fh);
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return true;
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}
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};
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//+------------------------------------------------------------------+
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//| CVolumeBar — metric is tick.volume (tick-count proxy on FX). |
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//+------------------------------------------------------------------+
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class CVolumeBar : public CCumSumBar
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{
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protected:
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virtual double TickMetric(const MqlTick &tick) override
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{
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return (double)tick.volume;
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}
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public:
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CVolumeBar(const double volume_per_bar)
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: CCumSumBar("volume", volume_per_bar) {}
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};
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//+------------------------------------------------------------------+
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//| CDollarBar — metric is tick.bid * tick.volume. Matches Python's |
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//| df["volume"] * df["bid"]. Any deviation breaks parity. |
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//+------------------------------------------------------------------+
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class CDollarBar : public CCumSumBar
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{
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protected:
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virtual double TickMetric(const MqlTick &tick) override
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{
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return tick.bid * (double)tick.volume;
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}
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public:
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CDollarBar(const double dollar_per_bar)
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: CCumSumBar("dollar", dollar_per_bar) {}
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};
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//+------------------------------------------------------------------+
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#endif // __CSTANDARD_BARS_MQH__
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