//+------------------------------------------------------------------+ //| TrailingSparseTable.mqh | //| Copyright 2026, MetaQuotes Ltd. | //| https://www.mql5.com | //+------------------------------------------------------------------+ #include #include "MarketDatabase.mqh" // Include the database class // wizard description start //+------------------------------------------------------------------+ //| Description of the class | //| Title=Trailing Stop based on Sparse Table RMQ with Excursion | //| Type=Trailing | //| Name=SparseTable | //| Class=CTrailingSparseTableEx | //| Page= | //| Parameter=WindowSize,int,20,Lookback window for RMQ | //| Parameter=DbName,string,MarketData.sqlite,Database filename | //| Parameter=Excursion,double,2.0,Excursion threshold | //+------------------------------------------------------------------+ // wizard description end //+------------------------------------------------------------------+ //| Class CTrailingSparseTableEx. | //| Purpose: $O(1)$ Trailing stop using Range Minimum/Maximum Queries| //+------------------------------------------------------------------+ class CTrailingSparseTableEx : public CExpertTrailing { protected: matrix m_st; // Sparse Table for storage int m_window_size; // Trailing lookback window int m_log_table[]; // Pre-computed Log2 table CMarketDatabase m_db; // Database accessor string m_db_name; // double m_excursion; CiATR m_atr; public: CTrailingSparseTableEx(void); ~CTrailingSparseTableEx(void); //--- Setters for Wizard parameters void WindowSize(int size) { m_window_size = size; } void DbName(string name) { m_db_name = name; } void Excursion(double excursion) { m_excursion = excursion; } virtual bool InitIndicators(CIndicators *indicators); virtual bool CheckTrailingStopLong(CPositionInfo *position, double &sl, double &tp); virtual bool CheckTrailingStopShort(CPositionInfo *position, double &sl, double &tp); bool BuildTable(MqlRates &R[], bool is_min); double QueryRMQ(int L, int R, bool is_min); }; //+------------------------------------------------------------------+ //| Constructor | //+------------------------------------------------------------------+ CTrailingSparseTableEx::CTrailingSparseTableEx(void) : m_window_size(20), m_db_name("MarketData.sqlite") { } //+------------------------------------------------------------------+ //| Destructor | //+------------------------------------------------------------------+ CTrailingSparseTableEx::~CTrailingSparseTableEx(void) { } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ bool CTrailingSparseTableEx::InitIndicators(CIndicators *indicators) { if(!CExpertTrailing::InitIndicators(indicators)) return false; // 1. Initialize ATR for the Geometric Gatekeeper if(!m_atr.Create(m_symbol.Name(), m_period, m_window_size)) return false; // 2. Pre-compute Log2 table for O(1) bitwise speed ArrayResize(m_log_table, 1001); m_log_table[1] = 0; for(int i = 2; i <= 1000; i++) m_log_table[i] = m_log_table[i / 2] + 1; // 3. Pre-load Historical Cleaned Data from SQLite MqlRates rates[]; // Load 3x the window size to allow for multi-term query depth int initial_size = 3 * m_window_size; int count = m_db.GetCleanedRates(m_symbol.Name(), TimeCurrent() - (PeriodSeconds() * initial_size), initial_size, rates); if(count >= initial_size) { // Build the initial table so the first tick is O(1) BuildTable(rates, true); printf("Sparse Table pre-initialized with %d bars from SQLite.", count); } return true; } //+------------------------------------------------------------------+ //| Build Sparse Table from price array: O(N log N) | //+------------------------------------------------------------------+ bool CTrailingSparseTableEx::BuildTable(MqlRates &R[], bool is_min) { int n = int(R.Size()); if(n <= 0) return false; int max_j = m_log_table[n] + 1; m_st.Resize(n, max_j); // Base case: intervals of length 1 for(int i = 0; i < n; i++) { if(is_min) { m_st[i][0] = R[i].low; } else { m_st[i][0] = R[i].high; } } // Compute intervals of length 2^j for(int j = 1; j < max_j; j++) { for(int i = 0; i + (1 << j) <= n; i++) { if(is_min) { // Storing min values for Long positions; m_st[i][j] = MathMin(m_st[i][j - 1], m_st[i + (1 << (j - 1))][j - 1]); } else { // Storing max values for Short positions; m_st[i][j] = MathMax(m_st[i][j - 1], m_st[i + (1 << (j - 1))][j - 1]); } } } return true; } //+------------------------------------------------------------------+ //| O(1) Range Query | //+------------------------------------------------------------------+ double CTrailingSparseTableEx::QueryRMQ(int L, int R, bool is_min) { int length = R - L + 1; int k = m_log_table[length]; if(is_min) return MathMin(m_st[L][k], m_st[R - (1 << k) + 1][k]); else return MathMax(m_st[L][k], m_st[R - (1 << k) + 1][k]); } //+------------------------------------------------------------------+ //| Check Long: Uses SQLite data to find Lowest price in window | //+------------------------------------------------------------------+ bool CTrailingSparseTableEx::CheckTrailingStopLong(CPositionInfo *position, double &sl, double &tp) { if(position == NULL) return false; static datetime last_bar_time = 0; datetime current_bar_time = iTime(m_symbol.Name(), m_period, 0); // Only rebuild the table if a new bar has formed if(current_bar_time != last_bar_time) { MqlRates rates[]; int size = 3 * m_window_size; int count = m_db.GetCleanedRates(m_symbol.CurrencyMargin() + m_symbol.CurrencyProfit(), TimeCurrent() - (PeriodSeconds() * size), size, rates); if(count >= size) { BuildTable(rates, true); // O(N log N) happens once per bar last_bar_time = current_bar_time; } } // --- O(1) CONSTANT TIME QUERIES --- // This section executes every tick without iterative overhead int total_elements = int(m_st.Rows()); if(total_elements > 1) { double short_term = QueryRMQ(total_elements - m_window_size, total_elements - 1, true); double long_term = QueryRMQ(0, total_elements - 1, true); double new_sl = (short_term + long_term) / 2.0; // Apply Geometric Excursion Validation sl = EMPTY_VALUE; tp = EMPTY_VALUE; double current_sl = position.StopLoss(); double limit = m_symbol.Bid() - m_symbol.StopsLevel() * m_symbol.Point(); if((new_sl > current_sl || current_sl == 0.0) && new_sl < limit) { m_atr.Refresh(-1); double excursion = fabs(m_symbol.Bid() - new_sl) / m_atr.Main(StartIndex()); if(excursion >= m_excursion) { sl = NormalizeDouble(new_sl, m_symbol.Digits()); return true; } } } return false; } //+------------------------------------------------------------------+ //| Check Short: Uses SQLite data to find Highest price in window | //+------------------------------------------------------------------+ bool CTrailingSparseTableEx::CheckTrailingStopShort(CPositionInfo *position, double &sl, double &tp) { if(position == NULL) return false; static datetime last_bar_time = 0; datetime current_bar_time = iTime(m_symbol.Name(), m_period, 0); // Only rebuild the table if a new bar has formed if(current_bar_time != last_bar_time) { MqlRates rates[]; int size = 3 * m_window_size; int count = m_db.GetCleanedRates(m_symbol.CurrencyMargin() + m_symbol.CurrencyProfit(), TimeCurrent() - (PeriodSeconds() * size), size, rates); if(count >= size) { BuildTable(rates, true); // O(N log N) happens once per bar last_bar_time = current_bar_time; } } // --- O(1) CONSTANT TIME QUERIES --- // This section executes every tick without iterative overhead int total_elements = int(m_st.Rows()); if(total_elements > 1) { double short_term = QueryRMQ(total_elements - m_window_size, total_elements - 1, true); double long_term = QueryRMQ(0, total_elements - 1, true); double new_sl = (short_term + long_term) / 2.0; // Apply Geometric Excursion Validation sl = EMPTY_VALUE; tp = EMPTY_VALUE; double current_sl = position.StopLoss(); double limit = m_symbol.Bid() - m_symbol.StopsLevel() * m_symbol.Point(); if((new_sl > current_sl || current_sl == 0.0) && new_sl > limit) { m_atr.Refresh(-1); double excursion = fabs(m_symbol.Ask() - new_sl) / m_atr.Main(StartIndex()); if(excursion >= m_excursion) { sl = NormalizeDouble(new_sl, m_symbol.Digits()); return true; } } } return false; } //+------------------------------------------------------------------+