// ============================================================================ // P1FastCore.cs — pure C# port of pine/Winners/p1_fast_lucidpro_eval_25k.pine // (P1 FAST METHOD: ORB or5 + rsi_gate=notOB + stop_pad 0.25 ATR + M1be exits, // grade AB take rule, one signal per direction per day, limit-at-OR-level // entry valid 30 minutes, hard flat 15:55 ET / 12:55 on CME early closes) // PLUS the funded reBreak re-arm variant (Rearm = ReBreak, 2026-08-17; pine // pine/Winners/Archieve/p1_fast_lucidpro_funded_rebreak.pine). // // This file has NO NinjaTrader dependencies. It is compiled into BOTH // NinjaTrader 8 strategies (P1FastLucidEval25k.cs, P1FastLucidFunded25k.cs) // AND into the macOS parity harness that verifies it trade-for-trade against // the anchored engine reference books: // * eval (Rearm Off, $800/cap20): parity_refs_2026-08-02/ // lucidpro_25k_eval.json n=222, net $32,106.10 // * funded (Rearm ReBreak, $325/cap20): DB variant 14767 // lucidpro_r_ladder_books_full2019 / fund_rebreak|r325 // n=722, net $4,578.94 (2019-05-10..2026-08-07) // DO NOT EDIT trading logic here without re-running BOTH parity gates — this // port follows the same referee discipline as the TV scripts (AGENTS.md §6). // // Port conventions (kept from the Pine source, line refs are to the .pine): // * One call to OnBar() == one closed 1m chart bar, evaluated at its CLOSE // (Pine executes the whole script at bar close). The host feeds bars in // time order and never feeds a bar twice. // * Times are naive US/Eastern wall clock. Tmin = minutes since midnight ET // of the bar OPEN; ctMin = Tmin + 1 = bar close; DayId = yyyymmdd; // AbsMin = minutes since 0001-01-01 of the bar OPEN (Pine's `time` in ms // is only ever used for ordering / +N-minute arithmetic, so minutes lose // nothing). // * Synthetic HTF frames binned by ET wall clock, midnight anchor // (pine binOf, line ~237): bin = dayId*1440 + tmin - tmin % tf. Pure int // ops only — the 2026-07-04 bin-degeneration bug note travels with the // code: never reintroduce division here. // * "na" is double.NaN; nz(x, y) is IsNaN(x) ? y : x. // * The core owns SIGNALS + market state only. Order plumbing (limit entry, // SL/TP tickets, the BE move, EOD flatten) lives in the host, driven by // the shared BracketPlan state machine at the bottom of this file so the // NT8 wrapper and the parity harness cannot drift apart on management. // ============================================================================ using System; using System.Collections.Generic; namespace P1Fast { public enum RsiGateMode { Off, NotOB, Both } // ORB re-arm rule (engine cfg.orb_rearm / pine rearmMode): // Off — one signal per direction per day (eval preset, legacy) // ReBreak — a consumed direction re-arms when a COMPLETED 5m close is // strictly back inside the OR level (engine strat_ORB lines // 232-243; the re-arm bar itself never triggers). Unlimited // re-arms (engine orb_max_per_dir = 0). Funded preset. public enum RearmMode { Off, ReBreak } public sealed class P1FastParams { // instrument public double TickSize = 0.25; // MES public double PointValue = 5.0; // MES $/pt per contract // method inputs (pine `inputs` block; defaults = shipped preset) public double RiskUsd = 800.0; // 1R nominal (parity: flat $800) public RsiGateMode RsiGate = RsiGateMode.NotOB; public double PadAtr = 0.25; // stop pad (x ATR 5m) public double DailyStopR = 2.0; // 0 = off. Engine ref book ran 0. public int CapQty = 20; // 0 = uncapped. PART OF THE METHOD. public RearmMode Rearm = RearmMode.Off; // Off = eval legacy (bit-identical) // one-winner day cap: no NEW entries once realized day PnL >= this // (0 = off; the funded reference book 14767 has NO cap — pine // f_guardOK dayCapUsd is a live overlay, engine-unmodelled) public double DayCapUsd = 0.0; // Confluence TAKE rule (engine take_policy / conf_count_bits, added // 2026-08-17 for the R_minus_c2/c3_count3 presets): // TakeCount = 0 -> legacy grade rule: take iff nb >= 4 (grade A/B) // TakeCount = N -> take iff at least N of the bits named in // ConfCountBits ("c1,c3,c4,c5,c6") are set; // the grade is still computed for display only. public int TakeCount = 0; public string ConfCountBits = "c1,c2,c3,c4,c5,c6"; // LIVE EVAL sizing (taper ÷1.7 + desperado). OFF for any parity run. public bool LiveMode = false; public double LiveNeeded = 1250.0; public double LiveRoom = 1000.0; public double LiveDiv = 1.7; // trade window (bar OPEN AbsMin bounds, inclusive — pine tradeFrom/To) public long TradeFromAbsMin = long.MinValue; public long TradeToAbsMin = long.MaxValue; // session emit bound: 5m decision close must be <= this ET minute. // 930 (15:30) == pine emitMax with sessAM=false == engine _emit_ok_time // for session in ("AMPM","RTH"). public int EmitMaxMin = 930; } public struct BarInput { public long AbsMin; // bar OPEN, minutes since 0001-01-01, ET wall clock public int DayId; // yyyymmdd (ET) public int Tmin; // bar OPEN minutes since midnight ET public double O, H, L, C, V; } // What the core needs to know about the host's order/position state at // this bar's close (pine reads strategy.* for the same three facts). public struct HostState { public bool InPosition; // strategy.position_size != 0 public bool PendingEntry; // working entry limit not yet filled/cancelled public double RealizedDayPnl; // net $ realized since today's first bar (commissions included) // realized day PnL on the basis the DAY CAP is declared on (the // engine's daycap overlay counts $0.50/side); NaN = use RealizedDayPnl. // NT8 passes the same account figure for both. public double RealizedDayPnlForCap; } public sealed class SignalEvent { public bool IsLong; public double Level; // limit price = OR high / OR low public double Stop; // padded structural stop public double SlDist; // |level - stop| (sizes the trade, sets 1R/2R) public double Tp1; // +1R (BE trigger) public double Tp2; // +2R (all-out limit target) public int Qty; // contracts (only when Taken) public int Nb; // confluence bits set (0..6) public string Bits = ""; // "c1c2c3c4c5c6" public string Grade = ""; // A / B / C public bool Taken; // passed every gate; host should place the order public string SkipReason = ""; // sl-tight | gradeC | in-pos | guardrail | window | size public long DeadlineAbsMin; // last bar OPEN that may fill the limit // (= signal bar AbsMin + 31; pine pendDeadline) } public sealed class BarOutput { public bool NewDay; public bool FlatNow; // bar OPEN >= 15:55 ET (12:55 on early closes) public bool IsEarlyClose; public SignalEvent Signal; // null when no direction fired this bar } public sealed class P1FastCore { readonly P1FastParams P; double Tick => P.TickSize; double Pv => P.PointValue; public P1FastCore(P1FastParams p) { P = p; } // ------------------------------------------------------------ frames sealed class Frame { public readonly int Tf; readonly int Cap; public long BinId = long.MinValue; public bool Live; public double O, H, L, C, V; public long Ot; public int Done; // completed bars ever public readonly List Hh = new List(), Hl = new List(), Hc = new List(), Hv = new List(); public readonly List Ht = new List(); // completed-bar OPEN AbsMin public Frame(int tf, int cap) { Tf = tf; Cap = cap; } // pine binOf: pure int ops ONLY (see 2026-07-04 bug note above) public long BinOf(int dayId, int tmin) => (long)dayId * 1440 + tmin - tmin % Tf; public bool Finalize() { if (!Live) return false; Hh.Add(H); Hl.Add(L); Hc.Add(C); Hv.Add(V); Ht.Add(Ot); if (Hh.Count > Cap) { Hh.RemoveAt(0); Hl.RemoveAt(0); Hc.RemoveAt(0); Hv.RemoveAt(0); Ht.RemoveAt(0); } Done++; Live = false; return true; } public void Accum(BarInput b) { long bin = BinOf(b.DayId, b.Tmin); if (!Live || BinId != bin) { BinId = bin; Live = true; O = b.O; H = b.H; L = b.L; C = b.C; V = b.V; Ot = b.AbsMin; } else { H = Math.Max(H, b.H); L = Math.Min(L, b.L); C = b.C; V += b.V; } } public bool EndsNow(int tmin) => tmin % Tf == Tf - 1; } readonly Frame f5 = new Frame(5, 40), f15 = new Frame(15, 30), f30 = new Frame(30, 30), f60 = new Frame(60, 30), f240 = new Frame(240, 20); // -------------------------------------------------- frame-derived state double atr5 = double.NaN; // Wilder 14 on continuous 5m double rsiAvgUp = double.NaN, rsiAvgDn = double.NaN, rsi5 = double.NaN; readonly List vol5 = new List(); // completed 5m volumes (cap 21) readonly List p5loV = new List(); readonly List p5loT = new List(); readonly List p5hiV = new List(); readonly List p5hiT = new List(); readonly List p15loV = new List(); readonly List p15loT = new List(); readonly List p15hiV = new List(); readonly List p15hiT = new List(); readonly List sw30hi = new List(), sw30lo = new List(); readonly List sw60hi = new List(), sw60lo = new List(); double ema20h1 = double.NaN, ema50h1 = double.NaN; readonly List fvg60lo = new List(), fvg60hi = new List(); readonly List fvg60d = new List(); readonly List fvg240lo = new List(), fvg240hi = new List(); readonly List fvg240d = new List(); // ------------------------------------------------------- day context double pdh = double.NaN, pdl = double.NaN; double onh = double.NaN, onl = double.NaN; double lonH = double.NaN, lonL = double.NaN; double curDayHi = double.NaN, curDayLo = double.NaN; double onAccHi = double.NaN, onAccLo = double.NaN; double orHi = double.NaN, orLo = double.NaN; bool orDone; double cumV, cumVP, cumVP2; // 09:30-anchored session VWAP readonly List eqh = new List(), eql = new List(); readonly List swLvlL = new List(); readonly List swStL = new List(), swRdL = new List(); readonly List swLvlS = new List(); readonly List swStS = new List(), swRdS = new List(); int rthIdx = -1; int eqDay = -1; readonly List sessOpenT = new List(); // 09:30 bar-open stamps of past sessions // per-direction detector state (pine longArmed/shortArmed, stored // inverted): true = direction consumed. Off mode: consumed for the // day. ReBreak mode: re-arms on a completed 5m close back inside. bool longDone, shortDone; int prevDayId = -1; int prevTmin; // pine nz(tmin[1], 0) // ------------------------------------------------------- public views public double OrHi => orHi; public double OrLo => orLo; public bool OrDone => orDone; public double Atr5 => atr5; public double Rsi5 => rsi5; public double Pdh => pdh; public double Pdl => pdl; public double Onh => onh; public double Onl => onl; public bool LongDone => longDone; public bool ShortDone => shortDone; public bool LongArmed => !longDone; public bool ShortArmed => !shortDone; public double VwapNow => cumV > 0 ? cumVP / cumV : double.NaN; public double SdNow => cumV > 0 ? Math.Sqrt(Math.Max(cumVP2 / cumV - (cumVP / cumV) * (cumVP / cumV), 0.0)) : double.NaN; // CME 13:00-ET early closes (pine EARLY_CLOSE, verbatim) + forward // MAINTENANCE additions beyond the pine data window (post-2026-06, // marked): keep this list current for live trading — a missed date // means the strategy holds until 15:55 into a closed market. static readonly HashSet EarlyClose = new HashSet { 20230703, 20230704, 20230904, 20231123, 20231124, 20240115, 20240219, 20240527, 20240619, 20240703, 20240704, 20240902, 20241128, 20241129, 20241224, 20250120, 20250217, 20250526, 20250619, 20250703, 20250704, 20250901, 20251127, 20251128, 20251224, 20260119, 20260216, 20260525, 20260619, // ---- post-pine additions (not part of the parity window) ---- 20260703, 20260907, 20261126, 20261127, 20261224, 20270118, 20270215, 20270531, 20270618, 20270705, }; // ================================================================== // main per-bar step — mirrors the pine script's top-to-bottom order // ================================================================== public BarOutput OnBar(BarInput bar, HostState host) { var outp = new BarOutput(); int tmin = bar.Tmin; int ctMin = tmin + 1; int dayId = bar.DayId; bool newDay = dayId != prevDayId; outp.NewDay = newDay; bool inRTH = tmin >= 570 && tmin < 960; bool inON = tmin >= 1080 || tmin < 570; bool inLON = tmin >= 180 && tmin < 480; bool inOR = tmin >= 570 && tmin < 575; bool isEarly = EarlyClose.Contains(dayId); int flatMin = isEarly ? 775 : 955; bool flatNow = tmin >= flatMin; outp.FlatNow = flatNow; outp.IsEarlyClose = isEarly; bool inWindow = bar.AbsMin >= P.TradeFromAbsMin && bar.AbsMin <= P.TradeToAbsMin; // ---- day roll (pine 480-498): pdh/pdl advance only when the // finished day had an RTH session (weekends/holidays keep prior) if (newDay) { if (!double.IsNaN(curDayHi)) { pdh = curDayHi; pdl = curDayLo; } curDayHi = double.NaN; curDayLo = double.NaN; lonH = double.NaN; lonL = double.NaN; orHi = double.NaN; orLo = double.NaN; orDone = false; longDone = false; shortDone = false; rthIdx = -1; } // 18:00 ET: fresh overnight window (pine 499-501) if (tmin >= 1080 && prevTmin < 1080) { onAccHi = double.NaN; onAccLo = double.NaN; } if (inRTH) { curDayHi = Math.Max(Nz(curDayHi, bar.H), bar.H); curDayLo = Math.Min(Nz(curDayLo, bar.L), bar.L); } if (inON) { onAccHi = Math.Max(Nz(onAccHi, bar.H), bar.H); onAccLo = Math.Min(Nz(onAccLo, bar.L), bar.L); } if (inLON) { lonH = Math.Max(Nz(lonH, bar.H), bar.H); lonL = Math.Min(Nz(lonL, bar.L), bar.L); } if (inOR) { orHi = Math.Max(Nz(orHi, bar.H), bar.H); orLo = Math.Min(Nz(orLo, bar.L), bar.L); } if (!orDone && tmin >= 575) orDone = true; // ---- 09:30 snapshot (pine 551-596): freeze ON, EQ clusters, sweeps if (inRTH && dayId != eqDay) { eqDay = dayId; onh = double.IsNaN(onAccHi) ? pdh : onAccHi; // engine: pdh/pdl if ON empty onl = double.IsNaN(onAccLo) ? pdl : onAccLo; sessOpenT.Add(bar.AbsMin); if (sessOpenT.Count > 10) sessOpenT.RemoveAt(0); int ns = sessOpenT.Count; long winStart = ns >= 3 ? sessOpenT[ns - 3] : long.MinValue; var hV = new List(); var lV = new List(); if (winStart != long.MinValue) { for (int k = 0; k < p5hiV.Count; k++) if (p5hiT[k] >= winStart + 10) hV.Add(p5hiV[k]); for (int k = 0; k < p5loV.Count; k++) if (p5loT[k] >= winStart + 10) lV.Add(p5loV[k]); } Cluster(hV, eqh); Cluster(lV, eql); var longLvls = new List { pdl, onl }; if (!double.IsNaN(lonL)) longLvls.Add(lonL); longLvls.AddRange(eql); var shortLvls = new List { pdh, onh }; if (!double.IsNaN(lonH)) shortLvls.Add(lonH); shortLvls.AddRange(eqh); ArmSweeps(longLvls, swLvlL, swStL, swRdL); ArmSweeps(shortLvls, swLvlS, swStS, swRdS); cumV = 0.0; cumVP = 0.0; cumVP2 = 0.0; } // ---- lazy bin finalization (pine 598-624): bins that ended before // this bar opened (missing boundary minutes). Never fires signals. if (f5.Live && f5.BinId != f5.BinOf(dayId, tmin)) if (f5.Finalize()) { Post5(); Rsi5Update(); // Lazy-finalized 5m bins never fire signals but DO // re-arm (pine 756-763): the engine detector sees every // completed decision bar. Only re-arming here, never // consumption. if (P.Rearm == RearmMode.ReBreak && orDone && !double.IsNaN(orHi)) { double c5Lz = f5.Hc[f5.Hc.Count - 1]; if (longDone && c5Lz < orHi) longDone = false; if (shortDone && c5Lz > orLo) shortDone = false; } } if (f15.Live && f15.BinId != f15.BinOf(dayId, tmin)) if (f15.Finalize()) Post15(); if (f30.Live && f30.BinId != f30.BinOf(dayId, tmin)) if (f30.Finalize()) Post30(); if (f60.Live && f60.BinId != f60.BinOf(dayId, tmin)) if (f60.Finalize()) Post60(); if (f240.Live && f240.BinId != f240.BinOf(dayId, tmin)) if (f240.Finalize()) Post240(); // (pine 626-749 is trade management — host-side, see BracketPlan) // ---- accumulate current 1m bar into every frame (pine 752-756) f5.Accum(bar); f15.Accum(bar); f30.Accum(bar); f60.Accum(bar); f240.Accum(bar); // ---- session VWAP + sweep state machines (pine 758-792) if (inRTH) { rthIdx++; double tp = (bar.H + bar.L + bar.C) / 3.0; double v = Math.Max(bar.V, 1e-9); cumV += v; cumVP += v * tp; cumVP2 += v * tp * tp; UpdateSweeps(swLvlL, swStL, swRdL, true, bar); // long side UpdateSweeps(swLvlS, swStS, swRdS, false, bar); // short side } // ---- inline bin finalization (pine 799-816): signals fire ONLY // from the 5m bin ending at THIS bar's close. bool sig5 = false; if (f5.EndsNow(tmin) && f5.Finalize()) { sig5 = true; Post5(); Rsi5Update(); } if (f15.EndsNow(tmin) && f15.Finalize()) Post15(); if (f30.EndsNow(tmin) && f30.Finalize()) Post30(); if (f60.EndsNow(tmin) && f60.Finalize()) Post60(); if (f240.EndsNow(tmin) && f240.Finalize()) Post240(); // ---- signal scan (pine 1027-1129) bool ctxReady = orDone && !double.IsNaN(orHi) && !double.IsNaN(pdh) && !double.IsNaN(pdl) && !double.IsNaN(atr5) && atr5 > 0; int sigDir = 0; if (sig5 && ctxReady && ctMin > 575 && ctMin <= P.EmitMaxMin && !flatNow) { double c5m = f5.Hc[f5.Hc.Count - 1]; // completed 5m close // Each direction is scanned INDEPENDENTLY on every completed // decision bar (engine strat_ORB / pine 1183-1215): one close // can trigger one side and re-arm the other. The two triggers // are mutually exclusive (a close cannot be above OR-high and // below OR-low), so a single sigDir suffices. // ---- LONG side ---- if (longDone) { // ReBreak re-arm: completed close STRICTLY back below // OR-high; the re-arm bar itself never triggers. if (P.Rearm == RearmMode.ReBreak && c5m < orHi) longDone = false; } else if (c5m > orHi) { if (RsiOK(true)) { longDone = true; sigDir = 1; } // gated bar: direction NOT consumed; scan continues next 5m } // ---- SHORT side ---- if (shortDone) { if (P.Rearm == RearmMode.ReBreak && c5m > orLo) shortDone = false; } else if (c5m < orLo) { if (RsiOK(false)) { shortDone = true; sigDir = -1; } } } if (sigDir != 0) { bool lng = sigDir > 0; SigParts sp = BuildSignal(lng); double level = sp.Level, slRaw = sp.SlRaw, slD = sp.SlD; int nb = sp.Nb; var ev = new SignalEvent { IsLong = lng, Level = level, Stop = slRaw, SlDist = slD, Tp1 = level + (lng ? slD : -slD), Tp2 = level + (lng ? 2 * slD : -2 * slD), Nb = nb, Bits = sp.Bits, Grade = nb >= 5 ? "A" : nb >= 4 ? "B" : "C", DeadlineAbsMin = bar.AbsMin + 31, // signal close + 30 min }; if (slD < Tick) ev.SkipReason = "sl-tight"; else if (!TakeOK(sp.Bits, nb)) ev.SkipReason = P.TakeCount > 0 ? "conf-count" : "gradeC"; else if (host.InPosition || host.PendingEntry) ev.SkipReason = "in-pos"; else if (P.DailyStopR > 0 && host.RealizedDayPnl <= -P.DailyStopR * P.RiskUsd) ev.SkipReason = "guardrail"; else if (P.DayCapUsd > 0 && (double.IsNaN(host.RealizedDayPnlForCap) ? host.RealizedDayPnl : host.RealizedDayPnlForCap) >= P.DayCapUsd) ev.SkipReason = "guardrail"; // one-winner day cap (pine f_guardOK) else if (!inWindow) ev.SkipReason = "window"; else { int q = QtyFor(slD); if (q < 1) ev.SkipReason = "size"; // engine skipped-size else { ev.Taken = true; ev.Qty = q; } } outp.Signal = ev; } prevDayId = dayId; prevTmin = tmin; return outp; } // ------------------------------------------------------------ helpers static double Nz(double x, double y) => double.IsNaN(x) ? y : x; // engine swing_flags: strict fractal k=2, pivot bar = n-3, confirmed // when bar n-1 (newest completed) closes (pine f_pivots) static void PivotsUpdate(Frame f, List loV, List loT, List hiV, List hiT, int cap) { int n = f.Hh.Count; if (n < 5) return; double hp = f.Hh[n - 3]; if (hp > Math.Max(f.Hh[n - 5], f.Hh[n - 4]) && hp > Math.Max(f.Hh[n - 2], f.Hh[n - 1])) { hiV.Add(hp); hiT.Add(f.Ht[n - 3]); if (hiV.Count > cap) { hiV.RemoveAt(0); hiT.RemoveAt(0); } } double lp = f.Hl[n - 3]; if (lp < Math.Min(f.Hl[n - 5], f.Hl[n - 4]) && lp < Math.Min(f.Hl[n - 2], f.Hl[n - 1])) { loV.Add(lp); loT.Add(f.Ht[n - 3]); if (loV.Count > cap) { loV.RemoveAt(0); loT.RemoveAt(0); } } } static void Swings3Update(Frame f, List his, List los) { int n = f.Hh.Count; if (n < 5) return; double hp = f.Hh[n - 3]; if (hp > Math.Max(f.Hh[n - 5], f.Hh[n - 4]) && hp > Math.Max(f.Hh[n - 2], f.Hh[n - 1])) { his.Add(hp); if (his.Count > 3) his.RemoveAt(0); } double lp = f.Hl[n - 3]; if (lp < Math.Min(f.Hl[n - 5], f.Hl[n - 4]) && lp < Math.Min(f.Hl[n - 2], f.Hl[n - 1])) { los.Add(lp); if (los.Count > 3) los.RemoveAt(0); } } // FVG update on the newest completed bar (pine f_fvg): form vs bar n-3, // then close any open gap the new close fully traded through static void FvgUpdate(Frame f, List lo, List hi, List dir) { int n = f.Hh.Count; if (n < 3) return; double h2 = f.Hh[n - 3], l2 = f.Hl[n - 3]; double h0 = f.Hh[n - 1], l0 = f.Hl[n - 1]; if (h2 < l0) { lo.Add(h2); hi.Add(l0); dir.Add(1); } else if (l2 > h0) { lo.Add(h0); hi.Add(l2); dir.Add(-1); } double c0 = f.Hc[n - 1]; int k = 0; while (k < dir.Count) { int d = dir[k]; if ((d > 0 && c0 < lo[k]) || (d < 0 && c0 > hi[k])) { lo.RemoveAt(k); hi.RemoveAt(k); dir.RemoveAt(k); } else k++; } if (dir.Count > 200) { lo.RemoveAt(0); hi.RemoveAt(0); dir.RemoveAt(0); } } void Post5() { int n = f5.Hh.Count; double hh = f5.Hh[n - 1], ll = f5.Hl[n - 1]; double tr = hh - ll; if (n >= 2) { double pc = f5.Hc[n - 2]; tr = Math.Max(hh - ll, Math.Max(Math.Abs(hh - pc), Math.Abs(ll - pc))); } vol5.Add(f5.Hv[n - 1]); if (vol5.Count > 21) vol5.RemoveAt(0); PivotsUpdate(f5, p5loV, p5loT, p5hiV, p5hiT, 400); atr5 = double.IsNaN(atr5) ? tr : (13.0 * atr5 + tr) / 14.0; } // Wilder RSI(14) on completed continuous 5m closes; rsi = 50 while // avg-down is 0/undefined (engine's .replace(0,nan) -> .fillna(50)) void Rsi5Update() { int n = f5.Hc.Count; if (n < 2) return; double d = f5.Hc[n - 1] - f5.Hc[n - 2]; double up = Math.Max(d, 0.0), dn = Math.Max(-d, 0.0); rsiAvgUp = double.IsNaN(rsiAvgUp) ? up : (13.0 * rsiAvgUp + up) / 14.0; rsiAvgDn = double.IsNaN(rsiAvgDn) ? dn : (13.0 * rsiAvgDn + dn) / 14.0; rsi5 = rsiAvgDn > 1e-12 ? 100.0 - 100.0 / (1.0 + rsiAvgUp / rsiAvgDn) : 50.0; } void Post15() => PivotsUpdate(f15, p15loV, p15loT, p15hiV, p15hiT, 100); void Post30() => Swings3Update(f30, sw30hi, sw30lo); void Post60() { int n = f60.Hc.Count; double c0 = f60.Hc[n - 1]; Swings3Update(f60, sw60hi, sw60lo); FvgUpdate(f60, fvg60lo, fvg60hi, fvg60d); ema20h1 = double.IsNaN(ema20h1) ? c0 : (2.0 / 21.0) * c0 + (19.0 / 21.0) * ema20h1; ema50h1 = double.IsNaN(ema50h1) ? c0 : (2.0 / 51.0) * c0 + (49.0 / 51.0) * ema50h1; } void Post240() => FvgUpdate(f240, fvg240lo, fvg240hi, fvg240d); // EQ clusters (pine f_cluster): sort asc, group within 5 ticks, mean of // groups with >= 2 members void Cluster(List vals, List dst) { dst.Clear(); int m = vals.Count; if (m < 2) return; vals.Sort(); double tol = 5 * Tick; int i = 0; while (i < m) { double g0 = vals[i]; int j = i + 1, cnt = 1; double s = g0; while (j < m && vals[j] - g0 <= tol) { s += vals[j]; cnt++; j++; } if (cnt >= 2) dst.Add(s / cnt); i = j; } } static void ArmSweeps(List lvls, List dstLvl, List dstSt, List dstRd) { dstLvl.Clear(); dstSt.Clear(); dstRd.Clear(); foreach (double v in lvls) if (!double.IsNaN(v)) { dstLvl.Add(v); dstSt.Add(0); dstRd.Add(-1); } } // engine detect_sweep parity (pine 767-792): first raid per level (4 // ticks beyond), reclaim close within 3 RTH bars after the raid bar, // else the level is dead. 0 armed / 1 pending / 2 swept / 3 dead. void UpdateSweeps(List lvl, List st, List rd, bool longSide, BarInput bar) { for (int k = 0; k < lvl.Count; k++) { int s = st[k]; double lv = lvl[k]; bool raided = longSide ? bar.L <= lv - 4 * Tick : bar.H >= lv + 4 * Tick; if (s == 0 && raided) { s = 1; rd[k] = rthIdx; } if (s == 1) { bool reclaimed = longSide ? bar.C > lv : bar.C < lv; if (reclaimed) s = 2; else if (rthIdx >= rd[k] + 3) s = 3; } st[k] = s; } } // ------------------------------------------------------- confluences bool C1(bool lng) { int n = f60.Hc.Count; if (n == 0 || double.IsNaN(ema50h1)) return false; double c0 = f60.Hc[n - 1]; return lng ? c0 > ema20h1 && ema20h1 > ema50h1 : c0 < ema20h1 && ema20h1 < ema50h1; } bool C2(bool lng, double px) { double vw = VwapNow; if (double.IsNaN(vw)) return false; double sd = SdNow; return lng ? px > vw + sd : px < vw - sd; // vwapBand = band-trend } bool C3() { int n = vol5.Count; if (n < 2) return false; int cnt = Math.Min(n - 1, 20); double s = 0.0; for (int k = n - 1 - cnt; k <= n - 2; k++) s += vol5[k]; double avg = s / cnt; return avg > 0 && vol5[n - 1] > 1.5 * avg; } bool C4(bool lng) { var st = lng ? swStL : swStS; for (int k = 0; k < st.Count; k++) if (st[k] == 2) return true; return false; } static bool FvgHit(bool lng, double px, List lo, List hi, List dir) { int want = lng ? 1 : -1; for (int k = 0; k < dir.Count; k++) if (dir[k] == want && px >= lo[k] && px <= hi[k]) return true; return false; } // _htf_pattern on one frame (pine f_pattern): 13-bar window edge or // break-retest of the last 3 confirmed swings; tol = max(6 ticks, // 10% window range); needs >= 7 completed bars ever bool Pattern(Frame f, List shi, List slo, bool lng, double px) { int n = f.Hh.Count; if (f.Done < 7 || n < 1) return false; int w = Math.Min(n, 13); double hi = f.Hh[n - 1], lo = f.Hl[n - 1]; for (int k = n - w; k <= n - 1; k++) { hi = Math.Max(hi, f.Hh[k]); lo = Math.Min(lo, f.Hl[k]); } double tol = Math.Max(6 * Tick, 0.1 * (hi - lo)); if (lng && Math.Abs(px - lo) <= tol) return true; if (!lng && Math.Abs(px - hi) <= tol) return true; double cl0 = f.Hc[n - 1]; var arr = lng ? shi : slo; for (int k = 0; k < arr.Count; k++) { double lv = arr[k]; if ((lng ? cl0 > lv : cl0 < lv) && Math.Abs(px - lv) <= tol) return true; } return false; } bool C5(bool lng, double px) => FvgHit(lng, px, fvg60lo, fvg60hi, fvg60d) || FvgHit(lng, px, fvg240lo, fvg240hi, fvg240d) || Pattern(f60, sw60hi, sw60lo, lng, px) || Pattern(f30, sw30hi, sw30lo, lng, px); // room to 2R: nearest opposing PDH/PDL/ONH/ONL, any open 1H/4H FVG // edge, or the next round-100 level (engine round_room = 100) bool C6(bool lng, double px, double slD) { var lv = new List { pdh, pdl, onh, onl }; for (int k = 0; k < fvg60d.Count; k++) { lv.Add(fvg60lo[k]); lv.Add(fvg60hi[k]); } for (int k = 0; k < fvg240d.Count; k++) { lv.Add(fvg240lo[k]); lv.Add(fvg240hi[k]); } lv.Add(lng ? (Math.Floor(px / 100.0) + 1) * 100.0 : Math.Floor(px / 100.0) * 100.0); double nearest = 1.0e18; foreach (double x in lv) { if (double.IsNaN(x)) continue; if (lng && x > px + 1e-9) nearest = Math.Min(nearest, x - px); if (!lng && x < px - 1e-9) nearest = Math.Min(nearest, px - x); } return nearest >= 2.0 * slD; } // RSI(14) 5m gate on the breakout decision bar; missing RSI counts as // 50 (passes). notOB blocks rsi > 70 long / < 30 short. bool RsiOK(bool lng) { double r = double.IsNaN(rsi5) ? 50.0 : rsi5; bool ok = true; if (P.RsiGate == RsiGateMode.NotOB || P.RsiGate == RsiGateMode.Both) ok = lng ? r <= 70.0 : r >= 30.0; if (ok && P.RsiGate == RsiGateMode.Both) ok = lng ? r > 50.0 : r < 50.0; return ok; } // pure signal builder (pine f_signal). stop order of operations = // engine: raw structural -> 0.5*ATR floor -> stop_pad widening; the // PADDED distance feeds sizing, 1R/2R and c6 room. struct SigParts { public double Level, SlRaw, SlD; public int Nb; public string Bits; } SigParts BuildSignal(bool lng) { double level = lng ? orHi : orLo; double orMid = 0.5 * (orHi + orLo); double slRaw = lng ? Math.Max(orMid, level - 1.2 * atr5) : Math.Min(orMid, level + 1.2 * atr5); if (Math.Abs(level - slRaw) < 0.5 * atr5) // min_stop floor slRaw = lng ? level - 0.5 * atr5 : level + 0.5 * atr5; if (P.PadAtr > 0) // stop pad slRaw = lng ? slRaw - P.PadAtr * atr5 : slRaw + P.PadAtr * atr5; double slD = Math.Abs(level - slRaw); bool c1 = C1(lng), c2 = C2(lng, level), c3 = C3(), c4 = C4(lng), c5 = C5(lng, level), c6 = C6(lng, level, slD); int nb = (c1 ? 1 : 0) + (c2 ? 1 : 0) + (c3 ? 1 : 0) + (c4 ? 1 : 0) + (c5 ? 1 : 0) + (c6 ? 1 : 0); string bits = $"{(c1 ? 1 : 0)}{(c2 ? 1 : 0)}{(c3 ? 1 : 0)}{(c4 ? 1 : 0)}{(c5 ? 1 : 0)}{(c6 ? 1 : 0)}"; return new SigParts { Level = level, SlRaw = slRaw, SlD = slD, Nb = nb, Bits = bits }; } // take rule: legacy grade A/B (nb >= 4) or "count:N over selected bits" // (engine strategies_p1 take_policy="count:N", conf_count_bits) bool TakeOK(string bits, int nb) { if (P.TakeCount <= 0) return nb >= 4; int cnt = 0; string sel = "," + (P.ConfCountBits ?? "").Replace(" ", "") + ","; for (int i = 0; i < 6 && i < bits.Length; i++) if (bits[i] == '1' && sel.Contains(",c" + (i + 1) + ",")) cnt++; return cnt >= P.TakeCount; } // one sizing rule for backtest AND live (pine f_qtyFor): // parity = floor(risk/stop$) capped; live = min(needed ÷ div, base, // cap) with the DESPERADO full-cap override when room < base. int QtyFor(double slD) { double rpc = slD * Pv; int q = (int)Math.Floor(P.RiskUsd / rpc); if (P.LiveMode) { int baseC = P.LiveRoom < P.RiskUsd && P.CapQty > 0 ? P.CapQty : q; int taperC = (int)Math.Ceiling(P.LiveNeeded / (P.LiveDiv * rpc)); q = Math.Max(1, Math.Min(baseC, taperC)); } if (P.CapQty > 0) q = Math.Min(q, P.CapQty); return q; } } // ====================================================================== // BracketPlan — the M1be trade-management state machine, shared by the // NT8 wrapper and the parity harness so their management cannot drift. // Mirrors pine 626-749 + 1132-1156 for mgmtM1: // * full position, fixed LIMIT target at +2R // * once +1R prints (bar HIGH/LOW touch on a CLOSED bar strictly after // the fill bar), stop moves to breakeven — effective from the NEXT // bar (orders are (re)submitted at bar close, same as pine/engine) // * EOD flat at the first bar opening >= 15:55 (12:55 early close) // The host owns actual order submission; it calls OnBarClosed() once per // closed 1m bar while the position is open and then (re)submits its // stop at StopPrice and its target at TargetPrice. // ====================================================================== public sealed class BracketPlan { public bool IsLong { get; private set; } public double EntryPx { get; private set; } // the OR-level limit price public double Tp1 { get; private set; } public double Tp2 { get; private set; } public double StopPrice { get; private set; } public bool BeMoved { get; private set; } public int FillBarIdx { get; private set; } = int.MinValue; public double TargetPrice => Tp2; public static BracketPlan FromSignal(SignalEvent s) => new BracketPlan { IsLong = s.IsLong, EntryPx = s.Level, Tp1 = s.Tp1, Tp2 = s.Tp2, StopPrice = s.Stop, }; public void MarkFilled(int barIdx) { FillBarIdx = barIdx; } /// Returns true when this bar armed the BE move (host should /// amend its working stop to StopPrice, effective next bar). public bool OnBarClosed(int barIdx, double high, double low) { if (FillBarIdx == int.MinValue || barIdx <= FillBarIdx) return false; if (BeMoved) return false; bool touched = IsLong ? high >= Tp1 : low <= Tp1; if (!touched) return false; StopPrice = EntryPx; BeMoved = true; return true; } } }