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EA.mqh
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//+------------------------------------------------------------------+
//| EA31337 framework |
//| Copyright 2016-2021, EA31337 Ltd |
//| https://github.com/EA31337 |
//+------------------------------------------------------------------+
/*
* This file is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program. If not, see <http://www.gnu.org/licenses/>.
*
*/
/**
* @file
* Implements Expert Advisor class for writing custom trading robots.
*/
// Prevents processing this includes file for the second time.
#ifndef EA_MQH
#define EA_MQH
// Includes.
#include "Action.enum.h"
#include "Chart.mqh"
#include "Condition.enum.h"
#include "Data.struct.h"
#include "Dict.mqh"
#include "DictObject.mqh"
#include "EA.enum.h"
#include "EA.struct.h"
#include "Market.mqh"
#include "Refs.struct.h"
#include "SerializerConverter.mqh"
#include "SerializerCsv.mqh"
#include "SerializerJson.mqh"
#include "SerializerSqlite.mqh"
#include "Strategy.mqh"
#include "SummaryReport.mqh"
#include "Task.mqh"
#include "Terminal.mqh"
#include "Trade.mqh"
#include "Trade/TradeSignal.h"
#include "Trade/TradeSignalManager.h"
class EA {
protected:
// Class variables.
Account *account;
DictStruct<long, Ref<Strategy>> strats;
Log logger;
Terminal terminal;
// Data variables.
BufferStruct<ChartEntry> data_chart;
BufferStruct<SymbolInfoEntry> data_symbol;
Dict<string, double> ddata; // Custom user data.
Dict<string, int> idata; // Custom user data.
DictObject<string, Trade> trade;
DictObject<ENUM_TIMEFRAMES, BufferStruct<IndicatorDataEntry>> data_indi;
DictObject<ENUM_TIMEFRAMES, BufferStruct<StgEntry>> data_stg;
DictStruct<int, TaskEntry> tasks;
EAParams eparams;
EAProcessResult eresults;
EAState estate;
TradeSignalManager tsm;
public:
/**
* Class constructor.
*/
EA(EAParams &_params) : account(new Account) {
eparams = _params;
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_ON_INIT), true);
UpdateStateFlags();
// Add and process tasks.
TaskAdd(eparams.GetStruct<TaskEntry>(STRUCT_ENUM(EAParams, EA_PARAM_STRUCT_TASK_ENTRY)));
ProcessTasks();
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_ON_INIT), false);
// Initialize a trade instance for the current chart and symbol.
ChartParams _cparams((ENUM_TIMEFRAMES)_Period, _Symbol);
TradeParams _tparams;
Trade _trade(_tparams, _cparams);
trade.Set(_Symbol, _trade);
logger.Link(_trade.GetLogger());
}
/**
* Class deconstructor.
*/
~EA() {
// Process tasks on quit.
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_ON_QUIT), true);
ProcessTasks();
// Deinitialize classes.
Object::Delete(account);
}
/* Getters */
/**
* Gets EA state flag value.
*/
bool Get(STRUCT_ENUM(EAState, ENUM_EA_STATE_FLAGS) _prop) { return estate.Get(_prop); }
/**
* Gets EA parameter value.
*/
template <typename T>
T Get(STRUCT_ENUM(EAParams, ENUM_EA_PARAM_PROP) _param) {
return eparams.Get<T>(_param);
}
/**
* Gets EA state property value.
*/
template <typename T>
T Get(STRUCT_ENUM(EAState, ENUM_EA_STATE_PROP) _prop) {
return estate.Get<T>(_prop);
}
/**
* Gets a Trade's state value.
*/
template <typename T>
T Get(ENUM_TRADE_STATE _state, string _symbol = NULL) {
return trade.GetByKey(_symbol != NULL ? _symbol : _Symbol).Get<T>(_state);
}
/**
* Gets a strategy's signal entry.
*
* @param Strategy _strat
* Reference to strategy to get the signal from.
* @param bool _trade_allowed
* True if trade is allowed.
* @param int _shift
* Bar shift.
*
* @return
* Returns TradeSignalEntry struct.
*/
TradeSignalEntry GetStrategySignalEntry(Strategy *_strat, bool _trade_allowed = true, int _shift = -1) {
// float _bf = 1.0;
float _scl = _strat.Get<float>(STRAT_PARAM_SCL);
float _sol = _strat.Get<float>(STRAT_PARAM_SOL);
int _scfm = _strat.Get<int>(STRAT_PARAM_SCFM);
int _scft = _strat.Get<int>(STRAT_PARAM_SCFT);
int _scm = _strat.Get<int>(STRAT_PARAM_SCM);
int _sob = _strat.Get<int>(STRAT_PARAM_SOB);
int _sofm = _strat.Get<int>(STRAT_PARAM_SOFM);
int _soft = _strat.Get<int>(STRAT_PARAM_SOFT);
int _som = _strat.Get<int>(STRAT_PARAM_SOM);
int _ss = _shift >= 0 ? _shift : _strat.Get<int>(STRAT_PARAM_SHIFT);
unsigned int _signals = 0;
// sparams.Get<float>(STRAT_PARAM_WEIGHT));
if (_trade_allowed) {
// Process boost factor and lot size.
// sresult.SetBoostFactor(sparams.IsBoosted() ? SignalOpenBoost(ORDER_TYPE_BUY, _sob) : 1.0f);
// sresult.SetLotSize(sparams.GetLotSizeWithFactor());
// Process open signals when trade is allowed.
_signals |= _strat.SignalOpen(ORDER_TYPE_BUY, _som, _sol, _ss) ? SIGNAL_OPEN_BUY_MAIN : 0;
_signals |= !_strat.SignalOpenFilterMethod(ORDER_TYPE_BUY, _sofm) ? SIGNAL_OPEN_BUY_FILTER : 0;
_signals |= _strat.SignalOpen(ORDER_TYPE_SELL, _som, _sol, _ss) ? SIGNAL_OPEN_SELL_MAIN : 0;
_signals |= !_strat.SignalOpenFilterMethod(ORDER_TYPE_SELL, _sofm) ? SIGNAL_OPEN_SELL_FILTER : 0;
_signals |= !_strat.SignalOpenFilterTime(_soft) ? SIGNAL_OPEN_TIME_FILTER : 0;
}
// Process close signals.
_signals |= _strat.SignalClose(ORDER_TYPE_BUY, _scm, _scl, _ss) ? SIGNAL_CLOSE_BUY_MAIN : 0;
_signals |= !_strat.SignalCloseFilter(ORDER_TYPE_BUY, _scfm) ? SIGNAL_CLOSE_BUY_FILTER : 0;
_signals |= _strat.SignalClose(ORDER_TYPE_SELL, _scm, _scl, _ss) ? SIGNAL_CLOSE_SELL_MAIN : 0;
_signals |= !_strat.SignalCloseFilter(ORDER_TYPE_SELL, _scfm) ? SIGNAL_CLOSE_SELL_FILTER : 0;
_signals |= !_strat.SignalCloseFilterTime(_scft) ? SIGNAL_CLOSE_TIME_FILTER : 0;
TradeSignalEntry _sentry(_signals, _strat.Get<ENUM_TIMEFRAMES>(STRAT_PARAM_TF), _strat.Get<long>(STRAT_PARAM_ID));
_sentry.Set(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_PROP_STRENGTH), _strat.SignalOpen(_sofm, _sol, _ss));
_sentry.Set(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_PROP_TIME), ::TimeGMT());
return _sentry;
}
/* Setters */
/**
* Sets an EA parameter value.
*/
template <typename T>
void Set(STRUCT_ENUM(EAParams, ENUM_EA_PARAM_PROP) _param, T _value) {
eparams.Set<T>(_param, _value);
}
/**
* Sets EA state flag value.
*/
void Set(STRUCT_ENUM(EAState, ENUM_EA_STATE_FLAGS) _prop, bool _value) { estate.Set(_prop, _value); }
/**
* Sets an strategy parameter value for all strategies.
*/
template <typename T>
void Set(ENUM_STRATEGY_PARAM _param, T _value) {
for (DictStructIterator<long, Ref<Strategy>> iter = strats.Begin(); iter.IsValid(); ++iter) {
Strategy *_strat = iter.Value().Ptr();
_strat.Set<T>(_param, _value);
}
}
/**
* Sets a trade parameter value for all trade instances.
*/
template <typename T>
void Set(ENUM_TRADE_PARAM _param, T _value) {
for (DictObjectIterator<string, Trade> iter = trade.Begin(); iter.IsValid(); ++iter) {
Trade *_trade = iter.Value();
_trade.Set<T>(_param, _value);
}
}
/* Processing methods */
/**
* Process strategy signals.
*/
bool ProcessSignals(const MqlTick &_tick, unsigned int _sig_filter = 0, bool _trade_allowed = true) {
bool _result = true;
int _last_error = ERR_NO_ERROR;
ResetLastError();
for (DictObjectIterator<int, TradeSignal> _iter = tsm.GetIterSignalsActive(); _iter.IsValid(); ++_iter) {
bool _result_local = true;
TradeSignal *_signal = _iter.Value();
if (_signal.Get(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_FLAG_PROCESSED))) {
// Ignores already processed signals.
continue;
}
Trade *_trade = trade.GetByKey(_Symbol);
Strategy *_strat =
strats.GetByKey(_signal.Get<long>(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_PROP_MAGIC_ID))).Ptr();
if (_trade.Get<bool>(TRADE_STATE_ORDERS_ACTIVE)) {
float _sig_close = _signal.GetSignalClose();
string _comment_close =
_strat != NULL && _sig_close != 0.0f ? _strat.GetOrderCloseComment() : __FUNCTION_LINE__;
// Check if we should close the orders.
if (_sig_close >= 0.5f) {
// Close signal for buy order.
_trade.OrdersCloseViaProp2<ENUM_ORDER_PROPERTY_INTEGER, long>(
ORDER_MAGIC, _signal.Get<long>(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_PROP_MAGIC_ID)), ORDER_TYPE,
ORDER_TYPE_BUY, MATH_COND_EQ, ORDER_REASON_CLOSED_BY_SIGNAL, _comment_close);
// Buy orders closed.
_strat.OnOrderClose(ORDER_TYPE_BUY);
}
if (_sig_close <= -0.5f) {
// Close signal for sell order.
_trade.OrdersCloseViaProp2<ENUM_ORDER_PROPERTY_INTEGER, long>(
ORDER_MAGIC, _signal.Get<long>(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_PROP_MAGIC_ID)), ORDER_TYPE,
ORDER_TYPE_SELL, MATH_COND_EQ, ORDER_REASON_CLOSED_BY_SIGNAL, _comment_close);
// Sell orders closed.
_strat.OnOrderClose(ORDER_TYPE_SELL);
}
}
_trade_allowed &= _trade.IsTradeAllowed();
_trade_allowed &= !_strat.IsSuspended();
if (_trade_allowed) {
float _sig_open = _signal.GetSignalOpen();
unsigned int _sig_f = eparams.Get<unsigned int>(STRUCT_ENUM(EAParams, EA_PARAM_PROP_SIGNAL_FILTER));
string _comment_open = _strat != NULL && _sig_open != 0.0f ? _strat.GetOrderOpenComment() : __FUNCTION_LINE__;
// Open orders on signals.
if (_sig_open >= 0.5f) {
// Open signal for buy.
// When H1 or H4 signal filter is enabled, do not open minute-based orders on opposite or neutral signals.
if (_sig_f == 0) { // @fixme: || GetSignalOpenFiltered(_signal, _sig_f) >= 0.5f) {
_strat.Set(TRADE_PARAM_ORDER_COMMENT, _comment_open);
// Buy order open.
_result_local &= TradeRequest(ORDER_TYPE_BUY, _Symbol, _strat);
if (_result_local && eparams.CheckSignalFilter(STRUCT_ENUM(EAParams, EA_PARAM_SIGNAL_FILTER_FIRST))) {
_signal.Set(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_FLAG_PROCESSED), true);
break;
}
}
}
if (_sig_open <= -0.5f) {
// Open signal for sell.
// When H1 or H4 signal filter is enabled, do not open minute-based orders on opposite or neutral signals.
if (_sig_f == 0) { // @fixme: || GetSignalOpenFiltered(_signal, _sig_f) <= -0.5f) {
_strat.Set(TRADE_PARAM_ORDER_COMMENT, _comment_open);
// Sell order open.
_result_local &= TradeRequest(ORDER_TYPE_SELL, _Symbol, _strat);
if (_result_local && eparams.CheckSignalFilter(STRUCT_ENUM(EAParams, EA_PARAM_SIGNAL_FILTER_FIRST))) {
_signal.Set(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_FLAG_PROCESSED), true);
break;
}
}
}
if (_result_local) {
_signal.Set(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_FLAG_PROCESSED), true);
} else {
_last_error = GetLastError();
if (_last_error > 0) {
logger.Warning(StringFormat("Error: %d", _last_error), __FUNCTION_LINE__, _strat.GetName());
ResetLastError();
}
if (_trade.Get<bool>(TRADE_STATE_MONEY_NOT_ENOUGH)) {
logger.Warning(StringFormat("Suspending strategy.", _last_error), __FUNCTION_LINE__, _strat.GetName());
_strat.Suspended(true);
}
}
}
_result &= _result_local;
}
_last_error = GetLastError();
if (_last_error > 0) {
logger.Warning(StringFormat("Processing signals failed! Code: %d", _last_error), __FUNCTION_LINE__);
}
// Refresh signals after processing.
tsm.Refresh();
return _result && _last_error == 0;
}
/**
* Process a trade request.
*
* @return
* Returns true on successful request.
*/
virtual bool TradeRequest(ENUM_ORDER_TYPE _cmd, string _symbol = NULL, Strategy *_strat = NULL) {
bool _result = false;
Trade *_trade = trade.GetByKey(_symbol);
// Prepare a request.
MqlTradeRequest _request = _trade.GetTradeOpenRequest(_cmd);
_request.comment = _strat.GetOrderOpenComment();
_request.magic = _strat.Get<long>(STRAT_PARAM_ID);
_request.price = SymbolInfoStatic::GetOpenOffer(_symbol, _cmd);
_request.volume = fmax(_strat.Get<float>(STRAT_PARAM_LS), SymbolInfoStatic::GetVolumeMin(_symbol));
_request.volume = _trade.NormalizeLots(_request.volume);
// Prepare an order parameters.
OrderParams _oparams;
_strat.OnOrderOpen(_oparams);
// Send the request.
_result = _trade.RequestSend(_request, _oparams);
return _result;
}
/**
* Process strategy signals on tick event.
*
* Note: Call this method for every market tick.
*
* @return
* Returns struct with the processed results.
*/
virtual EAProcessResult ProcessTick() {
if (estate.IsEnabled()) {
MqlTick _tick = SymbolInfoStatic::GetTick(_Symbol);
eresults.Reset();
if (estate.IsActive()) {
ProcessPeriods();
// Process all enabled strategies and retrieve their signals.
for (DictStructIterator<long, Ref<Strategy>> iter = strats.Begin(); iter.IsValid(); ++iter) {
bool _can_trade = true;
Strategy *_strat = iter.Value().Ptr();
Trade *_trade = trade.GetByKey(_Symbol);
if (_strat.IsEnabled()) {
if (estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)) >= DATETIME_MINUTE) {
// Process when new periods started.
_strat.OnPeriod(estate.Get<unsigned int>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)));
_strat.ProcessTasks();
_trade.OnPeriod(estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)));
eresults.stg_processed_periods++;
}
if (_strat.TickFilter(_tick)) {
_can_trade &= !_strat.IsSuspended();
_can_trade &=
!_strat.CheckCondition(STRAT_COND_TRADE_COND, TRADE_COND_HAS_STATE, TRADE_STATE_TRADE_CANNOT);
TradeSignalEntry _sentry = GetStrategySignalEntry(_strat, _can_trade, _strat.Get<int>(STRAT_PARAM_SHIFT));
if (_sentry.Get<uint>(STRUCT_ENUM(TradeSignalEntry, TRADE_SIGNAL_PROP_SIGNALS)) > 0) {
TradeSignal _signal(_sentry);
if (_signal.GetSignalClose() != _signal.GetSignalOpen()) {
tsm.SignalAdd(_signal); //, _tick.time);
}
StgProcessResult _strat_result = _strat.GetProcessResult();
eresults.last_error = fmax(eresults.last_error, _strat_result.last_error);
eresults.stg_errored += (int)_strat_result.last_error > ERR_NO_ERROR;
eresults.stg_processed++;
}
}
}
}
if (tsm.GetSignalsActive().Size() > 0 && tsm.IsReady()) {
// Process all strategies' signals and trigger trading orders.
ProcessSignals(_tick, eparams.Get<unsigned int>(STRUCT_ENUM(EAParams, EA_PARAM_PROP_SIGNAL_FILTER)));
}
if (eresults.last_error > ERR_NO_ERROR) {
// On error, print logs.
logger.Flush();
}
if (estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)) >= DATETIME_MINUTE) {
// Process data, tasks and trades on new periods.
ProcessTrades();
}
}
estate.last_updated.Update();
if (estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)) >= DATETIME_MINUTE) {
// Process data and tasks on new periods.
ProcessData();
ProcessTasks();
}
}
return eresults;
}
/**
* Process data to store.
*/
void ProcessData() {
long _timestamp = estate.last_updated.GetEntry().GetTimestamp();
if (eparams.CheckFlagDataStore(EA_DATA_STORE_CHART)) {
ChartEntry _entry = Chart().GetEntry();
data_chart.Add(_entry, _entry.bar.ohlc.time);
}
/* @fixme
if (eparams.CheckFlagDataStore(EA_DATA_STORE_INDICATOR)) {
for (DictStructIterator<long, Ref<Strategy>> iter = strats.Begin(); iter.IsValid(); ++iter) {
Strategy *_strati = iter.Value().Ptr();
IndicatorBase *_indi = _strati.GetIndicator();
if (_indi != NULL) {
ENUM_TIMEFRAMES _itf = _indi.GetParams().tf.GetTf();
IndicatorDataEntry _ientry = _indi.GetEntry();
if (!data_indi.KeyExists(_itf)) {
// Create new timeframe buffer if does not exist.
BufferStruct<IndicatorDataEntry> *_ide = new BufferStruct<IndicatorDataEntry>;
data_indi.Set(_itf, _ide);
}
// Save entry into data_indi.
data_indi[_itf].Add(_ientry);
}
}
}
*/
/*
if (eparams.CheckFlagDataStore(EA_DATA_STORE_STRATEGY)) {
for (DictStructIterator<long, Ref<Strategy>> iter = strats.Begin(); iter.IsValid(); ++iter) {
Strategy *_strat = iter.Value().Ptr();
StgEntry _sentry = _strat.GetEntry();
ENUM_TIMEFRAMES _stf = iter_tf.Key(); // @fixme
if (!data_stg.KeyExists(_stf)) {
// Create new timeframe buffer if does not exist.
BufferStruct<StgEntry> *_se = new BufferStruct<StgEntry>;
data_stg.Set(_stf, _se);
}
// Save data into data_stg.
data_stg[_stf].Add(_sentry);
}
}
*/
if (eparams.CheckFlagDataStore(EA_DATA_STORE_SYMBOL)) {
data_symbol.Add(SymbolInfo().GetEntryLast(), _timestamp);
}
if (eparams.CheckFlagDataStore(EA_DATA_STORE_TRADE)) {
// @todo
}
}
/**
* Checks for new starting periods.
*/
unsigned int ProcessPeriods() {
estate.Set<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS), estate.last_updated.GetStartedPeriods());
OnPeriod();
return estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS));
}
/**
* Export data.
*/
void DataExport(unsigned short _methods) {
long _timestamp = estate.last_updated.GetEntry().GetTimestamp();
int _serializer_flags = SERIALIZER_FLAG_SKIP_HIDDEN | SERIALIZER_FLAG_INCLUDE_DEFAULT |
SERIALIZER_FLAG_INCLUDE_DYNAMIC | SERIALIZER_FLAG_REUSE_STUB | SERIALIZER_FLAG_REUSE_OBJECT;
if (eparams.CheckFlagDataStore(EA_DATA_STORE_CHART)) {
string _key_chart = "Chart";
_key_chart += StringFormat("-%d-%d", data_chart.GetMin(), data_chart.GetMax());
SerializerConverter _stub = Serializer::MakeStubObject<BufferStruct<ChartEntry>>(_serializer_flags);
SerializerConverter _obj = SerializerConverter::FromObject(data_chart, _serializer_flags);
if ((_methods & EA_DATA_EXPORT_CSV) != 0) {
_obj.ToFile<SerializerCsv>(_key_chart + ".csv", _serializer_flags, &_stub);
}
if ((_methods & EA_DATA_EXPORT_DB) != 0) {
SerializerSqlite::ConvertToFile(_obj, _key_chart + ".sqlite", "chart", _serializer_flags, &_stub);
}
if ((_methods & EA_DATA_EXPORT_JSON) != 0) {
_obj.ToFile<SerializerJson>(_key_chart + ".json", _serializer_flags, &_stub);
}
// Required because of SERIALIZER_FLAG_REUSE_STUB flag.
_stub.Clean();
// Required because of SERIALIZER_FLAG_REUSE_OBJECT flag.
_obj.Clean();
}
if (eparams.CheckFlagDataStore(EA_DATA_STORE_INDICATOR)) {
SerializerConverter _stub = Serializer::MakeStubObject<BufferStruct<IndicatorDataEntry>>(_serializer_flags);
/*
for (DictStructIterator<long, Ref<Strategy>> iter = strats.Begin(); iter.IsValid(); ++iter) {
ENUM_TIMEFRAMES _itf = iter_tf.Key(); // @fixme
if (data_indi.KeyExists(_itf)) {
BufferStruct<IndicatorDataEntry> _indi_buff = data_indi.GetByKey(_itf);
SerializerConverter _obj = SerializerConverter::FromObject(_indi_buff, _serializer_flags);
for (DictStructIterator<long, Ref<Strategy>> iter = strats[_itf].Begin(); iter.IsValid(); ++iter) {
string _key_indi = "Indicator";
_key_indi += StringFormat("-%d-%d-%d", _itf, _indi_buff.GetMin(), _indi_buff.GetMax());
if ((_methods & EA_DATA_EXPORT_CSV) != 0) {
_obj.ToFile<SerializerCsv>(_key_indi + ".csv", _serializer_flags, &_stub);
}
if ((_methods & EA_DATA_EXPORT_DB) != 0) {
SerializerSqlite::ConvertToFile(_obj, _key_indi + ".sqlite", "indicator", _serializer_flags, &_stub);
}
if ((_methods & EA_DATA_EXPORT_JSON) != 0) {
_obj.ToFile<SerializerJson>(_key_indi + ".json", _serializer_flags, &_stub);
}
} // for
// Required because of SERIALIZER_FLAG_REUSE_OBJECT flag.
_obj.Clean();
} // if
}
*/
// Required because of SERIALIZER_FLAG_REUSE_STUB flag.
_stub.Clean();
}
if (eparams.CheckFlagDataStore(EA_DATA_STORE_STRATEGY)) {
SerializerConverter _stub = Serializer::MakeStubObject<BufferStruct<StgEntry>>(_serializer_flags);
/* @fixme
for (DictStructIterator<long, Ref<Strategy>> iter = strats.Begin(); iter.IsValid(); ++iter) {
ENUM_TIMEFRAMES _stf = iter_tf.Key(); // @fixme
if (data_stg.KeyExists(_stf)) {
string _key_stg = StringFormat("Strategy-%d", _stf);
BufferStruct<StgEntry> _stg_buff = data_stg.GetByKey(_stf);
SerializerConverter _obj = SerializerConverter::FromObject(_stg_buff, _serializer_flags);
_key_stg += StringFormat("-%d-%d-%d", _stf, _stg_buff.GetMin(), _stg_buff.GetMax());
if ((_methods & EA_DATA_EXPORT_CSV) != 0) {
_obj.ToFile<SerializerCsv>(_key_stg + ".csv", _serializer_flags, &_stub);
}
if ((_methods & EA_DATA_EXPORT_DB) != 0) {
SerializerSqlite::ConvertToFile(_obj, _key_stg + ".sqlite", "strategy", _serializer_flags, &_stub);
}
if ((_methods & EA_DATA_EXPORT_JSON) != 0) {
_obj.ToFile<SerializerJson>(_key_stg + ".json", _serializer_flags, &_stub);
}
// Required because of SERIALIZER_FLAG_REUSE_OBJECT flag.
_obj.Clean();
}
}
*/
// Required because of SERIALIZER_FLAG_REUSE_STUB flag.
_stub.Clean();
}
if (eparams.CheckFlagDataStore(EA_DATA_STORE_SYMBOL)) {
SerializerConverter _stub = Serializer::MakeStubObject<BufferStruct<SymbolInfoEntry>>(_serializer_flags);
SerializerConverter _obj = SerializerConverter::FromObject(data_symbol, _serializer_flags);
string _key_sym = "Symbol";
_key_sym += StringFormat("-%d-%d", data_symbol.GetMin(), data_symbol.GetMax());
if ((_methods & EA_DATA_EXPORT_CSV) != 0) {
_obj.ToFile<SerializerCsv>(_key_sym + ".csv", _serializer_flags, &_stub);
}
if ((_methods & EA_DATA_EXPORT_DB) != 0) {
SerializerSqlite::ConvertToFile(_obj, _key_sym + ".sqlite", "symbol", _serializer_flags, &_stub);
}
if ((_methods & EA_DATA_EXPORT_JSON) != 0) {
_obj.ToFile<SerializerJson>(_key_sym + ".json", _serializer_flags, &_stub);
}
// Required because of SERIALIZER_FLAG_REUSE_STUB flag.
_stub.Clean();
// Required because of SERIALIZER_FLAG_REUSE_OBJECT flag.
_obj.Clean();
}
if (eparams.CheckFlagDataStore(EA_DATA_STORE_TRADE)) {
string _key_trade = "Trade";
// _key_sym += StringFormat("-%d-%d", data_trade.GetMin(), data_trade.GetMax());
if ((_methods & EA_DATA_EXPORT_CSV) != 0) {
// @todo
// SerializerConverter _stub_trade =
// Serializer::MakeStubObject<BufferStruct<TradeEntry>>(SERIALIZER_FLAG_SKIP_HIDDEN);
// SerializerConverter::FromObject(data_trade, SERIALIZER_FLAG_SKIP_HIDDEN).ToFile<SerializerCsv>(_key + ".csv",
// SERIALIZER_FLAG_SKIP_HIDDEN, &_stub_trade);
}
if ((_methods & EA_DATA_EXPORT_DB) != 0) {
// @todo: Use Database class.
}
if ((_methods & EA_DATA_EXPORT_JSON) != 0) {
// @todo
// SerializerConverter _stub_trade =
// Serializer::MakeStubObject<BufferStruct<TradeEntry>>(SERIALIZER_FLAG_SKIP_HIDDEN);
// SerializerConverter::FromObject(data_trade, SERIALIZER_FLAG_SKIP_HIDDEN).ToFile<SerializerJson>(_key +
// ".json", SERIALIZER_FLAG_SKIP_HIDDEN, &_stub_trade);
}
}
}
/**
* Export data using default methods.
*/
void DataExport() { DataExport(eparams.Get<unsigned short>(STRUCT_ENUM(EAParams, EA_PARAM_PROP_DATA_EXPORT))); }
/* Signal methods */
/**
* Returns signal open value after filtering.
*
* @return
* Returns 1 when buy signal exists, -1 for sell, otherwise 0 for neutral signal.
*/
/* @fixme: Convert into TradeSignal format.
float GetSignalOpenFiltered(StrategySignal &_signal, unsigned int _sf) {
float _result = _signal.GetSignalOpen();
ENUM_TIMEFRAMES _sig_tf = _signal.Get<ENUM_TIMEFRAMES>(STRUCT_ENUM(StrategySignal, STRATEGY_SIGNAL_PROP_TF));
if (ChartTf::TfToHours(_sig_tf) < 1 && bool(_sf & STRUCT_ENUM(EAParams, EA_PARAM_SIGNAL_FILTER_OPEN_M_IF_H))) {
_result = 0;
long _tfts[4];
_tfts[0] = ChartStatic::iTime(_Symbol, PERIOD_H1);
_tfts[1] = ChartStatic::iTime(_Symbol, PERIOD_H4);
_tfts[2] = ChartStatic::iTime(_Symbol, PERIOD_H1, 1);
_tfts[3] = ChartStatic::iTime(_Symbol, PERIOD_H4, 1);
for (int i = 0; i < ArraySize(_tfts); i++) {
DictStruct<short, StrategySignal> _ds = strat_signals.GetByKey(_tfts[i]);
for (DictStructIterator<short, StrategySignal> _dsi = _ds.Begin(); _dsi.IsValid(); ++_dsi) {
StrategySignal _dsss = _dsi.Value();
ENUM_TIMEFRAMES _dsss_tf = _dsss.Get<ENUM_TIMEFRAMES>(STRUCT_ENUM(StrategySignal, STRATEGY_SIGNAL_PROP_TF));
if (ChartTf::TfToHours(_dsss_tf) >= 1) {
_result = _dsss.GetSignalOpen();
if (_result != 0) {
return _result;
}
}
}
}
}
return _result;
}
*/
/* Tasks */
/**
* Add task.
*/
bool TaskAdd(TaskEntry &_entry) {
bool _result = false;
if (_entry.IsValid()) {
switch (_entry.GetConditionType()) {
case COND_TYPE_ACCOUNT:
_entry.SetConditionObject(account);
break;
case COND_TYPE_EA:
_entry.SetConditionObject(THIS_PTR);
break;
case COND_TYPE_TRADE:
_entry.SetConditionObject(trade.GetByKey(_Symbol));
break;
}
switch (_entry.GetActionType()) {
case ACTION_TYPE_EA:
_entry.SetActionObject(THIS_PTR);
break;
case ACTION_TYPE_TRADE:
_entry.SetActionObject(trade.GetByKey(_Symbol));
break;
}
_result |= tasks.Push(_entry);
}
return _result;
}
/**
* Process EA tasks.
*/
unsigned int ProcessTasks() {
unsigned int _counter = 0;
for (DictStructIterator<int, TaskEntry> iter = tasks.Begin(); iter.IsValid(); ++iter) {
bool _is_processed = false;
TaskEntry _entry = iter.Value();
_is_processed = _is_processed || Task::Process(_entry);
// _entry.last_process = TimeCurrent();
_counter += (unsigned short)_is_processed;
}
return _counter;
}
/* Strategy methods */
/**
* Adds strategy to specific timeframe.
*
* @param
* _tf - timeframe to add the strategy.
* _magic_no - unique order identified
*
* @return
* Returns true if the strategy has been initialized correctly, otherwise false.
*/
template <typename SClass>
bool StrategyAdd(ENUM_TIMEFRAMES _tf, long _magic_no = 0, int _type = 0) {
bool _result = true;
_magic_no = _magic_no > 0 ? _magic_no : rand();
Ref<Strategy> _strat = ((SClass *)NULL).Init(_tf);
_strat.Ptr().Set<long>(STRAT_PARAM_ID, _magic_no);
_strat.Ptr().Set<ENUM_TIMEFRAMES>(STRAT_PARAM_TF, _tf);
_strat.Ptr().Set<int>(STRAT_PARAM_TYPE, _type);
_strat.Ptr().OnInit();
if (!strats.KeyExists(_magic_no)) {
_result &= strats.Set(_magic_no, _strat);
} else {
logger.Error("Strategy adding conflict!", __FUNCTION_LINE__);
DebugBreak();
}
OnStrategyAdd(_strat.Ptr());
return _result;
}
/**
* Adds strategy to multiple timeframes.
*
* @param
* _tfs - timeframes to add strategy (using bitwise operation).
* _sid - strategy ID
* _init_magic - initial order identified
*
* Note:
* Final magic number is going to be increased by timeframe index value.
*
* @see: ENUM_TIMEFRAMES_INDEX
*
* @return
* Returns true if all strategies has been initialized correctly, otherwise false.
*/
template <typename SClass>
bool StrategyAdd(unsigned int _tfs, long _init_magic = 0, int _type = 0) {
bool _result = true;
for (int _tfi = 0; _tfi < sizeof(int) * 8; ++_tfi) {
if ((_tfs & (1 << _tfi)) != 0) {
_result &= StrategyAdd<SClass>(ChartTf::IndexToTf((ENUM_TIMEFRAMES_INDEX)_tfi), _init_magic + _tfi, _type);
}
}
return _result;
}
/**
* Loads existing trades for the given strategy.
*/
bool StrategyLoadTrades(Strategy *_strat) {
Trade *_trade = trade.GetByKey(_Symbol);
return _trade.OrdersLoadByMagic(_strat.Get<long>(STRAT_PARAM_ID));
}
/* Trade methods */
/**
* Process open trades.
*
* @return
* Returns true on success, otherwise false.
*/
bool ProcessTrades() {
bool _result = true;
ResetLastError();
for (DictObjectIterator<string, Trade> titer = trade.Begin(); titer.IsValid(); ++titer) {
Trade *_trade = titer.Value();
if (_trade.Get<bool>(TRADE_STATE_ORDERS_ACTIVE)) {
for (DictStructIterator<long, Ref<Order>> oiter = _trade.GetOrdersActive().Begin(); oiter.IsValid(); ++oiter) {
bool _sl_valid = false, _tp_valid = false;
double _sl_new = 0, _tp_new = 0;
Order *_order = oiter.Value().Ptr();
if (!_order.ShouldUpdate()) {
continue;
}
_order.ProcessConditions();
if (_order.IsClosed()) {
_trade.OrderMoveToHistory(_order);
continue;
}
ENUM_ORDER_TYPE _otype = _order.Get<ENUM_ORDER_TYPE>(ORDER_TYPE);
Strategy *_strat = strats.GetByKey(_order.Get<ulong>(ORDER_MAGIC)).Ptr();
Strategy *_strat_sl = _strat.GetStratSl();
Strategy *_strat_tp = _strat.GetStratTp();
if (_strat_sl != NULL) {
float _psl = _strat_sl.Get<float>(STRAT_PARAM_PSL);
int _psm = _strat_sl.Get<int>(STRAT_PARAM_PSM);
_sl_new = _trade.NormalizeSL(_strat_sl.PriceStop(_otype, ORDER_TYPE_SL, _psm, _psl), _otype);
_sl_valid = _trade.IsValidOrderSL(_sl_new, _otype, _order.Get<double>(ORDER_SL), _psm > 0);
_sl_new = _sl_valid ? _sl_new : _order.Get<double>(ORDER_SL);
}
if (_strat_tp != NULL) {
float _ppl = _strat_tp.Get<float>(STRAT_PARAM_PPL);
int _ppm = _strat_tp.Get<int>(STRAT_PARAM_PPM);
_tp_new = _trade.NormalizeTP(_strat_tp.PriceStop(_otype, ORDER_TYPE_TP, _ppm, _ppl), _otype);
_tp_valid = _trade.IsValidOrderTP(_tp_new, _otype, _order.Get<double>(ORDER_TP), _ppm > 0);
_tp_new = _tp_valid ? _tp_new : _order.Get<double>(ORDER_TP);
}
if (_sl_valid || _tp_valid) {
_result &= _order.OrderModify(_sl_new, _tp_new);
if (_result) {
_order.Set(ORDER_PROP_TIME_LAST_UPDATE, TimeCurrent());
}
}
}
}
}
return _result && _LastError == ERR_NO_ERROR;
}
/* Update methods */
/**
* Update EA state flags.
*/
void UpdateStateFlags() {
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_CONNECTED), GetTerminal().IsConnected());
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_LIBS_ALLOWED), GetTerminal().IsLibrariesAllowed());
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_OPTIMIZATION), GetTerminal().IsOptimization());
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_TESTING), GetTerminal().IsTesting());
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_TRADE_ALLOWED), GetTerminal().IsTradeAllowed());
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_VISUAL_MODE), GetTerminal().IsVisualMode());
}
/**
* Updates info on chart.
*/
bool UpdateInfoOnChart() {
bool _result = false;
if (eparams.Get<int>(STRUCT_ENUM(EAParams, EA_PARAM_PROP_CHART_INFO_FREQ)) > 0) {
static datetime _last_update = 0;
if (_last_update + eparams.Get<int>(STRUCT_ENUM(EAParams, EA_PARAM_PROP_CHART_INFO_FREQ)) < TimeCurrent()) {
_last_update = TimeCurrent();
// @todo
_result = true;
}
}
return _result;
}
/**
* Updates strategy lot size.
*/
bool UpdateLotSize() {
bool _result = false;
if (eparams.CheckFlag(EA_PARAM_FLAG_LOTSIZE_AUTO)) {
// Auto calculate lot size for all strategies.
Trade *_trade = trade.GetByKey(_Symbol);
_result &= _trade.ExecuteAction(TRADE_ACTION_CALC_LOT_SIZE);
Set(STRAT_PARAM_LS, _trade.Get<float>(TRADE_PARAM_LOT_SIZE));
}
return _result;
}
/* Conditions and actions */
/**
* Checks for EA condition.
*
* @param ENUM_EA_CONDITION _cond
* EA condition.
* @return
* Returns true when the condition is met.
*/
bool CheckCondition(ENUM_EA_CONDITION _cond, DataParamEntry &_args[]) {
switch (_cond) {
case EA_COND_IS_ACTIVE:
return estate.IsActive();
case EA_COND_IS_ENABLED:
return estate.IsEnabled();
case EA_COND_IS_NOT_CONNECTED:
estate.Set(STRUCT_ENUM(EAState, EA_STATE_FLAG_CONNECTED), GetTerminal().IsConnected());
return !estate.IsConnected();
case EA_COND_ON_NEW_MINUTE: // On new minute.
return (estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)) & DATETIME_MINUTE) != 0;
case EA_COND_ON_NEW_HOUR: // On new hour.
return (estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)) & DATETIME_HOUR) != 0;
case EA_COND_ON_NEW_DAY: // On new day.
return (estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)) & DATETIME_DAY) != 0;
case EA_COND_ON_NEW_WEEK: // On new week.
return (estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)) & DATETIME_WEEK) != 0;
case EA_COND_ON_NEW_MONTH: // On new month.
return (estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)) & DATETIME_MONTH) != 0;
case EA_COND_ON_NEW_YEAR: // On new year.
return (estate.Get<uint>(STRUCT_ENUM(EAState, EA_STATE_PROP_NEW_PERIODS)) & DATETIME_YEAR) != 0;
case EA_COND_ON_INIT:
return estate.IsOnInit();
case EA_COND_ON_QUIT:
return estate.IsOnQuit();
default:
logger.Error(StringFormat("Invalid EA condition: %s!", EnumToString(_cond), __FUNCTION_LINE__));
return false;
}
}
bool CheckCondition(ENUM_EA_CONDITION _cond) {
ARRAY(DataParamEntry, _args);
return EA::CheckCondition(_cond, _args);
}
/**
* Execute EA action.
*
* @param ENUM_EA_ACTION _action
* EA action to execute.
* @return
* Returns true when the action has been executed successfully.
*/
bool ExecuteAction(ENUM_EA_ACTION _action, DataParamEntry &_args[]) {
bool _result = true;
long arg_size = ArraySize(_args);
switch (_action) {
case EA_ACTION_DISABLE:
estate.Enable(false);
return true;
case EA_ACTION_ENABLE:
estate.Enable();
return true;
case EA_ACTION_EXPORT_DATA:
DataExport();
return true;
case EA_ACTION_STRATS_EXE_ACTION:
// Args:
// 1st (i:0) - Strategy's enum action to execute.
// 2nd (i:1) - Strategy's argument to pass.
for (DictStructIterator<long, Ref<Strategy>> iter_strat = strats.Begin(); iter_strat.IsValid(); ++iter_strat) {
DataParamEntry _sargs[];
ArrayResize(_sargs, ArraySize(_args) - 1);
for (int i = 0; i < ArraySize(_sargs); i++) {
_sargs[i] = _args[i + 1];
}
Strategy *_strat = iter_strat.Value().Ptr();
_result &= _strat.ExecuteAction((ENUM_STRATEGY_ACTION)_args[0].integer_value, _sargs);
}
return _result;
case EA_ACTION_TASKS_CLEAN:
// @todo
return tasks.Size() == 0;
default:
logger.Error(StringFormat("Invalid EA action: %s!", EnumToString(_action), __FUNCTION_LINE__));
return false;
}
return _result;
}
bool ExecuteAction(ENUM_EA_ACTION _action) {
ARRAY(DataParamEntry, _args);
return EA::ExecuteAction(_action, _args);
}
bool ExecuteAction(ENUM_EA_ACTION _action, long _arg1) {
ARRAY(DataParamEntry, _args);
DataParamEntry _param1 = _arg1;
ArrayPushObject(_args, _param1);
return EA::ExecuteAction(_action, _args);
}
bool ExecuteAction(ENUM_EA_ACTION _action, long _arg1, long _arg2) {
ARRAY(DataParamEntry, _args);
DataParamEntry _param1 = _arg1;
DataParamEntry _param2 = _arg2;
ArrayPushObject(_args, _param1);
ArrayPushObject(_args, _param2);
return EA::ExecuteAction(_action, _args);
}
/* Getters */
/**
* Gets strategy based on the property value.
*
* @return
* Returns first found strategy instance on success.
* Otherwise, it returns NULL.
*/
template <typename T>
Strategy *GetStrategyViaProp(ENUM_STRATEGY_PARAM _prop, T _value, ENUM_MATH_CONDITION _op = MATH_COND_EQ) {
for (DictStructIterator<long, Ref<Strategy>> iter = strats.Begin(); iter.IsValid(); ++iter) {
Strategy *_strat = iter.Value().Ptr();
if (Math::Compare(_strat.Get<T>(_prop), _value, _op)) {
return _strat;
}
}
return NULL;
}