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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,292 @@ | ||
| //+------------------------------------------------------------------+ | ||
| //| EA31337 framework | | ||
| //| Copyright 2016-2020, 31337 Investments 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/>. | ||
| */ | ||
|
|
||
| // Prevents processing this includes file for the second time. | ||
| #ifndef BUFFER_FXT_MQH | ||
| #define BUFFER_FXT_MQH | ||
|
|
||
| // Includes. | ||
| #include "Account.mqh" | ||
| #include "Chart.mqh" | ||
| #include "DictStruct.mqh" | ||
| #include "Object.mqh" | ||
|
|
||
| // Defines. | ||
| #define FXT_VERSION 405 | ||
| // Profit calculation mode. | ||
| #define PROFIT_CALC_FOREX 0 // Default. | ||
| #define PROFIT_CALC_CFD 1 | ||
| #define PROFIT_CALC_FUTURES 2 | ||
| // Type of swap. | ||
| #define SWAP_BY_POINTS 0 // Default. | ||
| #define SWAP_BY_BASECURRENCY 1 | ||
| #define SWAP_BY_INTEREST 2 | ||
| #define SWAP_BY_MARGINCURRENCY 3 | ||
| // Free margin calculation mode. | ||
| #define MARGIN_DONT_USE 0 | ||
| #define MARGIN_USE_ALL 1 // Default. | ||
| #define MARGIN_USE_PROFIT 2 | ||
| #define MARGIN_USE_LOSS 3 | ||
| // Margin calculation mode. | ||
| #define MARGIN_CALC_FOREX 0 // Default. | ||
| #define MARGIN_CALC_CFD 1 | ||
| #define MARGIN_CALC_FUTURES 2 | ||
| #define MARGIN_CALC_CFDINDEX 3 | ||
| // Check mode for Stop Out level (AccountStopoutMode). | ||
| #define MARGIN_TYPE_PERCENT 0 | ||
| #define MARGIN_TYPE_CURRENCY 1 | ||
| // Basic commission type. | ||
| #define COMM_TYPE_MONEY 0 | ||
| #define COMM_TYPE_PIPS 1 | ||
| #define COMM_TYPE_PERCENT 2 | ||
| // Commission per lot or per deal. | ||
| #define COMMISSION_PER_LOT 0 | ||
| #define COMMISSION_PER_DEAL 1 | ||
|
|
||
| // Structs. | ||
| struct BufferFXTEntry { | ||
| datetime otm; // Bar datetime. | ||
| double open; // OHLCV values. | ||
| double high; | ||
| double low; | ||
| double close; | ||
| long volume; | ||
| int ctm; // The current time within a bar. | ||
| int flag; // Flag to launch an expert (0 - bar will be modified, but the expert will not be launched). | ||
|
|
||
| public: | ||
| bool operator==(const BufferFXTEntry &_s) { | ||
| // @fixme | ||
| return false; | ||
| } | ||
| string ToJSON() { | ||
| // @fixme | ||
| return "{}"; | ||
| } | ||
| }; | ||
|
|
||
| // FXT file header. | ||
| struct BufferFXTHeader { | ||
| int version; // Header version: 405 | ||
| char copyright[64]; // Copyright/description. | ||
| char description[128]; // Account server name. | ||
| // 196 | ||
| char symbol[12]; // Symbol pair. | ||
| int period; // Period of data aggregation in minutes (timeframe). | ||
| int model; // Model type: 0 - every tick, 1 - control points, 2 - bar open. | ||
| int bars; // Bars - number of modeled bars in history. | ||
| int fromdate; // Modelling start date - date of the first tick. | ||
| int todate; // Modelling end date - date of the last tick. | ||
| int totalTicks; // Total ticks. Add 4 bytes to align to the next double? | ||
| double modelquality; // Modeling quality (max. 99.9). | ||
| // 240 | ||
| // Market symbol properties. | ||
| char currency[12]; // Base currency (12 bytes). Same as: StringLeft(symbol, 3) | ||
| int spread; // Spread in points. Same as: MarketInfo(MODE_SPREAD) | ||
| int digits; // Digits (default: 5). Same as: MarketInfo(MODE_DIGITS) | ||
| int padding1; // Padding space - add 4 bytes to align to the next double. | ||
| double point; // Point size (e.g. 0.00001). Same as: MarketInfo(MODE_POINT) | ||
| int lot_min; // Minimal lot size in centi lots (hundredths). Same as: MarketInfo(MODE_MINLOT)*100 | ||
| int lot_max; // Maximal lot size in centi lots (hundredths). Same as: MarketInfo(MODE_MAXLOT)*100 | ||
| int lot_step; // Lot step in centi lots (hundredths). Same as: MarketInfo(MODE_LOTSTEP)*100 | ||
| int stops_level; // Stops level value (orders stop distance in points). Same as: MarketInfo(MODE_STOPLEVEL) | ||
| int gtc_pendings; // GTC (Good till cancel) - instruction to close pending orders at end of day (default: False). | ||
| int padding2; // Padding space - add 4 bytes to align to the next double. | ||
| // 296 | ||
| // Profit calculation parameters. | ||
| double contract_size; // Contract size (e.g. 100000). Same as: MarketInfo(MODE_LOTSIZE) | ||
| double tick_value; // Tick value in quote currency (empty). Same as: MarketInfo(MODE_TICKVALUE) | ||
| double tick_size; // Size of one tick (empty). Same as: MarketInfo(MODE_TICKSIZE) | ||
| int profit_mode; // Profit calculation mode { PROFIT_CALC_FOREX=0, PROFIT_CALC_CFD=1, PROFIT_CALC_FUTURES=2 }. Same | ||
| // as: MarketInfo(MODE_PROFITCALCMODE) | ||
| // 324 | ||
| // Swap calculation. | ||
| int swap_enable; // Enable swaps (default: True). | ||
| int swap_type; // Type of swap { SWAP_BY_POINTS=0, SWAP_BY_BASECURRENCY=1, SWAP_BY_INTEREST=2, | ||
| // SWAP_BY_MARGINCURRENCY=3 }. Same as: MarketInfo(MODE_SWAPTYPE) | ||
| int padding3; // Padding space - add 4 bytes to align to the next double. | ||
| double swap_long; // Swap of the buy order - long overnight swap value. Same as: MarketInfo(MODE_SWAPLONG) | ||
| double swap_short; // Swap of the sell order - short overnight swap value. Same as: MarketInfo(MODE_SWAPSHORT) | ||
| int swap_rollover3days; // Day of week to charge 3 days swap rollover. Default: WEDNESDAY (3). Same as: | ||
| // MarketInfo(SYMBOL_SWAP_ROLLOVER3DAYS) | ||
| // 356 | ||
| // Margin calculation. | ||
| int leverage; // Account leverage (default: 100). Same as: AccountLeverage() | ||
| int free_margin_mode; // Free margin calculation mode { MARGIN_DONT_USE=0, MARGIN_USE_ALL=1, MARGIN_USE_PROFIT=2, | ||
| // MARGIN_USE_LOSS=3 }. Same as: AccountFreeMarginMode() | ||
| int margin_mode; // Margin calculation mode { MARGIN_CALC_FOREX=0, MARGIN_CALC_CFD=1, MARGIN_CALC_FUTURES=2, | ||
| // MARGIN_CALC_CFDINDEX=3 }. Same as: MarketInfo(MODE_MARGINCALCMODE) | ||
| int margin_stopout; // Margin Stop Out level (default: 30). Same as: AccountStopoutLevel() | ||
|
|
||
| int margin_stopout_mode; // Check mode for Stop Out level { MARGIN_TYPE_PERCENT=0, MARGIN_TYPE_CURRENCY=1 }. Same as: | ||
| // AccountStopoutMode() | ||
| double margin_initial; // Initial margin requirement (in units). Same as: MarketInfo(MODE_MARGININIT) | ||
| double margin_maintenance; // Maintenance margin requirement (in units). Same as: MarketInfo(MODE_MARGINMAINTENANCE) | ||
| double margin_hedged; // Hedged margin requirement for positions (in units). Same as: MarketInfo(MODE_MARGINHEDGED) | ||
| double margin_divider; // Margin divider used for leverage calculation. | ||
| char margin_currency[12]; // Margin currency. Same as: AccountCurrency(). | ||
| int padding4; // Padding space - add 4 bytes to align to the next double. | ||
| // 424 | ||
| // Commission calculation. | ||
| double comm_base; // Basic commission rate. | ||
| int comm_type; // Basic commission type { COMM_TYPE_MONEY=0, COMM_TYPE_PIPS=1, COMM_TYPE_PERCENT=2 }. | ||
| int comm_lots; // Commission per lot or per deal { COMMISSION_PER_LOT=0, COMMISSION_PER_DEAL=1 } | ||
| // 440 | ||
| // For internal use. | ||
| int from_bar; // Index of the first bar at which modeling started (0 for the first bar). | ||
| int to_bar; // Index of the last bar at which modeling started (0 for the last bar). | ||
| int start_period_m1; // Bar index where modeling started using M1 bars (0 for the first bar). | ||
| int start_period_m5; // Bar index where modeling started using M5 bars (0 for the first bar). | ||
| int start_period_m15; // Bar index where modeling started using M15 bars (0 for the first bar). | ||
| int start_period_m30; // Bar index where modeling started using M30 bars (0 for the first bar). | ||
| int start_period_h1; // Bar index where modeling started using H1 bars (0 for the first bar). | ||
| int start_period_h4; // Bar index where modeling started using H4 bars (0 for the first bar). | ||
| int set_from; // Begin date from tester settings (must be zero). | ||
| int set_to; // End date from tester settings (must be zero). | ||
| // 480 | ||
| //---- | ||
| int freeze_level; // Order freeze level in points. Same as: MarketInfo(MODE_FREEZELEVEL) | ||
| int generating_errors; // Number of errors during model generation which needs to be fixed before testing. | ||
| // 488 | ||
| //---- | ||
| int reserved[60]; // Reserved - space for future use. | ||
| // Struct constructor. | ||
| BufferFXTHeader(Chart *_c, Account *_a) | ||
| : version(405), | ||
| period(_c.Get<ENUM_TIMEFRAMES>(CHART_PARAM_TF)), | ||
| model(0), | ||
| bars(0), | ||
| fromdate(0), | ||
| todate(0), | ||
| totalTicks(0), | ||
| modelquality(0), | ||
| spread((int)_c.GetSpread()), | ||
| digits((int)_c.GetDigits()), | ||
| point(_c.GetPointSize()), | ||
| lot_min(int(_c.GetVolumeMin() * 100)), | ||
| lot_max(int(_c.GetVolumeMax() * 100)), | ||
| lot_step(int(_c.GetVolumeStep() * 100)), | ||
| stops_level(0), // @todo: Add MODE_STOPLEVEL to Account. | ||
| gtc_pendings(false), | ||
| contract_size(10000), | ||
| tick_value(_c.GetTickValue()), | ||
| tick_size(_c.GetTickSize()), | ||
| profit_mode(PROFIT_CALC_FOREX), | ||
| swap_enable(true), | ||
| swap_type(SWAP_BY_POINTS), // @todo: Add _c.GetSwapType() to SymbolInfo. | ||
| swap_long(_c.GetSwapLong()), | ||
| swap_short(_c.GetSwapShort()), | ||
| swap_rollover3days(3), | ||
| leverage((int)_a.GetLeverage()), | ||
| free_margin_mode(MARGIN_DONT_USE), | ||
| margin_mode(MARGIN_CALC_FOREX), | ||
| margin_stopout(30), // @fixme: _a.GetStopoutLevel() based on ACCOUNT_MARGIN_SO_CALL. | ||
| margin_stopout_mode(_a.GetStopoutMode()), | ||
| margin_initial(_c.GetMarginInit()), | ||
| margin_maintenance(_c.GetMarginMaintenance()), | ||
| margin_hedged(0), | ||
| margin_divider(0), | ||
| comm_base(0.0), | ||
| comm_type(COMM_TYPE_MONEY), | ||
| comm_lots(COMMISSION_PER_LOT), | ||
| from_bar(0), | ||
| to_bar(0), | ||
| start_period_m1(0), | ||
| start_period_m5(0), | ||
| start_period_m15(0), | ||
| start_period_m30(0), | ||
| start_period_h1(0), | ||
| start_period_h4(0), | ||
| set_from(0), | ||
| set_to(0), | ||
| freeze_level((int)_c.GetFreezeLevel()), | ||
| generating_errors(0) { | ||
| ArrayInitialize(copyright, 0); | ||
| // currency = StringSubstr(_m.GetSymbol(), 0, 3); // @fixme | ||
| ArrayInitialize(description, 0); | ||
| ArrayInitialize(margin_currency, 0); | ||
| ArrayInitialize(reserved, 0); | ||
| // symbol = _m.GetSymbol(); // @fixme | ||
| } | ||
| }; | ||
|
|
||
| struct BufferFXTParams { | ||
| Account *account; | ||
| Chart *chart; | ||
| // Struct constructor. | ||
| void BufferFXTParams(Chart *_chart = NULL, Account *_account = NULL) | ||
| : account(Object::IsValid(_account) ? _account : new Account), | ||
| chart(Object::IsValid(_chart) ? _chart : new Chart) {} | ||
| // Struct deconstructor. | ||
| void ~BufferFXTParams() { | ||
| delete account; | ||
| delete chart; | ||
| } | ||
| }; | ||
|
|
||
| string ToJSON(BufferFXTEntry &_value, const bool, const unsigned int) { return _value.ToJSON(); }; | ||
|
|
||
| /** | ||
| * Implements class to store tick data. | ||
| */ | ||
| class BufferFXT : public DictStruct<long, BufferFXTEntry> { | ||
| protected: | ||
| BufferFXTParams params; | ||
|
|
||
| public: | ||
| /** | ||
| * Class constructor. | ||
| */ | ||
| BufferFXT() {} | ||
| BufferFXT(const BufferFXTParams &_params) { params = _params; } | ||
|
|
||
| /** | ||
| * Class deconstructor. | ||
| */ | ||
| ~BufferFXT() {} | ||
|
|
||
| /** | ||
| * Adds new entry. | ||
| */ | ||
| void Add(BufferFXTEntry &_value, long _dt = 0) { | ||
| _dt = _dt > 0 ? _dt : TimeCurrent(); | ||
| Set(_dt, _value); | ||
| } | ||
|
|
||
| /** | ||
| * Adds new entry. | ||
| */ | ||
| void Add(MqlTick &_value) { | ||
| // @todo: Parse MqlTick. | ||
| // Set(_dt, _value); | ||
| } | ||
|
|
||
| /** | ||
| * Save data into file. | ||
| */ | ||
| void SaveToFile() { | ||
| BufferFXTHeader header(params.chart, params.account); | ||
| // @todo: Save BufferFXTHeader, then foreach BufferFXTEntry. | ||
| // @see: https://docs.mql4.com/files/filewritestruct | ||
| } | ||
| }; | ||
|
|
||
| #endif // BUFFER_FXT_MQH |
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