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add feature to correct historical tick data

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some brokers (markets.com) deliver tick incorrect historical tick data. this commit attempts to automatically correct the tick price data
This commit is contained in:
Gunther Schulz
2020-11-19 14:38:46 +01:00
parent 2510e59cd6
commit c845eadfc6
1 changed files with 31 additions and 0 deletions
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Experts/JsonAPI.mq5
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@@ -914,6 +914,32 @@ bool PushHistoricalData(CJAVal &data)
return true;
}
//+------------------------------------------------------------------+
//| Correct historical tick data |
//+------------------------------------------------------------------+
// Some brokers (markets.com) deliver incorrect historical tick data
// with an incorrect spread.
// This attempts to automatically adjust the
// historical tick data.
// Live bar data is also represented with the same, incorrect spread so we attempt
// to adjust historical tick data by that same amount.
void CorrectTicks(string symbol, MqlTick &copyTicksArray[])
{
MqlTick symbolInfoTick;
double offsetBid, offsetAsk;
int tickCount = ArraySize(copyTicksArray);
SymbolInfoTick(symbol,symbolInfoTick);
offsetBid = copyTicksArray[tickCount-1].bid - symbolInfoTick.bid;
offsetAsk = copyTicksArray[tickCount-1].ask - symbolInfoTick.ask;
for(int i=0; i<tickCount; i++)
{
copyTicksArray[i].bid = copyTicksArray[i].bid - offsetBid;
copyTicksArray[i].ask = copyTicksArray[i].ask - offsetAsk;
}
}
//+------------------------------------------------------------------+
//| Get historical data |
//+------------------------------------------------------------------+
@@ -923,6 +949,7 @@ void HistoryInfo(CJAVal &dataObject)
string actionType = dataObject["actionType"].ToStr();
string chartTF = dataObject["chartTF"].ToStr();
string symbol=dataObject["symbol"].ToStr();
bool correctTickHistory=dataObject["correctTickHistory"].ToBool();
// Write CVS fle to local directory
if(actionType=="WRITE" && chartTF=="TICK")
@@ -959,6 +986,8 @@ void HistoryInfo(CJAVal &dataObject)
CheckError(__FUNCTION__);
Print("Preparing data of ", tickCount, " ticks for ", symbol);
if(correctTickHistory)
CorrectTicks(symbol,tickArray);
int file_handle=FileOpen(outputFile, FILE_WRITE | FILE_CSV);
if(file_handle!=INVALID_HANDLE)
{
@@ -1084,6 +1113,8 @@ void HistoryInfo(CJAVal &dataObject)
tickCount=CopyTicksRange(symbol,tickArray, COPY_TICKS_ALL, 1000*(ulong)fromDateM, 1000*(ulong)toDateM);
Print("Preparing tick data of ", tickCount, " ticks for ", symbol);
if(correctTickHistory)
CorrectTicks(symbol,tickArray);
if(tickCount)
{
for(int i=0; i<tickCount; i++)