Nikolai
612 lines
22 KiB
Plaintext
612 lines
22 KiB
Plaintext
//+------------------------------------------------------------------+
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//
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// Copyright (C) 2019 Nikolai Khramkov
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//
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// This program is free software: you can redistribute it and/or modify
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// it under the terms of the GNU General Public License as published by
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// the Free Software Foundation, either version 3 of the License, or
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// (at your option) any later version.
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//
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// This program is distributed in the hope that it will be useful,
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// but WITHOUT ANY WARRANTY; without even the implied warranty of
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// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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// GNU General Public License for more details.
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//
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// You should have received a copy of the GNU General Public License
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// along with this program. If not, see <http://www.gnu.org/licenses/>.
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//
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//+------------------------------------------------------------------+
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// TODO: Close position
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// TODO: Close orders
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// TODO: Check If SymbolExist
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// TODO: Check TF according to request -> change
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// TODO: Check chart symbol according to request -> change
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// TODO: RETURN OK or error
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// TODO: Write comment about sockets
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// TODO: Add defauld dict check
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// TODO: Change description
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// TODO: Comissinos
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#property copyright "Copyright 2019, Nikolai Khramkov."
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#property link "https://github.com/khramkov"
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#property version "0.70"
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#include <Zmq/Zmq.mqh>
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#include <json.mqh>
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extern string PROJECT_NAME="Backtrader <-> Metatrader 5 interface";
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extern string PROTOCOL="tcp";
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extern string HOST="*";
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extern int SYS_PORT=15555;
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extern int DATA_PORT=15556;
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extern int LIVE_PORT=15557;
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extern int MILLISECOND_TIMER=1; // 1 millisecond
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// ZeroMQ Cnnections
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Context context(PROJECT_NAME);
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Socket sysSocket(context,ZMQ_REP);
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Socket dataSocket(context,ZMQ_PUSH);
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Socket liveSocket(context,ZMQ_PUSH);
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// Global variables
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bool debug = true;
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datetime lastBar = 0;
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string symbol = _Symbol;
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ENUM_TIMEFRAMES period = _Period;
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//+------------------------------------------------------------------+
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//| Expert initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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/*
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Bindinig ZMQ ports on init
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*/
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// Set Millisecond Timer to get client socket input
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EventSetMillisecondTimer(MILLISECOND_TIMER);
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Print("[REP] Binding System Socket on port "+IntegerToString(SYS_PORT)+"...");
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sysSocket.bind(StringFormat("%s://%s:%d",PROTOCOL,HOST,SYS_PORT));
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Print("[PUSH] Binding Data Socket on port "+IntegerToString(DATA_PORT)+"...");
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dataSocket.bind(StringFormat("%s://%s:%d",PROTOCOL,HOST,DATA_PORT));
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Print("[PUSH] Binding Live Socket on port "+IntegerToString(LIVE_PORT)+"...");
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liveSocket.bind(StringFormat("%s://%s:%d",PROTOCOL,HOST,LIVE_PORT));
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// Maximum amount of time in milliseconds that the thread will try to send messages
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// after its socket has been closed (the default value of -1 means to linger forever):
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sysSocket.setLinger(1000);
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// How many messages do we want ZeroMQ to buffer in RAM before blocking the socket?
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// 3 messages only.
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sysSocket.setSendHighWaterMark(3);
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dataSocket.setSendHighWaterMark(3);
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liveSocket.setSendHighWaterMark(3);
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Expert deinitialization function |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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/*
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Closing ports on denit
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*/
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Print("[REP] Unbinding socket on port "+IntegerToString(SYS_PORT)+"..");
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sysSocket.unbind(StringFormat("%s://%s:%d",PROTOCOL,HOST,SYS_PORT));
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Print("[PUSH] Unbinding socket on port "+IntegerToString(DATA_PORT)+"..");
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dataSocket.unbind(StringFormat("%s://%s:%d",PROTOCOL,HOST,DATA_PORT));
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Print("[PUSH] Unbinding socket on port "+IntegerToString(LIVE_PORT)+"..");
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liveSocket.unbind(StringFormat("%s://%s:%d",PROTOCOL,HOST,LIVE_PORT));
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}
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//+------------------------------------------------------------------+
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//| Expert timer function |
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//+------------------------------------------------------------------+
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void OnTimer()
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{
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ZmqMsg request;
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// Get client's response, but don't wait.
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sysSocket.recv(request,true);
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// Generating reply by passing request to ZmqMsg MessageHandler() function.
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ZmqMsg reply=MessageHandler(request);
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// Reply to client via REP socket.
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sysSocket.send(reply);
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}
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//+------------------------------------------------------------------+
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//| Request handler |
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//+------------------------------------------------------------------+
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ZmqMsg MessageHandler(ZmqMsg &request)
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{
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ZmqMsg reply;
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CJAVal message;
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if(request.size()>0)
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{
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string msg=request.getData();
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if(debug==true) {Print("Processing request:"+msg);}
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if(!message.Deserialize(msg))
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{
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Alert("Deserialization Error");
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//ExpertRemove();
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//return;
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}
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string action = message["action"].ToStr();
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if(action=="CHECK") {CheckConnection(&dataSocket, &liveSocket);}
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else if(action=="CONFIG") {ConfigScript(&dataSocket, message);}
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else if(action=="ACCOUNT") {AccountInfo(&dataSocket);}
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else if(action=="BALANCE") {BalanceInfo(&dataSocket);}
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else if(action=="HISTORY") {HistoryInfo(&dataSocket, message);}
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else if(action=="POSITIONS_INFO") {GetPositionsInfo(&dataSocket);}
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else if(action=="ORDERS_INFO") {GetOrdersInfo(&dataSocket);}
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else if(action=="TRADE") {TradingModule(&dataSocket, message);}
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else {} // error processing
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// Construct response
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ZmqMsg ret("OK");
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reply=ret;
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}
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else
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{
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// NO DATA RECEIVED
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ZmqMsg ret("FALSE");
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reply=ret;
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}
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return(reply);
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}
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//+------------------------------------------------------------------+
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//| Check sockets connection |
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//+------------------------------------------------------------------+
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void CheckConnection (Socket &dataSocket, Socket &liveSocket)
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{
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InformClientSocket(dataSocket,"OK");
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InformClientSocket(liveSocket,"OK");
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}
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//+------------------------------------------------------------------+
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//| Reconfigure the script params |
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//+------------------------------------------------------------------+
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void ConfigScript(Socket &dataSocket, CJAVal &dataObject)
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{
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}
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//+------------------------------------------------------------------+
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//| Change chart timeframe |
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//+------------------------------------------------------------------+
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void CheckTimeframe(Socket &dataSocket, CJAVal &dataObject)
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{
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string chartTF=dataObject["chartTF"].ToStr();
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if(chartTF=="1m") {period=PERIOD_M1;}
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else if(chartTF=="5m") {period=PERIOD_M5;}
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else if(chartTF=="15m") {period=PERIOD_M15;}
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else if(chartTF=="30m") {period=PERIOD_M30;}
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else if(chartTF=="1h") {period=PERIOD_H1;}
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else if(chartTF=="2h") {period=PERIOD_H2;}
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else if(chartTF=="3h") {period=PERIOD_H3;}
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else if(chartTF=="4h") {period=PERIOD_H4;}
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else if(chartTF=="6h") {period=PERIOD_H6;}
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else if(chartTF=="8h") {period=PERIOD_H8;}
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else if(chartTF=="12h") {period=PERIOD_H12;}
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else if(chartTF=="1d") {period=PERIOD_D1;}
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else if(chartTF=="1w") {period=PERIOD_W1;}
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else if(chartTF=="1M") {period=PERIOD_MN1;}
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}
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//+------------------------------------------------------------------+
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//| Account information |
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//+------------------------------------------------------------------+
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void AccountInfo(Socket &dataSocket)
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{
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CJAVal info;
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info["brocker"] = AccountInfoString(ACCOUNT_COMPANY);
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info["currency"] = AccountInfoString(ACCOUNT_CURRENCY);
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info["server"] = AccountInfoString(ACCOUNT_SERVER);
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info["balance"] = AccountInfoDouble(ACCOUNT_BALANCE);
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info["equity"] = AccountInfoDouble(ACCOUNT_EQUITY);
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info["margin"] = AccountInfoDouble(ACCOUNT_MARGIN);
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info["margin_free"] = AccountInfoDouble(ACCOUNT_MARGIN_FREE);
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info["margin_level"] = AccountInfoDouble(ACCOUNT_MARGIN_LEVEL);
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info["bot_trading"] = AccountInfoInteger(ACCOUNT_TRADE_EXPERT);
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string t=info.Serialize();
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if(debug==true) {Print(t);}
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InformClientSocket(dataSocket,t);
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}
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//+------------------------------------------------------------------+
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//| Balance information |
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//+------------------------------------------------------------------+
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void BalanceInfo(Socket &dataSocket)
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{
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CJAVal info;
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info["balance"] = AccountInfoDouble(ACCOUNT_BALANCE);
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info["equity"] = AccountInfoDouble(ACCOUNT_EQUITY);
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info["margin"] = AccountInfoDouble(ACCOUNT_MARGIN);
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info["margin_free"] = AccountInfoDouble(ACCOUNT_MARGIN_FREE);
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string t=info.Serialize();
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if(debug==true) {Print(t);}
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InformClientSocket(dataSocket,t);
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}
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//+------------------------------------------------------------------+
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//| Get historical data |
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//+------------------------------------------------------------------+
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void HistoryInfo(Socket &dataSocket, CJAVal &dataObject)
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{
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CJAVal candles;
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MqlRates rates[];
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int copied;
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string actionType=dataObject["actionType"].ToStr();
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string symbol=dataObject["symbol"].ToStr();
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string chartTF=dataObject["chartTF"].ToStr();
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datetime startTime=dataObject["startTime"].ToInt();
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if(debug==true)
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{
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Print("Fetching HISTORY");
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Print("1) Symbol:"+symbol);
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Print("2) Timeframe:"+chartTF);
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Print("3) Date from:"+TimeToString(startTime));
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}
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copied=CopyRates(symbol,period,startTime,TimeCurrent(),rates);
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if(copied)
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{
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for(int i=0;i<copied;i++)
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{
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candles[i].Add(rates[i].time,TIME_DATE|TIME_MINUTES|TIME_SECONDS);
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candles[i].Add(rates[i].open);
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candles[i].Add(rates[i].high);
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candles[i].Add(rates[i].low);
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candles[i].Add(rates[i].close);
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candles[i].Add(rates[i].tick_volume);
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}
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string t=candles.Serialize();
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if(debug==true) {Print(t);}
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InformClientSocket(dataSocket,t);
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}
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}
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//+------------------------------------------------------------------+
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//| Fetch positions information |
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//+------------------------------------------------------------------+
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void GetPositionsInfo(Socket &dataSocket)
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{
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if(debug==true) {Print("Fetching positions...");}
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CJAVal data, position;
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// get positions
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int positionsTotal=PositionsTotal();
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if(positionsTotal!=0)
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{
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// go through positions in a loop
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for(int i=0;i<positionsTotal;i++)
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{
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ResetLastError();
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// copy into the cache, the position by its number in the list
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// the position was copied into the cache, work with it
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if(PositionGetSymbol(i)!="")
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{
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position["id"] = PositionGetInteger(POSITION_IDENTIFIER);
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position["magic"] = PositionGetInteger(POSITION_MAGIC);
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position["symbol"] = PositionGetString(POSITION_SYMBOL);
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position["type"] = EnumToString(ENUM_POSITION_TYPE(PositionGetInteger(POSITION_TYPE)));
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position["time_setup"]=PositionGetInteger(POSITION_TIME);
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position["open"] = PositionGetDouble(POSITION_PRICE_OPEN);
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position["stoploss"] = PositionGetDouble(POSITION_SL);
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position["takeprofit"] = PositionGetDouble(POSITION_TP);
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position["volume"] = PositionGetDouble(POSITION_VOLUME);
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data["positions"].Add(position);
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}
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else
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{
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// call PositionGetSymbol() was completed unsuccessfully
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data["error"]= GetLastError();
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PrintFormat("Error when obtaining an positions from the list to the cache. Error code: %d",GetLastError());
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}
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}
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}
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else
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{
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// if no open positions
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data["positions"].Add(0);
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}
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string t=data.Serialize();
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if(debug==true) {Print(t);}
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InformClientSocket(dataSocket,t);
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}
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//+------------------------------------------------------------------+
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//| Fetch orders information |
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//+------------------------------------------------------------------+
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void GetOrdersInfo(Socket &dataSocket)
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{
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if(debug==true) {Print("Fetching orders...");}
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CJAVal data, order;
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// get orders
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int ordersTotal=OrdersTotal();
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if(ordersTotal!=0)
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{
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// go through orders in a loop
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for(int i=0;i<ordersTotal;i++)
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{
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ResetLastError();
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// copy into the cache, the order by its number in the list
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ulong ticket=OrderGetTicket(i);
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Print(ticket);
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// if the order was successfully copied into the cache, work with it
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if(ticket!=0)
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{
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order["id"] = IntegerToString(ticket);
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order["magic"] = OrderGetInteger(ORDER_MAGIC);
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order["symbol"] = OrderGetString(ORDER_SYMBOL);
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order["type"] = EnumToString(ENUM_ORDER_TYPE(OrderGetInteger(ORDER_TYPE)));
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order["time_setup"]=OrderGetInteger(ORDER_TIME_SETUP);
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order["open"] = OrderGetDouble(ORDER_PRICE_OPEN);
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order["stoploss"] = OrderGetDouble(ORDER_SL);
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order["takeprofit"] = OrderGetDouble(ORDER_TP);
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order["volume"] = OrderGetDouble(ORDER_VOLUME_INITIAL);
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data["orders"].Add(order);
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}
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else
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{
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// call OrderGetTicket() was completed unsuccessfully
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data["error"]= GetLastError();
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PrintFormat("Error when obtaining an order from the list to the cache. Error code: %d",GetLastError());
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}
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}
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}
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else
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{
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// if no open orders
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data["orders"].Add(0);
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}
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string t=data.Serialize();
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if(debug==true) {Print(t);}
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InformClientSocket(dataSocket,t);
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}
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//+------------------------------------------------------------------+
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//| Trading module |
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//+------------------------------------------------------------------+
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void TradingModule(Socket &dataSocket, CJAVal &dataObject)
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{
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string actionType = dataObject["actionType"].ToStr();
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if(actionType=="ORDER_TYPE_BUY" || actionType=="ORDER_TYPE_SELL")
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{
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ResetLastError();
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MqlTradeRequest order={0};
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MqlTradeResult result={0};
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order.action=TRADE_ACTION_DEAL;
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order.symbol=dataObject["symbol"].ToStr();
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order.volume=dataObject["volume"].ToDbl();
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if(actionType=="ORDER_TYPE_BUY")
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{
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order.type=ORDER_TYPE_BUY;
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order.price=SymbolInfoDouble(symbol,SYMBOL_ASK);
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}
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else if(actionType=="ORDER_TYPE_SELL")
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{
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order.type=ORDER_TYPE_SELL;
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order.price=SymbolInfoDouble(symbol,SYMBOL_BID);
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}
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else Alert("Something wrong with market orders...");
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order.sl=dataObject["stoploss"].ToDbl();
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order.tp=dataObject["takeprofit"].ToDbl();
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order.deviation=dataObject["deviation"].ToInt();
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bool success=OrderSend(order,result);
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if(!success) {InformClientSocket(dataSocket,StringFormat("OrderSend error %d",GetLastError()));}
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else {
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CJAVal conf;
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conf["retcode"] = (int) result.retcode;
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conf["deal"] = (string)result.deal;
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conf["order"] = "null";
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conf["volume"] = result.volume;
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conf["price"] = result.price;
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conf["bid"] = result.bid;
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conf["ask"] = result.ask;
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conf["comment"] = result.comment;
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string t=conf.Serialize();
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if(debug==true) { Print("Order conformation: "+t);}
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InformClientSocket(dataSocket,t);
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}
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}
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else if(actionType=="ORDER_TYPE_BUY_LIMIT" || actionType=="ORDER_TYPE_SELL_LIMIT" || actionType=="ORDER_TYPE_BUY_STOP" || actionType=="ORDER_TYPE_SELL_STOP")
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{
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ResetLastError();
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MqlTradeRequest order={0};
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MqlTradeResult result={0};
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order.action=TRADE_ACTION_PENDING;
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order.symbol=dataObject["symbol"].ToStr();
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order.volume=dataObject["volume"].ToDbl();
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// setting order type
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if(actionType=="ORDER_TYPE_BUY_LIMIT") {order.type=ORDER_TYPE_BUY_LIMIT;}
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else if(actionType=="ORDER_TYPE_SELL_LIMIT"){order.type=ORDER_TYPE_SELL_LIMIT;}
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else if(actionType=="ORDER_TYPE_BUY_STOP"){order.type=ORDER_TYPE_BUY_STOP;}
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else if(actionType=="ORDER_TYPE_SELL_STOP"){order.type=ORDER_TYPE_SELL_STOP;}
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else Alert("Something wrong with pending orders...");
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order.price=NormalizeDouble(dataObject["price"].ToDbl(),_Digits);
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order.sl=dataObject["stoploss"].ToDbl();
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order.tp=dataObject["takeprofit"].ToDbl();
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order.deviation=dataObject["deviation"].ToInt();
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order.type_time=ORDER_TIME_DAY;
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order.type_filling=ORDER_FILLING_RETURN;
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bool success=OrderSend(order,result);
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if(!success) {InformClientSocket(dataSocket,StringFormat("OrderSend error %d",GetLastError()));}
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else {
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CJAVal conf;
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conf["retcode"] = (int) result.retcode;
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conf["deal"] = "null";
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conf["order"] = (string)result.order;
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conf["volume"] = result.volume;
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conf["price"] = result.price;
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conf["bid"] = result.bid;
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conf["ask"] = result.ask;
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conf["comment"] = result.comment;
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string t=conf.Serialize();
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if(debug==true) { Print("Order conformation: "+t);}
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InformClientSocket(dataSocket,t);
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}
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}
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else if(actionType=="CLOSE_POSITION")
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{
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ResetLastError();
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MqlTradeRequest order={0};
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MqlTradeResult result={0};
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order.action=TRADE_ACTION_PENDING;
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order.symbol=dataObject["symbol"].ToStr();
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|
order.volume=dataObject["volume"].ToDbl();
|
|
|
|
// setting order type
|
|
if(actionType=="ORDER_TYPE_BUY_LIMIT") {order.type=ORDER_TYPE_BUY_LIMIT;}
|
|
else if(actionType=="ORDER_TYPE_SELL_LIMIT"){order.type=ORDER_TYPE_SELL_LIMIT;}
|
|
else if(actionType=="ORDER_TYPE_BUY_STOP"){order.type=ORDER_TYPE_BUY_STOP;}
|
|
else if(actionType=="ORDER_TYPE_SELL_STOP"){order.type=ORDER_TYPE_SELL_STOP;}
|
|
else Alert("Something wrong with pending orders...");
|
|
|
|
order.price=NormalizeDouble(dataObject["price"].ToDbl(),_Digits);
|
|
order.sl=dataObject["stoploss"].ToDbl();
|
|
order.tp=dataObject["takeprofit"].ToDbl();
|
|
order.deviation=dataObject["deviation"].ToInt();
|
|
order.type_time=ORDER_TIME_DAY;
|
|
order.type_filling=ORDER_FILLING_RETURN;
|
|
|
|
bool success=OrderSend(order,result);
|
|
if(!success) {InformClientSocket(dataSocket,StringFormat("OrderSend error %d",GetLastError()));}
|
|
else {
|
|
CJAVal conf;
|
|
|
|
conf["retcode"] = (int) result.retcode;
|
|
conf["deal"] = "null";
|
|
conf["order"] = (string)result.order;
|
|
conf["volume"] = result.volume;
|
|
conf["price"] = result.price;
|
|
conf["bid"] = result.bid;
|
|
conf["ask"] = result.ask;
|
|
conf["comment"] = result.comment;
|
|
|
|
string t=conf.Serialize();
|
|
if(debug==true) { Print("Order conformation: "+t);}
|
|
InformClientSocket(dataSocket,t);
|
|
}
|
|
}
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Inform Client via socket |
|
|
//+------------------------------------------------------------------+
|
|
void InformClientSocket(Socket &workingSocket,string replyMessage)
|
|
{
|
|
ZmqMsg pushReply(StringFormat("%s",replyMessage));
|
|
|
|
// workingSocket.send(pushReply,false); // BLOCKING
|
|
workingSocket.send(pushReply,true); // NON-BLOCKING
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Trade function |
|
|
//+------------------------------------------------------------------+
|
|
void OnTrade()
|
|
{
|
|
//---
|
|
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Tick function |
|
|
//+------------------------------------------------------------------+
|
|
void OnTick()
|
|
{
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Push candle on close to liveSocket |
|
|
//+------------------------------------------------------------------+
|
|
datetime thisBar=(datetime)SeriesInfoInteger(symbol,period,SERIES_LASTBAR_DATE);
|
|
|
|
if(lastBar!=thisBar)
|
|
{
|
|
MqlRates rates[1];
|
|
CJAVal candle;
|
|
|
|
if(CopyRates(symbol,period,1,1,rates)!=1) { /*error processing */ };
|
|
|
|
candle[0] = (long) rates[0].time;
|
|
candle[1] = (double) rates[0].open;
|
|
candle[2] = (double) rates[0].high;
|
|
candle[3] = (double) rates[0].low;
|
|
candle[4] = (double) rates[0].close;
|
|
candle[5] = (double) rates[0].tick_volume;
|
|
|
|
string t=candle.Serialize();
|
|
if(debug==true)
|
|
{
|
|
PrintFormat("New candle: %s %s",TimeToString(rates[0].time), t);
|
|
}
|
|
InformClientSocket(liveSocket,t);
|
|
|
|
lastBar=thisBar;
|
|
}
|
|
|
|
}
|
|
//+------------------------------------------------------------------+
|