Finalize EA architecture before strategy development
This commit is contained in:
peter
+254
-79
@@ -1,6 +1,6 @@
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//+------------------------------------------------------------------+
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//| RiskManager.mqh - Risk and position sizing management |
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//| Calculates lot sizes, validates parameters, checks trading hours |
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//| Calculates trade entry levels, stop loss, take profit and lot sizes|
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//+------------------------------------------------------------------+
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#ifndef __RISKMANAGER_MQH__
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@@ -10,6 +10,7 @@
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#include "Logger.mqh"
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#include "MarketData.mqh"
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#include "Utilities.mqh"
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#include "Signal.mqh"
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class CRiskManager
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{
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@@ -18,75 +19,186 @@ private:
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CLogger *mp_logger;
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public:
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// Constructor
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CRiskManager(CMarketData *market_data, CLogger *logger)
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{
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mp_market_data = market_data;
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mp_logger = logger;
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}
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// Calculate lot size based on configuration
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double CalculateLotSize(int stop_loss_points)
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double CalculateLotByRisk(double risk_distance)
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{
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double lot = 0.0;
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string symbol = mp_market_data.GetSymbol();
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if(!IsSymbolValid(symbol))
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return 0.0;
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if(risk_distance <= 0.0)
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{
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if(mp_logger)
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mp_logger.Error("Risk distance must be positive to calculate lot size");
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return 0.0;
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}
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if(g_lot_mode == LOT_MODE_FIXED)
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{
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lot = g_fixed_lot;
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}
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else if(g_lot_mode == LOT_MODE_RISK)
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{
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lot = CalculateLotByRisk(stop_loss_points);
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}
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double tick_size = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_SIZE);
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double tick_value = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_VALUE);
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if(tick_size <= 0.0 || tick_value <= 0.0)
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{
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if(mp_logger)
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mp_logger.Error("Symbol tick size or tick value invalid for lot calculation");
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return 0.0;
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}
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return ValidateLotSize(lot);
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double account_equity = AccountInfoDouble(ACCOUNT_EQUITY);
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if(account_equity <= 0.0)
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{
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if(mp_logger)
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mp_logger.Error("Account equity is invalid for lot calculation");
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return 0.0;
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}
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double effective_risk_percent = GetEffectiveRiskPercent();
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if(effective_risk_percent <= 0.0)
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{
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if(mp_logger)
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mp_logger.Error("Effective risk percent is invalid");
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return 0.0;
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}
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double risk_amount = account_equity * (effective_risk_percent / 100.0);
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// Loss per single lot = (risk_distance / tick_size) * tick_value
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double loss_per_lot = (risk_distance / tick_size) * tick_value;
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if(loss_per_lot <= 0.0)
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{
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if(mp_logger)
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mp_logger.Error("Calculated monetary loss per lot is non-positive");
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return 0.0;
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}
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double raw_lot = risk_amount / loss_per_lot;
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double normalized_lot = CUtilities::NormalizeLot(symbol, raw_lot);
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if(normalized_lot <= 0.0)
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{
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if(mp_logger)
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mp_logger.Warning(StringFormat("No valid lot size: raw=%.6f normalized=%.6f (min/max/step constraints)", raw_lot, normalized_lot));
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return 0.0;
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}
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if(mp_logger && g_debug_mode)
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{
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mp_logger.Info(StringFormat("Tick size=%.8f tick value=%.8f risk%%=%.2f rawLot=%.6f finalLot=%.6f",
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tick_size, tick_value, effective_risk_percent, raw_lot, normalized_lot));
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}
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return normalized_lot;
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}
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// Calculate lot size based on risk percent
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double CalculateLotByRisk(int stop_loss_points)
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bool ValidateTradeSetup(const TradeSetup &setup, double &lot)
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{
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double account_balance = AccountInfoDouble(ACCOUNT_BALANCE);
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double stop_loss_distance = CUtilities::PointsToPrice(mp_market_data.GetSymbol(), stop_loss_points);
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double contract_size = CUtilities::GetContractSize(mp_market_data.GetSymbol());
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if(stop_loss_distance == 0 || contract_size == 0)
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return g_min_lot;
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string symbol = mp_market_data.GetSymbol();
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if(!IsSymbolValid(symbol))
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{
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if(mp_logger)
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mp_logger.Error("Invalid symbol for trade setup validation");
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return false;
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}
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if(setup.signal != SIGNAL_BUY && setup.signal != SIGNAL_SELL)
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{
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if(mp_logger && g_debug_mode)
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mp_logger.Info("Trade setup rejected: no valid signal");
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return false;
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}
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// Risk = Account Balance * Risk Percent / 100
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double risk_amount = account_balance * (g_risk_percent / 100.0);
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// Lot = Risk Amount / (SL Distance * Contract Size * Point)
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double point = mp_market_data.GetPoint();
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double lot = risk_amount / (stop_loss_distance * contract_size);
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return lot;
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}
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double execution_price = (setup.signal == SIGNAL_BUY) ? mp_market_data.GetAsk() : mp_market_data.GetBid();
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double setup_entry_price = setup.entryPrice;
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double setup_diff = 0.0;
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if(setup_entry_price > 0.0)
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{
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setup_diff = MathAbs(setup_entry_price - execution_price);
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}
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// Validate and normalize lot size
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double ValidateLotSize(double lot)
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{
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// Apply global limits first
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if(lot < g_min_lot)
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lot = g_min_lot;
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if(lot > g_max_lot)
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lot = g_max_lot;
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if(setup.stopLoss <= 0.0 || setup.takeProfit <= 0.0 || setup.riskDistance <= 0.0)
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{
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if(mp_logger)
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mp_logger.Warning(StringFormat("Trade setup rejected: valid initial SL and TP are required (TP-less trades need a future explicit allowNoTakeProfit field). setupEntry=%.5f execEntry=%.5f sl=%.5f tp=%.5f risk=%.5f",
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setup_entry_price, execution_price, setup.stopLoss, setup.takeProfit, setup.riskDistance));
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return false;
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}
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// Normalize to broker's lot step
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lot = CUtilities::NormalizeLot(mp_market_data.GetSymbol(), lot);
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bool valid_side = true;
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if(setup.signal == SIGNAL_BUY)
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{
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valid_side = (setup.stopLoss < execution_price && setup.takeProfit > execution_price);
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}
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else if(setup.signal == SIGNAL_SELL)
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{
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valid_side = (setup.stopLoss > execution_price && setup.takeProfit < execution_price);
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}
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if(!valid_side)
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{
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if(mp_logger)
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mp_logger.Warning(StringFormat("Trade setup rejected: SL/TP invalid for current market entry price (setupEntry=%.5f execEntry=%.5f sl=%.5f tp=%.5f)",
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setup_entry_price, execution_price, setup.stopLoss, setup.takeProfit));
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return false;
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}
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// Broker minimal stop distance relative to current market execution price
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double point = CUtilities::GetPoint(symbol);
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long min_stop_points = (long)SymbolInfoInteger(symbol, SYMBOL_TRADE_STOPS_LEVEL);
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if(min_stop_points < 0)
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min_stop_points = 0;
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double min_stop_distance = min_stop_points * point;
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double actual_risk_distance = MathAbs(execution_price - setup.stopLoss);
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if(actual_risk_distance <= 0.0)
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{
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if(mp_logger)
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mp_logger.Warning(StringFormat("Trade setup rejected: non-positive risk distance after using execution price (execEntry=%.5f sl=%.5f)",
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execution_price, setup.stopLoss));
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return false;
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}
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if(actual_risk_distance < min_stop_distance)
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{
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if(mp_logger)
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mp_logger.Warning(StringFormat("Trade setup rejected: SL too close to current entry price (distance %.5f < broker stop level %.5f)", actual_risk_distance, min_stop_distance));
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return false;
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}
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if(mp_logger && g_debug_mode)
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mp_logger.Info(StringFormat("Lot size calculated: %.2f", lot));
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{
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mp_logger.Info(StringFormat("Trade setup details: setupEntry=%.5f execEntry=%.5f diff=%.5f SL=%.5f TP=%.5f setupRisk=%.5f execRisk=%.5f reason=%s",
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setup_entry_price, execution_price, setup_diff, setup.stopLoss, setup.takeProfit, setup.riskDistance, actual_risk_distance, setup.reason));
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}
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return lot;
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// Lot sizing: use actual execution entry-to-SL distance in price units
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lot = CalculateLotByRisk(actual_risk_distance);
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if(lot <= 0.0)
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{
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if(mp_logger)
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mp_logger.Warning("Trade setup rejected: lot sizing failed or below broker minimum after execution price adjustment");
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return false;
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}
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if(mp_logger && g_debug_mode)
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{
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double tick_size = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_SIZE);
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double tick_value = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_VALUE);
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mp_logger.Info(StringFormat("Trade setup validated: signal=%s setupEntry=%.5f execEntry=%.5f diff=%.5f SL=%.5f TP=%.5f execRisk=%.5f tickSize=%.8f tickValue=%.8f riskUsed=%.2f finalLot=%.6f reason=%s",
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setup.signal == SIGNAL_BUY ? "BUY" : "SELL",
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setup_entry_price, execution_price, setup_diff,
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setup.stopLoss, setup.takeProfit, actual_risk_distance,
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tick_size, tick_value, GetEffectiveRiskPercent(), lot, setup.reason));
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}
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return true;
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return true;
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}
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// Check if spread is acceptable
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bool IsSpreadAcceptable()
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{
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int max_spread = g_max_spread_points;
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string symbol = mp_market_data.GetSymbol();
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// XAUUSD/gold normally trades with a much wider spread than forex
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if(StringFind(symbol, "XAU") >= 0 || StringFind(symbol, "GOLD") >= 0)
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{
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max_spread = MathMax(max_spread, 200);
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@@ -95,7 +207,6 @@ public:
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return mp_market_data.IsSpreadAcceptable(max_spread);
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}
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// Check if trading is allowed by time filter
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bool IsTradingHourValid()
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{
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if(!g_use_trading_hours)
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@@ -107,23 +218,21 @@ public:
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if(g_trade_start_hour <= g_trade_end_hour)
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{
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// Normal case: e.g., 8:00 to 20:00
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if(current_hour < g_trade_start_hour || current_hour >= g_trade_end_hour)
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{
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if(mp_logger && g_debug_mode)
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mp_logger.Info(StringFormat("Outside trading hours: %d (allowed: %d-%d)",
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current_hour, g_trade_start_hour, g_trade_end_hour));
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mp_logger.Info(StringFormat("Outside trading hours: %d (allowed: %d-%d)",
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current_hour, g_trade_start_hour, g_trade_end_hour));
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return false;
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}
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}
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else
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{
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// Overnight case: e.g., 20:00 to 8:00
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if(current_hour < g_trade_start_hour && current_hour >= g_trade_end_hour)
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{
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if(mp_logger && g_debug_mode)
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mp_logger.Info(StringFormat("Outside trading hours: %d (allowed: %d-%d)",
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current_hour, g_trade_start_hour, g_trade_end_hour));
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mp_logger.Info(StringFormat("Outside trading hours: %d (allowed: %d-%d)",
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current_hour, g_trade_start_hour, g_trade_end_hour));
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return false;
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}
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}
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@@ -131,37 +240,103 @@ public:
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return true;
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}
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// Calculate stop loss price in absolute terms
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double CalculateStopLossPrice(bool buy)
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{
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double bid = mp_market_data.GetBid();
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double ask = mp_market_data.GetAsk();
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double entry_price = buy ? ask : bid;
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double sl_distance = CUtilities::PointsToPrice(mp_market_data.GetSymbol(), g_stop_loss_points);
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double sl_price = buy ? (entry_price - sl_distance) : (entry_price + sl_distance);
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return CUtilities::NormalizePrice(mp_market_data.GetSymbol(), sl_price);
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}
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// Calculate take profit price in absolute terms
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double CalculateTakeProfitPrice(bool buy)
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{
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double bid = mp_market_data.GetBid();
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double ask = mp_market_data.GetAsk();
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double entry_price = buy ? ask : bid;
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double tp_distance = CUtilities::PointsToPrice(mp_market_data.GetSymbol(), g_take_profit_points);
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double tp_price = buy ? (entry_price + tp_distance) : (entry_price - tp_distance);
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return CUtilities::NormalizePrice(mp_market_data.GetSymbol(), tp_price);
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}
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// Get market data reference
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CMarketData* GetMarketData()
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{
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return mp_market_data;
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}
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private:
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double GetEffectiveRiskPercent()
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{
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double risk_percent = g_risk_percent;
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if(risk_percent > g_max_risk_percent)
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{
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if(mp_logger)
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mp_logger.Warning(StringFormat("RiskPercent capped from %.2f%% to %.2f%% (MaxRiskPercent)",
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risk_percent, g_max_risk_percent));
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risk_percent = g_max_risk_percent;
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}
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return risk_percent;
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}
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double GetAtrValue(int shift)
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{
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string symbol = mp_market_data.GetSymbol();
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int atr_handle = iATR(symbol, g_strategy_entry_timeframe, g_atr_period);
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if(atr_handle == INVALID_HANDLE)
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return 0.0;
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double atr_value[];
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ArraySetAsSeries(atr_value, true);
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ArrayResize(atr_value, 1);
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if(CopyBuffer(atr_handle, 0, shift, 1, atr_value) <= 0)
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{
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IndicatorRelease(atr_handle);
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return 0.0;
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}
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double atr = atr_value[0];
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IndicatorRelease(atr_handle);
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return atr;
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}
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double ValidateLotSize(double lot)
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{
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string symbol = mp_market_data.GetSymbol();
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double min_lot = SymbolInfoDouble(symbol, SYMBOL_VOLUME_MIN);
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double max_lot = SymbolInfoDouble(symbol, SYMBOL_VOLUME_MAX);
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double lot_step = SymbolInfoDouble(symbol, SYMBOL_VOLUME_STEP);
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if(min_lot <= 0.0 || max_lot <= 0.0 || lot_step <= 0.0 || max_lot < min_lot)
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{
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if(mp_logger)
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mp_logger.Error("Invalid volume step or limits for symbol");
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return 0.0;
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}
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if(lot <= 0.0)
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return 0.0;
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double normalized = MathFloor(lot / lot_step) * lot_step;
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if(normalized < min_lot || normalized > max_lot)
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{
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if(mp_logger && g_debug_mode)
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mp_logger.Warning(StringFormat("Normalized lot %.2f outside allowed range [%.2f, %.2f]", normalized, min_lot, max_lot));
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return 0.0;
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}
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normalized = NormalizeDouble(normalized, 2);
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if(mp_logger && g_debug_mode)
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mp_logger.Info(StringFormat("Lot size calculated: %.2f", normalized));
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return normalized;
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}
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bool IsSymbolValid(const string symbol)
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{
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if(!mp_market_data.IsTradingAllowed())
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{
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if(mp_logger)
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mp_logger.Error("Symbol trading is not allowed");
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return false;
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}
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if(mp_market_data.GetPoint() <= 0.0)
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{
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if(mp_logger)
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mp_logger.Error("Symbol point size is invalid");
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return false;
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}
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if(CUtilities::GetContractSize(symbol) <= 0.0)
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{
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if(mp_logger)
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mp_logger.Error("Symbol contract size is invalid");
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return false;
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}
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return true;
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}
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};
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#endif //__RISKMANAGER_MQH__
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