gavindiaz/edge_lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

fix: evaluate bar extremes and mark to close in open prices mode, calibrate broker spreads

Browse Source
This commit is contained in:
Ethansi2947E
2026-10-24 12:16:03 +01:00
parent 136e122c23
commit 08f72b67ac
3 changed files with 73 additions and 5 deletions
Download Patch File Download Diff File Expand all files Collapse all files
core/include/interactive_tester.hpp
+4
View File
@@ -235,7 +235,9 @@ public:
book_->on_price_update(tick, current_bar_idx_);
strategy_->OnTick();
strategy_->OnBar();
book_->evaluate_bar_extremes(bars_[current_bar_idx_], sp, current_bar_idx_);
if (cfg_.enable_swaps) _apply_swaps();
book_->mark_to_bar_close(bars_[current_bar_idx_], sp, current_bar_idx_);
_record_bar_eob(sp);
current_bar_idx_++;
if (current_bar_idx_ >= n_bars_) is_done_ = true;
@@ -284,7 +286,9 @@ public:
book_->on_price_update(tick, current_bar_idx_);
strategy_->OnTick();
strategy_->OnBar();
book_->evaluate_bar_extremes(bars_[current_bar_idx_], sp, current_bar_idx_);
if (cfg_.enable_swaps) _apply_swaps();
book_->mark_to_bar_close(bars_[current_bar_idx_], sp, current_bar_idx_);
_record_bar_eob(sp);
current_bar_idx_++;
if (current_bar_idx_ >= n_bars_) is_done_ = true;
core/include/order_book.hpp
+62
View File
@@ -191,6 +191,68 @@ public:
account_.update_state(active_positions_, symbol_);
}
// Evaluate intrabar extremes (High / Low) for active positions in OPEN_PRICES mode
void evaluate_bar_extremes(const MqlRates& bar, double spread, int32_t bar_index) {
double ask_high = bar.high + spread;
double ask_low = bar.low + spread;
for (auto it = active_positions_.begin(); it != active_positions_.end(); ) {
bool closed = false;
if (it->is_buy()) {
// Check SL first (conservative stop-first model)
if (it->sl > EPSILON_PRICE && bar.low <= it->sl) {
double exit_p = (bar.open <= it->sl) ? bar.open : it->sl;
_close_position_internal(it, exit_p, it->volume, DEAL_REASON_SL);
closed = true;
} else if (it->tp > EPSILON_PRICE && bar.high >= it->tp) {
double exit_p = (bar.open >= it->tp) ? bar.open : it->tp;
_close_position_internal(it, exit_p, it->volume, DEAL_REASON_TP);
closed = true;
}
} else {
// Sell position exit executed on Ask
if (it->sl > EPSILON_PRICE && ask_high >= it->sl) {
double ask_open = bar.open + spread;
double exit_p = (ask_open >= it->sl) ? ask_open : it->sl;
_close_position_internal(it, exit_p, it->volume, DEAL_REASON_SL);
closed = true;
} else if (it->tp > EPSILON_PRICE && ask_low <= it->tp) {
double ask_open = bar.open + spread;
double exit_p = (ask_open <= it->tp) ? ask_open : it->tp;
_close_position_internal(it, exit_p, it->volume, DEAL_REASON_TP);
closed = true;
}
}
if (!closed) {
// Update MFE / MAE with bar extremes
if (it->is_buy()) {
it->highest_price = std::max(it->highest_price, bar.high);
it->lowest_price = std::min(it->lowest_price, bar.low);
it->mfe = std::max(it->mfe, symbol_.price_pnl(it->highest_price - it->price_open, it->volume));
it->mae = std::min(it->mae, symbol_.price_pnl(it->lowest_price - it->price_open, it->volume));
} else {
it->lowest_price = std::min(it->lowest_price, ask_low);
it->highest_price = std::max(it->highest_price, ask_high);
it->mfe = std::max(it->mfe, symbol_.price_pnl(it->price_open - it->lowest_price, it->volume));
it->mae = std::min(it->mae, symbol_.price_pnl(it->price_open - it->highest_price, it->volume));
}
++it;
}
}
account_.update_state(active_positions_, symbol_);
}
// Mark floating positions to bar close for accurate end-of-bar equity
void mark_to_bar_close(const MqlRates& bar, double spread, int32_t bar_index) {
current_tick_.bid = bar.close;
current_tick_.ask = bar.close + spread;
current_tick_.time = bar.time;
current_bar_index_ = bar_index;
_update_positions_pnl(bar_index);
account_.update_state(active_positions_, symbol_);
}
private:
// ----------------------------------------------------
// Internal: Execute Instant Market Order