amirghadiri1987
89 lines
6.6 KiB
Plaintext
89 lines
6.6 KiB
Plaintext
//+------------------------------------------------------------------+
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//| OLAPTradesCustom.mqh |
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//| Copyright © 2020, Marketeer |
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//| https://www.mql5.com/en/users/marketeer |
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//| Online Analytical Processing of trading hypercubes |
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//| https://www.mql5.com/en/articles/6602 |
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//| https://www.mql5.com/en/articles/6603 |
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//| https://www.mql5.com/en/articles/7535 |
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//| https://www.mql5.com/en/articles/7656 |
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//| rev. 25.02.2020 |
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//+------------------------------------------------------------------+
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class CustomTradeRecord;
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#define RECORD_CLASS CustomTradeRecord
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#include "OLAPTrades.mqh"
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class CustomTradeRecord: public TradeRecord
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{
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private:
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// Start-up time announcement of custom fields specialization
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class CustomFieldsDescription
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{
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private:
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CustomFieldsDescription()
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{
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Print("Custom fields processing attached:");
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Print("FIELD_CUSTOM1 == Single Trade MFE (%)");
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Print("FIELD_CUSTOM2 == Single Trade MAE (%)");
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}
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public:
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static CustomFieldsDescription *instantiate()
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{
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static CustomFieldsDescription instance;
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return &instance;
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}
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};
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public:
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CustomTradeRecord(): TradeRecord()
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{
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}
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CustomTradeRecord(const double balance): TradeRecord(balance)
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{
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fillCustomFields();
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}
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// calculate MFE/MAE in percents
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virtual void fillCustomFields() override
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{
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static CustomFieldsDescription *legend = CustomFieldsDescription::instantiate();
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double positiveExcursion = 0, negativeExcursion = 0;
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string symbol = symbols[(int)get(FIELD_SYMBOL)];
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int t1 = iBarShift(symbol, _Period, (datetime)get(FIELD_OPEN_DATETIME), false);
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int t2 = iBarShift(symbol, _Period, (datetime)get(FIELD_CLOSE_DATETIME), false);
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int type = (int)get(FIELD_TYPE);
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double open = get(FIELD_OPEN_PRICE);
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double close = get(FIELD_CLOSE_PRICE);
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for(int t = t1; t >= t2; t--)
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{
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if(type == OP_BUY)
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{
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positiveExcursion = MathMax(positiveExcursion, MathMax((iHigh(symbol, _Period, t) - close), 0) / close);
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negativeExcursion = MathMin(negativeExcursion, MathMin((iLow(symbol, _Period, t) - open), 0) / open);
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}
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else if(type == OP_SELL)
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{
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positiveExcursion = MathMax(positiveExcursion, MathMax((close - iLow(symbol, _Period, t)), 0) / close);
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negativeExcursion = MathMin(negativeExcursion, MathMin((open - iHigh(symbol, _Period, t)), 0) / open);
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}
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}
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set(TRADE_RECORD_FIELDS::FIELD_CUSTOM_1, positiveExcursion * 100);
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set(TRADE_RECORD_FIELDS::FIELD_CUSTOM_2, negativeExcursion * 100);
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}
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virtual string legend(const int index) const override
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{
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if(index == TRADE_RECORD_FIELDS::FIELD_CUSTOM_1) return "MFE per trade(%)";
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else
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if(index == TRADE_RECORD_FIELDS::FIELD_CUSTOM_2) return "MAE per trade(%)";
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return TradeRecord::legend(index);
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}
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};
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