update
This commit is contained in:
Matt Corcoran
@@ -0,0 +1,111 @@
|
||||
|
||||
class EntryState {
|
||||
public:
|
||||
int last_trigger_bar_long;
|
||||
int last_trigger_bar_short;
|
||||
int last_bl_cross_long;
|
||||
int last_bl_cross_short;
|
||||
int last_entry_long;
|
||||
int last_entry_short;
|
||||
|
||||
// Constructor
|
||||
EntryState() {
|
||||
reset();
|
||||
}
|
||||
|
||||
void reset() {
|
||||
last_trigger_bar_long = -1000;
|
||||
last_trigger_bar_short = -1000;
|
||||
last_bl_cross_long = -1000;
|
||||
last_bl_cross_short = -1000;
|
||||
last_entry_long = -1000;
|
||||
last_entry_short = -1000;
|
||||
}
|
||||
|
||||
void update_trigger(bool trig_long, bool trig_short, int curr_bar) {
|
||||
if (trig_long) last_trigger_bar_long = curr_bar;
|
||||
if (trig_short) last_trigger_bar_short = curr_bar;
|
||||
}
|
||||
|
||||
void update_baseline_cross(int curr_bar, double price, double baseline, double prev_price, double prev_baseline) {
|
||||
if (prev_price < prev_baseline && price > baseline)
|
||||
last_bl_cross_long = curr_bar;
|
||||
if (prev_price > prev_baseline && price < baseline)
|
||||
last_bl_cross_short = curr_bar;
|
||||
}
|
||||
|
||||
void update_entry(bool is_long, int curr_bar) {
|
||||
if (is_long)
|
||||
last_entry_long = curr_bar;
|
||||
else
|
||||
last_entry_short = curr_bar;
|
||||
}
|
||||
|
||||
int get_last_trigger(bool is_long) {
|
||||
return is_long ? last_trigger_bar_long : last_trigger_bar_short;
|
||||
}
|
||||
|
||||
int get_last_cross(bool is_long) {
|
||||
return is_long ? last_bl_cross_long : last_bl_cross_short;
|
||||
}
|
||||
|
||||
int get_last_entry(bool is_long) {
|
||||
return is_long ? last_entry_long : last_entry_short;
|
||||
}
|
||||
};
|
||||
|
||||
// Snapshot of conditions for a potential entry signal
|
||||
struct EntryContext {
|
||||
bool trigger;
|
||||
bool confirm;
|
||||
bool volume;
|
||||
bool recent;
|
||||
bool base_ok;
|
||||
bool near;
|
||||
bool far;
|
||||
int last_entry;
|
||||
int last_cross;
|
||||
};
|
||||
|
||||
// Utility: check if signal occurred recently
|
||||
bool is_recent(int signal_bar, int curr_bar, int lookback) {
|
||||
return (curr_bar - signal_bar) < lookback;
|
||||
}
|
||||
|
||||
// Utility: build current entry condition context
|
||||
EntryContext build_entry_context(bool is_long, double price, double baseline, double atr,
|
||||
int last_cross, int last_entry,
|
||||
bool trigger, bool confirm, bool volume, bool recent) {
|
||||
EntryContext ctx;
|
||||
ctx.trigger = trigger;
|
||||
ctx.confirm = confirm;
|
||||
ctx.volume = volume;
|
||||
ctx.recent = recent;
|
||||
ctx.base_ok = is_long ? (price > baseline) : (price < baseline);
|
||||
ctx.near = MathAbs(price - baseline) <= atr;
|
||||
ctx.far = MathAbs(price - baseline) > atr;
|
||||
ctx.last_entry = last_entry;
|
||||
ctx.last_cross = last_cross;
|
||||
return ctx;
|
||||
}
|
||||
|
||||
// Class wrapper for entry logic
|
||||
class EntryLogic {
|
||||
public:
|
||||
bool is_standard_entry(const EntryContext &ctx) {
|
||||
return ctx.trigger && ctx.confirm && ctx.volume && ctx.recent && ctx.base_ok && ctx.near;
|
||||
}
|
||||
|
||||
bool is_pullback_entry(const EntryContext &ctx, int curr_bar) {
|
||||
return (curr_bar - ctx.last_cross <= 2) && ctx.confirm && ctx.volume && ctx.base_ok && ctx.far;
|
||||
}
|
||||
|
||||
bool is_baseline_cross_entry(const EntryContext &ctx, double prev_price, double prev_baseline,double price, double baseline, bool is_long){
|
||||
bool crossed = is_long ? (prev_price < prev_baseline && price > baseline): (prev_price > prev_baseline && price < baseline);
|
||||
return crossed && ctx.confirm && ctx.volume && ctx.near;
|
||||
}
|
||||
|
||||
bool is_continuation_entry(const EntryContext &ctx, int curr_bar, int look_back) {
|
||||
return (curr_bar - ctx.last_entry <= look_back) && ctx.last_entry > ctx.last_cross && ctx.trigger && ctx.confirm && ctx.base_ok;
|
||||
}
|
||||
};
|
||||
@@ -0,0 +1,414 @@
|
||||
#property library
|
||||
#include <Trade/Trade.mqh>
|
||||
#include <MyLibs/Utils/TimeZones.mqh>
|
||||
|
||||
class RangeCalculator : public CObject{
|
||||
|
||||
protected:
|
||||
TimeZones tz;
|
||||
|
||||
bool days_initlised;
|
||||
bool range_initlised;
|
||||
string symbol;
|
||||
ENUM_TIMEFRAMES calc_period;
|
||||
|
||||
string inp_r_start_string;
|
||||
int r_duration;
|
||||
int r_expire;
|
||||
int r_close;
|
||||
string inp_timezone;
|
||||
|
||||
bool sun;
|
||||
bool mon;
|
||||
bool tue;
|
||||
bool wed;
|
||||
bool thu;
|
||||
bool fri;
|
||||
bool sat;
|
||||
bool plot_range;
|
||||
datetime start_time; // Start of the range
|
||||
datetime end_time; // end of the range
|
||||
datetime order_expire_time; // end of the range
|
||||
datetime close_time; // Close time
|
||||
double high; // high of the range
|
||||
double low; // low of the range
|
||||
double mid; // mid of the range
|
||||
bool f_entry; // flag if we are inside of the range
|
||||
bool f_high_breakout; // flag if a high breakout occurred
|
||||
bool f_low_breakout; // flag if a low breakout occurred
|
||||
bool above_last;
|
||||
bool above_current;
|
||||
bool below_last;
|
||||
bool below_current;
|
||||
|
||||
// private functions
|
||||
void update_objects();
|
||||
void draw_objects();
|
||||
void define_new_range();
|
||||
bool convert_input_time_strings(string t1, string t2, string t3, string t4);
|
||||
|
||||
|
||||
public:
|
||||
void calculate_range();
|
||||
|
||||
double get_range_high();
|
||||
double get_range_low();
|
||||
double get_range_mid();
|
||||
datetime get_range_start();
|
||||
datetime get_range_end();
|
||||
datetime get_order_expire_time();
|
||||
datetime get_range_close();
|
||||
bool get_range_high_breakout();
|
||||
bool get_range_low_breakout();
|
||||
bool initilise_range(string inp_symbol, ENUM_TIMEFRAMES _calc_period, string t0, string t1, string t2, string t3, string time_zone, bool plot_range_inp);
|
||||
void range_days(bool _inp_sun, bool _inp_mon, bool _inp_tue, bool _inp_wed, bool _inp_thu, bool _inp_fri, bool _inp_sat);
|
||||
|
||||
};
|
||||
|
||||
void RangeCalculator::range_days(bool _inp_sun, bool _inp_mon, bool _inp_tue, bool _inp_wed, bool _inp_thu, bool _inp_fri, bool _inp_sat){
|
||||
sun = _inp_sun;
|
||||
mon = _inp_mon;
|
||||
tue = _inp_tue;
|
||||
wed = _inp_wed;
|
||||
thu = _inp_thu;
|
||||
fri = _inp_fri;
|
||||
sat = _inp_sat;
|
||||
days_initlised = true;
|
||||
}
|
||||
|
||||
bool RangeCalculator::initilise_range(string inp_symbol, ENUM_TIMEFRAMES _calc_period, string t1, string t2, string t3, string t4, string time_zone, bool plot_range_inp){
|
||||
inp_r_start_string = t1;
|
||||
inp_timezone = time_zone;
|
||||
symbol = inp_symbol;
|
||||
calc_period =_calc_period;
|
||||
plot_range = plot_range_inp;
|
||||
start_time = 0;
|
||||
end_time = 0;
|
||||
close_time = 0;
|
||||
high = 0;
|
||||
low = DBL_MAX;
|
||||
mid = 0;
|
||||
f_entry = false;
|
||||
f_high_breakout = false;
|
||||
f_low_breakout = false;
|
||||
above_last = false;
|
||||
above_current= false;
|
||||
below_last= false;
|
||||
below_current= false;
|
||||
if(!days_initlised){
|
||||
sun = true;
|
||||
mon = true;
|
||||
tue = true;
|
||||
wed = true;
|
||||
thu = true;
|
||||
fri = true;
|
||||
sat = true;
|
||||
}
|
||||
range_initlised = true;
|
||||
|
||||
bool corret_inputs = convert_input_time_strings(t1, t2, t3, t4);
|
||||
if(corret_inputs = false){
|
||||
return false;
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
|
||||
bool RangeCalculator::convert_input_time_strings(string t1, string t2, string t3, string t4){
|
||||
|
||||
datetime _t1 = StringToTime(t1);
|
||||
datetime _t2 = StringToTime(t2);
|
||||
datetime _t3 = StringToTime(t3);
|
||||
datetime _t4 = StringToTime(t4);
|
||||
|
||||
|
||||
if(_t1 > _t2){
|
||||
_t2 = _t2 + PeriodSeconds(PERIOD_D1);
|
||||
_t3 = _t3 + PeriodSeconds(PERIOD_D1);
|
||||
_t4 = _t4 + PeriodSeconds(PERIOD_D1);
|
||||
}
|
||||
|
||||
if(_t2 > _t3){
|
||||
_t3 = _t3 + PeriodSeconds(PERIOD_D1);
|
||||
_t4 = _t4 + PeriodSeconds(PERIOD_D1);
|
||||
}
|
||||
|
||||
if(_t3 > _t4){
|
||||
_t4 = _t4 + PeriodSeconds(PERIOD_D1);
|
||||
}
|
||||
|
||||
r_duration = (int)(_t2 - _t1);
|
||||
r_expire = (int)(_t3 - _t1);
|
||||
r_close = (int)(_t4 - _t1);
|
||||
|
||||
if(_t4 - _t1 >= PeriodSeconds(PERIOD_D1)){
|
||||
Alert("INCORRECT RANGE INPUTS!");
|
||||
return false;
|
||||
}
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
// high of the range
|
||||
double RangeCalculator::get_range_high(){
|
||||
return high;
|
||||
};
|
||||
|
||||
// low of the range
|
||||
double RangeCalculator::get_range_low(){
|
||||
return low;
|
||||
};
|
||||
|
||||
// mid of the range
|
||||
double RangeCalculator::get_range_mid(){
|
||||
return mid;
|
||||
};
|
||||
|
||||
|
||||
datetime RangeCalculator::get_range_start(){
|
||||
return start_time;
|
||||
};
|
||||
|
||||
datetime RangeCalculator::get_range_end(){
|
||||
return end_time;
|
||||
};
|
||||
|
||||
datetime RangeCalculator::get_order_expire_time(){
|
||||
return order_expire_time;
|
||||
};
|
||||
|
||||
datetime RangeCalculator::get_range_close(){
|
||||
return close_time;
|
||||
};
|
||||
|
||||
// flag if a high breakout occurred
|
||||
bool RangeCalculator::get_range_high_breakout(){
|
||||
return f_high_breakout;
|
||||
};
|
||||
|
||||
// flag if a low breakout occurred
|
||||
bool RangeCalculator::get_range_low_breakout(){
|
||||
return f_low_breakout;
|
||||
};
|
||||
|
||||
|
||||
void RangeCalculator::calculate_range(){
|
||||
|
||||
f_high_breakout = false;
|
||||
f_low_breakout = false;
|
||||
|
||||
double last_bar_high = iHigh(symbol, calc_period, 1); // shift 1 because 0 = live candle:
|
||||
double last_bar_low = iLow(symbol, calc_period, 1); // shift 1 because 0 = live candle:
|
||||
|
||||
// range calculation
|
||||
if(TimeCurrent() >= start_time && TimeCurrent() <= end_time){
|
||||
|
||||
// set flag
|
||||
f_entry = true;
|
||||
|
||||
// new high
|
||||
if(last_bar_high > high){
|
||||
high = last_bar_high;
|
||||
mid = (high + low)/2;
|
||||
if(plot_range){
|
||||
update_objects();
|
||||
}
|
||||
}
|
||||
|
||||
// new low
|
||||
if(last_bar_low < low){
|
||||
low = last_bar_low;
|
||||
mid = (high + low)/2;
|
||||
if(plot_range){
|
||||
update_objects();
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// calculate new reange if
|
||||
if( (TimeCurrent() >= close_time) // close time reached
|
||||
|| (end_time == 0) // range not calculated yet
|
||||
|| (end_time !=0 && TimeCurrent() > end_time && !f_entry) // there was a range calculated but no tick inside.
|
||||
){
|
||||
define_new_range();
|
||||
}
|
||||
|
||||
// check if we are after the range end
|
||||
if(TimeCurrent() >= end_time && end_time > 0 && f_entry){
|
||||
|
||||
if(!f_high_breakout && last_bar_high >= high){
|
||||
above_last = above_current;
|
||||
above_current= true;
|
||||
|
||||
if(above_last==false && above_current == true){
|
||||
f_high_breakout = true;
|
||||
}
|
||||
else(f_high_breakout = false);
|
||||
}
|
||||
|
||||
if(!f_low_breakout && last_bar_low >= low){
|
||||
below_last = below_current;
|
||||
below_current = true;
|
||||
if(below_last == false && below_current == true){
|
||||
f_low_breakout = true;
|
||||
}
|
||||
else(f_low_breakout = false);
|
||||
}
|
||||
|
||||
}
|
||||
}
|
||||
|
||||
void RangeCalculator::define_new_range(){
|
||||
|
||||
// reset range vars
|
||||
start_time = 0;
|
||||
end_time = 0;
|
||||
order_expire_time = 0;
|
||||
close_time = 0;
|
||||
high = 0;
|
||||
low = INT_MAX;
|
||||
mid = 0;
|
||||
f_entry = false;
|
||||
|
||||
// calculate range start time:
|
||||
datetime r_st = StringToTime(inp_r_start_string);
|
||||
start_time = tz.timezone_conversions(inp_timezone, r_st, "Broker");
|
||||
|
||||
|
||||
for(int i=0; i<8; i++){
|
||||
|
||||
MqlDateTime tmp;
|
||||
TimeToStruct(start_time,tmp);
|
||||
int dow = tmp.day_of_week;
|
||||
|
||||
if(TimeCurrent()>=start_time
|
||||
|| (dow==0 && !sun)
|
||||
|| (dow==1 && !mon)
|
||||
|| (dow==2 && !tue)
|
||||
|| (dow==3 && !wed)
|
||||
|| (dow==4 && !thu)
|
||||
|| (dow==5 && !fri)
|
||||
|| (dow==6 && !sat)
|
||||
){
|
||||
start_time += PeriodSeconds(PERIOD_D1);
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
end_time = start_time + r_duration;
|
||||
order_expire_time = start_time + r_expire;
|
||||
close_time = start_time + r_close;
|
||||
|
||||
if(plot_range){
|
||||
draw_objects();
|
||||
}
|
||||
}
|
||||
|
||||
void RangeCalculator::update_objects(){
|
||||
|
||||
string name = "Range Mid " + (string)start_time;
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,0, mid);
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,1, mid);
|
||||
// ObjectSetString(NULL, name , OBJPROP_TOOLTIP, "Range Mid");
|
||||
|
||||
name = "Order expire " + (string)order_expire_time;
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,0, high);
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,1, low);
|
||||
|
||||
name = "Range start " + (string)start_time;
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,0, high);
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,1, low);
|
||||
|
||||
name = "Range end " + (string)end_time;
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,0, high);
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,1, low);
|
||||
|
||||
datetime rct = r_close>=0 ? close_time : INT_MAX;
|
||||
name = "Range close " + (string)rct;
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,0, high);
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,1, low);
|
||||
|
||||
name = "Range High " + (string)rct;
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,0, high);
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,1, high);
|
||||
|
||||
name = "Range Low " + (string)rct;
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,0, low);
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,1, low);
|
||||
|
||||
name = "range box "+ (string)start_time;
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,0, high);
|
||||
ObjectSetDouble(NULL, name, OBJPROP_PRICE,1, low);
|
||||
ObjectSetDouble(NULL, name +" ", OBJPROP_PRICE,0, high);
|
||||
ObjectSetDouble(NULL, name +" ", OBJPROP_PRICE,1, low);
|
||||
|
||||
}
|
||||
|
||||
void RangeCalculator::draw_objects(){
|
||||
|
||||
datetime rct = r_close>=0 ? close_time : INT_MAX;
|
||||
|
||||
// Range mid line
|
||||
string name = "Range Mid " + (string)start_time;;
|
||||
ObjectCreate(NULL, name, OBJ_TREND, 0, start_time, mid, rct, mid);
|
||||
ObjectSetString(NULL, name , OBJPROP_TOOLTIP, "Range Mid" + (string)mid);
|
||||
ObjectSetInteger(NULL, name, OBJPROP_COLOR, clrGray);
|
||||
ObjectSetInteger(NULL, name, OBJPROP_WIDTH, 1);
|
||||
ObjectSetInteger(NULL, name, OBJPROP_STYLE, STYLE_DOT);
|
||||
|
||||
// order lines
|
||||
string name2 = "Order expire " + (string)order_expire_time;
|
||||
ObjectCreate(NULL, name2, OBJ_TREND, 0, order_expire_time, low, order_expire_time, high);
|
||||
ObjectSetString(NULL, name2, OBJPROP_TOOLTIP, "start of the range \n" + TimeToString(order_expire_time,TIME_DATE|TIME_MINUTES));
|
||||
ObjectSetInteger(NULL, name2, OBJPROP_COLOR, C'139,41,41');
|
||||
ObjectSetInteger(NULL, name2 ,OBJPROP_WIDTH, 2);
|
||||
ObjectSetInteger(NULL, name2,OBJPROP_BACK, true);
|
||||
|
||||
name2 = "Range start " + (string)start_time;
|
||||
ObjectCreate(NULL, name2, OBJ_TREND, 0, start_time, low, start_time, high);
|
||||
ObjectSetInteger(NULL, name2, OBJPROP_COLOR, clrBlack);
|
||||
ObjectSetInteger(NULL, name2 ,OBJPROP_WIDTH, 2);
|
||||
ObjectSetInteger(NULL, name2,OBJPROP_BACK, true);
|
||||
|
||||
name2 = "Range end " + (string)end_time;
|
||||
ObjectCreate(NULL, name2, OBJ_TREND, 0, end_time, low, end_time, high);
|
||||
ObjectSetInteger(NULL, name2, OBJPROP_COLOR, clrBlack);
|
||||
ObjectSetInteger(NULL, name2 ,OBJPROP_WIDTH, 2);
|
||||
ObjectSetInteger(NULL, name2,OBJPROP_BACK, true);
|
||||
|
||||
name2 = "Range close " + (string)rct;
|
||||
ObjectCreate(NULL, name2, OBJ_TREND, 0, rct, low, rct, high);
|
||||
ObjectSetInteger(NULL, name2, OBJPROP_COLOR, clrBlack);
|
||||
ObjectSetInteger(NULL, name2 ,OBJPROP_WIDTH, 2);
|
||||
ObjectSetInteger(NULL, name2,OBJPROP_BACK, true);
|
||||
|
||||
name2 = "Range High " + (string)rct;
|
||||
ObjectCreate(NULL, name2, OBJ_TREND, 0, start_time, high, rct, high);
|
||||
ObjectSetInteger(NULL, name2, OBJPROP_COLOR, clrBlack);
|
||||
ObjectSetInteger(NULL, name2 ,OBJPROP_WIDTH, 2);
|
||||
ObjectSetInteger(NULL, name2,OBJPROP_BACK, true);
|
||||
|
||||
name2 = "Range Low " + (string)rct;
|
||||
ObjectCreate(NULL, name2, OBJ_TREND, 0, start_time, low, rct, low);
|
||||
ObjectSetInteger(NULL, name2, OBJPROP_COLOR, clrBlack);
|
||||
ObjectSetInteger(NULL, name2 ,OBJPROP_WIDTH, 2);
|
||||
ObjectSetInteger(NULL, name2 ,OBJPROP_BACK, true);
|
||||
|
||||
// Box
|
||||
name = "range box " + (string)start_time;
|
||||
ObjectCreate(NULL, name, OBJ_RECTANGLE, 0, start_time, high, end_time, low);
|
||||
ObjectSetString(NULL,name,OBJPROP_TOOLTIP,"\n");
|
||||
ObjectSetInteger(NULL, name,OBJPROP_COLOR, C'128,177,173');
|
||||
ObjectSetInteger(NULL, name,OBJPROP_FILL, true);
|
||||
ObjectSetInteger(NULL, name,OBJPROP_BACK, true);
|
||||
|
||||
ObjectCreate(NULL, name + " ", OBJ_RECTANGLE, 0, end_time, high, rct, low);
|
||||
ObjectSetString(NULL, name+ " ", OBJPROP_TOOLTIP, "\n");
|
||||
ObjectSetInteger(NULL, name + " ",OBJPROP_FILL, true);
|
||||
ObjectSetInteger(NULL, name + " ",OBJPROP_COLOR, C'165,220,215' );
|
||||
ObjectSetInteger(NULL, name + " ",OBJPROP_BACK, true);
|
||||
|
||||
ChartRedraw();
|
||||
}
|
||||
|
||||
|
||||
Reference in New Issue
Block a user