xMattC
202 lines
6.3 KiB
Markdown
202 lines
6.3 KiB
Markdown
|
|
|
|
|
|
|
|
|
|
|
|
|
|
# MT5 Quant Lib
|
|
|
|
A reusable MQL5 library providing infrastructure components and utility classes for MetaTrader 5 development.
|
|
|
|
The library abstracts common functionality such as trade execution, risk management, indicator handling, signal tracking, and supporting utilities into reusable components.
|
|
|
|
The primary goal is to reduce duplicated implementation, improve maintainability, and provide a modular foundation for building Expert Advisors and trading systems.
|
|
|
|
---
|
|
|
|
## 🔍 Domain Context
|
|
|
|
MetaTrader 5 (MT5) is a multi-asset trading platform widely used for developing and executing automated trading strategies. [Learn more](https://www.metatrader5.com/en)
|
|
|
|
---
|
|
|
|
## 🧰 What the Library Provides
|
|
|
|
MT5 Quant Lib provides reusable infrastructure for common Expert Advisor development tasks.
|
|
|
|
The library includes utilities for:
|
|
|
|
- **Order management** — opening, modifying, and managing trade orders.
|
|
- **Position sizing** — calculating trade volume based on account risk, stop loss distance, and symbol properties.
|
|
- **Risk management** — applying consistent risk controls across trading systems.
|
|
- **Stop-loss management** — setting fixed, breakeven, trailing, and rule-based stop losses.
|
|
- **Take-profit handling** — supporting fixed targets and trade management rules.
|
|
- **Indicator access** — managing indicator handles and retrieving indicator buffer values.
|
|
- **Signal tracking** — maintaining signal state across symbols, bars, and strategy components.
|
|
- **Time/session filtering** — restricting logic to specific trading windows or market sessions.
|
|
- **Multi-symbol support** — helping Expert Advisors operate consistently across multiple instruments.
|
|
- **Backtesting support** — providing reusable utilities for testing and optimisation workflows.
|
|
|
|
The aim is to centralise common MT5 infrastructure so that strategy-specific code can stay focused on trading logic rather than repeated platform plumbing.
|
|
|
|
---
|
|
|
|
## 🎯 Engineering Focus
|
|
|
|
This project was built to demonstrate:
|
|
|
|
- Reusable library design
|
|
- Object-oriented development
|
|
- Modular architecture
|
|
- Infrastructure abstraction
|
|
- Trade management utilities
|
|
- Risk-management systems
|
|
- Indicator abstraction layers
|
|
- Multi-symbol support
|
|
- Shared runtime components
|
|
- Separation of concerns
|
|
|
|
---
|
|
|
|
## 🛠️ Tech Stack
|
|
|
|
- **Language:** MQL5
|
|
- **Platform:** MetaTrader 5
|
|
- **Architecture:** Modular utility library
|
|
- **Testing:** MT5 Strategy Tester
|
|
- **Domain:** Trading infrastructure and system development
|
|
|
|
---
|
|
|
|
## 🔑 Core Library Components
|
|
|
|
The library provides reusable modules including:
|
|
|
|
- Trade execution utilities
|
|
- Position sizing components
|
|
- Risk management systems
|
|
- Stop-loss and take-profit management
|
|
- Indicator handle management
|
|
- Signal state tracking
|
|
- Time and session filters
|
|
- Multi-symbol support
|
|
- Backtesting utilities
|
|
- Shared helper functions
|
|
|
|
---
|
|
|
|
## 📂 Repository Structure
|
|
|
|
```text
|
|
MT5-Quant-Lib/
|
|
|
|
├── Indicators/
|
|
├── Orders/
|
|
├── Utils/
|
|
├── BacktestUtils/
|
|
├── trend_following_ea.mq5
|
|
└── README.md
|
|
```
|
|
|
|
Main modules:
|
|
|
|
- **Indicators/** — indicator wrappers and helper components
|
|
- **Orders/** — order execution and position management
|
|
- **Utils/** — shared utility classes and helper functions
|
|
- **BacktestUtils/** — optimisation and testing helpers
|
|
|
|
---
|
|
|
|
## 🧩 Example Expert Advisor
|
|
|
|
The repository includes an example Expert Advisor demonstrating practical use of the library components within a complete multi-symbol trading workflow.
|
|
|
|
The example EA illustrates how independent library modules can be composed into a larger application while keeping infrastructure concerns separated from strategy logic.
|
|
|
|
The example demonstrates:
|
|
|
|
- Multi-symbol processing across configurable instrument lists
|
|
- Event-driven execution using timer-based updates
|
|
- Signal construction using modular indicator components
|
|
- Composition of multiple entry conditions and trade rules
|
|
- Position sizing based on configurable risk settings
|
|
- Trade lifecycle management including entries, exits, and runners
|
|
- Trailing stop and breakeven management
|
|
- Signal memory and state tracking across bars
|
|
- Resource lifecycle management for indicator handles
|
|
- Train/test data separation for optimisation workflows
|
|
- Custom optimisation metrics through `OnTester()`
|
|
|
|
The example application intentionally keeps strategy logic modular by separating:
|
|
|
|
- signal generation
|
|
- trade execution
|
|
- risk calculations
|
|
- position management
|
|
- indicator handling
|
|
- state tracking
|
|
|
|
This demonstrates how reusable infrastructure components can support larger systems without tightly coupling implementation details.
|
|
|
|
[Example Expert Advisor](trend_following_ea.mq5)
|
|
|
|
---
|
|
|
|
## ⚠️ Current Limitations
|
|
|
|
- Designed specifically for MetaTrader 5
|
|
- Requires an MT5 environment
|
|
- Not intended as a standalone trading system
|
|
- Platform-specific dependencies may limit portability
|
|
- Automated testing is limited due to MT5 platform constraints
|
|
|
|
---
|
|
|
|
## ⚙️ Installation
|
|
|
|
Clone the repository:
|
|
|
|
```bash
|
|
git clone https://github.com/xMattC/mt5-quant-lib.git
|
|
```
|
|
|
|
Copy the library folder into your MetaTrader 5 `Include` directory:
|
|
|
|
```text
|
|
C:/Users/<YourUser>/AppData/Roaming/MetaQuotes/Terminal/<Terminal_ID>/MQL5/Include/
|
|
```
|
|
|
|
The final structure should look similar to:
|
|
|
|
```text
|
|
MQL5/
|
|
|
|
└── Include/
|
|
└── MyLibs/
|
|
├── Indicators/
|
|
├── Orders/
|
|
├── Utils/
|
|
├── BacktestUtils/
|
|
└── ...
|
|
```
|
|
|
|
The `Terminal_ID` directory is generated automatically by MetaTrader 5 and will vary between installations.
|
|
|
|
After copying the library, modules can be imported into Expert Advisors using:
|
|
|
|
```cpp
|
|
#include <MyLibs/Orders/EntryOrders.mqh>
|
|
#include <MyLibs/Orders/AdjustPosition.mqh>
|
|
|
|
EntryOrders entry_orders;
|
|
AdjustPosition adjust_pos;
|
|
```
|
|
|
|
## ⚠ Disclaimer
|
|
|
|
This project was developed for research and software engineering purposes.
|
|
|
|
The library provides reusable infrastructure components and does not constitute investment advice or a complete trading system.
|
|
|