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mt5-quant-lib/OrderManagement.mqh
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Matt Corcoran b3357f7bb7 update
2025-01-16 16:35:02 +01:00

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#property library
#include <Trade/Trade.mqh>
#include <MyLibs/TimeZones.mqh>
#include <MyLibs/MyEnums.mqh>
#include <MyLibs/CalculatePositionData.mqh>
#include <Trade/PositionInfo.mqh>
#include <Trade/OrderInfo.mqh>
#include <MyLibs/Myfunctions.mqh>
class OrderManagment : public CObject{
protected:
CTrade trade;
TimeZones tz;
CalculatePositionData cpd;
CPositionInfo m_position;
COrderInfo m_order;
double stop_loss;
double take_profit;
ulong posTicket;
int time_difference;
int total_open_buy_orders;
int total_open_sell_orders;
double current_price;
int total_pos;
long position_open_time;
long first_allowed_close_time;
datetime current_bar_open_time;
public:
bool open_buy_orders(string symbol, bool condition, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number);
bool open_sell_orders(string symbol, bool condition, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number);
bool open_nnfx_buy_orders(string symbol, bool condition, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number);
bool open_nnfx_sell_orders(string symbol, bool condition, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number);
bool open_buy_stop_order(string symbol, bool condition, double entry_price, datetime experation, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number);
bool open_sell_stop_order(string symbol, bool condition, double entry_price, datetime experation, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number);
bool close_buy_orders(string symbol, bool buy_out, int close_bars, ENUM_TIMEFRAMES close_bar_period, long magic_number);
bool close_sell_orders(string symbol, bool sell_out, int close_bars, ENUM_TIMEFRAMES close_bar_period, long magic_number);
bool first_profitable_close_exit(string symbol, ENUM_TIMEFRAMES close_bar_period, long magic_number);
bool daily_timed_exit(string symbol, datetime exit_time, int delay_days, long magic_number);
bool daily_timed_profit_exit(string symbol, ENUM_TIMEFRAMES close_bar_period, string exit_time, string tz, int delay_days, long magic_number);
int count_all_positions(string symbol, long magic_number);
int count_pending_orders(string symbol, ENUM_ORDER_TYPE pendingType, long magic);
double sl_specified_value_switch(string _sl_mode, double _inp_sl_var, double value);
double tp_specified_value_switch(string _tp_mode, double _inp_tp_var, double value);
int count_open_positions(string symbol,int order_side, long magic_number);
void break_even_stop(string symbol, ulong magic_number, int be_trigger_points, int be_puffer);
void nnfx_trailing_stop(string symbol, double sl_var, double tp_var, double atr_value, ulong magic_number);
};
bool OrderManagment::open_buy_orders(string symbol, bool condition, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var, long magic_number){
if(condition == true){
current_price = SymbolInfoDouble(symbol, SYMBOL_ASK); // ask for buy side
total_open_buy_orders = count_open_positions(symbol, 1, magic_number);
if(total_open_buy_orders == 0){
stop_loss = cpd.calculate_stoploss(symbol, current_price, 1, _sl_mode, sl_var, atr_period);
take_profit = cpd.calculate_take_profit(symbol, current_price, stop_loss, 1, _tp_mode, tp_var, atr_period);
double sl_distance = current_price-stop_loss;
double lots = cpd.calculate_lots(symbol, sl_distance, current_price, _lot_mode, lot_var);
trade.SetExpertMagicNumber(magic_number);
string comment = "Magic Number: " + IntegerToString(magic_number);
trade.PositionOpen(symbol,ORDER_TYPE_BUY,lots,current_price,stop_loss,take_profit,comment);
}
}
return true;
}
bool OrderManagment::open_sell_orders(string symbol, bool condition, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number){
if(condition == true){
// if(!SymbolInfoTick(symbol,currentTick)){Print("FAILED TO GET TICK:", symbol);return false;}
current_price = SymbolInfoDouble(symbol, SYMBOL_BID); // bid for sell side
total_open_sell_orders = count_open_positions(symbol, 2, magic_number);
if(total_open_sell_orders == 0){
stop_loss = cpd.calculate_stoploss(symbol, current_price, 2, _sl_mode, sl_var, atr_period);
take_profit = cpd.calculate_take_profit(symbol, current_price, stop_loss, 2, _tp_mode, tp_var, atr_period);
double sl_distance = stop_loss-current_price;
double lots = cpd.calculate_lots(symbol, sl_distance, current_price, _lot_mode, lot_var);
trade.SetExpertMagicNumber(magic_number);
string comment = "Magic Number: " + IntegerToString(magic_number);
trade.PositionOpen(symbol,ORDER_TYPE_SELL,lots,current_price,stop_loss,take_profit,comment);
}
}
return true;
}
bool OrderManagment::open_nnfx_buy_orders(string symbol, bool condition, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var, long magic_number){
if(condition == true){
current_price = SymbolInfoDouble(symbol, SYMBOL_ASK); // ask for buy side
total_open_buy_orders = count_open_positions(symbol, 1, magic_number);
if(total_open_buy_orders == 0){
stop_loss = cpd.calculate_stoploss(symbol, current_price, 1, _sl_mode, sl_var, atr_period);
take_profit = cpd.calculate_take_profit(symbol, current_price, stop_loss, 1, _tp_mode, tp_var, atr_period);
double sl_distance = current_price-stop_loss;
double lots = cpd.calculate_lots(symbol, sl_distance, current_price, _lot_mode, lot_var/2);
trade.SetExpertMagicNumber(magic_number);
string comment = "Magic Number: " + IntegerToString(magic_number);
trade.PositionOpen(symbol,ORDER_TYPE_BUY,lots,current_price,stop_loss,take_profit,comment);
trade.PositionOpen(symbol,ORDER_TYPE_BUY,lots,current_price,stop_loss,0,comment);
}
}
return true;
}
bool OrderManagment::open_nnfx_sell_orders(string symbol, bool condition, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number){
if(condition == true){
// if(!SymbolInfoTick(symbol,currentTick)){Print("FAILED TO GET TICK:", symbol);return false;}
current_price = SymbolInfoDouble(symbol, SYMBOL_BID); // bid for sell side
total_open_sell_orders = count_open_positions(symbol, 2, magic_number);
if(total_open_sell_orders == 0){
stop_loss = cpd.calculate_stoploss(symbol, current_price, 2, _sl_mode, sl_var, atr_period);
take_profit = cpd.calculate_take_profit(symbol, current_price, stop_loss, 2, _tp_mode, tp_var, atr_period);
double sl_distance = stop_loss-current_price;
double lots = cpd.calculate_lots(symbol, sl_distance, current_price, _lot_mode, lot_var);
trade.SetExpertMagicNumber(magic_number);
string comment = "Magic Number: " + IntegerToString(magic_number);
trade.PositionOpen(symbol,ORDER_TYPE_SELL,lots,current_price,stop_loss,take_profit,comment);
trade.PositionOpen(symbol,ORDER_TYPE_SELL,lots,current_price,stop_loss,0,comment);
}
}
return true;
}
// some usfull comment here
bool OrderManagment::open_buy_stop_order(string symbol, bool condition, double entry_price, datetime experation, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var,string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number){
if(condition == true){
total_open_buy_orders = count_open_positions(symbol, 1, magic_number);
if(total_open_buy_orders == 0){
stop_loss = cpd.calculate_stoploss(symbol, entry_price, 1, _sl_mode, sl_var, atr_period);
take_profit = cpd.calculate_take_profit(symbol, entry_price, stop_loss, 1, _tp_mode, tp_var, atr_period);
double sl_distance = entry_price-stop_loss;
double lots = cpd.calculate_lots(symbol, sl_distance, entry_price, _lot_mode, lot_var);
trade.SetExpertMagicNumber(magic_number);
string comment = "Magic Number: " + IntegerToString(magic_number);
trade.BuyStop(lots, entry_price, symbol, stop_loss, take_profit, ORDER_TIME_SPECIFIED, experation, comment);
}
}
return true;
}
bool OrderManagment::open_sell_stop_order(string symbol, bool condition, double entry_price, datetime experation, ENUM_TIMEFRAMES atr_period, string _sl_mode, double sl_var, string _tp_mode, double tp_var, string _lot_mode, double lot_var,long magic_number){
if(condition == true){
total_open_sell_orders = count_open_positions(symbol, 2, magic_number);
if(total_open_sell_orders == 0){
stop_loss = cpd.calculate_stoploss(symbol, entry_price, 2, _sl_mode, sl_var, atr_period);
take_profit = cpd.calculate_take_profit(symbol, entry_price, stop_loss, 2, _tp_mode, tp_var, atr_period);
double sl_distance = stop_loss-entry_price;
double lots = cpd.calculate_lots(symbol, sl_distance, entry_price, _lot_mode, lot_var);
trade.SetExpertMagicNumber(magic_number);
string comment = "Magic Number: " + IntegerToString(magic_number);
trade.SellStop(lots, entry_price, symbol, stop_loss, take_profit, ORDER_TIME_SPECIFIED, experation, comment);
}
}
return true;
}
bool OrderManagment::close_buy_orders(string symbol, bool condition, int close_bars, ENUM_TIMEFRAMES close_bar_period, long magic_number){
for(int i = PositionsTotal()-1; i >=0; i--){
posTicket = PositionGetTicket(i);
if(PositionGetString(POSITION_SYMBOL) == symbol && PositionGetInteger(POSITION_MAGIC) == magic_number){
time_difference = Bars(symbol, close_bar_period, PositionGetInteger(POSITION_TIME), TimeCurrent()) - 1;
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_BUY){
if(condition){
trade.PositionClose(posTicket);
}
if(close_bars > 0){
if(time_difference >= close_bars){
trade.PositionClose(posTicket);
}
}
}
}
}
return true;
}
bool OrderManagment::close_sell_orders(string symbol, bool condition, int close_bars, ENUM_TIMEFRAMES close_bar_period, long magic_number){
for(int i = PositionsTotal()-1; i >=0; i--){
posTicket = PositionGetTicket(i);
if(PositionGetString(POSITION_SYMBOL) == symbol && PositionGetInteger(POSITION_MAGIC) == magic_number){
time_difference = Bars(symbol, close_bar_period, PositionGetInteger(POSITION_TIME), TimeCurrent()) - 1;
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_SELL){
if(condition){trade.PositionClose(posTicket);}
if(close_bars > 0){
if(time_difference >= close_bars){
trade.PositionClose(posTicket);
}
}
}
}
}
return true;
}
// order_side int must be 1 for BUY or 2 for SELL
int OrderManagment::count_open_positions(string symbol,int order_side, long magic_number){
int count = 0;
bool match = (PositionGetInteger(POSITION_MAGIC)==magic_number);
for(int i = PositionsTotal()-1; i >=0; i--){
ulong ticket = PositionGetTicket(i);
if(PositionGetString(POSITION_SYMBOL) == symbol && PositionGetInteger(POSITION_MAGIC)==magic_number){
// Count only Buy orders:
if(order_side == 1){
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_BUY){
count = count + 1;
}
}
// Count only Sell orders:
if(order_side == 2){
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_SELL){
count = count + 1;
}
}
}
}
return count;
}
int OrderManagment::count_all_positions(string symbol, long magic_number){
int count = 0;
for(int i = PositionsTotal()-1; i >=0; i--){
ulong ticket = PositionGetTicket(i);
if(PositionGetString(POSITION_SYMBOL) == symbol && PositionGetInteger(POSITION_MAGIC)==magic_number){
count = count + 1;
}
}
return count;
}
bool OrderManagment::daily_timed_exit(string symbol, datetime exit_time, int delay_days, long magic_number){
for(int i = PositionsTotal()-1; i >=0; i--){
posTicket = PositionGetTicket(i);
position_open_time = PositionGetInteger(POSITION_TIME);
if((int)position_open_time>0){
first_allowed_close_time = position_open_time + (delay_days * PeriodSeconds(PERIOD_D1));
if(TimeCurrent() > first_allowed_close_time){
// datetime broker_close_time = tz.timezone_conversions(cw_tzone, StringToTime(exit_time), "Broker");
if(TimeCurrent()>= exit_time){
if(PositionGetString(POSITION_SYMBOL) == symbol && PositionGetInteger(POSITION_MAGIC) == magic_number){
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_BUY){
trade.PositionClose(posTicket);
}
// Sell orders:
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_SELL){
trade.PositionClose(posTicket);
}
}
}
}
}
}
return true;
}
bool OrderManagment::daily_timed_profit_exit(string symbol, ENUM_TIMEFRAMES close_bar_period, string exit_time, string cw_tzone, int delay_days, long magic_number){
// om.daily_timed_profit_exit(_Symbol, PERIOD_CURRENT, "16:45", "17:00", "NY", 1, inp_magic);
for(int i = PositionsTotal()-1; i >=0; i--){
posTicket = PositionGetTicket(i);
position_open_time = PositionGetInteger(POSITION_TIME);
if((int)position_open_time>0){
first_allowed_close_time = position_open_time + (delay_days * PeriodSeconds(PERIOD_D1));
if(TimeCurrent() > first_allowed_close_time){
datetime broker_close_time = tz.timezone_conversions(cw_tzone, StringToTime(exit_time), "Broker");
if(TimeCurrent()>= broker_close_time){
if(PositionGetString(POSITION_SYMBOL) == symbol && PositionGetInteger(POSITION_MAGIC) == magic_number){
double position_open_price = PositionGetDouble(POSITION_PRICE_OPEN);
double spread = SymbolInfoDouble(symbol,SYMBOL_ASK) - SymbolInfoDouble(symbol,SYMBOL_BID);
double bar_close = iClose(_Symbol, close_bar_period, 1); // shift 1 because 0 = live candle.
double trading_cost = cpd.calculate_trading_cost(symbol, posTicket);
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_BUY){
if(bar_close > (position_open_price + spread + trading_cost)){
trade.PositionClose(posTicket);
}
}
// Sell orders:
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_SELL){
if(bar_close < position_open_price - spread - trading_cost){
trade.PositionClose(posTicket);
}
}
}
}
}
}
}
return true;
}
bool OrderManagment::first_profitable_close_exit(string symbol, ENUM_TIMEFRAMES close_bar_period, long magic_number){
// om.first_profitable_close_exit(_Symbol, PERIOD_CURRENT, inp_magic);
position_open_time = PositionGetInteger(POSITION_TIME);
first_allowed_close_time = position_open_time + PeriodSeconds(close_bar_period);
if((int)position_open_time>0){
if(TimeCurrent() > first_allowed_close_time){
for(int i = PositionsTotal()-1; i >=0; i--){
posTicket = PositionGetTicket(i);
if(PositionGetString(POSITION_SYMBOL) == symbol && PositionGetInteger(POSITION_MAGIC) == magic_number){
double position_open_price = PositionGetDouble(POSITION_PRICE_OPEN);
double spread = SymbolInfoDouble(symbol,SYMBOL_ASK) - SymbolInfoDouble(symbol,SYMBOL_BID);
double bar_close = iClose(_Symbol,close_bar_period, 1); // shift 1 because 0 = live candle.
double trading_cost = cpd.calculate_trading_cost(symbol, posTicket);
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_BUY){
if(bar_close > (position_open_price + spread + trading_cost)){
trade.PositionClose(posTicket);
}
}
// Sell orders:
if(PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_SELL){
if(bar_close < position_open_price - spread - trading_cost){
trade.PositionClose(posTicket);
}
}
}
}
}
}
return true;
}
// e.g. int buy_stop_count = om.count_pending_orders(symbol, ORDER_TYPE_BUY_STOP, inp_magic);
// order types: ORDER_TYPE_BUY_LIMIT, ORDER_TYPE_SELL_LIMIT, ORDER_TYPE_BUY_STOP, ORDER_TYPE_SELL_STOP
int OrderManagment::count_pending_orders(string symbol, ENUM_ORDER_TYPE order_type, long magic){
int count = 0;
for(int i=OrdersTotal()-1;i>=0;i--) {
if(m_order.SelectByIndex(i)){
if( OrderGetInteger(ORDER_MAGIC) == magic && OrderGetString(ORDER_SYMBOL) == symbol){
if(m_order.OrderType()==order_type){
count++;
}
}
}
}
return(count);
}
void OrderManagment::break_even_stop(string symbol, ulong magic_number, int be_trigger_points, int be_puffer){
for(int i = PositionsTotal()-1; i >=0; i--){
if(PositionGetString(POSITION_SYMBOL) == symbol && PositionGetInteger(POSITION_MAGIC) == magic_number){
int symbol_digits = (int)SymbolInfoInteger(symbol, SYMBOL_DIGITS);
double symbol_point = SymbolInfoDouble(symbol, SYMBOL_POINT);
double ask = SymbolInfoDouble(symbol, SYMBOL_ASK);
ask = NormalizeDouble(ask, symbol_digits);
double bid = SymbolInfoDouble(symbol, SYMBOL_BID);
bid = NormalizeDouble(bid, symbol_digits);
if(be_trigger_points !=0){
ulong ticket = PositionGetTicket(i);
if(PositionSelectByTicket(ticket)){
double position_open_price = PositionGetDouble(POSITION_PRICE_OPEN);
double position_volume = PositionGetDouble(POSITION_VOLUME);
double position_sl = PositionGetDouble(POSITION_SL);
double position_tp = PositionGetDouble(POSITION_TP);
ENUM_POSITION_TYPE position_type = (ENUM_POSITION_TYPE)PositionGetInteger(POSITION_TYPE);
if(position_type == POSITION_TYPE_BUY){
if(bid > position_open_price + be_trigger_points * symbol_point){
double sl = position_open_price + be_puffer * symbol_point;
sl = NormalizeDouble(sl, symbol_digits);
if(sl > position_sl){
if(trade.PositionModify(ticket, sl, position_tp)){
Print("-----------------------------------Stop moved to break even");
}
}
}
}
else if(position_type == POSITION_TYPE_SELL){
if(ask < position_open_price - be_trigger_points * symbol_point){
double sl = position_open_price - be_puffer * symbol_point;
sl = NormalizeDouble(sl, symbol_digits);
if(sl < position_sl){
if(trade.PositionModify(ticket, sl, position_tp)){
Print("-----------------------------------Stop moved to break even");
}
}
}
}
}
}
}
}
}
void OrderManagment::nnfx_trailing_stop(string symbol, double sl_var, double tp_var, double atr_value, ulong magic_number){
MyFunctions mf3;
for(int i = PositionsTotal()-1; i >=0; i--){
ulong ticket = PositionGetTicket(i);
if(PositionSelectByTicket(ticket)){
if(PositionGetString(POSITION_SYMBOL) == symbol && PositionGetInteger(POSITION_MAGIC) == magic_number){
int symbol_digits = (int)SymbolInfoInteger(symbol, SYMBOL_DIGITS);
double symbol_point = SymbolInfoDouble(symbol, SYMBOL_POINT);
double ask = SymbolInfoDouble(symbol, SYMBOL_ASK);
ask = NormalizeDouble(ask, symbol_digits);
double bid = SymbolInfoDouble(symbol, SYMBOL_BID);
bid = NormalizeDouble(bid, symbol_digits);
double position_open_price = PositionGetDouble(POSITION_PRICE_OPEN);
double position_sl = PositionGetDouble(POSITION_SL);
double position_tp = PositionGetDouble(POSITION_TP);
ENUM_POSITION_TYPE position_type = (ENUM_POSITION_TYPE)PositionGetInteger(POSITION_TYPE);
if(position_type == POSITION_TYPE_BUY){
if(bid > position_open_price + (atr_value * tp_var)){
double sl = bid - (atr_value * sl_var);
sl = NormalizeDouble(sl, symbol_digits);
if(sl > (position_sl + (atr_value * 0.5))){
if(trade.PositionModify(ticket, sl, position_tp)){
}
}
}
}
else if(position_type == POSITION_TYPE_SELL){
if(ask < position_open_price - (atr_value * tp_var)){
double sl = ask + (atr_value * sl_var);
sl = NormalizeDouble(sl, symbol_digits);
if(sl < (position_sl + (atr_value * 0.5))){
if(trade.PositionModify(ticket, sl, position_tp)){
}
}
}
}
}
}
}
}
double OrderManagment::sl_specified_value_switch(string _sl_mode, double _inp_sl_var, double value){
double sl = 0;
if(_sl_mode=="SL_SPECIFIED_VALUE"){sl = value;}
if(_sl_mode!="SL_SPECIFIED_VALUE"){sl = _inp_sl_var;}
return sl;
}
double OrderManagment::tp_specified_value_switch(string _tp_mode, double _inp_tp_var, double value){
double tp = 0;
if(_tp_mode=="SL_SPECIFIED_VALUE"){tp = value;}
if(_tp_mode!="SL_SPECIFIED_VALUE"){tp = _inp_tp_var;}
return tp;
}
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