mirror of
https://github.com/vdemydiuk/mtapi.git
synced 2026-07-30 12:07:51 +00:00
Add a advanced example
It uses its own API which I packed between MTApi5 and MatLab. Possible that this is useless, but errors from the .NET assembly are more tradable.
This commit is contained in:
Christian_x7
@@ -0,0 +1,283 @@
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classdef Bars < handle
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%BARS Summary of this class goes here
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% Detailed explanation goes here
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properties
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chSymbol = 'EURUSD' ;
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iSize = int32(0) ;
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iLast = int32(0) ;
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sStart = "" ;
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sEnd = "" ;
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sdtStart = System.DateTime.Now;
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sdtEnd = System.DateTime.Now;
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enTimeframe = MtApi5.ENUM_TIMEFRAMES;
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mqlRates = NET.createArray('MtApi5.MqlRates', 0);
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sdOpen = NET.createArray('System.Double[]', 3) ;
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sdHigh = NET.createArray('System.Double[]', 3) ;
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sdLow = NET.createArray('System.Double[]', 3) ;
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sdClose = NET.createArray('System.Double[]', 3) ;
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sdtTime = NET.createArray('System.DateTime[]', 3) ;
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si32Spread = NET.createArray('System.Int32[]', 3) ;
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si64TickVolume = NET.createArray('System.Int64[]', 3) ;
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si64RealVolume = NET.createArray('System.Int64[]', 3) ;
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si64RealVolumeH = NET.createArray('System.Int64[]', 3) ;
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si64RealVolumeL = NET.createArray('System.Int64[]', 3) ;
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dOpen = double(0);
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dHigh = double(0);
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dLow = double(0);
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dClose = double(0);
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i64MTtime = int64(0) ;
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dtTime = datetime();
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i32Spread = int32(0) ;
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i64TickVol = int64(0) ;
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i64RealVol = int64(0) ;
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i64RealVolH = int64(0) ;
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i64RealVolL = int64(0) ;
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end
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methods
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function obj = Bars(chSymbol,enTF,iSize)
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switch nargin
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case 0
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obj.chSymbol = 'EURUSD';
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obj.iSize = 1000;
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obj.enTimeframe = MtApi5.ENUM_TIMEFRAMES.PERIOD_M1;
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return
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case 1
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case 2
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case 3
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obj.chSymbol = chSymbol;
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obj.iSize = iSize;
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obj.enTimeframe = enTF;
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otherwise
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end
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obj.mqlRates = NET.createArray('MtApi5.MqlRates', obj.iSize);
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obj.sdOpen = NET.createArray('System.Double', obj.iSize);
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obj.sdHigh = NET.createArray('System.Double', obj.iSize);
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obj.sdLow = NET.createArray('System.Double', obj.iSize);
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obj.sdClose = NET.createArray('System.Double', obj.iSize);
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obj.sdtTime = NET.createArray('System.DateTime', obj.iSize);
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obj.si32Spread = NET.createArray('System.Int32', obj.iSize);
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obj.si64TickVolume = NET.createArray('System.Int64', obj.iSize);
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obj.si64RealVolume = NET.createArray('System.Int64', obj.iSize);
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obj.sdtStart = System.DateTime.Now;
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obj.sdtEnd = System.DateTime.Now;
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obj.sStart = char(obj.sdtStart.ToString);
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obj.sEnd = char(obj.sdtStart.ToString);
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obj.enTimeframe = enTF;
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obj.dOpen = zeros(obj.iSize,1,'double') ;
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obj.dHigh = zeros(obj.iSize,1,'double') ;
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obj.dLow = zeros(obj.iSize,1,'double') ;
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obj.dClose = zeros(obj.iSize,1,'double') ;
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obj.i32Spread = zeros(obj.iSize,1,'int32') ;
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obj.i64TickVol = zeros(obj.iSize,1,'int64') ;
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obj.i64RealVol = zeros(obj.iSize,1,'int64') ;
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obj.i64RealVolH = zeros(obj.iSize,1,'int64') ;
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obj.i64RealVolL = zeros(obj.iSize,1,'int64') ;
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obj.i64MTtime = zeros(obj.iSize,1,'int64') ;
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obj.dtTime(iSize,1) = datetime;
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obj.dtTime.Format = 'default';
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end
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function setMqlRates(self,MqlRates)
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self.MqlRates = MqlRates;
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end
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function saveDataAsByteStream(self,filename)
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mc = ?DataStore.Bars;
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propList = mc.PropertyList;
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propCnt = length(propList);
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for i=1:1:propCnt
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bytestream.(propList(i).Name) = [];
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end
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formatter = System.Runtime.Serialization.Formatters.Binary.BinaryFormatter;
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for idx=1:1:propCnt
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if isa(propList(idx).DefaultValue,'System.Object')
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stream = System.IO.MemoryStream;
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formatter.Serialize(stream,self.(propList(idx).Name));
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data = uint8(stream.ToArray);
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bytestream.(propList(idx).Name) = data;
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else
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% stream = System.IO.MemoryStream;
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% formatter.Serialize(stream,self.(propList(idx).Name));
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% data = uint8(stream.ToArray);
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bytestream.(propList(idx).Name) = self.(propList(idx).Name);
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end
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end
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save(filename,'bytestream');
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end
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function ok = loadDataAsByteStream(self,filename)
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ok = false;
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load(filename);
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mc = ?DataStore.Bars;
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propList = mc.PropertyList;
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propCnt = length(propList);
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formatter = System.Runtime.Serialization.Formatters.Binary.BinaryFormatter;
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for idx=1:1:propCnt
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if isa(propList(idx).DefaultValue,'System.Object')
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data = bytestream.(propList(idx).Name);
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stream = System.IO.MemoryStream(data);
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self.(propList(idx).Name) = formatter.Deserialize(stream);
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else
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data = bytestream.(propList(idx).Name);
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self.(propList(idx).Name) = data;
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end
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end
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ok = true;
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end
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function saveableData = Get_Saveable_MATfileData(self,varargin)
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switch nargin
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case 1 % no options
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first = 1;
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last = self.iLast;
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case 2 % first = 1 , last = input
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first = 1;
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last = varargin{2};
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case 3
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first = varargin{1};
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last = varargin{2};
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end
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if last > self.iLast
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last = self.iLast;
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warn('Index is out of array')
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warn('Using iLast for last')
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end
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saveableData.chSymbol = self.chSymbol;
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saveableData.iSize = self.iLast;
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saveableData.iLast = self.iLast;
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saveableData.sStart = self.sStart;
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saveableData.sEnd = self.sEnd;
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saveableData.dOpen = self.dOpen(first:last,1);
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saveableData.dHigh = self.dHigh(first:last,1);
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saveableData.dLow = self.dLow(first:last,1);
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saveableData.dClose = self.dClose(first:last,1);
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saveableData.dtTime = self.dtTime(first:last,1);
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saveableData.i64MTtime = self.i64MTtime(first:last,1);
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saveableData.i32Spread = self.i32Spread(first:last,1);
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saveableData.i64TickVol = self.i64TickVol(first:last,1);
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saveableData.i64RealVol = self.i64RealVol(first:last,1);
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end
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function tt= Get_TimeTable(self,varargin)
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switch nargin
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case 1 % no options
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first = 1;
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last = self.iLast;
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case 2 % first = 1 , last = input
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first = 1;
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last = varargin{2};
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case 3
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first = varargin{1};
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last = varargin{2};
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end
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if last > self.iLast
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last = self.iLast;
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warn('Index is out of array')
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warn('Using iLast for last')
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end
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Open = self.dOpen(first:last,1);
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High = self.dHigh(first:last,1);
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Low = self.dLow(first:last,1);
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Close = self.dClose(first:last,1);
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Time = self.dtTime(first:last,1);
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TicklVol = self.i64TickVol(first:last,1);
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tt = timetable(Time,Open,High,Low,Close,TicklVol);
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tt.Properties.VariableNames = {'Open','High','Low','Close','TickVol'};
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end
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end
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end
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@@ -0,0 +1,46 @@
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classdef Deal < handle
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%DEAL Summary of this class goes here
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% Detailed explanation goes here
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properties
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% Integer
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DEAL_TICKET = int32([]); % Das Ticket des Trades. Das ist eine einmalige Nummer, die jedem Trade zugewiesen wird.
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DEAL_ORDER = int32([]); % Order, auf deren Grund der Deal abgeschlossen wurde
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DEAL_TIME = datetime([],[],[]); % Zeit des Dealabschlusses
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DEAL_TIME_MSC = int32([]) % Zeitpunkt der Transaktion in Millisekunden seit 01.01.1970
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DEAL_TYPE = MtApi5.ENUM_DEAL_TYPE; % Typ des Deals
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DEAL_ENTRY = MtApi5.ENUM_DEAL_ENTRY; % Dealsrichtung - Markteingang, Marktausgang oder Kehrwendung
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DEAL_MAGIC = int32([]) % Magic number für Deal (sehen Sie ORDER_MAGIC)
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DEAL_REASON = MtApi5.ENUM_DEAL_REASON; % Grund oder Ursprung der Ausführung eines Abschlusses
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DEAL_POSITION_ID = int32([]) % Indetifikator der Position, an deren Öffnung, Veränderung oder Schliessung sich der Deal teilnahm. Jede Position hat ihren unikalen Identifikator, der allen Deals zugeordnet wird, die im Instrument innerhalb des ganzen Lebens der Position abgeschlossen wurde.
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% Double
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DEAL_VOLUME = double([]); % Dealvolumen
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DEAL_PRICE = double([]); % Dealpreis
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DEAL_COMMISSION = double([]); % Dealkommission
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DEAL_SWAP = double([]); % Gesamtswap beim Schliessen
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DEAL_PROFIT = double([]); % finanzielles Ergebnis des Deals
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% String
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DEAL_SYMBOL = char([]); % Dealssymbol
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DEAL_COMMENT = char([]); % Kommentar zum Deal
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DEAL_EXTERNAL_ID = char([]); % Identifikator des Deals im Außenhandelssystem (an der Börse)
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end
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methods
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function obj = Deal()
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% DEAL Construct an instance of this class
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% Detailed explanation goes here
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% Create an empty Deal Object
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end
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function outputArg = method1(obj,inputArg)
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%METHOD1 Summary of this method goes here
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% Detailed explanation goes here
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outputArg = obj.Property1 + inputArg;
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end
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end
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end
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@@ -0,0 +1,38 @@
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classdef Position < handle
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%POSITION Summary of this class goes here
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% Detailed explanation goes here
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properties
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POSITION_TIME = datetime([],[],[]);
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POSITION_TICKET = int64([]);
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POSITION_TIME_MSC = int64([]);
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POSITION_TIME_UPDATE = int64([]);
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POSITION_TIME_UPDATE_MSC = int64([]);
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POSITION_TYPE = MtApi5.ENUM_POSITION_TYPE;
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POSITION_MAGIC = int64([]);
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POSITION_IDENTIFIER = int64([]);
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POSITION_REASON = MtApi5.ENUM_POSITION_REASON;
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POSITION_VOLUME = double([]);
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POSITION_PRICE_OPEN = double([]);
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POSITION_SL = double([]);
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POSITION_TP = double([]);
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POSITION_PRICE_CURRENT = double([]);
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POSITION_SWAP = double([]);
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POSITION_PROFIT = double([]);
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POSITION_SYMBOL = char([]);
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POSITION_COMMENT = char([]);
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end
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methods
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function obj = Position()
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%POSITION Construct an instance of this class
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% Detailed explanation goes here
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end
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end
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end
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@@ -0,0 +1,29 @@
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classdef Tick < handle
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% Tick Summary of this class goes here
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% Detailed explanation goes here
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properties
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sdt_Time; % Zeit des letzten Updates der Preise
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d_Bid; % Laufender Preis Bid
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d_Ask; % Laufender Preis Ask
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d_Last; % Laufender Preis des letzten Deals (Last)
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uI_Volume; % Volumen für laufenden Preis Last
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I_Time_msc; % Zeit der letzten Aktualisierung der Preise in Millisekunden
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I_MtTime; % Zeit der letzten Aktualisierung der Preise
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ui_Flags % Tick-Flags
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end
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methods
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function obj = Tick()
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end
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end
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end
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@@ -0,0 +1,86 @@
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classdef Ticks < handle
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% Ticks Summary of this class goes here
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% Detailed explanation goes here
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properties
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mqlTicks; % DataStore.Tick Handles
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I_Size = 0; % Anzahl der Ticks
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end
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methods
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function obj = Ticks()
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end
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function ok = createMqlTicks(self,i_Count)
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if isinteger(i_Count)
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newticks(i_Count) = DataStore.Tick();
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self.mqlTicks = newticks;
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% self.I_Size = i_Count;
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ok = true;
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else
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warning('Count must be Integer');
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ok = false;
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end
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end
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function ok = fillMqlTicks(self, I_Count, MqlTicks)
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if self.I_Size == 0
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ok = true;
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else
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warning('mqlTicks object size must be 0')
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ok = false;
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end
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end
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function ok = storeNewMqlTick(self,MqlTick)
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I_newsize = self.I_Size+1;
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self.mqlTicks(I_newsize).d_Bid = MqlTick.bid;
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self.mqlTicks(I_newsize).d_Ask = MqlTick.ask;
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self.mqlTicks(I_newsize).I_MtTime = MqlTick.MtTime;
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self.mqlTicks(I_newsize).sdt_Time = MqlTick.time;
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self.I_Size = I_newsize;
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ok = true;
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end
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function ok = storeNewQuoteEvent(self,Event)
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I_newsize = self.I_Size+1;
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self.mqlTicks(I_newsize).d_Bid = Event.Quote.Bid;
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self.mqlTicks(I_newsize).d_Ask = Event.Quote.Ask;
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% self.mqlTicks(I_newsize).I_MtTime = MqlTick.MtTime;
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% self.mqlTicks(I_newsize).sdt_Time = MqlTick.time;
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self.I_Size = I_newsize;
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% fprintf('%d Ticks stored \n',self.I_Size);
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% fprintf('Bid: %d Ask: %d \n',Event.Quote.Bid , Event.Quote.Ask);
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ok = true;
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end
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end
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end
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@@ -0,0 +1,79 @@
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classdef TradingData < handle
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%TRADINGDATA Summary of this class goes here
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% Detailed explanation goes here
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properties
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core_trades
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net_signal
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net_class
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net_score
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net_input
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end
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properties (SetAccess=protected)
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size
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cnt
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end
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methods
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function obj = TradingData()
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%TRADINGDATA Construct an instance of this class
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% Create datastore for logging all data
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end
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function ok = setup(self,size,sizeTrades)
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%SETUP Summary of this method goes here
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% Setup Object
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% args:
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% 1 = Array Size (Bars)
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% 2 = Array Size Trades (default 1000)
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self.size = size;
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self.core_trades = zeros(sizeTrades,4);
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self.net_signal = zeros(size,1);
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self.net_signal = zeros(size,1);
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self.net_score = zeros(size,4,'single');
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a = repmat([0],3,500);
|
||||
self.net_input = repmat({a},size,1);
|
||||
|
||||
classArray(size,1) = categorical(0);
|
||||
self.net_class = classArray;
|
||||
ok = true;
|
||||
end
|
||||
function set_Count(self,cnt)
|
||||
self.cnt = cnt;
|
||||
end
|
||||
function store_NetInput(self,data)
|
||||
self.net_input{self.cnt,1} = data{1,1};
|
||||
end
|
||||
function store_NetOutSignal(self,data)
|
||||
self.net_signal(self.cnt) = data;
|
||||
end
|
||||
function store_NetOutClass(self,data)
|
||||
self.net_class(self.cnt,1) = data;
|
||||
end
|
||||
function store_NetOutScore(self,data)
|
||||
size = length(data);
|
||||
self.net_score(self.cnt,1:size) = data(:);
|
||||
end
|
||||
|
||||
function reorganizeData(self)
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
end
|
||||
% Getters
|
||||
function data = get_Data(self)
|
||||
|
||||
end
|
||||
|
||||
|
||||
end
|
||||
end
|
||||
|
||||
Reference in New Issue
Block a user