561 lines
15 KiB
Plaintext
561 lines
15 KiB
Plaintext
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//+------------------------------------------------------------------+
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//| USDJPYBusterStrategy.mqh |
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//| Ian-style USDJPY Asian range breakout for United EA cluster |
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//+------------------------------------------------------------------+
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#ifndef USDJPY_BUSTER_STRATEGY_MQH
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#define USDJPY_BUSTER_STRATEGY_MQH
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enum ENUM_UB_RISK_MODE
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{
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UB_RISK_FIXED_MONEY = 0,
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UB_RISK_PERCENT = 1,
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UB_RISK_FIXED_LOTS = 2
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};
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struct USDJPYBusterData
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{
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string symbol;
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bool isInitialized;
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CTrade trade;
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int rangeStartHour;
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int rangeEndHour;
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int closeHour;
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ENUM_TIMEFRAMES rangeTF;
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int minRangePoints;
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double orderBufferPoints;
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bool firstTradeOnly;
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bool allowLong;
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bool allowShort;
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bool useTakeProfit;
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double takeProfitPoints;
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ENUM_UB_RISK_MODE riskMode;
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double fixedRiskMoney;
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double riskPercent;
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double fixedLots;
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int magic;
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int slippage;
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int maxSpreadPoints;
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bool drawRange;
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bool debugLog;
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bool closeUnprofitableOnNewSignal;
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int dayKey;
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double rangeHigh;
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double rangeLow;
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bool rangeBuilt;
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bool rangeSkipDay;
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bool ordersPlaced;
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bool dayClosed;
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bool firstFillDone;
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int entriesToday;
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int lastPosCount;
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};
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//+------------------------------------------------------------------+
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int UB_DayKey(const datetime t)
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{
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MqlDateTime dt;
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TimeToStruct(t, dt);
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return dt.year * 10000 + dt.mon * 100 + dt.day;
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}
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datetime UB_DayStart(const datetime t)
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{
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MqlDateTime dt;
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TimeToStruct(t, dt);
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dt.hour = 0;
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dt.min = 0;
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dt.sec = 0;
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return StructToTime(dt);
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}
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void UB_ResetDayState(USDJPYBusterData &d)
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{
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d.rangeHigh = 0.0;
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d.rangeLow = 0.0;
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d.rangeBuilt = false;
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d.rangeSkipDay = false;
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d.ordersPlaced = false;
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d.dayClosed = false;
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d.firstFillDone = false;
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d.entriesToday = 0;
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d.lastPosCount = 0;
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}
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void UB_Dbg(USDJPYBusterData &d, const string msg)
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{
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if(d.debugLog)
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Print("USDJPYBuster: ", msg);
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}
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double UB_NormalizeLots(const string sym, double lots)
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{
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const double mn = SymbolInfoDouble(sym, SYMBOL_VOLUME_MIN);
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const double mx = SymbolInfoDouble(sym, SYMBOL_VOLUME_MAX);
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const double st = SymbolInfoDouble(sym, SYMBOL_VOLUME_STEP);
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if(st > 0.0)
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lots = MathFloor(lots / st) * st;
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if(lots < mn)
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lots = mn;
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if(lots > mx)
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lots = mx;
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return lots;
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}
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double UB_NormalizePrice(const string sym, const double price)
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{
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const int dg = (int)SymbolInfoInteger(sym, SYMBOL_DIGITS);
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return NormalizeDouble(price, dg);
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}
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double UB_MinStopDistance(const string sym)
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{
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const double pt = SymbolInfoDouble(sym, SYMBOL_POINT);
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const long lvl = SymbolInfoInteger(sym, SYMBOL_TRADE_STOPS_LEVEL);
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return MathMax((double)lvl * pt, pt);
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}
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bool UB_SpreadOk(const USDJPYBusterData &d)
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{
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return ((double)SymbolInfoInteger(d.symbol, SYMBOL_SPREAD) <= (double)d.maxSpreadPoints);
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}
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bool UB_MoneyPerLotAtSl(const string sym, const ENUM_ORDER_TYPE type,
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const double openPrice, const double slPrice, double &lossPerLot)
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{
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lossPerLot = 0.0;
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double p = 0.0;
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if(!OrderCalcProfit(type, sym, 1.0, openPrice, slPrice, p))
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return false;
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lossPerLot = MathAbs(p);
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return (lossPerLot > 0.0);
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}
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double UB_LotsForOrder(USDJPYBusterData &d, const ENUM_ORDER_TYPE type,
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const double entry, const double sl, const double scaledFixedLots)
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{
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if(d.riskMode == UB_RISK_FIXED_LOTS)
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return UB_NormalizeLots(d.symbol, scaledFixedLots);
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double perLotLoss = 0.0;
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if(!UB_MoneyPerLotAtSl(d.symbol, type, entry, sl, perLotLoss) || perLotLoss <= 0.0)
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return UB_NormalizeLots(d.symbol, scaledFixedLots);
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double riskMoney = d.fixedRiskMoney;
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if(d.riskMode == UB_RISK_PERCENT)
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riskMoney = AccountInfoDouble(ACCOUNT_BALANCE) * (d.riskPercent / 100.0);
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if(riskMoney <= 0.0)
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return UB_NormalizeLots(d.symbol, scaledFixedLots);
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return UB_NormalizeLots(d.symbol, riskMoney / perLotLoss);
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}
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bool UB_BuildRange(USDJPYBusterData &d, const datetime serverNow, double &hi, double &lo)
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{
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hi = -DBL_MAX;
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lo = DBL_MAX;
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const datetime day0 = UB_DayStart(serverNow);
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const datetime tStart = day0 + (datetime)d.rangeStartHour * 3600;
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const datetime tEnd = day0 + (datetime)d.rangeEndHour * 3600;
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if(tEnd <= tStart)
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return false;
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MqlRates rates[];
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const int copied = CopyRates(d.symbol, d.rangeTF, tStart, tEnd, rates);
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if(copied <= 0)
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return false;
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for(int i = 0; i < copied; i++)
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{
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if(rates[i].time < tStart || rates[i].time >= tEnd)
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continue;
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hi = MathMax(hi, rates[i].high);
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lo = MathMin(lo, rates[i].low);
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}
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if(hi <= -DBL_MAX || lo >= DBL_MAX || hi <= lo)
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return false;
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const double pt = SymbolInfoDouble(d.symbol, SYMBOL_POINT);
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if((hi - lo) / pt < (double)d.minRangePoints)
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return false;
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hi = UB_NormalizePrice(d.symbol, hi);
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lo = UB_NormalizePrice(d.symbol, lo);
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return true;
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}
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bool UB_AdjustStopsForBroker(USDJPYBusterData &d, const ENUM_ORDER_TYPE type,
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const double entry, double &sl, double &tp)
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{
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const double minD = UB_MinStopDistance(d.symbol);
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if(minD <= 0.0)
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return true;
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if(type == ORDER_TYPE_BUY || type == ORDER_TYPE_BUY_STOP)
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{
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if(entry - sl < minD)
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sl = entry - minD;
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if(d.useTakeProfit && tp > 0.0 && tp - entry < minD)
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tp = entry + minD;
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}
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else
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{
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if(sl - entry < minD)
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sl = entry + minD;
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if(d.useTakeProfit && tp > 0.0 && entry - tp < minD)
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tp = entry - minD;
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}
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sl = UB_NormalizePrice(d.symbol, sl);
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if(d.useTakeProfit)
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tp = UB_NormalizePrice(d.symbol, tp);
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return true;
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}
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bool UB_BuyStopValid(const string sym, const double buyStopPrice)
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{
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MqlTick tick;
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if(!SymbolInfoTick(sym, tick))
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return false;
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return (buyStopPrice > tick.ask + UB_MinStopDistance(sym));
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}
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bool UB_SellStopValid(const string sym, const double sellStopPrice)
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{
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MqlTick tick;
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if(!SymbolInfoTick(sym, tick))
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return false;
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return (sellStopPrice < tick.bid - UB_MinStopDistance(sym));
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}
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int UB_CountMagicPositions(USDJPYBusterData &d)
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{
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int n = 0;
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for(int i = PositionsTotal() - 1; i >= 0; i--)
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{
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const ulong t = PositionGetTicket(i);
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if(t == 0 || !PositionSelectByTicket(t))
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continue;
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if(PositionGetString(POSITION_SYMBOL) != d.symbol)
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continue;
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if((int)PositionGetInteger(POSITION_MAGIC) != d.magic)
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continue;
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n++;
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}
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return n;
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}
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int UB_CountMagicPendings(USDJPYBusterData &d)
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{
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int n = 0;
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for(int i = OrdersTotal() - 1; i >= 0; i--)
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{
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const ulong ticket = OrderGetTicket(i);
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if(ticket == 0 || !OrderSelect(ticket))
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continue;
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if(OrderGetString(ORDER_SYMBOL) != d.symbol)
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continue;
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if((int)OrderGetInteger(ORDER_MAGIC) != d.magic)
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continue;
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n++;
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}
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return n;
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}
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void UB_DeleteAllMagicPendings(USDJPYBusterData &d)
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{
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for(int i = OrdersTotal() - 1; i >= 0; i--)
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{
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const ulong ticket = OrderGetTicket(i);
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if(ticket == 0 || !OrderSelect(ticket))
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continue;
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if(OrderGetString(ORDER_SYMBOL) != d.symbol)
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continue;
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if((int)OrderGetInteger(ORDER_MAGIC) != d.magic)
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continue;
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d.trade.OrderDelete(ticket);
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}
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}
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void UB_CloseAllMagicPositions(USDJPYBusterData &d)
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{
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for(int i = PositionsTotal() - 1; i >= 0; i--)
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{
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const ulong t = PositionGetTicket(i);
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if(t == 0 || !PositionSelectByTicket(t))
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continue;
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if(PositionGetString(POSITION_SYMBOL) != d.symbol)
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continue;
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if((int)PositionGetInteger(POSITION_MAGIC) != d.magic)
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continue;
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d.trade.PositionClose(t);
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}
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}
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void UB_EndOfDayClose(USDJPYBusterData &d)
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{
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UB_CloseAllMagicPositions(d);
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UB_DeleteAllMagicPendings(d);
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d.dayClosed = true;
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d.ordersPlaced = false;
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}
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int UB_MaxEntriesPerDay(const USDJPYBusterData &d)
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{
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return (d.firstTradeOnly ? 1 : 2);
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}
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void UB_TrackEntries(USDJPYBusterData &d)
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{
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const int pc = UB_CountMagicPositions(d);
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if(pc > d.lastPosCount)
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d.entriesToday += (pc - d.lastPosCount);
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d.lastPosCount = pc;
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if(d.entriesToday >= UB_MaxEntriesPerDay(d))
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UB_DeleteAllMagicPendings(d);
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}
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bool UB_PlaceBreakoutOrders(USDJPYBusterData &d, const double scaledFixedLots, const double riskScale)
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{
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if(!UB_SpreadOk(d))
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{
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UB_Dbg(d, "spread too wide — retry later");
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return false;
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}
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if(AccountInfoDouble(ACCOUNT_MARGIN_FREE) <= 0.0)
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{
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UB_Dbg(d, "no free margin — skip placement");
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return false;
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}
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const double pt = SymbolInfoDouble(d.symbol, SYMBOL_POINT);
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const double buf = d.orderBufferPoints * pt;
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const double buyPrice = UB_NormalizePrice(d.symbol, d.rangeHigh + buf);
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const double sellPrice = UB_NormalizePrice(d.symbol, d.rangeLow - buf);
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const double buySl = UB_NormalizePrice(d.symbol, d.rangeLow);
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const double sellSl = UB_NormalizePrice(d.symbol, d.rangeHigh);
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double buyTp = 0.0, sellTp = 0.0;
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if(d.useTakeProfit && d.takeProfitPoints > 0.0)
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{
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buyTp = UB_NormalizePrice(d.symbol, buyPrice + d.takeProfitPoints * pt);
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sellTp = UB_NormalizePrice(d.symbol, sellPrice - d.takeProfitPoints * pt);
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}
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double buySlAdj = buySl, sellSlAdj = sellSl;
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double buyTpAdj = buyTp, sellTpAdj = sellTp;
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UB_AdjustStopsForBroker(d, ORDER_TYPE_BUY_STOP, buyPrice, buySlAdj, buyTpAdj);
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UB_AdjustStopsForBroker(d, ORDER_TYPE_SELL_STOP, sellPrice, sellSlAdj, sellTpAdj);
|
|||
|
|
|
|||
|
|
const double savedFixed = d.fixedRiskMoney;
|
|||
|
|
if(d.riskMode == UB_RISK_FIXED_MONEY && riskScale > 0.0)
|
|||
|
|
d.fixedRiskMoney = savedFixed * riskScale;
|
|||
|
|
|
|||
|
|
int placed = 0;
|
|||
|
|
|
|||
|
|
if(d.allowLong && UB_BuyStopValid(d.symbol, buyPrice))
|
|||
|
|
{
|
|||
|
|
const double lots = UB_LotsForOrder(d, ORDER_TYPE_BUY, buyPrice, buySlAdj, scaledFixedLots);
|
|||
|
|
if(d.trade.BuyStop(lots, buyPrice, d.symbol, buySlAdj, buyTpAdj, ORDER_TIME_DAY, 0, "UB range up"))
|
|||
|
|
placed++;
|
|||
|
|
else
|
|||
|
|
Print("USDJPYBuster BuyStop failed ", d.trade.ResultRetcode(), " ", d.trade.ResultRetcodeDescription());
|
|||
|
|
}
|
|||
|
|
else if(d.allowLong)
|
|||
|
|
UB_Dbg(d, "buy stop skipped — price already at/above range high");
|
|||
|
|
|
|||
|
|
if(d.allowShort && UB_SellStopValid(d.symbol, sellPrice))
|
|||
|
|
{
|
|||
|
|
const double lots = UB_LotsForOrder(d, ORDER_TYPE_SELL, sellPrice, sellSlAdj, scaledFixedLots);
|
|||
|
|
if(d.trade.SellStop(lots, sellPrice, d.symbol, sellSlAdj, sellTpAdj, ORDER_TIME_DAY, 0, "UB range dn"))
|
|||
|
|
placed++;
|
|||
|
|
else
|
|||
|
|
Print("USDJPYBuster SellStop failed ", d.trade.ResultRetcode(), " ", d.trade.ResultRetcodeDescription());
|
|||
|
|
}
|
|||
|
|
else if(d.allowShort)
|
|||
|
|
UB_Dbg(d, "sell stop skipped — price already at/below range low");
|
|||
|
|
|
|||
|
|
d.fixedRiskMoney = savedFixed;
|
|||
|
|
return (placed > 0);
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
void UB_HandleFirstFillRule(USDJPYBusterData &d)
|
|||
|
|
{
|
|||
|
|
if(!d.firstTradeOnly || d.firstFillDone)
|
|||
|
|
return;
|
|||
|
|
if(UB_CountMagicPositions(d) <= 0)
|
|||
|
|
return;
|
|||
|
|
UB_DeleteAllMagicPendings(d);
|
|||
|
|
d.firstFillDone = true;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
//+------------------------------------------------------------------+
|
|||
|
|
bool InitUSDJPYBuster(USDJPYBusterData &d,
|
|||
|
|
const string symbol,
|
|||
|
|
const int rangeStartHour,
|
|||
|
|
const int rangeEndHour,
|
|||
|
|
const int closeHour,
|
|||
|
|
const ENUM_TIMEFRAMES rangeTF,
|
|||
|
|
const int minRangePoints,
|
|||
|
|
const double orderBufferPoints,
|
|||
|
|
const bool firstTradeOnly,
|
|||
|
|
const bool allowLong,
|
|||
|
|
const bool allowShort,
|
|||
|
|
const bool useTakeProfit,
|
|||
|
|
const double takeProfitPoints,
|
|||
|
|
const ENUM_UB_RISK_MODE riskMode,
|
|||
|
|
const double fixedRiskMoney,
|
|||
|
|
const double riskPercent,
|
|||
|
|
const double fixedLots,
|
|||
|
|
const int magic,
|
|||
|
|
const int slippage,
|
|||
|
|
const int maxSpreadPoints,
|
|||
|
|
const bool drawRange,
|
|||
|
|
const bool debugLog = false)
|
|||
|
|
{
|
|||
|
|
d.symbol = symbol;
|
|||
|
|
d.rangeStartHour = rangeStartHour;
|
|||
|
|
d.rangeEndHour = rangeEndHour;
|
|||
|
|
d.closeHour = closeHour;
|
|||
|
|
d.rangeTF = rangeTF;
|
|||
|
|
d.minRangePoints = minRangePoints;
|
|||
|
|
d.orderBufferPoints = orderBufferPoints;
|
|||
|
|
d.firstTradeOnly = firstTradeOnly;
|
|||
|
|
d.allowLong = allowLong;
|
|||
|
|
d.allowShort = allowShort;
|
|||
|
|
d.useTakeProfit = useTakeProfit;
|
|||
|
|
d.takeProfitPoints = takeProfitPoints;
|
|||
|
|
d.riskMode = riskMode;
|
|||
|
|
d.fixedRiskMoney = fixedRiskMoney;
|
|||
|
|
d.riskPercent = riskPercent;
|
|||
|
|
d.fixedLots = fixedLots;
|
|||
|
|
d.magic = magic;
|
|||
|
|
d.slippage = slippage;
|
|||
|
|
d.maxSpreadPoints = maxSpreadPoints;
|
|||
|
|
d.drawRange = drawRange;
|
|||
|
|
d.debugLog = debugLog;
|
|||
|
|
|
|||
|
|
if(!SymbolSelect(symbol, true))
|
|||
|
|
{
|
|||
|
|
Print("USDJPYBuster: symbol not available: ", symbol);
|
|||
|
|
d.isInitialized = false;
|
|||
|
|
return false;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
if(rangeEndHour <= rangeStartHour)
|
|||
|
|
{
|
|||
|
|
Print("USDJPYBuster: rangeEndHour must be > rangeStartHour");
|
|||
|
|
d.isInitialized = false;
|
|||
|
|
return false;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
d.trade.SetExpertMagicNumber(magic);
|
|||
|
|
d.trade.SetDeviationInPoints(slippage);
|
|||
|
|
d.trade.SetTypeFillingBySymbol(symbol);
|
|||
|
|
|
|||
|
|
d.dayKey = UB_DayKey(TimeTradeServer());
|
|||
|
|
UB_ResetDayState(d);
|
|||
|
|
d.isInitialized = true;
|
|||
|
|
|
|||
|
|
Print("USDJPYBuster: ", symbol,
|
|||
|
|
" range ", rangeStartHour, ":00–", rangeEndHour, ":00",
|
|||
|
|
" place@", rangeEndHour, ":00 close@", closeHour, ":00",
|
|||
|
|
" firstOnly=", (firstTradeOnly ? "Y" : "N"));
|
|||
|
|
return true;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
void DeinitUSDJPYBuster(USDJPYBusterData &d)
|
|||
|
|
{
|
|||
|
|
if(!d.isInitialized)
|
|||
|
|
return;
|
|||
|
|
d.isInitialized = false;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
void ProcessUSDJPYBuster(USDJPYBusterData &d, const double scaledFixedLots, const double riskScale)
|
|||
|
|
{
|
|||
|
|
if(!d.isInitialized)
|
|||
|
|
return;
|
|||
|
|
|
|||
|
|
const datetime now = TimeTradeServer();
|
|||
|
|
MqlDateTime dt;
|
|||
|
|
TimeToStruct(now, dt);
|
|||
|
|
|
|||
|
|
const int today = UB_DayKey(now);
|
|||
|
|
if(today != d.dayKey)
|
|||
|
|
{
|
|||
|
|
d.dayKey = today;
|
|||
|
|
UB_ResetDayState(d);
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
if(dt.hour >= d.closeHour && !d.dayClosed)
|
|||
|
|
{
|
|||
|
|
UB_EndOfDayClose(d);
|
|||
|
|
return;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
if(d.dayClosed)
|
|||
|
|
return;
|
|||
|
|
|
|||
|
|
UB_TrackEntries(d);
|
|||
|
|
UB_HandleFirstFillRule(d);
|
|||
|
|
|
|||
|
|
if(d.entriesToday >= UB_MaxEntriesPerDay(d))
|
|||
|
|
{
|
|||
|
|
UB_DeleteAllMagicPendings(d);
|
|||
|
|
d.ordersPlaced = true;
|
|||
|
|
return;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
if(dt.hour < d.rangeEndHour || dt.hour >= d.closeHour)
|
|||
|
|
return;
|
|||
|
|
|
|||
|
|
if(d.ordersPlaced || d.rangeSkipDay)
|
|||
|
|
return;
|
|||
|
|
|
|||
|
|
if(UB_CountMagicPendings(d) > 0)
|
|||
|
|
{
|
|||
|
|
d.ordersPlaced = true;
|
|||
|
|
return;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
if(UB_CountMagicPositions(d) > 0)
|
|||
|
|
{
|
|||
|
|
if(!d.closeUnprofitableOnNewSignal
|
|||
|
|
|| !United_PrepareEntrySlot(d.trade, d.symbol, (ulong)d.magic, d.closeUnprofitableOnNewSignal))
|
|||
|
|
{
|
|||
|
|
d.ordersPlaced = true;
|
|||
|
|
return;
|
|||
|
|
}
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
if(!d.rangeBuilt)
|
|||
|
|
{
|
|||
|
|
if(!UB_BuildRange(d, now, d.rangeHigh, d.rangeLow))
|
|||
|
|
{
|
|||
|
|
UB_Dbg(d, "range not ready or too narrow — retry until " + IntegerToString(d.closeHour) + ":00");
|
|||
|
|
return;
|
|||
|
|
}
|
|||
|
|
d.rangeBuilt = true;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
if(UB_PlaceBreakoutOrders(d, scaledFixedLots, riskScale))
|
|||
|
|
{
|
|||
|
|
d.ordersPlaced = true;
|
|||
|
|
return;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
if(!d.allowLong && !d.allowShort)
|
|||
|
|
d.rangeSkipDay = true;
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
#endif
|