//__________________________________________________________ // This program is PUBLIC DOMAIN // This program has NO Copyright // The writer : Sergiy Podolyak // Write date : 2010-2016 // http://www.graalino.com // File : OBz-Trading-Lib.mq4 // Description : Library of trading functions from the // trend-following experts "Ocean Breeze" // Version : 1.92 // Version Date : 21 Aug 2016 // Project : MT4 trading // Start Date : May 2010 //_______________________________________________________________________________ //_______________________________________________________________________________ //_______________________________________________________________________________ #property library // But You can just include any this function into your project, not as a library as a whole //................................................................................... // next is needed for calling "ErrorDescription" function #include //................................................................................... #define TRADING_OK_LEVEL 0 #define TRADING_POS_SIZE_LESS_MIN_LOT (-100) #define TRADING_ERROR_NOT_ENOUGH_MONEY (-200) #define TRADING_ERROR_OPENING_BUY (-300) #define TRADING_ERROR_OPENING_SELL (-400) #define TRADING_ERROR_CLOSING_BUY (-500) #define TRADING_ERROR_CLOSING_SELL (-600) #define TRADING_ERROR_BUY_MODIFY (-700) #define TRADING_ERROR_SELL_MODIFY (-800) #define TRADING_ERROR_TERMINAL (-900) //............................................................................... //_____________________________/ Extremum situations \______________________________ #define TREND_MINIMUM 10100 #define TREND_DOWN 10200 #define TREND_DOWN_IN_CHANNEL 10300 #define TREND_FLAT 10400 #define TREND_UP 10500 #define TREND_UP_IN_CHANNEL 10600 #define TREND_MAXIMUM 10700 //................................................................................... #define TRADING_TIMEOUT_MSEC 1000 //............................................................................... #define TRADING_BUY_ORDER_OPENED 9400 #define TRADING_SELL_ORDER_OPENED 9500 #define TRADING_BUY_ORDER_CLOSED 9600 #define TRADING_SELL_ORDER_CLOSED 9700 //............................................................................... #define THERE_WERE_NO_ORDERS -1000 //................................................................................ #define FIND_SL_STRING_1 "[sl]" #define FIND_SL_STRING_2 "[Sl]" #define FIND_SL_STRING_3 "[sL]" #define FIND_SL_STRING_4 "[SL]" #define FIND_TP_STRING_1 "[tp]" #define FIND_TP_STRING_2 "[Tp]" #define FIND_TP_STRING_3 "[tP]" #define FIND_TP_STRING_4 "[TP]" //_______________________________________________________________________________ // | // Check_Situation_To_Close_Pos () | //_________________________________________________| int Check_Situation_To_Close_Pos ( string Bond_Name, int Situation ) { int i, j; int Last_Error; bool Result ; int Retries; int Curr_Slippage; int Action_Done; bool Is_Trade_Context_Free; int Ticket; //.................................................................................... Action_Done = TRADING_OK_LEVEL; if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { Action_Done = TRADING_ERROR_TERMINAL; return (Action_Done); } //.................................................................................... Retries = 5; Curr_Slippage = (int) ( 3.0 * MathMax (1.0, MarketInfo (Bond_Name, MODE_SPREAD) )); //........../ check all our orders \............................. for (i = 0; i < OrdersTotal (); i++) { if (OrderSelect (i, SELECT_BY_POS, MODE_TRADES) == FALSE) { break; } if (OrderSymbol () != Bond_Name) { continue; } Ticket = OrderTicket (); //...................................................................... if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_TRADES) == FALSE) { Action_Done = TRADING_ERROR_CLOSING_BUY; break; } //...................................................................... if (OrderCloseTime () != 0) { continue; } //.......... if open order is BUY, LONG POSITION ............................ if ( (OrderType () == OP_BUY) && ( (Situation == TREND_MAXIMUM) || (Situation == TREND_DOWN) || (Situation == TREND_DOWN_IN_CHANNEL) ) ) { //.......................................... Is_Trade_Context_Free = Wait_For_Free_Trade_Context (Retries); if (Is_Trade_Context_Free == FALSE) { Action_Done = TRADING_ERROR_CLOSING_BUY; continue; // for i = Orders } //...................................................................... if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_TRADES) == FALSE) { Action_Done = TRADING_ERROR_CLOSING_BUY; continue; } //...................................................................... if (OrderCloseTime () != 0) { continue; } //...................................................................... RefreshRates (); ResetLastError (); Result = OrderClose (Ticket, OrderLots (), MarketInfo (Bond_Name, MODE_BID), Curr_Slippage, White); if (Result != TRUE) { Last_Error = GetLastError (); for (j = 1; j <= Retries; j++) { Sleep (TRADING_TIMEOUT_MSEC); //...................................................................... if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_TRADES) == FALSE) { Action_Done = TRADING_ERROR_CLOSING_BUY; continue; } //...................................................................... if (OrderCloseTime () != 0) { continue; } //...................................................................... RefreshRates (); ResetLastError (); Result = OrderClose (Ticket, OrderLots (), MarketInfo (Bond_Name, MODE_BID), Curr_Slippage, White); if (Result == TRUE) { Action_Done = TRADING_BUY_ORDER_CLOSED; break; // for j } } // for j } // if (Result != TRUE) if (Result != TRUE) { Last_Error = GetLastError (); if (Last_Error != 0) { Print ("Error at broker while closing BUY order #", Ticket, " Err=", Last_Error, " ", ErrorDescription (Last_Error) ); } Action_Done = TRADING_ERROR_CLOSING_BUY; continue; // for i } Action_Done = TRADING_BUY_ORDER_CLOSED; continue; } //.......................... if Open order is SHORT .......................... if ( (OrderType () == OP_SELL) && ( (Situation == TREND_MINIMUM) || (Situation == TREND_UP) || (Situation == TREND_UP_IN_CHANNEL) ) ) { //.......................................... Is_Trade_Context_Free = Wait_For_Free_Trade_Context (Retries); if (Is_Trade_Context_Free == FALSE) { Action_Done = TRADING_ERROR_CLOSING_BUY; continue; // for i = Orders } //...................................................................... if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_TRADES) == FALSE) { Action_Done = TRADING_ERROR_CLOSING_SELL; continue; } //...................................................................... if (OrderCloseTime () != 0) { continue; } //...................................................................... RefreshRates (); ResetLastError (); Result = OrderClose (Ticket, OrderLots (), MarketInfo (Bond_Name, MODE_ASK), Curr_Slippage, White); if (Result != TRUE) { Last_Error = GetLastError (); for (j = 1; j <= Retries; j++) { Sleep (TRADING_TIMEOUT_MSEC); //...................................................................... if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_TRADES) == FALSE) { Action_Done = TRADING_ERROR_CLOSING_SELL; continue; } //...................................................................... if (OrderCloseTime () != 0) { continue; } //...................................................................... RefreshRates (); ResetLastError (); Result = OrderClose (OrderTicket (), OrderLots (), MarketInfo (Bond_Name, MODE_ASK), Curr_Slippage, White); if (Result == TRUE) { Action_Done = TRADING_SELL_ORDER_CLOSED; break; // for j } } // for j } // if (Result != TRUE) if (Result != TRUE) { Last_Error = GetLastError (); if (Last_Error != 0) { Print ("Error at broker while closing SELL order #", OrderTicket (), " Err=", Last_Error, " ", ErrorDescription (Last_Error) ); } Action_Done = TRADING_ERROR_CLOSING_SELL; continue; // for i } //Action_Done = TRADING_SELL_ORDER_CLOSED; continue; } } return (Action_Done); } //___________________________________________________________________ // | // Check_Situation_To_Open_Pos () | //_________________________________________________| int Check_Situation_To_Open_Pos ( string Bond_Name, int Situation, int Full_Expert_ID, double Max_Risk, int Portfolio_Bonds, double Stop_Loss_Here, double Take_Profit_Here, bool Use_Adaptive_Pos_Size_Param, string Order_Comment, bool ECN_Mode_Param, double First_Loss_Drop_Param, double Losses_Drop_Slope_Param, double Second_Profit_Drop_Param, double Recovery_Slope_Param, double Max_Drop_Param ) { int Result_Order_Ticket ; double Pos_Size_Lots; double Daily_Volatility ; int Price_Digits ; int Retries = 5; int i; int Last_Error; double Last_Bid; double Last_Ask; double Curr_SL; double Curr_TP; double Curr_SL_2; double Curr_TP_2; int Curr_Slippage ; int Action_Done; bool Is_Trade_Context_Free; bool Modify_Order_Result; int Time_Frame = Period (); //.................................................................................... Action_Done = TRADING_OK_LEVEL; if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { Action_Done = TRADING_ERROR_TERMINAL; return (Action_Done); } //........................................................................... if (! ( (Situation == TREND_MINIMUM) || (Situation == TREND_MAXIMUM) ) ) { Action_Done = TRADING_OK_LEVEL; return (Action_Done); } //........................................................................... Pos_Size_Lots = Calc_Optimal_Pos_Size (Bond_Name, Time_Frame, Max_Risk, Portfolio_Bonds, Full_Expert_ID, Use_Adaptive_Pos_Size_Param, First_Loss_Drop_Param, Losses_Drop_Slope_Param, Second_Profit_Drop_Param, Recovery_Slope_Param, Max_Drop_Param); //................................................................. RefreshRates (); //................................................................. if (Pos_Size_Lots < MarketInfo (Bond_Name, MODE_MINLOT) ) { Action_Done = TRADING_POS_SIZE_LESS_MIN_LOT; return (Action_Done); } // Pos_Size >= MINLOT //..................................................................................... Curr_Slippage = (int) (3.0 * MathMax (1.0, MarketInfo (Bond_Name, MODE_SPREAD) )); Price_Digits = (int)MarketInfo (Bond_Name, MODE_DIGITS); Daily_Volatility = Get_Daily_Volatility (Bond_Name); //=====================================/ to OPEN BUY conditions \================= if (Situation == TREND_MINIMUM) { if ( (AccountFreeMarginCheck (Bond_Name, OP_BUY, Pos_Size_Lots) <= 0.0) || (GetLastError () == ERR_NOT_ENOUGH_MONEY) ) { Action_Done = TRADING_ERROR_NOT_ENOUGH_MONEY; return (Action_Done); } //.......................................... Is_Trade_Context_Free = Wait_For_Free_Trade_Context (Retries); if (Is_Trade_Context_Free == FALSE) { Action_Done = TRADING_ERROR_OPENING_BUY; return (Action_Done); } //.......................................... RefreshRates (); Last_Ask = MarketInfo (Bond_Name, MODE_ASK); Curr_SL = MarketInfo (Bond_Name, MODE_ASK) * (1.0 - Stop_Loss_Here * Daily_Volatility); Curr_TP = MarketInfo (Bond_Name, MODE_BID) * (1.0 + Take_Profit_Here * Daily_Volatility); Curr_SL_2 = Curr_SL; Curr_TP_2 = Curr_TP; if (ECN_Mode_Param == TRUE) { Curr_SL_2 = 0.0; Curr_TP_2 = 0.0; } ResetLastError (); Result_Order_Ticket = OrderSend (Bond_Name, OP_BUY, Pos_Size_Lots, Last_Ask, Curr_Slippage, NormalizeDouble (Curr_SL_2, Price_Digits), NormalizeDouble (Curr_TP_2, Price_Digits), Order_Comment, Full_Expert_ID, 0, Green) ; if (Result_Order_Ticket < 0) { Last_Error = GetLastError (); if (Last_Error == ERR_REQUOTE) { for (i = 1; i <= Retries; i++) { Sleep (TRADING_TIMEOUT_MSEC); RefreshRates (); Last_Ask = MarketInfo (Bond_Name, MODE_ASK); Curr_SL = MarketInfo (Bond_Name, MODE_ASK) * (1.0 - Stop_Loss_Here * Daily_Volatility); Curr_TP = MarketInfo (Bond_Name, MODE_BID) * (1.0 + Take_Profit_Here * Daily_Volatility); Curr_SL_2 = Curr_SL; Curr_TP_2 = Curr_TP; if (ECN_Mode_Param == TRUE) { Curr_SL_2 = 0.0; Curr_TP_2 = 0.0; } ResetLastError (); Result_Order_Ticket = OrderSend (Bond_Name, OP_BUY, Pos_Size_Lots, Last_Ask, Curr_Slippage, NormalizeDouble (Curr_SL_2, Price_Digits), NormalizeDouble (Curr_TP_2, Price_Digits), Order_Comment, Full_Expert_ID, 0, Green) ; if (Result_Order_Ticket > 0) { break; } else { Last_Error = GetLastError (); } } // for i } } //...................................................... if (Result_Order_Ticket < 0) { Last_Error = GetLastError (); if (Last_Error != 0) { Print ("Error at broker while opening BUY order, err #", Last_Error, " ", ErrorDescription (Last_Error) ); } Action_Done = TRADING_ERROR_OPENING_BUY; return (Action_Done); } //...................................................... if (ECN_Mode_Param == TRUE) { Sleep (TRADING_TIMEOUT_MSEC); RefreshRates (); ResetLastError (); Last_Ask = MarketInfo (Bond_Name, MODE_ASK); Modify_Order_Result = OrderModify (Result_Order_Ticket, Last_Ask, NormalizeDouble (Curr_SL, Price_Digits), NormalizeDouble (Curr_TP, Price_Digits), 0, // TimeCurrent (), Green); if (Modify_Order_Result != TRUE) { for (i = 1; i <= Retries; i++) { Sleep (TRADING_TIMEOUT_MSEC); RefreshRates (); Last_Ask = MarketInfo (Bond_Name, MODE_ASK); //...................................................................... if (OrderSelect (Result_Order_Ticket, SELECT_BY_TICKET, MODE_TRADES) == FALSE) { Action_Done = TRADING_ERROR_BUY_MODIFY; return (Action_Done); } //...................................................................... if (OrderCloseTime () != 0) { Action_Done = TRADING_ERROR_OPENING_BUY; return (Action_Done); } //...................................................................... ResetLastError (); Modify_Order_Result = OrderModify (Result_Order_Ticket, Last_Ask, NormalizeDouble (Curr_SL, Price_Digits), NormalizeDouble (Curr_TP, Price_Digits), 0, // TimeCurrent (), Green); if (Modify_Order_Result == TRUE) { break; } } // for i //....................................................................... } if (Modify_Order_Result != TRUE) { Action_Done = TRADING_ERROR_BUY_MODIFY; return (Action_Done); } } Action_Done = TRADING_BUY_ORDER_OPENED; return (Action_Done); } // done, if it was MINIMUM //===============================/ if MAXIMUM to OPEN SELL conditions: \============== if (Situation == TREND_MAXIMUM) { ResetLastError (); if ( (AccountFreeMarginCheck (Bond_Name, OP_SELL, Pos_Size_Lots) <= 0.0) || (GetLastError () == ERR_NOT_ENOUGH_MONEY) ) { Action_Done = TRADING_ERROR_NOT_ENOUGH_MONEY; return (Action_Done); } //.......................................... Is_Trade_Context_Free = Wait_For_Free_Trade_Context (Retries); if (Is_Trade_Context_Free == FALSE) { Action_Done = TRADING_ERROR_OPENING_BUY; return (Action_Done); } //.......................................... RefreshRates (); Last_Bid = MarketInfo (Bond_Name, MODE_BID); Curr_SL = MarketInfo (Bond_Name, MODE_BID) * (1.0 + Stop_Loss_Here * Daily_Volatility); Curr_TP = MarketInfo (Bond_Name, MODE_ASK) * (1.0 - Take_Profit_Here * Daily_Volatility); Curr_SL_2 = Curr_SL; Curr_TP_2 = Curr_TP; if (ECN_Mode_Param == TRUE) { Curr_SL_2 = 0.0; Curr_TP_2 = 0.0; } ResetLastError (); Result_Order_Ticket = OrderSend (Bond_Name, OP_SELL, Pos_Size_Lots, Last_Bid, Curr_Slippage, NormalizeDouble (Curr_SL_2, Price_Digits), NormalizeDouble (Curr_TP_2, Price_Digits), Order_Comment, Full_Expert_ID, 0, Red) ; if (Result_Order_Ticket < 0) { Last_Error = GetLastError (); if (Last_Error == ERR_REQUOTE) { for (i = 1; i <= Retries; i++) { Sleep (TRADING_TIMEOUT_MSEC); RefreshRates (); Last_Bid = MarketInfo (Bond_Name, MODE_BID); Curr_SL = MarketInfo (Bond_Name, MODE_BID) * (1.0 + Stop_Loss_Here * Daily_Volatility); Curr_TP = MarketInfo (Bond_Name, MODE_ASK) * (1.0 - Take_Profit_Here * Daily_Volatility); Curr_SL_2 = Curr_SL; Curr_TP_2 = Curr_TP; if (ECN_Mode_Param == TRUE) { Curr_SL_2 = 0.0; Curr_TP_2 = 0.0; } ResetLastError (); Result_Order_Ticket = OrderSend (Bond_Name, OP_SELL, Pos_Size_Lots, Last_Bid, Curr_Slippage, NormalizeDouble (Curr_SL_2, Price_Digits), NormalizeDouble (Curr_TP_2, Price_Digits), Order_Comment, Full_Expert_ID, 0, Red) ; if (Result_Order_Ticket > 0) { break; } else { Last_Error = GetLastError (); } } // for i } } if (Result_Order_Ticket < 0) { Last_Error = GetLastError (); if (Last_Error != 0) { Print ("Error at broker while opening SELL order, err #", Last_Error, " ", ErrorDescription (Last_Error) ); } Action_Done = TRADING_ERROR_OPENING_SELL; return (Action_Done); } //...................................................... if (ECN_Mode_Param == TRUE) { Sleep (TRADING_TIMEOUT_MSEC); RefreshRates (); Last_Bid = MarketInfo (Bond_Name, MODE_BID); //...................................................................... if (OrderSelect (Result_Order_Ticket, SELECT_BY_TICKET, MODE_TRADES) == FALSE) { Action_Done = TRADING_ERROR_OPENING_SELL; return (Action_Done); } //...................................................................... if (OrderCloseTime () != 0) { Action_Done = TRADING_ERROR_SELL_MODIFY; return (Action_Done); } //...................................................................... ResetLastError (); Modify_Order_Result = OrderModify (Result_Order_Ticket, Last_Bid, NormalizeDouble (Curr_SL, Price_Digits), NormalizeDouble (Curr_TP, Price_Digits), TimeCurrent (), Green); if (Modify_Order_Result != TRUE) { for (i = 1; i <= Retries; i++) { Sleep (TRADING_TIMEOUT_MSEC); RefreshRates (); Last_Bid = MarketInfo (Bond_Name, MODE_BID); ResetLastError (); Modify_Order_Result = OrderModify (Result_Order_Ticket, Last_Bid, NormalizeDouble (Curr_SL, Price_Digits), NormalizeDouble (Curr_TP, Price_Digits), 0, // TimeCurrent (), Green); if (Modify_Order_Result == TRUE) { break; } } // for i if (Modify_Order_Result != TRUE) { Action_Done = TRADING_ERROR_SELL_MODIFY; return (Action_Done); } } } Action_Done = TRADING_SELL_ORDER_OPENED; return (Action_Done); } // done, if it was MAXIMUM return (Action_Done); } //____________________________________________________________________________________________ // | // Calc_Optimal_Pos_Size () | //_________________________________________________| double Calc_Optimal_Pos_Size ( string Bond_Name, int Time_Frame, double Max_Risk, int Portfolio_Bonds, int Full_Expert_ID, bool Use_Adaptive_Pos_Size_Param, double First_Loss_Drop_Param, double Losses_Drop_Slope_Param, double Second_Profit_Drop_Param, double Recovery_Slope_Param, double Max_Drop_Param ) { double Pos_Size ; double Pos_Size_Portfolio; double Pos_Size_Risk; //................................................................. Pos_Size_Risk = Calc_Pos_Size_To_Risk (Bond_Name, Max_Risk); Pos_Size_Portfolio = Calc_Pos_Size_To_Portfolio (Bond_Name, Portfolio_Bonds); Pos_Size = MathMin (Pos_Size_Risk, Pos_Size_Portfolio); // ======================= USE ADAPTIVE POS SIZE =================================== if (Use_Adaptive_Pos_Size_Param == TRUE) { // Print ("Adaptive: risk init=" + DoubleToStr (Pos_Size, 4)); Pos_Size = Adjust_Pos_Size_To_History (Pos_Size, Bond_Name, Full_Expert_ID, First_Loss_Drop_Param, Losses_Drop_Slope_Param, Second_Profit_Drop_Param, Recovery_Slope_Param, Max_Drop_Param); // Print ("Adaptive: out=" + DoubleToStr (Pos_Size, 4)); } // ============== ADJUST POS SIZE TO BROKER's LIMITS ==================================== // Print ("Optim Pos size=", DoubleToStr (Pos_Size, 4)); Pos_Size = Adjust_Pos_Size_To_Broker (Bond_Name, Pos_Size); return (Pos_Size) ; } //____________________________________________________________________________________________ // | // Calc_Pos_Size_To_Risk () | //_________________________________________________| double Calc_Pos_Size_To_Risk (string Bond_Name, double Max_Risk) { double Equity_Drawdown; double Daily_Volatility ; double Pos_Size ; int Lot_Digits ; double Stop_Loss_Points; double One_Point_Cost; double Tick_Value ; double Margin_Init ; double Min_Lot_Size; //........................................................................ if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { Pos_Size = 0.0; return (Pos_Size); } //........................................................................ RefreshRates (); //................................................................. Min_Lot_Size = MarketInfo (Bond_Name, MODE_MINLOT); Tick_Value = MarketInfo (Bond_Name, MODE_TICKVALUE); Margin_Init = MarketInfo (Bond_Name, MODE_MARGININIT); if ((MarketInfo (Bond_Name, MODE_MARGINCALCMODE) == 2) && (Margin_Init != 0.0)) { Tick_Value = Tick_Value * MarketInfo (Bond_Name, MODE_MARGINREQUIRED) / Margin_Init; } // Print ("Tick val=", DoubleToStr(Tick_Value, 6)); //.......................................................................... Equity_Drawdown = MathMin (AccountEquity (), AccountBalance () ) * Max_Risk / 100.0; //percent Daily_Volatility = Get_Daily_Volatility (Bond_Name) ; // Print ("Daily volat=", DoubleToStr (Daily_Volatility,5)); //.......................................................................... Stop_Loss_Points = MarketInfo (Bond_Name, MODE_BID) * Daily_Volatility / MarketInfo (Bond_Name, MODE_POINT); // Print ("Stop_Loss_Points=", DoubleToStr (Stop_Loss_Points, 2)); //.......................................................................... One_Point_Cost = Tick_Value / (MarketInfo (Bond_Name, MODE_TICKSIZE) / MarketInfo (Bond_Name, MODE_POINT) ) ; // Print (" One_Point_Cost =", DoubleToStr (One_Point_Cost, 4)); //.......................................................................... if (One_Point_Cost == 0.0) { Print ("Error: One_Point_Cost=0.0: ", DoubleToStr (One_Point_Cost, 6)); Print ("Tick_Value= ", DoubleToStr (Tick_Value, 6)); Print ("Equity_Drawdown= ", DoubleToStr (Equity_Drawdown, 6)); Print ("Daily_Volat= ", DoubleToStr (Daily_Volatility, 5)); Print ("Stop_Loss_Points= ", DoubleToStr (Stop_Loss_Points, 3)); Print ("One_Point_Cost= ", DoubleToStr (One_Point_Cost, 6)); return (0.0); } //.......................................................................... Pos_Size = Equity_Drawdown / (One_Point_Cost * Stop_Loss_Points); //.......................................................................... if (Pos_Size < Min_Lot_Size) { Pos_Size = Min_Lot_Size; } //............................................................................. Lot_Digits = Get_Lot_Digits (Bond_Name); // Print (" Lot_Digits =" + Lot_Digits); Pos_Size = NormalizeDouble (Pos_Size, Lot_Digits); // Print (" Pos_Size =", DoubleToStr (Pos_Size, 4)); //.......................................................................... return (Pos_Size) ; } //________________________________________________________________________________________ // | // Calc_Pos_Size_To_Portfolio () | //_________________________________________________| double Calc_Pos_Size_To_Portfolio ( string Bond_Name, int Portfolio_Bonds) { int Lot_Digits ; double Min_Lot_Size; double Max_One_Order_Margin; double Min_Lot_Margin; double Free_Margin_Check; double Pos_Size = 1.0; double Account_Free_Margin; //........................................................................ if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { Pos_Size = 0.0; //Print (" MT4: no connect"); return (Pos_Size); } //................................................................................. RefreshRates (); ResetLastError (); //........................................................................ Account_Free_Margin = AccountFreeMargin (); // Print ("Account_Free_Margin=", DoubleToStr (Account_Free_Margin, 2)); //............................................................... Min_Lot_Size = MarketInfo (Bond_Name, MODE_MINLOT); Free_Margin_Check = MathMin (AccountFreeMarginCheck (Bond_Name, OP_BUY, Min_Lot_Size), AccountFreeMarginCheck (Bond_Name, OP_SELL, Min_Lot_Size) ); // Print ("Free_Margin_Check=", DoubleToStr (Free_Margin_Check, 2)); Min_Lot_Margin = Account_Free_Margin - Free_Margin_Check; // Print ("Min_Lot_Margin=", DoubleToStr (Min_Lot_Margin, 2)); //............................/MT4 visual mode bug workaround \......................... if ( (Min_Lot_Margin < 0.0) && (IsVisualMode () == TRUE)) { Min_Lot_Margin = MathAbs (Min_Lot_Margin); } //................................................................................... if ( (Min_Lot_Margin <= 0.0) || (GetLastError () == ERR_NOT_ENOUGH_MONEY) ) { Pos_Size = 0.0; if (Get_Total_Open_Orders (Bond_Name) <= 0 ) { Print ("Error: No margin:"); Print ("Min_Lot_Margin= ", DoubleToStr (Min_Lot_Margin, 2)); Print ("Account_Free_Margin= ", DoubleToStr (Account_Free_Margin, 2)); } return (Pos_Size); } //................................................................................... //................................................................................... //................................................................................... Max_One_Order_Margin = MathMin (AccountEquity (), AccountBalance ()) / Portfolio_Bonds; // Print ("Max_One_Order_Margin=", DoubleToStr (Max_One_Order_Margin, 4)); //................................................................................... Pos_Size = (Max_One_Order_Margin / Min_Lot_Margin) * Min_Lot_Size; //............................................................... if (Pos_Size < Min_Lot_Size) { Pos_Size = Min_Lot_Size; } //.......................................................................... Lot_Digits = Get_Lot_Digits (Bond_Name); Pos_Size = NormalizeDouble (Pos_Size, Lot_Digits); //............................................................................. return (Pos_Size) ; } //____________________________________________________________________________________ // | // Adjust_Pos_Size_To_History () | //_________________________________________________| double Adjust_Pos_Size_To_History ( double Pos_Size, string Bond_Name, int Full_Expert_ID, double First_Loss_Drop_Param, double Losses_Drop_Slope_Param, double Second_Profit_Drop_Param, double Recovery_Slope_Param, double Max_Drop_Param) { double PL_History; // positive profits OR negative losses PL_History = Calc_PL_History_Factor (Bond_Name, Full_Expert_ID); Pos_Size = Reduce_Pos_Size_To_PL_History (PL_History, Pos_Size, Bond_Name, First_Loss_Drop_Param, Losses_Drop_Slope_Param, Second_Profit_Drop_Param, Recovery_Slope_Param, Max_Drop_Param); return (Pos_Size) ; } //__________________________________________________________________________________________ // | // Calc_PL_History_Factor () | //_________________________________________________| double Calc_PL_History_Factor (string Bond_Name, int Full_Expert_ID) { double Curr_Order_Profit ; int i; double PL_History; // positive profits OR negative losses //........................................................................ PL_History = 0.0; if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { return (PL_History); } //........................................................................ RefreshRates (); //................................................................. for (i = 0 ; i < OrdersHistoryTotal (); i++) { if (OrderSelect (i, SELECT_BY_POS, MODE_HISTORY) == FALSE) { Print ("Error in history!"); break; } //................................................................. if ( (OrderSymbol () != Bond_Name) || ( (OrderType () != OP_BUY) && (OrderType () != OP_SELL) ) //|| (OrderMagicNumber () != Full_Expert_ID) ) { continue; } //........................................ Curr_Order_Profit = OrderProfit (); if (PL_History == 0.0) // got only profits or first in the list { if (Curr_Order_Profit > 0.0) { continue; } if (Curr_Order_Profit <= 0.0) { PL_History = -1.0; continue; } } //.........../ was in a recovery, PL_History is positive \............... if (PL_History > 0) { if (Curr_Order_Profit > 0.0) { PL_History ++; continue; } else { PL_History = -1.0; continue; } } //......../ older was losses, count only newer losses .......................... if (PL_History < 0) { if (Curr_Order_Profit > 0.0) { PL_History = +1.0; // this is a recovery continue; } else { PL_History --; continue; } } //.................................................. } // "for" loop //.................................................. return (PL_History); } //_____________________________________________________________________________________ // | // Reduce_Pos_Size_To_PL_History () | //_________________________________________________| double Reduce_Pos_Size_To_PL_History (double PL_History, double Pos_Size, string Bond_Name, double First_Loss_Drop_Param, double Losses_Drop_Slope_Param, double Second_Profit_Drop_Param, double Recovery_Slope_Param, double Max_Drop_Param) { int Lot_Digits ; double Min_Lot_Size; double Scale_Factor; //........................................................................ if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { return (Pos_Size); } //................................................................................. RefreshRates (); //................................................................. Min_Lot_Size = MarketInfo (Bond_Name, MODE_MINLOT); if (Pos_Size < Min_Lot_Size) { return (Pos_Size); } //........................................................................ if (PL_History == 0.0) { return (Pos_Size); } // .......................... got LOSSES, start decreasing size .................. Scale_Factor = 1.0; //................................... if (PL_History < 0.0) { Scale_Factor = MathMax (1.0, First_Loss_Drop_Param + MathAbs (PL_History * Losses_Drop_Slope_Param + 1.0)) ; } //....................... got profits, but under RECOVERY ......................... if ( PL_History > 0.0) { Scale_Factor = MathMax (1.0, Second_Profit_Drop_Param - PL_History * Recovery_Slope_Param + 1.0); } //............................................................... Max_Drop_Param = MathMax (Max_Drop_Param, 1.0); Scale_Factor = MathMin (Max_Drop_Param, Scale_Factor); Scale_Factor = 1.0 / Scale_Factor; Scale_Factor = MathMin (1.0, Scale_Factor); //............................................................... Pos_Size = Pos_Size * Scale_Factor; if (Pos_Size < Min_Lot_Size) { Pos_Size = Min_Lot_Size; } //............................................................... Lot_Digits = Get_Lot_Digits (Bond_Name); Pos_Size = NormalizeDouble (Pos_Size, Lot_Digits) ; //............................................................... return (Pos_Size) ; } //________________________________________________________________________________________ // | // Adjust_Pos_Size_To_Broker () | //_________________________________________________| double Adjust_Pos_Size_To_Broker (string Bond_Name, double Pos_Size) { double Min_Lot_Size; double Max_Lot_Size; int Lot_Digits; //........................................................................ if (Pos_Size <= 0) { Pos_Size = 0.0; return (Pos_Size) ; } //........................................................... if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { return (Pos_Size); } //.................................................... // Print (" broker: Pos_Size =", DoubleToStr (Pos_Size, 4)); Lot_Digits = Get_Lot_Digits (Bond_Name); Pos_Size = NormalizeDouble (Pos_Size, Lot_Digits); //................................................................. RefreshRates (); //................................................................. Max_Lot_Size = MarketInfo (Bond_Name, MODE_MAXLOT); if (Pos_Size > Max_Lot_Size) { Pos_Size = Max_Lot_Size ; Pos_Size = NormalizeDouble (Pos_Size, Lot_Digits); return (Pos_Size) ; } //............................................................... Min_Lot_Size = MarketInfo (Bond_Name, MODE_MINLOT); if (Pos_Size < Min_Lot_Size) { Pos_Size = Min_Lot_Size; } //............................................................... Lot_Digits = Get_Lot_Digits (Bond_Name); Pos_Size = NormalizeDouble (Pos_Size, Lot_Digits) ; //............................................................... // Print (" broker out :Pos_Size =", DoubleToStr (Pos_Size, 4)); return (Pos_Size) ; } //____________________________________________________________________________________________ // | // Get_Total_Open_Orders () | //_________________________________________________| int Get_Total_Open_Orders (string Bond_Name) { int Our_Buys; int Our_Sells; int i; int Ticket; //........................................................... Our_Buys = 0 ; Our_Sells = 0 ; //........................................................... if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { return (0); } //................................................................. RefreshRates (); //................................................................. for (i = 0 ; i < OrdersTotal (); i++) { if (OrderSelect (i, SELECT_BY_POS, MODE_TRADES) == FALSE) { break ; } Ticket = OrderTicket (); if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_TRADES) == FALSE) continue; if (OrderSymbol () == Bond_Name) { if (OrderType () == OP_BUY) { Our_Buys ++ ; } if (OrderType () == OP_SELL) { Our_Sells ++ ; } } } //..........return number of orders return (Our_Buys + Our_Sells); } //______________________________________________________________________________________ // | // Get_Daily_Volatility () | //_________________________________________________| double Get_Daily_Volatility ( string Bond_Name ) { double Daily_Volatility = 2.0 ; int Margin_Calc_Mode = (int) MarketInfo (Bond_Name, MODE_MARGINCALCMODE); switch (Margin_Calc_Mode ) { case 0: Daily_Volatility = 2.0 ; // Forex, 2.0% per day break; case 1: Daily_Volatility = 2.0 ; // CFD shares, 2.0% per day break; case 2: Daily_Volatility = 2.0 ; // Futures, 2% per day break; case 3: Daily_Volatility = 2.0 ; // CFD Indexes, 2.0% per day break; default: Daily_Volatility = 2.0 ; // default = metals/CFD, 2.0% per day break; } return (Daily_Volatility / 100.0); } //______________________________________________________________________________________ // | // Get_Lot_Digits() | //______________________________________________________________________| int Get_Lot_Digits ( string Bond_Name ) { double min_lottep ; int Lot_Digits; min_lottep = MarketInfo (Bond_Name, MODE_LOTSTEP); Lot_Digits = 0; if (min_lottep < 1.0) { Lot_Digits = 1; } if (min_lottep < 0.1) { Lot_Digits = 2; } if (min_lottep < 0.01) { Lot_Digits = 3; } if (min_lottep < 0.001) { Lot_Digits = 4; } if (min_lottep < 0.0001) { Lot_Digits = 5; } if (min_lottep < 0.00001) { Lot_Digits = 6; } return (Lot_Digits); } //____________________________________________________________________________________________ // | // Get_Tick_Value_In_Depo_Money () | //_________________________________________________| double Get_Tick_Value_In_Depo_Money (string Bond_Name) { double Tick_Value = MarketInfo (Bond_Name, MODE_TICKVALUE); double Margin_Init = MarketInfo (Bond_Name, MODE_MARGININIT); if (Margin_Init != 0.0) { Tick_Value = Tick_Value * MarketInfo (Bond_Name, MODE_MARGINREQUIRED) / Margin_Init; } return (Tick_Value); } //_______________________________________________________________________________ // | // Wait_For_Free_Trade_Context () | //_________________________________________________| bool Wait_For_Free_Trade_Context (int Retries) { int j; bool Ret_Value; //........................................................... if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { return (FALSE); } //.................................................... //.......................................... for (j = 1; j <= Retries; j++) { if (IsTradeContextBusy () == TRUE) { Sleep (TRADING_TIMEOUT_MSEC); RefreshRates (); } else { break; } } // for j //.......................................... Ret_Value = ! (IsTradeContextBusy () ); return (Ret_Value); } //_______________________________________________________________________________ // | // Last_Trade_Was_Stop_Loss () | //_________________________________________________| int Last_Trade_Was_Stop_Loss ( string Bond_Name, int Expert_ID, int Orders_Limit ) { int i; int Result = THERE_WERE_NO_ORDERS; int Ticket; string Order_Comment = ""; //...................................................................... string Find_SL_1 = FIND_SL_STRING_1; string Find_SL_2 = FIND_SL_STRING_2; string Find_SL_3 = FIND_SL_STRING_3; string Find_SL_4 = FIND_SL_STRING_4; //...................................................................... int Position = -1; //.................................................................................... if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { return (Result); } //....................../ check all our orders \...................................... if (OrdersHistoryTotal () <= 0) { Result = THERE_WERE_NO_ORDERS; return (Result); } //....................................................... // for (i = 0; i < OrdersHistoryTotal (); i++) for (i = OrdersHistoryTotal () - 1; i >= 0 ; i--) { if (OrderSelect (i, SELECT_BY_POS, MODE_HISTORY) == FALSE) { continue; } //...................................................................... Ticket = OrderTicket (); if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_HISTORY) == FALSE) { continue; } //...................................................................... if (OrderCloseTime () == 0) { continue; } //...................................................................... if (OrderSymbol () != Bond_Name) { continue; } //...................................................................... Order_Comment = OrderComment (); //...................................................................... Position = StringFind (Order_Comment, Find_SL_1, 0); if (Position < 0) { Result = FALSE; } else { Result = TRUE; break; } //...................................................................... Position = StringFind (Order_Comment, Find_SL_2, 0); if (Position < 0) { Result = FALSE; } else { Result = TRUE; break; } //...................................................................... Position = StringFind (Order_Comment, Find_SL_3, 0); if (Position < 0) { Result = FALSE; } else { Result = TRUE; break; } //...................................................................... Position = StringFind (Order_Comment, Find_SL_4, 0); if (Position < 0) { Result = FALSE; break; } else { Result = TRUE; break; } //...................................................................... } //...................................................................... //Print ("SL: result=", Result); return (Result); } //_______________________________________________________________________________ // | // Last_Trade_Was_Take_Profit () | //_________________________________________________| int Last_Trade_Was_Take_Profit ( string Bond_Name, int Expert_ID, int Orders_Limit ) { int i; int Result = THERE_WERE_NO_ORDERS; int Ticket; string Order_Comment = ""; //...................................................................... string Find_TP_1 = FIND_TP_STRING_1; string Find_TP_2 = FIND_TP_STRING_2; string Find_TP_3 = FIND_TP_STRING_3; string Find_TP_4 = FIND_TP_STRING_4; //...................................................................... int Position = -1; //.................................................................................... if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { return (Result); } //....................../ check all our orders \...................................... if (OrdersHistoryTotal () <= 0) { Result = THERE_WERE_NO_ORDERS; return (Result); } //....................................................... for (i = OrdersHistoryTotal () - 1; i >= 0 ; i--) { if (OrderSelect (i, SELECT_BY_POS, MODE_HISTORY) == FALSE) { continue; } //...................................................................... Ticket = OrderTicket (); if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_HISTORY) == FALSE) { continue; } //...................................................................... if (OrderCloseTime () == 0) { continue; } //...................................................................... if (OrderSymbol () != Bond_Name) { continue; } //...................................................................... Order_Comment = OrderComment (); //Print ("TP:i=", i, " of =", OrdersHistoryTotal (), " Ticket=", Ticket, " Comment=", Order_Comment); //...................................................................... Position = StringFind (Order_Comment, Find_TP_1, 0); if (Position < 0) { Result = FALSE; } else { Result = TRUE; break; } //...................................................................... Position = StringFind (Order_Comment, Find_TP_2, 0); if (Position < 0) { Result = FALSE; } else { Result = TRUE; break; } //...................................................................... Position = StringFind (Order_Comment, Find_TP_3, 0); if (Position < 0) { Result = FALSE; } else { Result = TRUE; break; } //...................................................................... Position = StringFind (Order_Comment, Find_TP_4, 0); if (Position < 0) { Result = FALSE; break; } else { Result = TRUE; break; } //...................................................................... } //...................................................................... //...................................................................... //Print ("TP: result=", Result); return (Result); } //_______________________________________________________________________________ // | // Last_Trade_Was_Long () | //_________________________________________________| int Last_Trade_Was_Long ( string Bond_Name, int Expert_ID, int Orders_Limit ) { int i; int Result = THERE_WERE_NO_ORDERS; int Ticket; //.................................................................................... if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { return (Result); } //....................../ check all our orders \...................................... // for (i = 0; i < OrdersHistoryTotal (); i++) for (i = OrdersHistoryTotal () - 1; i >= 0 ; i--) { if (OrderSelect (i, SELECT_BY_POS, MODE_HISTORY) == FALSE) { continue; } //...................................................................... Ticket = OrderTicket (); if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_HISTORY) == FALSE) continue; //...................................................................... if (OrderCloseTime () == 0) { continue; } //...................................................................... //Order_Comment = OrderComment (); //Print("i=", i, " of =", OrdersHistoryTotal (), " Ticket=", Ticket, " Comment=", Order_Comment); //...................................................................... if (OrderSymbol () != Bond_Name) { continue; } //...................................................................... if (OrderType () == OP_BUY) { Result = TRUE; break; } if (OrderType () == OP_BUYLIMIT) { Result = TRUE; break; } if (OrderType () == OP_BUYSTOP) { Result = TRUE; break; } //...................................................................... } // for (i < OrdersTotal) //...................................................................... return (Result); } //_______________________________________________________________________________ // | // Last_Trade_Was_Short () | //_________________________________________________| int Last_Trade_Was_Short ( string Bond_Name, int Expert_ID, int Orders_Limit ) { int i; int Result = THERE_WERE_NO_ORDERS; int Ticket; //.................................................................................... if (TerminalInfoInteger (TERMINAL_CONNECTED) != TRUE ) { return (Result); } //....................../ check all our orders \...................................... for (i = 0; i < OrdersHistoryTotal (); i++) { if (OrderSelect (i, SELECT_BY_POS, MODE_HISTORY) == FALSE) { continue; } //...................................................................... Ticket = OrderTicket (); if (OrderSelect (Ticket, SELECT_BY_TICKET, MODE_HISTORY) == FALSE) continue; //...................................................................... if (OrderCloseTime () == 0) { continue; } //...................................................................... if (OrderSymbol () != Bond_Name) { continue; } //...................................................................... if (OrderType () == OP_SELL) { Result = TRUE; break; } if (OrderType () == OP_SELLLIMIT) { Result = TRUE; break; } if (OrderType () == OP_SELLSTOP) { Result = TRUE; break; } //...................................................................... } // for (i < OrdersTotal) //...................................................................... return (Result); } //____________________________________________________________________________________ // | // Append_String_W_Pos_Size () | //_________________________________________________| string Append_String_W_Pos_Size ( string Bond_Name, double Max_Risk_Param, int Portfolio_Bonds, double Take_Profit_Param, double Stop_Loss_Param, string Out_String, bool Use_Portfolio_Style ) { double Pos_Size ; double Pos_Size_Risk ; double Pos_Size_Portfolio ; double Pos_Size_Min ; double Daily_Volatility; double Stop_Loss_Points; double Take_Profit_Points; //............................................................................. Pos_Size_Risk = Calc_Pos_Size_To_Risk (Bond_Name, Max_Risk_Param); // !!! unfortunatelly >> FreeMarginCheck() << cannot be called from custom indicator !!!! if (Use_Portfolio_Style == TRUE) { Pos_Size_Portfolio = Calc_Pos_Size_To_Portfolio (Bond_Name, Portfolio_Bonds); Pos_Size_Risk = MathMin (Pos_Size_Risk, Pos_Size_Portfolio); } Pos_Size = Adjust_Pos_Size_To_Broker (Bond_Name, Pos_Size_Risk); //.......................................................................... RefreshRates (); //................................................................. Pos_Size_Min = MarketInfo (Bond_Name, MODE_MINLOT); //.......................................................................... Daily_Volatility = Get_Daily_Volatility (Bond_Name) ; Stop_Loss_Points = Stop_Loss_Param * MarketInfo (Bond_Name, MODE_BID) * Daily_Volatility / MarketInfo (Bond_Name, MODE_POINT); Take_Profit_Points = Take_Profit_Param * MarketInfo (Bond_Name, MODE_BID) * Daily_Volatility / MarketInfo (Bond_Name, MODE_POINT); //.......................................................................... Out_String = Out_String + "Pos Size (RISK) = " + DoubleToStr (Pos_Size, 2) + "\n" ; Out_String = Out_String + "Pos Size (MIN) = " + DoubleToStr (Pos_Size_Min, 2) + "\n" ; Out_String = Out_String + "Stop Loss = " + DoubleToStr (Stop_Loss_Points, 0) + " points\n"; Out_String = Out_String + "Take Profit = " + DoubleToStr (Take_Profit_Points, 0) + " points\n"; return (Out_String); } //____________________________________________________________________________________ // | // Append_String_W_Pos_Size_Indi () | //_________________________________________________| string Append_String_W_Pos_Size_Indi ( string Bond_Name, double Max_Risk_Param, double Take_Profit_Param, double Stop_Loss_Param, string Out_String ) { double Pos_Size ; double Pos_Size_Risk ; double Pos_Size_Min ; double Daily_Volatility; double Stop_Loss_Points; double Take_Profit_Points; //............................................................................. Pos_Size_Risk = Calc_Pos_Size_To_Risk (Bond_Name, Max_Risk_Param); Pos_Size = Adjust_Pos_Size_To_Broker (Bond_Name, Pos_Size_Risk); //.......................................................................... RefreshRates (); //................................................................. Pos_Size_Min = MarketInfo (Bond_Name, MODE_MINLOT); //.......................................................................... Daily_Volatility = Get_Daily_Volatility (Bond_Name) ; Stop_Loss_Points = Stop_Loss_Param * MarketInfo (Bond_Name, MODE_BID) * Daily_Volatility / MarketInfo (Bond_Name, MODE_POINT); Take_Profit_Points = Take_Profit_Param * MarketInfo (Bond_Name, MODE_BID) * Daily_Volatility / MarketInfo (Bond_Name, MODE_POINT); //.......................................................................... Out_String = Out_String + "Pos Size (RISK) = " + DoubleToStr (Pos_Size, 2) + "\n" ; Out_String = Out_String + "Pos Size (MIN) = " + DoubleToStr (Pos_Size_Min, 2) + "\n" ; Out_String = Out_String + "Stop Loss = " + DoubleToStr (Stop_Loss_Points, 0) + " points\n"; Out_String = Out_String + "Take Profit = " + DoubleToStr (Take_Profit_Points, 0) + " points\n"; return (Out_String); } //______________________________________________________________________________________ // | // Get_Trend_Situation_String () | //_________________________________________________| string Get_Trend_Situation_String ( int Situation ) { string Ret_String = "N/A"; //...................................................... switch (Situation) { case TREND_MINIMUM: Ret_String = "MINIMUM"; break; case TREND_DOWN: Ret_String = "DOWN"; break; case TREND_DOWN_IN_CHANNEL: Ret_String = "DOWN IN CHANNEL"; break; case TREND_FLAT: Ret_String = "FLAT"; break; case TREND_UP: Ret_String = "UP"; break; case TREND_UP_IN_CHANNEL: Ret_String = "UP IN CHANNEL"; break; case TREND_MAXIMUM: Ret_String = "MAXIMUM"; break; } //...................................................... return (Ret_String); } //\_____________________/ END OF THIS FILE \___________________________________/