forked from mnbvc188199/Warrior_EA
47a5ef338b
- Replaced standard library signal modules with custom implementations to allow for named patterns and improved voting. - Added new input parameters for module weights, allowing for optimization of individual signal contributions. - Enhanced the management of trades with new options for breakeven and management cut. - Introduced a mechanism for dynamic ranking of signal weights based on historical performance. - Improved initialization logic to ensure proper registration of filters and handling of trading conditions. - Added detailed logging for trading permissions and account status during initialization.
193 lines
7.9 KiB
MQL5
193 lines
7.9 KiB
MQL5
//+------------------------------------------------------------------+
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//| AltDataFeed.mqh |
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//| AnimateDread |
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//| |
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//| THE DAILY MACRO / POSITIONING BLOCK, read once at init. |
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//| |
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//| Common\Files\ADAltData\<symbol>_D1.csv - 6,096 rows, 2010-01-01 |
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//| onward, semicolon separated. Sixteen usable columns: VIX and its |
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//| 5-day change, the dollar's 5-day change, COT speculative net plus |
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//| its 1y/3y percentiles and 4-week change, three EIA inventory |
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//| series, and six macro series (10y, curve, breakeven, output gap, |
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//| CPI, unemployment). |
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//| |
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//| ⚠ ivol AND ivol_chg5 ARE EMPTY IN EVERY ROW and are not loaded. |
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//| Measured 2026-09-11: 0.0% filled on EURUSD, against ~100% for the |
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//| other sixteen. Loading them would hand the network two constant |
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//| zero columns, which is not neutral - it spends input width and |
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//| lets the optimiser fit noise through the bias attached to them. |
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//| |
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//| WHY IT CANNOT LOOK AHEAD. A row dated D carries values known at |
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//| D's close. Features are built from shift 1 - the last CLOSED bar |
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//| - so the row matching that bar's date was fully observable before |
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//| the bar being decided even opened. `Lookup` therefore takes the |
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//| newest row whose date is <= the closed bar's date, never the row |
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//| after it, and a missing date resolves BACKWARD (a holiday reads |
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//| Friday's macro state, which is what a trader would have had). |
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//| |
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//| AND WHY IT IS NOT ZERO-FILLED. The series begin in 2010. A run |
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//| starting earlier must SKIP those bars, not pad them: a column of |
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//| zeros for 2005-2009 teaches the network the era rather than the |
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//| market, and it would learn "alt data absent" as a tradeable |
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//| state. Lookup() returns false and the caller drops the row. |
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//+------------------------------------------------------------------+
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#ifndef WARRIOR_ALTDATA_FEED_MQH
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#define WARRIOR_ALTDATA_FEED_MQH
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#define ALT_COLUMNS 16
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class CAltDataFeed
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{
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private:
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datetime m_date[]; // ascending, one per row
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double m_val[]; // flat, ALT_COLUMNS per row
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int m_rows;
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string m_why;
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string m_loadedFor;
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//--- The CSV's own column order, minus the two empty ones. Index into the split line.
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//--- 0=date 1=vix 2=vix_chg5 3=usd_chg5 [4=ivol 5=ivol_chg5 SKIPPED] 6=cot_spec_net
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//--- 7=cot_idx_1y 8=cot_idx_3y 9=cot_chg_4w 10..12=eia 13..18=mac
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static void SourceColumns(int &c[])
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{
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ArrayResize(c, ALT_COLUMNS);
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int k = 0;
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c[k++] = 1; c[k++] = 2; c[k++] = 3;
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c[k++] = 6; c[k++] = 7; c[k++] = 8; c[k++] = 9;
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c[k++] = 10; c[k++] = 11; c[k++] = 12;
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c[k++] = 13; c[k++] = 14; c[k++] = 15; c[k++] = 16; c[k++] = 17; c[k++] = 18;
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}
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public:
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CAltDataFeed(void) : m_rows(0), m_why("not loaded"), m_loadedFor("") {}
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~CAltDataFeed(void) {}
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bool Ok(void) const { return m_rows > 0; }
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int Rows(void) const { return m_rows; }
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string Why(void) const { return m_why; }
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static string ColumnName(const int i);
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bool Load(const string symbol);
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//--- Values for the bar CLOSING at `when`. False when the date predates the series.
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bool Lookup(const datetime when, double &out[]) const;
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};
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//+------------------------------------------------------------------+
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string CAltDataFeed::ColumnName(const int i)
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{
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switch(i)
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{
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case 0: return "vix";
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case 1: return "vix_chg5";
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case 2: return "usd_chg5";
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case 3: return "cot_spec_net";
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case 4: return "cot_idx_1y";
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case 5: return "cot_idx_3y";
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case 6: return "cot_chg_4w";
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case 7: return "eia_stk_idx1y";
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case 8: return "eia_stk_chg4";
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case 9: return "eia_util";
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case 10: return "mac_y10";
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case 11: return "mac_curve";
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case 12: return "mac_bei";
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case 13: return "mac_gap";
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case 14: return "mac_cpi";
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case 15: return "mac_unemp";
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}
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return "?";
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}
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//+------------------------------------------------------------------+
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bool CAltDataFeed::Load(const string symbol)
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{
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if(m_loadedFor == symbol && m_rows > 0)
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return true;
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m_rows = 0;
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ArrayResize(m_date, 0);
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ArrayResize(m_val, 0);
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const string path = "ADAltData\\" + symbol + "_D1.csv";
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//--- FILE_COMMON: the corpus is shared by the tester and the live terminal, exactly like the
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//--- journal database, so one file serves every agent rather than one copy per sandbox.
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const int h = FileOpen(path, FILE_READ | FILE_TXT | FILE_ANSI | FILE_COMMON);
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if(h == INVALID_HANDLE)
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{
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m_why = StringFormat("cannot open Common\\Files\\%s (%d)", path, GetLastError());
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return false;
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}
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int src[];
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SourceColumns(src);
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string parts[];
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bool header = true;
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while(!FileIsEnding(h))
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{
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const string line = FileReadString(h);
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if(header) // the column names, not data
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{ header = false; continue; }
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if(StringLen(line) < 10)
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continue;
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if(StringSplit(line, ';', parts) < 19)
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continue;
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//--- "2010-01-01" -> "2010.01.01"; StringToTime wants dots.
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string d = parts[0];
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StringReplace(d, "-", ".");
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const datetime when = StringToTime(d);
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if(when == 0)
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continue;
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const int r = m_rows;
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ArrayResize(m_date, r + 1);
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ArrayResize(m_val, (r + 1) * ALT_COLUMNS);
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m_date[r] = when;
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for(int c = 0; c < ALT_COLUMNS; c++)
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{
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const string cell = parts[src[c]];
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//--- An empty cell carries the previous row's value forward - a macro series that has not
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//--- printed yet has not CHANGED either, and the last print is what a trader would be
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//--- acting on. Only the very first rows can have nothing to carry, and they read 0.
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double v = 0.0;
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if(StringLen(cell) > 0)
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v = StringToDouble(cell);
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else
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if(r > 0)
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v = m_val[(r - 1) * ALT_COLUMNS + c];
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m_val[r * ALT_COLUMNS + c] = v;
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}
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m_rows++;
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}
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FileClose(h);
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if(m_rows <= 0)
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{
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m_why = "file opened but no usable rows";
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return false;
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}
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m_loadedFor = symbol;
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m_why = "";
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return true;
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}
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//+------------------------------------------------------------------+
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bool CAltDataFeed::Lookup(const datetime when, double &out[]) const
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{
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ArrayResize(out, ALT_COLUMNS);
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ArrayInitialize(out, 0.0);
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if(m_rows <= 0 || when < m_date[0])
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return false; // predates the series - the caller drops the row
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//--- Newest row at or before `when`. Binary search: this runs once per training row, and a
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//--- linear scan over 6,000 rows x 4,000 rows of training is 24M comparisons per fit.
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int lo = 0, hi = m_rows - 1, best = -1;
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while(lo <= hi)
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{
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const int mid = (lo + hi) / 2;
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if(m_date[mid] <= when)
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{ best = mid; lo = mid + 1; }
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else
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hi = mid - 1;
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}
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if(best < 0)
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return false;
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for(int c = 0; c < ALT_COLUMNS; c++)
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out[c] = m_val[best * ALT_COLUMNS + c];
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return true;
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}
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//+------------------------------------------------------------------+
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//| ONE FEED PER CHART, like the Wyckoff one and for the same reason. |
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//+------------------------------------------------------------------+
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CAltDataFeed g_altData;
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#endif // WARRIOR_ALTDATA_FEED_MQH
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