294 lines
10 KiB
MQL5
294 lines
10 KiB
MQL5
 | //+------------------------------------------------------------------+
| ||
//| MLFeedbackIntegration.mqh |
| |||
//| Purpose: Bridge MQL5 trades to Python ML feedback loop |
| |||
//| This file writes trade outcomes to DualEA\feedback\immediate\ |
| |||
//+------------------------------------------------------------------+
| |||
#ifndef __MLFEEDBACKINTEGRATION_MQH__
| |||
#define __MLFEEDBACKINTEGRATION_MQH__
| |||
| |||
#include <Files/File.mqh>
| |||
#include "IStrategy.mqh"
| |||
| |||
//+------------------------------------------------------------------+
| |||
//| Trade Feedback Structure |
| |||
//+------------------------------------------------------------------+
| |||
struct STradeFeedback
| |||
{
| |||
string symbol;
| |||
string strategy;
| |||
int timeframe;
| |||
ulong ticket;
| |||
datetime entry_time;
| |||
datetime exit_time;
| |||
double entry_price;
| |||
double exit_price;
| |||
double volume;
| |||
double pnl;
| |||
double r_multiple;
| |||
bool won;
| |||
string regime;
| |||
double atr_at_entry;
| |||
double rsi_at_entry;
| |||
double gate_confidences[8]; // G1-G8 confidence scores
| |||
| |||
void Init()
| |||
{
| |||
symbol = "";
| |||
strategy = "";
| |||
timeframe = 0;
| |||
ticket = 0;
| |||
entry_time = 0;
| |||
exit_time = 0;
| |||
entry_price = 0.0;
| |||
exit_price = 0.0;
| |||
volume = 0.0;
| |||
pnl = 0.0;
| |||
r_multiple = 0.0;
| |||
won = false;
| |||
regime = "";
| |||
atr_at_entry = 0.0;
| |||
rsi_at_entry = 0.0;
| |||
ArrayInitialize(gate_confidences, 0.0);
| |||
}
| |||
};
| |||
| |||
//+------------------------------------------------------------------+
| |||
//| Global State for ML Feedback |
| |||
//+------------------------------------------------------------------+
| |||
string g_ml_feedback_dir = "DualEA\\feedback\\immediate\\";
| |||
int g_ml_write_count = 0;
| |||
| |||
//+------------------------------------------------------------------+
| |||
//| Helper: Escape JSON String |
| |||
//+------------------------------------------------------------------+
| |||
string EscapeJsonString(const string text)
| |||
{
| |||
string result = text;
| |||
StringReplace(result, "\\", "\\\\");
| |||
StringReplace(result, "\"", "\\\"");
| |||
StringReplace(result, "\n", "\\n");
| |||
StringReplace(result, "\r", "\\r");
| |||
StringReplace(result, "\t", "\\t");
| |||
return result;
| |||
}
| |||
| |||
//+------------------------------------------------------------------+
| |||
//| Write Trade Feedback to JSON File |
| |||
//+------------------------------------------------------------------+
| |||
bool WriteTradeFeedback(const STradeFeedback &feedback)
| |||
{
| |||
// Generate unique filename
| |||
string filename = StringFormat("feedback_%I64d_%s_%s.json",
| |||
feedback.ticket, feedback.symbol,
| |||
IntegerToString((int)TimeCurrent()));
| |||
string filepath = g_ml_feedback_dir + filename;
| |||
| |||
int handle = FileOpen(filepath, FILE_WRITE|FILE_TXT|FILE_COMMON|FILE_UNICODE);
| |||
if(handle == INVALID_HANDLE)
| |||
{
| |||
// Try without FILE_COMMON
| |||
handle = FileOpen(filepath, FILE_WRITE|FILE_TXT|FILE_UNICODE);
| |||
if(handle == INVALID_HANDLE)
| |||
{
| |||
PrintFormat("[MLFeedback] ERROR: Cannot open feedback file %s (Error %d)",
| |||
filepath, GetLastError());
| |||
return false;
| |||
}
| |||
}
| |||
| |||
// Build JSON manually (MQL5 doesn't have built-in JSON)
| |||
string json = "{\n";
| |||
json += StringFormat(" \"symbol\": \"%s\",\n", EscapeJsonString(feedback.symbol));
| |||
json += StringFormat(" \"strategy\": \"%s\",\n", EscapeJsonString(feedback.strategy));
| |||
json += StringFormat(" \"timeframe\": %d,\n", feedback.timeframe);
| |||
json += StringFormat(" \"ticket\": %I64d,\n", feedback.ticket);
| |||
json += StringFormat(" \"entry_time\": \"%s\",\n", TimeToString(feedback.entry_time, TIME_DATE|TIME_SECONDS));
| |||
json += StringFormat(" \"exit_time\": \"%s\",\n", TimeToString(feedback.exit_time, TIME_DATE|TIME_SECONDS));
| |||
json += StringFormat(" \"entry_price\": %.5f,\n", feedback.entry_price);
| |||
json += StringFormat(" \"exit_price\": %.5f,\n", feedback.exit_price);
| |||
json += StringFormat(" \"volume\": %.2f,\n", feedback.volume);
| |||
json += StringFormat(" \"pnl\": %.2f,\n", feedback.pnl);
| |||
json += StringFormat(" \"r_multiple\": %.2f,\n", feedback.r_multiple);
| |||
json += StringFormat(" \"won\": %s,\n", feedback.won ? "true" : "false");
| |||
json += StringFormat(" \"regime\": \"%s\",\n", EscapeJsonString(feedback.regime));
| |||
| |||
// Features at entry
| |||
json += " \"features\": {\n";
| |||
json += StringFormat(" \"atr_14\": %.5f,\n", feedback.atr_at_entry);
| |||
json += StringFormat(" \"rsi_14\": %.2f\n", feedback.rsi_at_entry);
| |||
json += " },\n";
| |||
| |||
// Gate confidences
| |||
json += " \"gate_confidences\": {\n";
| |||
for(int i = 0; i < 8; i++)
| |||
{
| |||
json += StringFormat(" \"G%d\": %.3f%s\n", i+1, feedback.gate_confidences[i],
| |||
(i < 7) ? "," : "");
| |||
}
| |||
json += " },\n";
| |||
| |||
// Policy slice identifier
| |||
string policy_slice = StringFormat("%s_%s_%d", feedback.strategy, feedback.symbol, feedback.timeframe);
| |||
json += StringFormat(" \"policy_slice\": \"%s\"\n", EscapeJsonString(policy_slice));
| |||
json += "}\n";
| |||
| |||
// Write to file
| |||
FileWriteString(handle, json);
| |||
FileClose(handle);
| |||
| |||
g_ml_write_count = g_ml_write_count + 1;
| |||
| |||
int mod_check = g_ml_write_count % 10;
| |||
if(mod_check == 0)
| |||
PrintFormat("[MLFeedback] Written %d feedback files", g_ml_write_count);
| |||
| |||
return true;
| |||
}
| |||
| |||
//+------------------------------------------------------------------+
| |||
//| Helper: Get current market regime |
| |||
//+------------------------------------------------------------------+
| |||
string GetCurrentMarketRegime(const string symbol, const ENUM_TIMEFRAMES timeframe)
| |||
{
| |||
// Simple regime detection using ADX
| |||
int adx_handle = iADX(symbol, timeframe, 14);
| |||
if(adx_handle == INVALID_HANDLE) return "unknown";
| |||
| |||
double adx_buffer[1], di_plus[1], di_minus[1];
| |||
bool copied = CopyBuffer(adx_handle, 0, 0, 1, adx_buffer) > 0 &&
| |||
CopyBuffer(adx_handle, 1, 0, 1, di_plus) > 0 &&
| |||
CopyBuffer(adx_handle, 2, 0, 1, di_minus) > 0;
| |||
IndicatorRelease(adx_handle);
| |||
| |||
if(!copied) return "unknown";
| |||
| |||
double adx = adx_buffer[0];
| |||
double dip = di_plus[0];
| |||
double dim = di_minus[0];
| |||
| |||
if(adx > 25)
| |||
{
| |||
if(dip > dim)
| |||
return "trending_up";
| |||
else
| |||
return "trending_down";
| |||
}
| |||
else if(adx < 20)
| |||
{
| |||
return "ranging";
| |||
}
| |||
else
| |||
{
| |||
return "transitional";
| |||
}
| |||
}
| |||
| |||
//+------------------------------------------------------------------+
| |||
//| Helper: Calculate R-Multiple for a trade |
| |||
//+------------------------------------------------------------------+
| |||
double CalculateRMultiple(const double pnl, const double risk_amount)
| |||
{
| |||
if(risk_amount == 0) return 0.0;
| |||
return pnl / risk_amount;
| |||
}
| |||
| |||
//+------------------------------------------------------------------+
| |||
//| Initialize feedback system |
| |||
//+------------------------------------------------------------------+
| |||
void InitializeMLFeedback()
| |||
{
| |||
// Ensure directory exists (best effort)
| |||
long dummy = 0;
| |||
string path = "DualEA";
| |||
if(!FolderCreate(path, FILE_COMMON))
| |||
{
| |||
// Try alternate path
| |||
path = "\\\" + path;
| |||
}
| |||
| |||
g_ml_write_count = 0;
| |||
Print("[MLFeedback] Feedback system initialized");
| |||
}
| |||
| |||
//+------------------------------------------------------------------+
| |||
//| Shutdown feedback system |
| |||
//+------------------------------------------------------------------+
| |||
void ShutdownMLFeedback()
| |||
{
| |||
PrintFormat("[MLFeedback] Total feedback files written: %d", g_ml_write_count);
| |||
}
| |||
| |||
//+------------------------------------------------------------------+
| |||
//| Record trade closure for ML feedback |
| |||
//| Call this from OnTrade or position close handler |
| |||
//+------------------------------------------------------------------+
| |||
void RecordTradeForML(
| |||
const ulong ticket,
| |||
const string strategy,
| |||
const double entry_price,
| |||
const double exit_price,
| |||
const double volume,
| |||
const double pnl,
| |||
const double sl_distance,
| |||
const double gate_confidences[]
| |||
)
| |||
{
| |||
// Get position details
| |||
if(!PositionSelectByTicket(ticket))
| |||
return;
| |||
| |||
string symbol = PositionGetString(POSITION_SYMBOL);
| |||
datetime entry_time = (datetime)PositionGetInteger(POSITION_TIME);
| |||
| |||
// Build feedback structure
| |||
STradeFeedback feedback;
| |||
feedback.Init();
| |||
| |||
feedback.symbol = symbol;
| |||
feedback.strategy = strategy;
| |||
feedback.timeframe = (int)_Period;
| |||
feedback.ticket = ticket;
| |||
feedback.entry_time = entry_time;
| |||
feedback.exit_time = TimeCurrent();
| |||
feedback.entry_price = entry_price;
| |||
feedback.exit_price = exit_price;
| |||
feedback.volume = volume;
| |||
feedback.pnl = pnl;
| |||
feedback.won = (pnl > 0);
| |||
| |||
// Calculate R-Multiple
| |||
double tick_value = SymbolInfoDouble(symbol, SYMBOL_TRADE_TICK_VALUE);
| |||
double risk_amount = sl_distance * volume * tick_value;
| |||
feedback.r_multiple = CalculateRMultiple(pnl, risk_amount);
| |||
| |||
// Get regime
| |||
feedback.regime = GetCurrentMarketRegime(symbol, _Period);
| |||
| |||
// Get features at entry (current values as proxy)
| |||
feedback.atr_at_entry = GetATR(14);
| |||
| |||
int rsi_handle = iRSI(symbol, _Period, 14, PRICE_CLOSE);
| |||
if(rsi_handle != INVALID_HANDLE)
| |||
{
| |||
double rsi_buffer[1];
| |||
if(CopyBuffer(rsi_handle, 0, 0, 1, rsi_buffer) > 0)
| |||
feedback.rsi_at_entry = rsi_buffer[0];
| |||
IndicatorRelease(rsi_handle);
| |||
}
| |||
| |||
// Copy gate confidences
| |||
for(int i = 0; i < 8 && i < ArraySize(gate_confidences); i++)
| |||
feedback.gate_confidences[i] = gate_confidences[i];
| |||
| |||
// Write to file
| |||
if(WriteTradeFeedback(feedback))
| |||
{
| |||
// Also update policy immediately
| |||
if(CheckPointer(g_learning_bridge) != POINTER_INVALID)
| |||
{
| |||
g_learning_bridge.RecordTradeOutcome(strategy, symbol, (int)_Period, feedback.won, pnl);
| |||
}
| |||
}
| |||
}
| |||
| |||
#endif // __MLFEEDBACKINTEGRATION_MQH__
|