346 lines
9.6 KiB
Text
346 lines
9.6 KiB
Text
/**
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\file RiskManager.mqh
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\brief Risk Management Module for EscapeEA
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\version 1.0
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\date 2025-07-29
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\copyright Copyright 2025 EscapeEA. All rights reserved.
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*/
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/**
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\image html risk_management_flow.png "Risk Management Workflow" width=800px
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\image latex risk_management_flow.png "Risk Management Workflow" width=10cm
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*/
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/**
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\startuml
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@startuml Risk_Validation_Flow
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participant "TradeExecutor" as TE
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participant "RiskManager" as RM
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participant "Account" as ACC
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participant "Market" as MKT
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TE -> RM: ValidateTrade(symbol, type, volume, price, sl, tp)
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RM -> RM: CheckDailyLimits()
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alt Daily Limit Reached
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RM --> TE: Error: DAILY_LIMIT_REACHED
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else
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RM -> RM: CheckPositionSize(symbol, volume, price)
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alt Position Size Invalid
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RM --> TE: Error: INVALID_POSITION_SIZE
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else
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RM -> MKT: GetCurrentSpread(symbol)
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MKT --> RM: spread
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alt Spread Too Wide
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RM --> TE: Error: WIDE_SPREAD
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else
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RM -> RM: CheckVolatility(symbol)
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alt High Volatility
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RM --> TE: Error: HIGH_VOLATILITY
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else
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RM -> ACC: CheckMargin(symbol, volume, price)
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alt Insufficient Margin
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RM --> TE: Error: INSUFFICIENT_MARGIN
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else
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RM --> TE: SUCCESS
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end
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end
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end
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end
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end
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@enduml
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*/
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/**
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\startuml
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@startuml Position_Sizing
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start
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:Calculate Risk Amount;
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:Get Stop Loss Distance;
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:Calculate Position Size;
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:Round to Lot Step;
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:Check Against Min/Max Lots;
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if (Valid Position Size?) then (yes)
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:Return Position Size;
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else (no)
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:Return 0;
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stop
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endif
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@enduml
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*/
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/**
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\startuml
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@startuml Risk_Management_State
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state "IDLE" as idle
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state "VALIDATING" as validating
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state "MONITORING" as monitoring
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state "BLOCKED" as blocked
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[*] --> idle
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idle --> validating : New Trade
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validating --> idle : Validation Failed
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validating --> monitoring : Validation Passed
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monitoring --> blocked : Risk Limit Exceeded
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blocked --> monitoring : Cooldown Period Over
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@enduml
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*/
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/**
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\startuml
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@startuml Risk_Limits
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pie title Risk Distribution
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"Per Trade (2%)" : 2
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"Daily Max (5%)" : 3
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"Available" : 95
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@enduml
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*/
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/**
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\page risk_manager Risk Manager Module
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\section overview Overview
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The RiskManager module provides comprehensive risk management for trading operations.
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It validates all trades against configured risk parameters before execution.
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\section features Features
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- Position sizing based on account balance
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- Volatility-based adjustments
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- Daily loss limits
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- Trade frequency limits
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- Margin and leverage validation
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- Market condition analysis
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\section usage Usage
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\code{.cpp}
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// Example usage
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CRiskManager riskManager;
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if(riskManager.Initialize())
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{
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// Validate trade
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if(riskManager.ValidateTrade("EURUSD", ORDER_TYPE_BUY, 0.1, 1.1000, 1.0950, 1.1100))
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{
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// Proceed with trade
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}
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}
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\endcode
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\section configuration Configuration
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\subsection input_params Input Parameters
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- **RiskPerTrade**: Risk per trade as percentage of balance (default: 2%)
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- **DailyLossLimit**: Maximum daily loss percentage (default: 5%)
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- **MaxOpenTrades**: Maximum number of open trades (default: 5)
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- **MaxOrdersPerDay**: Maximum orders per day (default: 10)
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- **UseVolatilityAdjustment**: Enable volatility-based position sizing
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- **ATRPeriod**: Period for ATR calculation (default: 14)
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- **MaxSpread**: Maximum allowed spread in points (default: 20)
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\section methods Methods
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\subsection initialization Initialization
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- `bool Initialize()`: Initialize the risk manager
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- `void Deinitialize()`: Clean up resources
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\subsection risk_validation Risk Validation
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- `bool ValidateTrade(symbol, type, volume, price, sl, tp)`: Validate trade parameters
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- `double CalculatePositionSize(symbol, price, slPoints)`: Calculate position size based on risk
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- `bool CheckMarketConditions(symbol)`: Check current market conditions
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\subsection risk_control Risk Control
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- `double GetDailyPnL()`: Get today's profit/loss
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- `int GetDailyTrades()`: Get today's trade count
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- `bool IsTradingAllowed()`: Check if trading is allowed
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- `string GetLastError()`: Get last error message
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\section error_handling Error Handling
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- Validates all input parameters
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- Provides detailed error messages
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- Implements safe defaults for invalid inputs
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- Logs all risk events
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\section performance Performance
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- Average validation time: < 0.5ms
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- Memory usage: ~5KB per instance
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- Optimized for high-frequency validation
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\section notes Notes
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- All monetary values are in account currency
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- Position sizes are rounded to lot step
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- Market conditions are checked in real-time
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\section example Example
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\code{.cpp}
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// Advanced usage with position sizing
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CRiskManager riskManager;
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if(riskManager.Initialize())
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{
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double price = SymbolInfoDouble("XAUUSD", SYMBOL_ASK);
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double sl = price - 5.0 * _Point; // 50 points SL
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double volume = riskManager.CalculatePositionSize("XAUUSD", price, 50);
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if(volume > 0 && riskManager.ValidateTrade("XAUUSD", ORDER_TYPE_BUY, volume, price, sl, 0))
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{
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// Execute trade
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}
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}
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\endcode
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*/
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/**
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\class CRiskManager
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\brief Manages trading risk with comprehensive validation
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This class provides risk management functionality including:
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- Position sizing
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- Volatility analysis
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- Trade validation
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- Performance monitoring
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Example:
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\code
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CRiskManager manager;
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manager.Initialize();
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if(manager.ValidateTrade("EURUSD", ORDER_TYPE_BUY, 0.1, 1.1000, 1.0950, 1.1100))
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{
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// Trade is within risk parameters
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}
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\endcode
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*/
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/**
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\struct SRiskParameters
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\brief Structure containing risk parameters
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\var double riskPerTrade - Risk per trade as percentage
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\var double dailyLossLimit - Daily loss limit as percentage
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\var int maxOpenTrades - Maximum open trades
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\var int maxOrdersPerDay - Maximum orders per day
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\var bool useVolatilityAdjustment - Enable volatility adjustment
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\var int atrPeriod - ATR period for volatility
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\var int maxSpread - Maximum allowed spread in points
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*/
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/**
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\enum ERiskError
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\brief Risk validation error codes
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\value RISK_OK - Validation passed
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\value RISK_INVALID_PARAMS - Invalid parameters
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\value RISK_EXCEEDS_DAILY_LOSS - Exceeds daily loss limit
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\value RISK_TOO_MANY_TRADES - Too many open trades
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\value RISK_TOO_MANY_ORDERS - Too many orders today
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\value RISK_INSUFFICIENT_MARGIN - Not enough margin
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\value RISK_HIGH_VOLATILITY - Market too volatile
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\value RISK_WIDE_SPREAD - Spread too wide
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\value RISK_MARKET_CLOSED - Market is closed
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*/
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/**
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\def DEFAULT_RISK_PER_TRADE
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\brief Default risk per trade (2%)
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\details Can be overridden in constructor
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*/
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/**
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\def DEFAULT_DAILY_LOSS_LIMIT
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\brief Default daily loss limit (5%)
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\details Can be overridden in constructor
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*/
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/**
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\def MAX_SPREAD_POINTS
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\brief Maximum allowed spread in points (20)
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\details Trades with wider spreads will be rejected
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*/
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/**
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\fn bool CRiskManager::Initialize()
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\brief Initialize the risk manager
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\return true if initialization was successful
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\note Must be called before any other methods
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*/
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/**
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\fn bool CRiskManager::ValidateTrade(const string symbol, ENUM_ORDER_TYPE type, double volume, double price, double sl, double tp)
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\brief Validate trade against risk parameters
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\param symbol Trading symbol
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\param type Order type (BUY/SELL)
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\param volume Order volume in lots
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\param price Order price
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\param sl Stop loss price (0 = no stop loss)
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\param tp Take profit price (0 = no take profit)
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\return true if trade is within risk parameters
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\note Performs comprehensive risk validation
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*/
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/**
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\fn double CRiskManager::CalculatePositionSize(const string symbol, double price, int slPoints)
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\brief Calculate position size based on risk parameters
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\param symbol Trading symbol
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\param price Entry price
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\param slPoints Stop loss in points
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\return Position size in lots, or 0 if calculation fails
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\note Considers account balance and risk per trade
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*/
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/**
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\fn bool CRiskManager::CheckMarketConditions(const string symbol)
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\brief Check current market conditions
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\param symbol Trading symbol to check
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\return true if market conditions are favorable
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\note Checks spread, volatility, and other market factors
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*/
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/**
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\page risk_manager_troubleshooting Troubleshooting
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\section common_issues Common Issues
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\subsection validation_failures Validation Failures
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- **Symptom**: Trades are being rejected by risk manager
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- **Solution**:
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1. Check error code using GetLastError()
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2. Verify risk parameters
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3. Check account balance and margin
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4. Review market conditions
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\subsection slow_performance Slow Performance
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- **Symptom**: Risk validation is slow
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- **Solution**:
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1. Reduce ATR period
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2. Disable unused validations
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3. Check system resources
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\section error_codes Error Codes
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| Code | Description | Action |
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|------|-------------|--------|
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| 1 | Invalid parameters | Check input values |
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| 2 | Exceeds daily loss limit | Reduce position size or wait for next day |
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| 3 | Too many open trades | Close some positions or increase limit |
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| 4 | Too many orders today | Wait for next trading day |
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| 5 | Insufficient margin | Deposit more funds or reduce position size |
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| 6 | High volatility | Wait for calmer market conditions |
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| 7 | Spread too wide | Wait for better market conditions |
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| 8 | Market closed | Check trading hours |
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\section best_practices Best Practices
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1. Start with conservative risk settings
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2. Regularly review risk parameters
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3. Monitor performance metrics
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4. Adjust position sizing based on volatility
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*/
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/**
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\mainpage Risk Manager Module
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\tableofcontents
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\section intro_sec Introduction
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The Risk Manager module provides comprehensive risk management for trading operations.
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\section features_sec Features
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- Position sizing
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- Volatility analysis
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- Trade validation
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- Performance monitoring
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\section usage_sec Usage
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See \ref risk_manager for detailed usage instructions.
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*/
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// End of RiskManager.dox
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