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