412 lines
16 KiB
MQL5
412 lines
16 KiB
MQL5
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//+------------------------------------------------------------------+
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//| PaperEA_v2_P0P5_Integration.mqh - Integration Layer |
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//| Ties all P0-P5 components into PaperEA_v2.mq5 with user specs |
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//| Auto-drift adjustment, CPU budgeting, risk gate protection |
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//+------------------------------------------------------------------+
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#ifndef PAPEREA_V2_P0P5_INTEGRATION_MQH
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#define PAPEREA_V2_P0P5_INTEGRATION_MQH
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#include "CDualEAController.mqh"
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#include "CSymbolCoordinator.mqh"
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#include "CGateFeatureCache.mqh"
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#include "CShadowLogger.mqh"
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//+------------------------------------------------------------------+
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//| Input Parameters - P0-P5 Features (Enabled by Default) |
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//+------------------------------------------------------------------+
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// === P0-P5 Hardening & Intelligence ===
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input bool InpEnableAutoDriftAdjustment = true; // P2-1: Auto-adjust gate thresholds
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input bool InpEnableCPUBudgeting = true; // P3-1: 10ms fail-fast budgeting
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input bool InpEnableNuclearRiskEngine = true; // P4-3: VaR/Kelly/Correlation risk
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input bool InpEnableMultiTimeframeGate = true; // P2-4: MTF confirmation
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input bool InpEnableCorrelationPruning = true; // P2-5: Strategy diversification
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input bool InpEnableShadowBridge = true; // P2-3: Parallel demo execution
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input bool InpEnableFeatureDriftDetection = true; // P4-4: Distribution shift alerts
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input bool InpEnableTimerScanner = true; // P3-5: Low-tick signal capture
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input bool InpEnableSQLiteParallel = true; // P1-1: ACID parallel logging
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input bool InpEnablePositionManager = true; // P1-6: Kelly sizing + vol exits
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input bool InpEnableSymbolCoordination = true; // P4-5: Redis cross-chart coordination
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// === Risk Gate Protection (Never Skip) ===
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input bool InpProtectG1_SignalRinse = true; // G1: Always process
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input bool InpProtectG4_Frequency = true; // G4: Always process
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input bool InpProtectG7_AdaptiveML = true; // G7: Always process
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input bool InpProtectG8_Execution = true; // G8: Always process
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// === Thresholds & Limits ===
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input double InpDriftZScoreThreshold = 2.5; // Drift detection sensitivity
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input double InpCPUBudgetMs = 10.0; // Per-tick CPU limit
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input double InpMaxPortfolioRiskPct = 15.0; // Portfolio risk cap
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input double InpMaxCorrelation = 0.70; // Strategy correlation limit
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input int InpMaxPositionsPerSymbol = 5; // Symbol position limit
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input int InpSQLiteMigrationDays = 30; // Parallel run duration
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//+------------------------------------------------------------------+
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//| Global Controller Instance |
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//+------------------------------------------------------------------+
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CDualEAController* g_dual_ea_controller = NULL;
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//+------------------------------------------------------------------+
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//| Initialize P0-P5 Systems |
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//+------------------------------------------------------------------+
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bool InitializeP0P5Systems()
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{
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Print("=== [PaperEA_v2] Initializing P0-P5 Hardening Systems ===");
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// Build configuration from inputs
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SDualEAConfig config;
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config.SetDefaults();
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// Map P0-P5 inputs into available SDualEAConfig fields
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config.shadow_logging_enabled = InpEnableShadowBridge;
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config.shadow_mode_only = ShadowMode;
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config.sqlite_enabled = InpEnableSQLiteParallel;
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config.sqlite_db_name = "dualea_kb.db";
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config.circuit_breaker_enabled = InpEnableNuclearRiskEngine;
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config.correlation_sizing_enabled = InpEnablePositionManager;
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config.volatility_exits_enabled = InpEnablePositionManager;
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config.max_risk_per_trade_pct = (InpMaxPortfolioRiskPct > 0.0 ? InpMaxPortfolioRiskPct : config.max_risk_per_trade_pct);
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config.max_positions = (InpMaxPositionsPerSymbol > 0 ? InpMaxPositionsPerSymbol : config.max_positions);
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// Initialize controller singleton
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g_dual_ea_controller = CDualEAController::Instance();
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if(!g_dual_ea_controller.Initialize(config))
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{
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Print("[PaperEA_v2] CRITICAL: Failed to initialize DualEA Controller");
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return false;
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}
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// Initialize symbol coordinator if enabled
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if(InpEnableSymbolCoordination)
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{
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if(!InitializeSymbolCoordinator(InpMaxPortfolioRiskPct))
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{
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Print("[PaperEA_v2] WARNING: Symbol coordinator init failed, running solo mode");
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}
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else
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{
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Print("[PaperEA_v2] ✓ Symbol coordinator active (Redis cross-chart)");
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}
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}
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// Initialize SQLite if parallel mode enabled
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if(InpEnableSQLiteParallel)
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{
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CSQLiteKnowledgeBase* sqlite_kb = g_dual_ea_controller.GetSQLiteKB();
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if(sqlite_kb != NULL)
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{
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Print("[PaperEA_v2] ✓ SQLite parallel logging active (30-day migration)");
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}
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}
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// Initialize indicator cache
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CIndicatorCache* cache = g_dual_ea_controller.GetIndicatorCache();
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if(cache != NULL)
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{
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// Pre-warm common indicators (disabled - PreWarmIndicator not available)
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// cache.PreWarmIndicator(_Symbol, PERIOD_CURRENT, INDI_MA, 20);
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// cache.PreWarmIndicator(_Symbol, PERIOD_CURRENT, INDI_RSI, 14);
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// cache.PreWarmIndicator(_Symbol, PERIOD_CURRENT, INDI_ATR, 14);
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// cache.PreWarmIndicator(_Symbol, PERIOD_CURRENT, INDI_MACD, 12);
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Print("[PaperEA_v2] ✓ Indicator cache ready (pre-warming disabled)");
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}
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Print("=== [PaperEA_v2] P0-P5 Systems Ready ===");
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return true;
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}
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//+------------------------------------------------------------------+
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//| Shutdown P0-P5 Systems |
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//+------------------------------------------------------------------+
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void ShutdownP0P5Systems()
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{
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Print("=== [PaperEA_v2] Shutting Down P0-P5 Systems ===");
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// Print final reports
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if(g_dual_ea_controller != NULL)
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{
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Print(g_dual_ea_controller.GetStatusReport());
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}
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// Shutdown coordinator
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ShutdownSymbolCoordinator();
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// Destroy controller (singleton)
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CDualEAController::Destroy();
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g_dual_ea_controller = NULL;
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Print("=== [PaperEA_v2] P0-P5 Systems Shutdown Complete ===");
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}
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// Overload that requires explicit intent; use this from OnDeinit only.
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void ShutdownP0P5Systems(const bool from_deinit)
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{
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if(!from_deinit)
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{
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Print("[PaperEA_v2] WARNING: ShutdownP0P5Systems(from_deinit=false) ignored to protect SQLite lifecycle");
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return;
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}
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ShutdownP0P5Systems();
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}
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//+------------------------------------------------------------------+
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//| PRE-GATE VALIDATOR: Concept Drift + MTF Check |
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//| Called before each gate in 8-stage cascade |
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//+------------------------------------------------------------------+
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bool PreGateValidate(const string &gate_name, double &threshold, const double &features[])
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{
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if(g_dual_ea_controller == NULL) return true;
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// P2-1: Concept drift auto-adjustment + P2-4: MTF confirmation
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return g_dual_ea_controller.PreGateValidation(gate_name, features, threshold);
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}
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//+------------------------------------------------------------------+
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//| CPU BUDGET CHECK: Risk Gates Protected |
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//| Returns true if gate should process, false if skipped |
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//+------------------------------------------------------------------+
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bool CheckGateBudget(const string &gate_name, bool &was_skipped)
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{
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was_skipped = false;
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if(g_dual_ea_controller == NULL) return true;
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// P3-1: CPU budgeting with risk gate protection
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// G1, G4, G7, G8 never skipped per user spec
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return g_dual_ea_controller.ShouldProcessGate(gate_name, was_skipped);
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}
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//+------------------------------------------------------------------+
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//| POST-GATE RECORD: Outcome tracking for drift detection |
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//+------------------------------------------------------------------+
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void PostGateRecord(const string &gate_name, bool passed, double confidence)
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{
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if(g_dual_ea_controller == NULL) return;
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g_dual_ea_controller.PostGateRecord(gate_name, passed, confidence);
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}
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//+------------------------------------------------------------------+
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//| STRATEGY SELECTION: Correlation-pruned diversified subset |
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//| Called before executing any strategy signal |
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//+------------------------------------------------------------------+
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bool SelectStrategy(const string &strategy_name, const double &signals[])
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{
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if(g_dual_ea_controller == NULL) return true;
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// P2-5: Correlation-aware pruning during selection
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return g_dual_ea_controller.SelectStrategyForExecution(strategy_name, signals);
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}
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//+------------------------------------------------------------------+
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//| CIRCUIT BREAKER: Nuclear Risk Engine (Interface Compatible) |
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//| Replaces original CheckCircuitBreakers() in PaperEA_v2.mq5 |
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//+------------------------------------------------------------------+
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bool CheckCircuitBreakers(double daily_pnl_pct, double drawdown_pct,
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int consecutive_losses, string &reason)
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{
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// P4-3: Nuclear risk engine with legacy fallback
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if(g_dual_ea_controller != NULL)
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{
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return g_dual_ea_controller.CheckCircuitBreakers(
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daily_pnl_pct, drawdown_pct, consecutive_losses, reason);
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}
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// Fallback if controller not available
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if(daily_pnl_pct < -5.0)
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{
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reason = "Daily loss > 5%";
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return false;
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}
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if(drawdown_pct > 15.0)
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{
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reason = "Drawdown > 15%";
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return false;
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}
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if(consecutive_losses >= 3)
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{
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reason = "3+ consecutive losses";
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return false;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| POSITION SIZE: Kelly-adjusted from nuclear risk engine |
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//+------------------------------------------------------------------+
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double GetPositionSizeAdjusted(double base_size)
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{
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if(g_dual_ea_controller == NULL) return base_size;
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// P4-3: Kelly criterion sizing
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return g_dual_ea_controller.GetRecommendedPositionSize(base_size);
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}
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//+------------------------------------------------------------------+
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//| PORTFOLIO COORDINATION: Check if trade allowed across symbols |
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//+------------------------------------------------------------------+
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bool ShouldTradePortfolioCheck(const string &direction, double risk_pct, string &reason)
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{
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if(!InpEnableSymbolCoordination || g_symbol_coordinator == NULL)
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return true;
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// Convert string direction to ENUM_ORDER_TYPE
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ENUM_ORDER_TYPE order_type = (direction == "SELL") ? ORDER_TYPE_SELL : ORDER_TYPE_BUY;
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return g_symbol_coordinator.ShouldTrade(order_type, risk_pct, reason);
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}
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//+------------------------------------------------------------------+
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//| COORDINATION: Record trade execution |
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//+------------------------------------------------------------------+
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void RecordTradeCoordination(const string &direction, double size, double risk_pct)
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{
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if(g_symbol_coordinator != NULL)
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{
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ENUM_ORDER_TYPE order_type = (direction == "SELL") ? ORDER_TYPE_SELL : ORDER_TYPE_BUY;
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g_symbol_coordinator.RecordTrade(order_type, size, risk_pct);
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}
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}
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//+------------------------------------------------------------------+
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//| COORDINATION: Record position close |
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//+------------------------------------------------------------------+
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void RecordCloseCoordination(double pnl, double risk_released)
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{
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if(g_symbol_coordinator != NULL)
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{
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g_symbol_coordinator.RecordClose(pnl, risk_released);
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}
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}
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//+------------------------------------------------------------------+
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//| ON TICK: P0-P5 processing cycle |
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//+------------------------------------------------------------------+
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void OnTickP0P5()
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{
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// P0-P5 OnTick processing
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if(g_dual_ea_controller != NULL)
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{
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// Controller handles its own tick processing
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}
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if(InpEnableSymbolCoordination && g_symbol_coordinator != NULL)
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{
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// No per-tick maintenance method is defined on CSymbolCoordinator.
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// Coordination is handled via RecordTrade/RecordClose.
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}
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}
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//+------------------------------------------------------------------+
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//| ON TIMER: P0-P5 periodic tasks |
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//+------------------------------------------------------------------+
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void OnTimerP0P5()
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{
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// P0-P5 OnTimer processing
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if(g_dual_ea_controller != NULL)
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{
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// Controller handles its own timer processing
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}
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}
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//+------------------------------------------------------------------+
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//| BATCH LOGGING: Queue telemetry event |
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//+------------------------------------------------------------------+
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void LogEventP0P5(const string &event, const string &context, const string &details)
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{
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// Telemetry logging through controller
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if(g_dual_ea_controller != NULL)
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{
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// Log via Print for now - integrate with telemetry system
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PrintFormat("[P0P5-EVENT] %s | %s | %s", event, context, details);
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}
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}
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//+------------------------------------------------------------------+
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//| FEATURE DRIFT: Record sample for distribution tracking |
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//+------------------------------------------------------------------+
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void RecordFeatureSample(const string &feature_name, double value)
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{
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// Feature drift recording through controller
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if(g_dual_ea_controller == NULL) return;
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// Log feature sample for drift detection
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if(InpEnableFeatureDriftDetection)
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{
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PrintFormat("[DRIFT-SAMPLE] %s = %.4f", feature_name, value);
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}
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}
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//+------------------------------------------------------------------+
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//| INDICATOR CACHE: Get cached value |
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//+------------------------------------------------------------------+
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double GetCachedIndicator(int indicator_type, int period, int shift = 0)
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{
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// Indicator cache - returns 0.0 if controller not available
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if(g_dual_ea_controller == NULL) return 0.0;
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// For now, calculate indicator directly via handles + CopyBuffer.
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// In future: integrate with CIndicatorCache for caching.
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int handle = INVALID_HANDLE;
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int buffer_index = 0;
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switch(indicator_type)
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{
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case 1: // MA
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handle = iMA(_Symbol, (ENUM_TIMEFRAMES)period, 20, 0, MODE_SMA, PRICE_CLOSE);
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buffer_index = 0;
|
||
|
|
break;
|
||
|
|
case 2: // RSI
|
||
|
|
handle = iRSI(_Symbol, (ENUM_TIMEFRAMES)period, 14, PRICE_CLOSE);
|
||
|
|
buffer_index = 0;
|
||
|
|
break;
|
||
|
|
case 3: // ATR
|
||
|
|
handle = iATR(_Symbol, (ENUM_TIMEFRAMES)period, 14);
|
||
|
|
buffer_index = 0;
|
||
|
|
break;
|
||
|
|
case 4: // MACD main
|
||
|
|
handle = iMACD(_Symbol, (ENUM_TIMEFRAMES)period, 12, 26, 9, PRICE_CLOSE);
|
||
|
|
buffer_index = 0;
|
||
|
|
break;
|
||
|
|
default:
|
||
|
|
return 0.0;
|
||
|
|
}
|
||
|
|
|
||
|
|
if(handle == INVALID_HANDLE)
|
||
|
|
return 0.0;
|
||
|
|
|
||
|
|
double buf[1];
|
||
|
|
if(CopyBuffer(handle, buffer_index, shift, 1, buf) != 1)
|
||
|
|
{
|
||
|
|
IndicatorRelease(handle);
|
||
|
|
return 0.0;
|
||
|
|
}
|
||
|
|
|
||
|
|
IndicatorRelease(handle);
|
||
|
|
return buf[0];
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| STATUS: Full system health report |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
string GetP0P5StatusReport()
|
||
|
|
{
|
||
|
|
string report = "";
|
||
|
|
|
||
|
|
if(g_dual_ea_controller != NULL)
|
||
|
|
{
|
||
|
|
report += g_dual_ea_controller.GetStatusReport() + "\n";
|
||
|
|
}
|
||
|
|
|
||
|
|
if(InpEnableSymbolCoordination && g_symbol_coordinator != NULL)
|
||
|
|
{
|
||
|
|
// report += g_symbol_coordinator.GetStatusReport() + "\n";
|
||
|
|
}
|
||
|
|
|
||
|
|
return report;
|
||
|
|
}
|
||
|
|
|
||
|
|
#endif // PAPEREA_V2_P0P5_INTEGRATION_MQH
|