Virtual_by_fxsaber/Include/fxsaber/Virtual/HistoryOrders.mqh

<EFBFBD><EFBFBD>#define RESERVE_HISTORY_ORDERS 2000

#include "Order.mqh"

class HISTORYORDERS
{
private:
  // HISTORYORDERS::Swap
  int StartPos;
  int LastPos;

  int PrevAmountHistoryOrders;

  int TradesProfit;
  int TradesLoss;

  int TradesShortTotal;
  int TradesLongTotal;

  int TradesShortProfit;
  int TradesLongProfit;

  double InitialDeposit;
  double Withdrawal;

  double GrossProfit;
  double GrossLoss;

  double MaxProfit;
  double MaxLoss;

  double Balance;
  double MaxBalance;
  double BalanceDD;

  void InitStatistic()
  {
    this.LastPos = this.StartPos;

    this.TradesProfit = 0;
    this.TradesLoss = 0;

    this.TradesShortTotal = 0;
    this.TradesLongTotal = 0;

    this.TradesShortProfit = 0;
    this.TradesLongProfit = 0;

    this.InitialDeposit = ((this.StartPos < this.AmountHistoryOrders) &&
                           (this.HistoryOrders[this.LastPos] == OP_BALANCE)) ? this.HistoryOrders[this.LastPos++].GetProfit() : 0;
    this.Withdrawal = 0;

    this.GrossProfit = 0;
    this.GrossLoss = 0;

    this.MaxProfit = 0;
    this.MaxLoss = 0;

    this.Balance = 0;
    this.MaxBalance = 0;
    this.BalanceDD = 0;

    return;
  }

  void SetOrder( const double Profit, int &TradesLongShortProfit, int &TradesLongShortTotal )
  {
    if (Profit > 0)
    {
      if (Profit > this.MaxProfit)
        this.MaxProfit = Profit;

      this.GrossProfit += Profit;

      this.TradesProfit++;
      TradesLongShortProfit++;
    }
    else if (Profit < 0)
    {
      if (Profit < this.MaxLoss)
        this.MaxLoss = Profit;

      this.GrossLoss += Profit;

      this.TradesLoss++;
    }

    this.Balance += Profit;

    if (this.Balance > this.MaxBalance)
      this.MaxBalance = this.Balance;
    else if (this.MaxBalance - this.Balance > this.BalanceDD)
      this.BalanceDD = this.MaxBalance - this.Balance;

    TradesLongShortTotal++;

    return;
  }

  void Refresh( void )
  {
    while (this.LastPos < this.AmountHistoryOrders)
    {
      switch (this.HistoryOrders[this.LastPos].GetType())
      {
      case ORDER_TYPE_BUY:
        this.SetOrder(this.HistoryOrders[this.LastPos].GetFullProfit(), this.TradesLongProfit, this.TradesLongTotal);

        break;
      case ORDER_TYPE_SELL:
        this.SetOrder(this.HistoryOrders[this.LastPos].GetFullProfit(), this.TradesShortProfit, this.TradesShortTotal);

        break;
      case OP_BALANCE:
        if (this.LastPos != this.StartPos)
          this.Withdrawal += this.HistoryOrders[this.LastPos].GetProfit();
        else
          this.InitialDeposit = this.HistoryOrders[this.LastPos].GetProfit();
      }

      this.LastPos++;
    }

    return;
  }

  static string DoubleToString( const double Num, const int digits )
  {
    return((Num == DBL_MAX) ? "Max" : ::DoubleToString(Num, digits));
  }

protected:
  // HISTORYORDERS::Swap
  ORDER_BASE HistoryOrders[];

  int ReserveHistoryOrders;

  bool FlagChange;

  bool Swap( HISTORYORDERS &OtherHistoryOrders )
  {
  #ifdef __MQL5__
    const bool Res = ::ArraySwap(this.HistoryOrders, OtherHistoryOrders.HistoryOrders);
  #else // #ifdef __MQL5__
    const bool Res = false;
  #endif // #ifdef __MQL5__ #else

    if (Res)
    {
      this.AmountHistoryOrders = OtherHistoryOrders.AmountHistoryOrders;
      this.ReserveHistoryOrders = OtherHistoryOrders.ReserveHistoryOrders;
      this.FlagChange = OtherHistoryOrders.FlagChange;

      this.StartPos = OtherHistoryOrders.StartPos;
      this.LastPos = OtherHistoryOrders.LastPos;

      this.PrevAmountHistoryOrders = OtherHistoryOrders.PrevAmountHistoryOrders;

      this.TradesProfit = OtherHistoryOrders.TradesProfit;
      this.TradesLoss = OtherHistoryOrders.TradesLoss;

      this.TradesShortTotal = OtherHistoryOrders.TradesShortTotal;
      this.TradesLongTotal = OtherHistoryOrders.TradesLongTotal;

      this.TradesShortProfit = OtherHistoryOrders.TradesShortProfit;
      this.TradesLongProfit = OtherHistoryOrders.TradesLongProfit;

      this.InitialDeposit = OtherHistoryOrders.InitialDeposit;
      this.Withdrawal = OtherHistoryOrders.Withdrawal;

      this.GrossProfit = OtherHistoryOrders.GrossProfit;
      this.GrossLoss = OtherHistoryOrders.GrossLoss;

      this.MaxProfit = OtherHistoryOrders.MaxProfit;
      this.MaxLoss = OtherHistoryOrders.MaxLoss;

      this.Balance = OtherHistoryOrders.Balance;
      this.MaxBalance = OtherHistoryOrders.MaxBalance;
      this.BalanceDD = OtherHistoryOrders.BalanceDD;
    }

    return(Res);
  }

public: // ORDER::IsChange2
  void AddHistoryOrder( const ORDER_BASE &Order )
  {
    if (this.AmountHistoryOrders == this.ReserveHistoryOrders)
      // https://www.mql5.com/ru/forum/282062/page48#comment_50770216
      this.ReserveHistoryOrders = ::ArrayResize(this.HistoryOrders, ::MathMax(RESERVE_HISTORY_ORDERS,
                                                                              this.ReserveHistoryOrders << 1));

//    ORDER OrderTmp = Order; // https://www.mql5.com/ru/forum/492248/page3#comment_57718727
    ORDER OrderTmp; OrderTmp = Order;

    if (OrderTmp.IsNotNull() && this.AmountHistoryOrders < this.ReserveHistoryOrders)
    {
      OrderTmp.ToHistory();

      this.HistoryOrders[this.AmountHistoryOrders++] = OrderTmp;

      this.FlagChange = true;
    }

    return;
  }
protected:

  bool CopyFrom( const HISTORYORDERS* SourceOrders )
  {
    this.AmountHistoryOrders = SourceOrders.AmountHistoryOrders;
    this.ReserveHistoryOrders = ::ArrayCopy(this.HistoryOrders, SourceOrders.HistoryOrders);

    this.InitStat();

    return(this.ReserveHistoryOrders == ::ArraySize(SourceOrders.HistoryOrders));
  }

  bool GetReduceOrder( ORDER_BASE &Order, const int Pos ) const
  {
    const bool Res = (Pos >= 0) && (Pos < this.AmountHistoryOrders);

    if (Res)
    {
      double Sum = 0;

      for (int i = 0; i <= Pos; i++)
        Sum += this.HistoryOrders[i].GetFullProfit();

      Order.Set(this.HistoryOrders[Pos].GetTicket(), OP_BALANCE, 0, NULL, "ReduceHistory", 0,
                this.HistoryOrders[Pos].GetCloseTimeMsc(), 0, 0, 0,
                this.HistoryOrders[Pos].GetCloseTimeMsc(), 0, Sum);
    }

    return(Res);
  }

  bool GetReduceOrder( ORDER_BASE &Order, const int Pos, const bool ChangeHistory )
  {
    const bool Res = this.GetReduceOrder(Order, Pos);

    if (Res && ChangeHistory && Pos)
    {
      int Amount = 1;

      for (int i = Pos + 1; i < this.AmountHistoryOrders; i++)
        this.HistoryOrders[Amount++] = this.HistoryOrders[i];

      this.HistoryOrders[0] = Order;
      this.AmountHistoryOrders = Amount;

      this.InitStatistic();
    }

    return(Res);
  }

  TICKET_TYPE GetMaxHistoryTicket( void ) const
  {
    TICKET_TYPE MaxTicket = 0;

    for (int i = this.AmountHistoryOrders - 1; i >= 0; i--)
    {
      const TICKET_TYPE Ticket = this.HistoryOrders[i].GetTicket();

      if (Ticket > MaxTicket)
        MaxTicket = Ticket;
    }

    return(MaxTicket);
  }

public:
  int AmountHistoryOrders;

  HISTORYORDERS() : AmountHistoryOrders(0), ReserveHistoryOrders(0), PrevAmountHistoryOrders(0), StartPos(0), FlagChange(true)
  {
    this.InitStatistic();
  }

  bool ResetTickets( void )
  {
    long Tickets[][2];
    const int Size = ::ArrayResize(Tickets, this.AmountHistoryOrders);

  #define VALUE 0
  #define INDEX 1
    for (int i = 0; i < Size; i++)
    {
//      Tickets[i][VALUE] = this.HistoryOrders[i].GetTicket();
      Tickets[i][VALUE] = this.HistoryOrders[i].GetOpenTimeMsc();
      Tickets[i][INDEX] = i;
    }

    ::ArraySort(Tickets);

    for (int i = 0; i < Size; i++)
      this.HistoryOrders[(int)Tickets[i][INDEX]].SetTicket(i + 1);
  #undef INDEX
  #undef VALUE

    ORDER::SetTicketCount(Size);

    return(true);
  }

  bool InitStat( const long StartTime = 0 )
  {
    if (this.AmountHistoryOrders)
    {
      if (this.StartPos < this.AmountHistoryOrders)
      {
        if (this.HistoryOrders[this.StartPos] != StartTime)
        {
          if (this.HistoryOrders[this.StartPos] < StartTime)
          {
            while ((++this.StartPos < this.AmountHistoryOrders) && (this.HistoryOrders[this.StartPos] < StartTime))
              ;

            this.InitStatistic();
          }
          else if (this.StartPos && (this.HistoryOrders[0] <= StartTime))
          {
            const int PrevStartPos = this.StartPos;

            while ((--this.StartPos >= 0) && (this.HistoryOrders[this.StartPos] >= StartTime))
              ;

            this.StartPos++;

            if (this.StartPos != PrevStartPos)
              this.InitStatistic();
          }
        }
      }
      else if (this.HistoryOrders[this.StartPos - 1] > StartTime)
      {
        while ((--this.StartPos >= 0) && (this.HistoryOrders[this.StartPos] >= StartTime))
          ;

        this.StartPos++;

        this.InitStatistic();
      }
    }

    return(true);
  }

  double TesterStatistics( const ENUM_STATISTICS StatID )
  {
    double Res = 0;

    this.Refresh();

    switch (StatID)
    {
    case STAT_INITIAL_DEPOSIT: // =0G5=85 =0G0;L=>3> 45?>78B0
      Res = this.InitialDeposit;

      break;
    case STAT_WITHDRAWAL: // >;8G5AB2> 2K2545==KE A> AG5B0 A@54AB2
      Res = this.Withdrawal;

      break;
    case STAT_PROFIT: // '8AB0O ?@81K;L ?> >:>=G0=88 B5AB8@>20=8O
      Res = this.GrossLoss + this.GrossProfit;

      break;
    case STAT_GROSS_PROFIT: // 1I0O ?@81K;L, AC<<0 2A5E ?@81K;L=KE (?>;>68B5;L=KE) B@594>2. =0G5=85 1>;LH5 8;8 @02=> =C;N
      Res = this.GrossProfit;

      break;
    case STAT_GROSS_LOSS: // 1I89 C1KB>:, AC<<0 2A5E C1KB>G=KE (>B@8F0B5;L=KE) B@594>2. =0G5=85 <5=LH5 8;8 @02=> =C;N
      Res = this.GrossLoss;

      break;
    case STAT_MAX_PROFITTRADE: // 0:A8<0;L=0O ?@81K;L   =081>;LH55 7=0G5=85 A@548 2A5E ?@81K;L=KE B@594>2. =0G5=85 1>;LH5 8;8 @02=> =C;N
      Res = this.MaxProfit;

      break;
    case STAT_MAX_LOSSTRADE: // 0:A8<0;L=K9 C1KB>:   =08<5=LH55 7=0G5=85 A@548 2A5E C1KB>G=KE B@594>2. =0G5=85 <5=LH5 8;8 @02=> =C;N
      Res = this.MaxLoss;

      break;
    case STAT_BALANCE_DD: // 0:A8<0;L=0O ?@>A04:0 10;0=A0 2 45=L30E.  ?@>F5AA5 B>@3>2;8 10;0=A <>65B 8A?KB0BL <=>65AB2> ?@>A04>:, 15@5BAO =081>;LH55 7=0G5=85.
      Res = this.BalanceDD;

      break;
    case STAT_EXPECTED_PAYOFF: // 0B5<0B8G5A:>5 >6840=85 2K83@KH0
      {
        const int Total = this.TradesLongTotal + this.TradesShortTotal;

        Res = Total ? (this.GrossLoss + this.GrossProfit) / Total : 0;
      }

      break;
    case STAT_PROFIT_FACTOR: // @81K;L=>ABL   >B=>H5=85 STAT_GROSS_PROFIT/STAT_GROSS_LOSS. A;8 STAT_GROSS_LOSS=0, B> ?@81K;L=>ABL ?@8=8<05B 7=0G5=85 DBL_MAX
      Res = this.GrossLoss ? -this.GrossProfit / this.GrossLoss : DBL_MAX;

      break;
    case STAT_RECOVERY_FACTOR: // $0:B>@ 2>AAB0=>2;5=8O   >B=>H5=85 STAT_PROFIT/STAT_BALANCE_DD
      Res = this.BalanceDD ? (this.GrossLoss + this.GrossProfit) / this.BalanceDD : 0;

      break;
    case STAT_DEALS: // >;8G5AB2> A>25@H5==KE A45;>:
      Res = (this.TradesLongTotal + this.TradesShortTotal) << 1;

      break;
    case STAT_TRADES: // >;8G5AB2> B@594>2
      Res = this.TradesLongTotal + this.TradesShortTotal;

      break;
    case STAT_PROFIT_TRADES: // @81K;L=K5 B@594K
      Res = this.TradesProfit;

      break;
    case STAT_LOSS_TRADES: // #1KB>G=K5 B@594K
      Res = this.TradesLoss;

      break;
    case STAT_SHORT_TRADES: // >@>B:85 B@594K
      Res = this.TradesShortTotal;

      break;
    case STAT_LONG_TRADES: // ;8==K5 B@594K
      Res = this.TradesLongTotal;

      break;
    case STAT_PROFIT_SHORTTRADES: // >@>B:85 ?@81K;L=K5 B@594K
      Res = this.TradesShortProfit;

      break;
    case STAT_PROFIT_LONGTRADES: // ;8==K5 ?@81K;L=K5 B@594K
      Res = this.TradesLongProfit;

      break;
    }

    return(Res);
  }

  bool IsHistoryChanged( void )
  {
    const bool Res = (this.AmountHistoryOrders != this.PrevAmountHistoryOrders);

    if (Res)
      this.PrevAmountHistoryOrders = this.AmountHistoryOrders;

    return(Res);
  }

  bool GetFlagChange( void )
  {
    const bool Res = this.FlagChange;

    this.FlagChange = false;

    return(Res);
  }

  string StatToString( const int &Amount )
  {
    return("Profit = " + HISTORYORDERS::DoubleToString(this.TesterStatistics(STAT_PROFIT) / Amount, 2) + ", " +
           "Trades = " + HISTORYORDERS::DoubleToString(this.TesterStatistics(STAT_TRADES) / Amount, 0) + ", " +
           "PF = " + HISTORYORDERS::DoubleToString(this.TesterStatistics(STAT_PROFIT_FACTOR), 2) + ", " +
           "Mean = " + HISTORYORDERS::DoubleToString(this.TesterStatistics(STAT_EXPECTED_PAYOFF), 2) + ", " +
           "MaxDD = " + HISTORYORDERS::DoubleToString(-this.TesterStatistics(STAT_BALANCE_DD) / Amount, 2) + ", " +
           "RF = " + HISTORYORDERS::DoubleToString(this.TesterStatistics(STAT_RECOVERY_FACTOR), 2));
  }

  double CalcSwaps( const double &SwapShort, const double &SwapLong, const datetime &RolloverTime, const int &Rollover3Days )
  {
    double ChangeSwaps = 0;

    for (int i = this.AmountHistoryOrders - 1; i >= 0; i--)
      ChangeSwaps += this.HistoryOrders[i].SetSwap(SwapShort, SwapLong, RolloverTime, Rollover3Days);

    this.InitStatistic();

    return(ChangeSwaps);
  }

  void MoveHistory( HISTORYORDERS& pOrders )
  {
    for (int i = 0; i < this.AmountHistoryOrders; i++)
      pOrders.AddHistoryOrder(this.HistoryOrders[i]);

    this.AmountHistoryOrders = 0;

    return;
  }
};

#undef RESERVE_HISTORY_ORDERS