298 righe
11 KiB
MQL5
298 righe
11 KiB
MQL5
#ifndef NN_DATA_LOGGER_MQH
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#define NN_DATA_LOGGER_MQH
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//+------------------------------------------------------------------+
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//| NNDataLogger.mqh |
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//| Real-trade labeling via MT5 deal history. |
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//| Phase 1 — NN_CaptureEntry(): snapshot features at trade open. |
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//| Phase 2 — NN_LabelFromDeal(): write labeled row when trade closes.|
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//| |
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//| Replaces the old speculative 180-bar lookahead approach. |
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//+------------------------------------------------------------------+
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#property strict
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#include <Files\File.mqh>
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#include "NNFeatures.mqh"
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#include "InputParams.mqh"
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// ─── Pending-entry store ─────────────────────────────────────────────────────
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struct NNPendingEntry
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{
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ulong position_id;
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bool is_buy;
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double entry_price;
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datetime entry_time;
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string setup_name;
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string session_name;
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string session_phase;
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string symbol_profile;
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double cluster_strength;
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double conflict_score;
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int category; // 0 = continuation, 1 = counter
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double spread_points;
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double free_margin;
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double equity;
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double balance;
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double margin_required;
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double risk_amount;
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double features[12];
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int n_features;
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};
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#define NN_MAX_PENDING 60 // safely above Max_Open_Trades (20) with headroom
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NNPendingEntry g_nn_pending[NN_MAX_PENDING];
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int g_nn_pending_count = 0;
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// ─── Phase 1: capture at trade open ─────────────────────────────────────────
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//
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// Call this immediately after a successful Trade.Buy() / Trade.Sell().
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// position_id — from HistoryDealGetInteger(entry_deal, DEAL_POSITION_ID)
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// is_buy — true for long, false for short
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// setup — reason string passed to Trade.Buy/Sell
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// cluster_strength, conflict_score — from Coordinator globals
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// category — 0 = continuation, 1 = counter
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void NN_CaptureEntry(ulong position_id,
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bool is_buy,
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const string setup,
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const double entry_price,
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const string session_name,
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const string session_phase,
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const string symbol_profile,
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double cluster_strength,
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double conflict_score,
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int category,
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double spread_points,
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double free_margin,
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double equity,
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double balance,
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double margin_required,
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double risk_amount)
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{
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if(!NN_LogData) return;
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if(conflict_score > NN_MaxConflictToLog) return;
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if(g_nn_pending_count >= NN_MAX_PENDING) return;
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double feat[];
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int n = BuildNNFeatures(feat);
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if(n <= 0) return;
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int idx = g_nn_pending_count;
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g_nn_pending[idx].position_id = position_id;
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g_nn_pending[idx].is_buy = is_buy;
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g_nn_pending[idx].entry_price = entry_price;
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g_nn_pending[idx].entry_time = TimeCurrent();
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g_nn_pending[idx].setup_name = setup;
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g_nn_pending[idx].session_name = session_name;
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g_nn_pending[idx].session_phase = session_phase;
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g_nn_pending[idx].symbol_profile = symbol_profile;
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g_nn_pending[idx].cluster_strength = cluster_strength;
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g_nn_pending[idx].conflict_score = conflict_score;
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g_nn_pending[idx].category = category;
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g_nn_pending[idx].spread_points = spread_points;
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g_nn_pending[idx].free_margin = free_margin;
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g_nn_pending[idx].equity = equity;
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g_nn_pending[idx].balance = balance;
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g_nn_pending[idx].margin_required = margin_required;
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g_nn_pending[idx].risk_amount = risk_amount;
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g_nn_pending[idx].n_features = MathMin(n, 12);
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for(int i = 0; i < g_nn_pending[idx].n_features; i++)
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g_nn_pending[idx].features[i] = feat[i];
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g_nn_pending_count++;
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}
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void NN_LogRejectedDecision(const bool is_buy,
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const string setup,
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const string reason,
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const double lots,
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const double entry_price,
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const string session_name,
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const string session_phase,
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const string symbol_profile,
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const double cluster_strength,
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const double conflict_score,
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const int category,
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const double spread_points,
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const double free_margin,
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const double equity,
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const double balance,
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const double margin_required,
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const double risk_amount)
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{
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if(!NN_LogData) return;
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double feat[];
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int n = BuildNNFeatures(feat);
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if(n <= 0) return;
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int h = FileOpen(NN_LogFileName, FILE_READ|FILE_WRITE|FILE_CSV|FILE_ANSI);
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if(h == INVALID_HANDLE)
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return;
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FileSeek(h, 0, SEEK_END);
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if(FileSize(h) == 0)
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{
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FileWrite(h,
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"status", "entry_time", "exit_time", "symbol", "tf",
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"session", "phase", "symbol_profile",
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"is_buy", "category", "setup", "reason",
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"cluster_strength", "conflict_score",
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"entry_price", "exit_price",
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"spread_points", "free_margin", "equity", "balance",
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"margin_required", "risk_amount", "lots",
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"label", "duration_min", "n_features", "features_json"
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);
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}
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string fjson = "[";
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for(int k = 0; k < MathMin(n, 12); k++)
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{
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fjson += DoubleToString(feat[k], 8);
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if(k < MathMin(n, 12) - 1) fjson += ",";
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}
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fjson += "]";
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FileWrite(h,
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"rejected",
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(string)TimeCurrent(),
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"",
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_Symbol,
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(string)Period(),
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session_name,
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session_phase,
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symbol_profile,
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(is_buy ? 1 : 0),
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category,
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setup,
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reason,
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DoubleToString(cluster_strength, 2),
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DoubleToString(conflict_score, 2),
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DoubleToString(entry_price, _Digits),
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"",
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DoubleToString(spread_points, 1),
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DoubleToString(free_margin, 2),
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DoubleToString(equity, 2),
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DoubleToString(balance, 2),
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DoubleToString(margin_required, 2),
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DoubleToString(risk_amount, 2),
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DoubleToString(lots, 2),
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0,
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0,
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MathMin(n, 12),
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fjson
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);
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FileClose(h);
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}
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// ─── Phase 2: label and write at trade close ─────────────────────────────────
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//
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// Call from OnTradeTransaction when entry == DEAL_ENTRY_OUT.
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// deal_ticket must already be selected with HistoryDealSelect().
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void NN_LabelFromDeal(ulong deal_ticket)
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{
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if(!NN_LogData) return;
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ulong pos_id = (ulong)HistoryDealGetInteger(deal_ticket, DEAL_POSITION_ID);
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// Find the matching pending entry
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int idx = -1;
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for(int i = 0; i < g_nn_pending_count; i++)
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{
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if(g_nn_pending[i].position_id == pos_id)
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{
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idx = i;
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break;
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}
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}
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if(idx < 0) return; // trade wasn't captured (manual trade or already labeled)
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double profit = HistoryDealGetDouble(deal_ticket, DEAL_PROFIT);
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double exit_price = HistoryDealGetDouble(deal_ticket, DEAL_PRICE);
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datetime exit_time = (datetime)HistoryDealGetInteger(deal_ticket, DEAL_TIME);
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int dur_min = (int)((exit_time - g_nn_pending[idx].entry_time) / 60);
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int label = (profit > 0.0) ? 1 : 0; // 1 = win, 0 = loss/breakeven
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// Write CSV row
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int h = FileOpen(NN_LogFileName, FILE_READ|FILE_WRITE|FILE_CSV|FILE_ANSI);
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if(h != INVALID_HANDLE)
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{
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FileSeek(h, 0, SEEK_END);
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if(FileSize(h) == 0)
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{
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FileWrite(h,
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"status", "entry_time", "exit_time", "symbol", "tf",
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"session", "phase", "symbol_profile",
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"is_buy", "category", "setup",
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"cluster_strength", "conflict_score",
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"entry_price", "exit_price",
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"spread_points", "free_margin", "equity", "balance",
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"margin_required", "risk_amount", "profit", "label", "duration_min",
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"n_features", "features_json"
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);
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}
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string fjson = "[";
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for(int k = 0; k < g_nn_pending[idx].n_features; k++)
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{
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fjson += DoubleToString(g_nn_pending[idx].features[k], 8);
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if(k < g_nn_pending[idx].n_features - 1) fjson += ",";
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}
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fjson += "]";
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FileWrite(h,
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"closed",
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(string)g_nn_pending[idx].entry_time,
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(string)exit_time,
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_Symbol,
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(string)Period(),
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g_nn_pending[idx].session_name,
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g_nn_pending[idx].session_phase,
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g_nn_pending[idx].symbol_profile,
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(g_nn_pending[idx].is_buy ? 1 : 0),
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g_nn_pending[idx].category,
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g_nn_pending[idx].setup_name,
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DoubleToString(g_nn_pending[idx].cluster_strength, 2),
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DoubleToString(g_nn_pending[idx].conflict_score, 2),
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DoubleToString(g_nn_pending[idx].entry_price, _Digits),
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DoubleToString(exit_price, _Digits),
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DoubleToString(g_nn_pending[idx].spread_points, 1),
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DoubleToString(g_nn_pending[idx].free_margin, 2),
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DoubleToString(g_nn_pending[idx].equity, 2),
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DoubleToString(g_nn_pending[idx].balance, 2),
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DoubleToString(g_nn_pending[idx].margin_required, 2),
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DoubleToString(g_nn_pending[idx].risk_amount, 2),
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DoubleToString(profit, 2),
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label,
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dur_min,
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g_nn_pending[idx].n_features,
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fjson
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);
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FileClose(h);
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}
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UpdateSymbolPolicyFeedback(g_nn_pending[idx].symbol_profile,
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profit,
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g_nn_pending[idx].spread_points,
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(g_nn_pending[idx].equity > 0.0)
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? ((g_nn_pending[idx].free_margin / g_nn_pending[idx].equity) * 100.0)
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: 0.0,
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(g_nn_pending[idx].equity > 0.0)
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? ((g_nn_pending[idx].risk_amount / g_nn_pending[idx].equity) * 100.0)
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: 0.0,
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g_nn_pending[idx].category);
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// Remove from pending array (shift remaining entries down)
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for(int i = idx; i < g_nn_pending_count - 1; i++)
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g_nn_pending[i] = g_nn_pending[i + 1];
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g_nn_pending_count--;
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}
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#endif
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