//+------------------------------------------------------------------+ //| HealthCore.mqh | //| Copyright 2026, Allan Niñal | //| https://www.allanninal.dev/mql5 | //+------------------------------------------------------------------+ //| Per-magic statistics from the account's deal history, used by | //| EA Health Monitor. Spec: docs/SPEC.md; tested against | //| tests/reference.py. | //| A deal belongs to its position, a position to the magic number | //| of its opening deal (a manual close of an EA trade stays with | //| the EA). Realized curve = profit+swap+commission+fee per deal; | //| max drawdown = largest fall from its running peak (from 0). | //| A trade = a position whose closed volume reached its opened | //| volume; win rate, profit factor and expectancy as usual. | //| MT4 edition: the same statistics (everything above EHLoadHistory | //| is the MT5 file unchanged); MT4 keeps orders, not deals, so | //| EHLoadHistory turns its orders into deals (see there). | //+------------------------------------------------------------------+ // SPDX-License-Identifier: LicenseRef-PolyForm-Noncommercial-1.0.0 (see LICENSE) #ifndef HEALTHCORE_MQH #define HEALTHCORE_MQH #define EH_IN 0 #define EH_OUT 1 #define EH_INOUT 2 #define EH_OUTBY 3 #define EH_EPS 1e-8 struct EHDeal { long time; long pos; long magic; int entry; // EH_IN / EH_OUT / EH_INOUT / EH_OUTBY double volume,profit,swap,commission,fee; }; struct EHStat { long magic; int n,w,l,deals; double gp,gl,net,curve,peak,maxdd,today; long last; // time of the latest deal //--- live int open; double floating; string name; // from the user's list, else the latest deal comment }; struct EHPos { long pos; long magic; double vol,net; }; struct EHBook { EHStat st[]; int nst; EHPos ps[]; int nps; int hint; // last position slot found (deals of one position come close together) }; void EHInit(EHBook &b) { ArrayResize(b.st,0,16); b.nst=0; ArrayResize(b.ps,0,256); b.nps=0; b.hint=0; } int EHStatIdx(EHBook &b,const long magic) { for(int i=0; i=0; i--) // recent positions first if(b.ps[i].pos==pos) { b.hint=i; return(i); } return(-1); } //--- one deal, in time order; since / day_start: period start and server day start (seconds). //--- Returns the row (stat index) it went to; closed/trade_net say whether it completed a trade and its net. int EHAdd(EHBook &b,const EHDeal &d,const long since,const long day_start,bool &closed,double &trade_net) { double pnl=d.profit+d.swap+d.commission+d.fee; int pi=EHPosIdx(b,d.pos); if(d.entry==EH_IN) { if(pi<0) { pi=b.nps++; ArrayResize(b.ps,b.nps,256); b.ps[pi].pos=d.pos; b.ps[pi].magic=d.magic; b.ps[pi].vol=0; b.ps[pi].net=0; b.hint=pi; } b.ps[pi].vol+=d.volume; } else if(pi<0) // the opening deal is not in the history: use this deal's magic { pi=b.nps++; ArrayResize(b.ps,b.nps,256); b.ps[pi].pos=d.pos; b.ps[pi].magic=d.magic; b.ps[pi].vol=d.volume; b.ps[pi].net=0; b.hint=pi; } int si=EHStatIdx(b,b.ps[pi].magic); b.ps[pi].net+=pnl; if(d.time>=since) { b.st[si].curve+=pnl; b.st[si].peak=MathMax(b.st[si].peak,b.st[si].curve); b.st[si].maxdd=MathMax(b.st[si].maxdd,b.st[si].peak-b.st[si].curve); b.st[si].net+=pnl; b.st[si].deals++; } if(d.time>=day_start) b.st[si].today+=pnl; b.st[si].last=MathMax(b.st[si].last,d.time); closed=false; trade_net=0; double rest=0; if(d.entry==EH_OUT || d.entry==EH_OUTBY) { b.ps[pi].vol-=d.volume; closed=(b.ps[pi].vol<=EH_EPS); } else if(d.entry==EH_INOUT) { rest=d.volume-b.ps[pi].vol; // the part beyond the open volume opens the other way closed=true; } if(closed) { double net=b.ps[pi].net; trade_net=net; if(d.time>=since) { b.st[si].n++; if(net>0) { b.st[si].w++; b.st[si].gp+=net; } else if(net<0) { b.st[si].l++; b.st[si].gl+=-net; } } b.ps[pi].vol=(d.entry==EH_INOUT ? MathMax(rest,0.0) : 0.0); b.ps[pi].net=0; if(b.ps[pi].vol<=EH_EPS) // fully closed: forget it, so lookups stay short on long histories { b.nps--; if(pi0 ? 100.0*s.w/s.n : 0); } double EHPF(const EHStat &s) { return(s.gl>0 ? s.gp/s.gl : (s.gp>0 ? EMPTY_VALUE : 0)); } // EMPTY_VALUE = no losses double EHExpectancy(const EHStat &s) { return(s.n>0 ? (s.gp-s.gl)/s.n : 0); } //--- MT4 keeps orders, not deals. Each buy/sell order becomes an opening deal (its open time and lots) and, once closed, //--- a closing deal (close time, lots, profit, swap, commission: MT4 books the commission at the close). A partial close //--- leaves the rest open under a new ticket whose comment is "from #": all parts of one order are one position //--- (the first ticket), so a trade counts when its last part closes, as in MT5. Open orders give their opening deals, //--- as MT5's history holds the opening deals of open positions. Deals in time order (opening before closing deals in //--- the same second, else in the order they were read). The history is what the terminal's Account History tab holds. //--- names[i]: the comment of an EA's opening deal (MT4's own close comments removed), else "". long EHFromTicket(const string c) { if(StringFind(c,"from #")!=0) return(0); return(StringToInteger(StringSubstr(c,6))); } string EHCleanComment(string c) { if(StringFind(c,"from #")==0 || StringFind(c,"to #")==0 || StringFind(c,"partial close")==0 || StringFind(c,"close hedge")==0) return(""); int k=StringFind(c,"["); // "[sl]", "[tp]", "[so]" added when the server closed it if(k==0) // MQL4 StringSubstr(c,0,0) returns the whole string c=""; else if(k>0) c=StringSubstr(c,0,k); StringTrimRight(c); return(c); } int EHLoadHistory(EHDeal &out[],string &names[]) { ArrayResize(out,0); ArrayResize(names,0); //--- the orders: history first, then the open ones int nh=OrdersHistoryTotal(),no=OrdersTotal(),n=0; long tk[],par[],ot[],ct[],mg[]; double lt[],pf[],sw[],cm[]; string cmt[]; ArrayResize(tk,nh+no); ArrayResize(par,nh+no); ArrayResize(ot,nh+no); ArrayResize(ct,nh+no); ArrayResize(mg,nh+no); ArrayResize(lt,nh+no); ArrayResize(pf,nh+no); ArrayResize(sw,nh+no); ArrayResize(cm,nh+no); ArrayResize(cmt,nh+no); for(int pass=0; pass<2; pass++) for(int i=0; i<(pass==0 ? nh : no); i++) { if(!OrderSelect(i,SELECT_BY_POS,pass==0 ? MODE_HISTORY : MODE_TRADES) || OrderType()>OP_SELL) continue; // balance, credit, pending orders: not trades tk[n]=OrderTicket(); cmt[n]=OrderComment(); par[n]=EHFromTicket(cmt[n]); ot[n]=(long)OrderOpenTime(); ct[n]=(pass==0 ? (long)OrderCloseTime() : 0); mg[n]=OrderMagicNumber(); lt[n]=OrderLots(); pf[n]=OrderProfit(); sw[n]=OrderSwap(); cm[n]=OrderCommission(); n++; } //--- position of each order: follow "from #" to the first ticket (tickets sorted for the lookup) double idx[][2]; ArrayResize(idx,n); for(int i=0; i1) ArraySort(idx); long root[]; ArrayResize(root,n); for(int i=0; i(double)r) hi=mid-1; else { p=par[(int)idx[mid][1]]; break; } } } root[i]=r; } //--- the deals, then sorted by time, opening first, then reading order (exact in a double up to 2^20 deals) int nd=0; EHDeal dl[]; string dn[]; double key[][2]; ArrayResize(dl,2*n); ArrayResize(dn,2*n); ArrayResize(key,2*n); for(int i=0; i1) ArraySort(key); ArrayResize(out,nd); ArrayResize(names,nd); for(int i=0; i