93 lines
3.5 KiB
MQL5
 | //+------------------------------------------------------------------+
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//| VtExposure.mqh |
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//| Copyright 2026, Allan Niñal |
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//| https://www.allanninal.dev/mql5 |
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//+------------------------------------------------------------------+
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//| Open positions: long / short / total, risk at the stops, the |
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//| positions without a stop, and the net exposure per currency in |
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//| account money. Pure aggregation of numbers the live layer |
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//| (VtLive.mqh) read from the terminal: the same function runs in |
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//| the tests (tests/reference.py twins it). |
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//| Exposure of a position = +/- its notional (account money): |
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//| long = + base currency, - profit currency. When base == |
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//| profit currency (an index CFD) the symbol is the "currency". |
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//+------------------------------------------------------------------+
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// SPDX-License-Identifier: LicenseRef-PolyForm-Noncommercial-1.0.0 (see LICENSE)
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#ifndef VTEXPOSURE_MQH
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#define VTEXPOSURE_MQH
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#include "VtCore.mqh"
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struct VtPos
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{
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long magic;
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string symbol,comment;
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int dir; // 0 long, 1 short
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double volume,profit,pips,sl,risk,value; // profit incl. swap; risk = OrderCalcProfit at the stop (<=0 is a loss)
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string base,ccy; // base and profit currency
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};
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void VtSummarize(CVtEngine &e,const VtPos &pos[],const int n,const double balance)
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{
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for(int k=0; k<3; k++)
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{ e.o_n[k]=0; e.o_lots[k]=0; e.o_pl[k]=0; e.o_pips[k]=0; }
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e.o_risk=0; e.o_nostop=0; e.o_nostop_first=""; e.o_nex=0;
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ArrayResize(e.ex_name,0,8);
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ArrayResize(e.ex_net,0,8);
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for(int i=0; i<n; i++)
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{
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if(!e.PassPos(pos[i].symbol,pos[i].magic,pos[i].comment))
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continue;
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for(int k=0; k<3; k++)
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if(k==2 || k==pos[i].dir)
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{
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e.o_n[k]++;
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e.o_lots[k]+=pos[i].volume;
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e.o_pl[k]+=pos[i].profit;
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e.o_pips[k]+=pos[i].pips;
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}
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if(pos[i].sl>0)
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e.o_risk+=pos[i].risk;
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else
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{
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e.o_nostop++;
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if(e.o_nostop_first=="")
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e.o_nostop_first=StringFormat("%s %s %.2f",pos[i].symbol,pos[i].dir==0 ? "long" : "short",pos[i].volume);
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}
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double s=(pos[i].dir==0 ? 1.0 : -1.0);
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string key[2];
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double val[2];
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int nk=0;
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if(pos[i].base==pos[i].ccy)
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{ key[0]=pos[i].symbol; val[0]=s*pos[i].value; nk=1; }
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else
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{ key[0]=pos[i].base; val[0]=s*pos[i].value; key[1]=pos[i].ccy; val[1]=-s*pos[i].value; nk=2; }
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for(int q=0; q<nk; q++)
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{
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int f=-1;
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for(int j=0; j<e.o_nex; j++)
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if(e.ex_name[j]==key[q])
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{ f=j; break; }
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if(f<0)
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{
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f=e.o_nex++;
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ArrayResize(e.ex_name,e.o_nex,8);
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ArrayResize(e.ex_net,e.o_nex,8);
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e.ex_name[f]=key[q]; e.ex_net[f]=0;
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}
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e.ex_net[f]+=val[q];
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}
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}
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e.o_risk_pct=(balance>0 ? 100.0*e.o_risk/balance : 0.0);
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for(int i=1; i<e.o_nex; i++) // |net| descending, then name
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{
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string nm=e.ex_name[i];
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double v=e.ex_net[i];
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int j=i-1;
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while(j>=0 && (MathAbs(e.ex_net[j])<MathAbs(v) ||
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(MathAbs(e.ex_net[j])==MathAbs(v) && StringCompare(e.ex_name[j],nm)>0)))
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{ e.ex_name[j+1]=e.ex_name[j]; e.ex_net[j+1]=e.ex_net[j]; j--; }
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e.ex_name[j+1]=nm; e.ex_net[j+1]=v;
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}
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}
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#endif
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