Warrior_EA/Expert/WarriorExpert.mqh

//+------------------------------------------------------------------+
//|                                                  WarriorExpert.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| CExpert WITH A SESSION-AWARE BAR CLOCK. One override, Refresh().  |
//|                                                                   |
//| WHAT THE STDLIB DOES. With EveryTick = false, CExpert::Refresh()  |
//| lets Processing() run only on ticks TimeframesFlags() marks as a  |
//| new bar of the chart period, and for D1 that is the first tick of |
//| each calendar day - whatever hour it arrives at. The tick is then |
//| CONSUMED: m_last_tick_time moves to it, and every later tick that |
//| day compares against it and reads as "same day, no new bar".      |
//|                                                                   |
//| WHY THAT FAILS ON A CFD. An index CFD quotes a tick at 00:00 (or  |
//| 01:00 across the DST seam) while its trading session is still     |
//| shut, so the one evaluation the day gets lands on a tick the      |
//| broker will not fill. Measured on SP500 D1 2012-2026: 1,647 of    |
//| 3,887 daily entries declined at the gate - "SP500 has no open     |
//| trading session at 2012.01.04 00:00" - and every exit attempted at |
//| 01:00 failed with [Market closed] and was retried a day later.    |
//| NAS100 lost 189 the same way. The signal was right; the clock was |
//| reading it during the maintenance hour.                           |
//|                                                                   |
//| THE FIX. A new-bar tick that arrives while the session is shut is |
//| NOT consumed: m_last_tick_time stays where it was, so the next    |
//| tick still compares as a new bar, and the first tick INSIDE a     |
//| session is the one that gets processed. The signals read bar 1 -  |
//| the closed bar - through StartIndex() either way, so what is      |
//| evaluated is identical; only the minute it is acted on moves,     |
//| from the maintenance hour to the open. Every-tick mode is left    |
//| exactly as the stdlib has it.                                     |
//+------------------------------------------------------------------+
#ifndef WARRIOR_EXPERT_MQH
#define WARRIOR_EXPERT_MQH

#include <Expert\Expert.mqh>
#include "..\System\TradeChecks.mqh"

class CWarriorExpert : public CExpert
  {
protected:
   int               m_deferred;      // new-bar ticks held back because the session was shut
   int               m_deferredBars;  // ...and how many distinct bars that was
   datetime          m_deferredBar;   // the bar being held back, so it is counted once

public:
                     CWarriorExpert(void) : m_deferred(0), m_deferredBars(0), m_deferredBar(0) {}
                    ~CWarriorExpert(void) {}
   virtual void      Deinit(void) override;

protected:
   virtual bool      Refresh(void) override;
  };
//+------------------------------------------------------------------+
bool CWarriorExpert::Refresh(void)
  {
   //--- Every-tick mode: nothing to defer, the stdlib is right as it is.
   if(m_period_flags == WRONG_VALUE || m_period_flags == 0)
      return CExpert::Refresh();
   if(!m_symbol.RefreshRates())
      return false;
   MqlDateTime time;
   TimeToStruct(m_symbol.Time(), time);
   if((m_period_flags & TimeframesFlags(time)) == 0)
      return false;                              // same bar as the last one processed
   //--- A new bar - but is the market open to act on it? If not, leave m_last_tick_time alone so
   //--- this bar is still "new" on the next tick, and say nothing per tick: the count is reported
   //--- once at deinit, the way the vote reports its gates.
   string why = "";
   if(!TCMarketIsOpen(m_symbol.Name(), m_symbol.Time(), why))
     {
      m_deferred++;
      const datetime bar = iTime(m_symbol.Name(), m_period, 0);
      if(bar != m_deferredBar)
        {
         m_deferredBar = bar;
         m_deferredBars++;
        }
      return false;
     }
   m_last_tick_time = time;
   m_indicators.Refresh();
   return true;
  }
//+------------------------------------------------------------------+
void CWarriorExpert::Deinit(void)
  {
   if(m_deferredBars > 0)
      PrintFormat("CWarriorExpert: BAR CLOCK - %d bar(s) opened with the session shut and were"
                  " processed at the first tick inside a session instead (%d closed ticks skipped).",
                  m_deferredBars, m_deferred);
   CExpert::Deinit();
  }
#endif // WARRIOR_EXPERT_MQH