Warrior_EA/Money/WarriorMoney.mqh

//+------------------------------------------------------------------+
//|                                                   WarriorMoney.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| Position sizing: the standard library's shape, with the one hole  |
//| in it closed.                                                     |
//|                                                                   |
//| 🛑 THE HOLE. MQL5's own CMoneyFixedRisk ends with                  |
//|                                                                   |
//|     if(lot < minvol) lot = minvol;                                |
//|                                                                   |
//| so when the risk budget buys LESS than one minimum lot, it trades |
//| a minimum lot anyway. The requested risk is silently exceeded,    |
//| by an arbitrary factor that is largest exactly when the stop is   |
//| widest - and nothing in the log says so. On an index with a 0.10  |
//| minimum that can be several times the intended risk.              |
//|                                                                   |
//| Here a trade that cannot be sized within its risk is REFUSED. A   |
//| skipped trade is a missing row in the results; an oversized one   |
//| is a wrong number in them, and only the second kind is dangerous. |
//| This repo closed the same hole once before, in 77e8080.           |
//|                                                                   |
//| NO RISK BUDGET, NO LATCH, NO PERSISTED STATE. CRiskBudget writes  |
//| a permanent halt to disk that survives between backtests, so one  |
//| breaching run silently truncates every later run on that symbol.  |
//| Account protection belongs in a veto filter that starts fresh     |
//| each pass, not in the lot-size calculation.                       |
//+------------------------------------------------------------------+
#ifndef WARRIOR_SIMPLE_MONEY_MQH
#define WARRIOR_SIMPLE_MONEY_MQH

#include <Expert\ExpertMoney.mqh>

class CWarriorMoney : public CExpertMoney
  {
protected:
   bool              m_fixedLot;   // true = trade m_lots flat, ignore m_percent
   double            m_lots;
   int               m_refused;    // how many entries could not be sized - reported at deinit

   double            Size(ENUM_ORDER_TYPE type, double price, double sl);

public:
                     CWarriorMoney(void) : m_fixedLot(false), m_lots(0.01), m_refused(0) {}
                    ~CWarriorMoney(void) {}

   void              FixedLot(const double lots) { m_fixedLot = true;  m_lots = lots; }
   void              RiskPercent(const double p) { m_fixedLot = false; m_percent = p; }
   int               Refused(void) const { return m_refused; }

   virtual double    CheckOpenLong(double price, double sl) override
                       { return Size(ORDER_TYPE_BUY, price, sl); }
   virtual double    CheckOpenShort(double price, double sl) override
                       { return Size(ORDER_TYPE_SELL, price, sl); }
  };
//+------------------------------------------------------------------+
double CWarriorMoney::Size(ENUM_ORDER_TYPE type, double price, double sl)
  {
   if(m_symbol == NULL)
      return 0.0;
   const double minvol = m_symbol.LotsMin();
   const double maxvol = m_symbol.LotsMax();
   const double step   = m_symbol.LotsStep();

   if(m_fixedLot)
     {
      double lot = m_lots;
      if(lot < minvol) lot = minvol;
      if(lot > maxvol) lot = maxvol;
      return lot;
     }
   //--- NO STOP MEANS NO RISK UNIT, so there is nothing to size against. The stdlib answers this
   //--- case with "the largest lot the margin allows", which is the opposite of a risk rule.
   if(sl == 0.0 || price <= 0.0)
     {
      m_refused++;
      return 0.0;
     }
   //--- Loss per one lot between entry and stop, asked of the broker rather than derived from the
   //--- point value - it is the only source that knows this symbol's contract and currency.
   const double lossPerLot = -m_account.OrderProfitCheck(m_symbol.Name(), type, 1.0, price, sl);
   if(lossPerLot <= 0.0)
     {
      //--- An inverted or zero-distance stop. Refuse: dividing by it produces either a negative lot
      //--- or an enormous one, and both have reached live accounts in this repo's history.
      m_refused++;
      return 0.0;
     }
   const double riskMoney = m_account.Balance() * m_percent / 100.0;
   double lot = (step > 0.0) ? MathFloor(riskMoney / lossPerLot / step) * step
                             : riskMoney / lossPerLot;
   if(lot < minvol)
     {
      //--- THE REFUSAL. Rounding up to the minimum here is what the stdlib does and what this class
      //--- exists not to do. Said out loud, throttled to once per 50, because a silent skip is how
      //--- "the EA barely traded" becomes a mystery instead of a message.
      m_refused++;
      if(m_refused % 50 == 1)
         PrintFormat("CWarriorMoney: refused - %.2f%% of %.2f is %.2f, and one minimum lot (%.2f)"
                     " would risk %.2f. Widen the risk, tighten the stop, or accept fewer trades;"
                     " trading a minimum lot here would exceed the stated risk. (%d so far)",
                     m_percent, m_account.Balance(), riskMoney, minvol, minvol * lossPerLot,
                     m_refused);
      return 0.0;
     }
   if(lot > maxvol)
      lot = maxvol;
   return lot;
  }
#endif // WARRIOR_SIMPLE_MONEY_MQH