Warrior_EA/Scripts/ExportTicks.mq5

//+------------------------------------------------------------------+
//|                                                   ExportTicks.mq5 |
//|                                                     AnimateDread |
//|                                                                  |
//| Dumps real tick history to CSV for offline research.              |
//|                                                                  |
//| Attach to a chart of the symbol you want (or set InpSymbol), run  |
//| once. Writes to the COMMON files folder so the research scripts   |
//| under research/ can read it without a copy step:                  |
//|   <Terminal>\Common\Files\Warrior_EA\Research\<SYM>_ticks.csv     |
//|                                                                  |
//| Columns: time_msc,bid,ask,last,volume,flags                       |
//|                                                                  |
//| `flags` is kept raw rather than decoded. On FX/CFD it will be     |
//| TICK_FLAG_BID/ASK only - TICK_FLAG_BUY/SELL and volume/volume_real|
//| are empty for Forex instruments, so signed trade direction does   |
//| NOT exist in this feed. The research side synthesises flow from   |
//| quote dynamics instead (tick rule, bid-vs-ask update asymmetry,   |
//| arrival rate), which is why the raw bitmask has to survive export.|
//+------------------------------------------------------------------+
#property copyright "AnimateDread"
#property script_show_inputs

input string   InpSymbol   = "";          // Symbol (empty = chart symbol)
input datetime InpFrom     = D'2019.01.01 00:00'; // From
input datetime InpTo       = 0;           // To (0 = now)
input int      InpChunkHrs = 24;          // Hours per request chunk

//+------------------------------------------------------------------+
//| CopyTicksRange takes MILLISECONDS, not datetime - the single      |
//| easiest mistake to make with this API.                            |
//+------------------------------------------------------------------+
void OnStart()
  {
   string sym = (InpSymbol == "") ? _Symbol : InpSymbol;
   datetime to = (InpTo == 0) ? TimeCurrent() : InpTo;
   if(!SymbolSelect(sym, true))
     {
      PrintFormat("ExportTicks: cannot select %s", sym);
      return;
     }
   string dir = "Warrior_EA\\Research\\";
   string path = dir + sym + "_ticks.csv";
   //--- FILE_COMMON so tester agents and the offline python kit share one location
   int fh = FileOpen(path, FILE_WRITE | FILE_CSV | FILE_ANSI | FILE_COMMON,
                     ',', CP_UTF8);
   if(fh == INVALID_HANDLE)
     {
      PrintFormat("ExportTicks: FileOpen('%s') failed, error %d", path, GetLastError());
      return;
     }
   FileWrite(fh, "time_msc", "bid", "ask", "last", "volume", "flags");

   int digits = (int)SymbolInfoInteger(sym, SYMBOL_DIGITS);
   long stepMs = (long)InpChunkHrs * 3600 * 1000;
   if(stepMs <= 0)
      stepMs = 24 * 3600 * 1000;
   long cursor = (long)InpFrom * 1000;
   long endMs = (long)to * 1000;
   ulong total = 0;
   int emptyRuns = 0;

   PrintFormat("ExportTicks: %s from %s to %s -> Common\\Files\\%s",
               sym, TimeToString(InpFrom), TimeToString(to), path);

   while(cursor < endMs)
     {
      long sliceEnd = cursor + stepMs;
      if(sliceEnd > endMs)
         sliceEnd = endMs;
      MqlTick t[];
      //--- Dynamic array: a static one too small for the range fails with
      //--- ERR_HISTORY_SMALL_BUFFER (4407) and returns only a partial fill.
      int n = CopyTicksRange(sym, t, COPY_TICKS_ALL, (ulong)cursor, (ulong)sliceEnd);
      if(n < 0)
        {
         //--- In generated-tick tester modes this is 4014 FUNCTION_NOT_ALLOWED. Live it usually
         //--- means the range predates the broker's tick history - keep walking rather than abort,
         //--- since the early chunks of a long range are routinely empty.
         PrintFormat("ExportTicks: CopyTicksRange failed at %s, error %d",
                     TimeToString((datetime)(cursor / 1000)), GetLastError());
         emptyRuns++;
         if(emptyRuns > 400)
           {
            Print("ExportTicks: too many consecutive failures, stopping.");
            break;
           }
         cursor = sliceEnd;
         continue;
        }
      emptyRuns = 0;
      for(int i = 0; i < n; i++)
        {
         //--- Guard the boundary explicitly. CopyTicksRange is inclusive at both ends, so adjacent
         //--- chunks would otherwise duplicate any tick landing exactly on the split.
         if((long)t[i].time_msc < cursor || (long)t[i].time_msc >= sliceEnd)
            continue;
         FileWrite(fh,
                   (string)t[i].time_msc,
                   DoubleToString(t[i].bid, digits),
                   DoubleToString(t[i].ask, digits),
                   DoubleToString(t[i].last, digits),
                   (string)t[i].volume,
                   (string)t[i].flags);
         total++;
        }
      cursor = sliceEnd;
      if((total % 1000000) < (ulong)n && total > 0)
         PrintFormat("ExportTicks: %s ... %I64u ticks", TimeToString((datetime)(cursor / 1000)), total);
     }
   FileClose(fh);
   PrintFormat("ExportTicks: DONE - %I64u ticks written to Common\\Files\\%s", total, path);
  }
//+------------------------------------------------------------------+