| //+------------------------------------------------------------------+
|
| //| TradeBook.mqh |
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| //| AnimateDread |
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| //| |
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| //| THE JOURNAL OF REAL TRADES, one line each, written when they |
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| //| CLOSE: what the trader saw (the whole SMarketContext), what they |
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| //| decided (size, and why), and what happened (R, the worst and best |
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| //| the trade was ever worth, how long it took, how it ended). |
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| //| |
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| //| This is not Database\WarriorJournal.mqh. That one journals every |
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| //| FILTER FIRING as a virtual trade against invented barriers, to |
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| //| rank modules. This one records the trades the account actually |
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| //| took, at the barriers it actually had, with the costs it actually |
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| //| paid - the only kind of evidence the Mind acts on. |
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| //| |
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| //| R = net result / the money the stop put at risk when the trade |
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| //| opened. It is computed from the broker's own OrderCalcProfit, so |
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| //| it needs no contract-size arithmetic here and includes swap and |
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| //| commission. MAE/MFE are read from the bars the trade lived through, |
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| //| not from ticks, so they are the same under any tester model. |
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| //| |
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| //| FILE: Common\Files\Warrior_EA\Mind\book_<SYMBOL>_<TF>.csv |
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| //| * tester -> truncated at Init. A backtest's book is that |
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| //| backtest's, never last week's. |
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| //| * live -> appended, and read back at Init so the reviewer |
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| //| resumes where the account left off. |
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| //+------------------------------------------------------------------+
|
| #ifndef WARRIOR_TRADEBOOK_MQH
|
| #define WARRIOR_TRADEBOOK_MQH
|
|
|
| #include "MarketContext.mqh"
|
|
|
| //--- A trade from the moment it opens to the moment it is filed.
|
| struct STradeRecord
|
| {
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| ulong position; // position id
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| datetime openTime, closeTime;
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| int side; // +1 long, -1 short
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| double entry, exit, sl, lots;
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| double riskMoney; // what the stop put at risk when it opened
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| double net; // profit + swap + commission
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| double r; // net / riskMoney
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| double maeR, mfeR; // worst / best excursion, in R (mae <= 0 <= mfe)
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| int bars; // bars the trade lived through
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| string reason; // stop / stopout / expert
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| double scale; // risk multiple applied to the base (1.0 = untouched)
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| double reviewP; // the reviewer's P(win), or CTX_NA
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| int reviewN; // trades behind it
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| SMarketContext ctx;
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| };
|
|
|
| class CTradeBook
|
| {
|
| protected:
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| string m_path;
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| bool m_live;
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| int m_written;
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|
|
| static string BaseHeader(void)
|
| {
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| return "position,open_time,close_time,side,entry,exit,sl,lots,risk_money,net,r,mae_r,mfe_r,"
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| "bars,reason,scale,review_p,review_n,";
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| }
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|
|
| public:
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| CTradeBook(void) : m_path(""), m_live(false), m_written(0) {}
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| //--- Opens (tester: truncates; live: keeps) the file for this symbol and timeframe.
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| bool Init(const string symbol, const ENUM_TIMEFRAMES tf, const bool tester);
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| string Path(void) const { return m_path; }
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| int Written(void) const { return m_written; }
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| void Append(const STradeRecord &t);
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| //--- Live only: replay the file, handing each row's context and R to the caller.
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| //--- Rows are parsed by the width of the header this build writes; a file from a build with
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| //--- different fields is refused rather than mis-read.
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| int Load(SMarketContext &ctxs[], double &rs[]) const;
|
| };
|
| //+------------------------------------------------------------------+
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| bool CTradeBook::Init(const string symbol, const ENUM_TIMEFRAMES tf, const bool tester)
|
| {
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| FolderCreate("Warrior_EA", FILE_COMMON);
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| FolderCreate("Warrior_EA\\Mind", FILE_COMMON);
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| m_path = "Warrior_EA\\Mind\\book_" + symbol + "_" + IntegerToString((int)tf) + ".csv";
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| m_live = !tester;
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| const string header = BaseHeader() + CtxHeader() + ",story";
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| if(tester || !FileIsExist(m_path, FILE_COMMON))
|
| {
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| const int h = FileOpen(m_path, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
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| if(h == INVALID_HANDLE)
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| {
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| PrintFormat("CTradeBook: cannot write %s (error %d) - no book will be kept.", m_path, GetLastError());
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| m_path = "";
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| return false;
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| }
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| FileWriteString(h, header + "\r\n");
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| FileClose(h);
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| return true;
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| }
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| //--- Live restart: the existing file must be one this build can read.
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| const int h = FileOpen(m_path, FILE_READ | FILE_TXT | FILE_ANSI | FILE_COMMON);
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| if(h == INVALID_HANDLE)
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| return false;
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| const string first = FileReadString(h);
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| FileClose(h);
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| if(first != header)
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| {
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| PrintFormat("CTradeBook: %s was written by a different build (columns differ) - starting a"
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| " new book beside it.", m_path);
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| m_path = "Warrior_EA\\Mind\\book_" + symbol + "_" + IntegerToString((int)tf) + "_" +
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| TimeToString(TimeLocal(), TIME_DATE) + ".csv";
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| const int w = FileOpen(m_path, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
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| if(w == INVALID_HANDLE)
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| {
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| m_path = "";
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| return false;
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| }
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| FileWriteString(w, header + "\r\n");
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| FileClose(w);
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| }
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| return true;
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| }
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| //+------------------------------------------------------------------+
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| void CTradeBook::Append(const STradeRecord &t)
|
| {
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| if(m_path == "")
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| return;
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| const int h = FileOpen(m_path, FILE_READ | FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
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| if(h == INVALID_HANDLE)
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| return;
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| FileSeek(h, 0, SEEK_END);
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| string story = t.ctx.story;
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| StringReplace(story, ",", ";");
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| StringReplace(story, "\n", " ");
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| const string row = StringFormat("%I64u,%s,%s,%d,%.5f,%.5f,%.5f,%.2f,%.2f,%.2f,%.4f,%.4f,%.4f,%d,%s,%.2f,%s,%d,",
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| t.position, TimeToString(t.openTime, TIME_DATE | TIME_MINUTES),
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| TimeToString(t.closeTime, TIME_DATE | TIME_MINUTES), t.side,
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| t.entry, t.exit, t.sl, t.lots, t.riskMoney, t.net, t.r, t.maeR,
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| t.mfeR, t.bars, t.reason, t.scale,
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| (t.reviewP == CTX_NA ? "" : DoubleToString(t.reviewP, 4)), t.reviewN)
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| + CtxRow(t.ctx) + "," + story;
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| FileWriteString(h, row + "\r\n");
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| FileClose(h);
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| m_written++;
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| }
|
| //+------------------------------------------------------------------+
|
| int CTradeBook::Load(SMarketContext &ctxs[], double &rs[]) const
|
| {
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| if(m_path == "" || !m_live)
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| return 0;
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| const int h = FileOpen(m_path, FILE_READ | FILE_TXT | FILE_ANSI | FILE_COMMON);
|
| if(h == INVALID_HANDLE)
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| return 0;
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| FileReadString(h); // header
|
| const int base = 18; // columns before the context
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| int n = 0;
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| while(!FileIsEnding(h))
|
| {
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| const string line = FileReadString(h);
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| string f[];
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| const int cols = StringSplit(line, ',', f);
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| if(cols < base + CTX_N)
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| continue;
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| ArrayResize(ctxs, n + 1, 64);
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| ArrayResize(rs, n + 1, 64);
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| ctxs[n].Reset(0);
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| for(int i = 0; i < CTX_N; i++)
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| ctxs[n].v[i] = StringToDouble(f[base + i]);
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| rs[n] = StringToDouble(f[10]); // the `r` column
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| n++;
|
| }
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| FileClose(h);
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| return n;
|
| }
|
| #endif // WARRIOR_TRADEBOOK_MQH
|
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