136 lines
6.8 KiB
MQL5
136 lines
6.8 KiB
MQL5
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//+------------------------------------------------------------------+
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//| RiskInfo.mqh |
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//| Copyright 2021, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2021, MetaQuotes Ltd."
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#property link "https://www.mql5.com"
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#property version "1.00"
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#include "PositionInfo.mqh"
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int lastsOpenPositionsChecked = 0;
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struct RiskInfo {
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double MaxRiskByTradeInPercent;
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double MaxDrawdownInPercent;
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double moneyAllowToLoss;
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double moneyLoss;
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int consecutiveLossUmbral;
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int stopAfterConsecutiveLossTime;
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int currConsecutiveLoss;
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datetime currlossGreaterThanUmbralTime;
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datetime initTimeToAnalizeHistoryOrder;
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};
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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double moneyInRiskInOpenPosition (RiskInfo &riskInfoParam, int &periodInBarsParam[], PositionInfo &positionsInfoParam[], int periodInBarsLengthParam) {
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double moneyInOpenPosition = 0;
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for(int i=0; i<periodInBarsLengthParam && !IsStopped(); i++) {
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int bars = periodInBarsParam[i];
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bool madeTrade = madeTradeInPosition(positionsInfoParam, bars);
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if(madeTrade) {
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moneyInOpenPosition += positionsInfoParam[bars].riskInMoney;
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}
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}
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return moneyInOpenPosition;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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int getConsecutiveLosser(RiskInfo &riskInfoParam, int TOPO_MAGIC_PARAM) {
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int result = 0;
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HistorySelect(riskInfoParam.initTimeToAnalizeHistoryOrder, TimeCurrent());
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int totals = HistoryOrdersTotal();
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if(totals <= 0)
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return 0;
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for(int i = totals - 1; i >= 0; i-- ) {
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ulong ticket = HistoryOrderGetTicket(i);
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if(HistoryOrderSelect(ticket) && HistoryOrderGetString(ticket,ORDER_SYMBOL) == Symbol() && HistoryOrderGetInteger(ticket,ORDER_MAGIC) == TOPO_MAGIC_PARAM) {
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if(HistoryDealSelect(ticket)) {
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double profit = HistoryDealGetDouble(ticket,DEAL_PROFIT);
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if(profit <= 0) {
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if(profit < 0)
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result += 1;
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} else {
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break;
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}
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}
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}
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}
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return result;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool canMakeTradeFromRiskInfo (RiskInfo &riskInfoParam, int &periodInBarsParam[], PositionInfo &positionsInfoParam[], int periodInBarsLengthParam, datetime initTimeParam) {
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double riskInMoney = NormalizeDouble(AccountInfoDouble(ACCOUNT_BALANCE)*(riskInfoParam.MaxRiskByTradeInPercent/100),_Digits);
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double moneyInOpenPosition = moneyInRiskInOpenPosition(riskInfoParam,periodInBarsParam,positionsInfoParam,periodInBarsLengthParam);
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double moneyLossed = riskInfoParam.moneyLoss + riskInMoney + moneyInOpenPosition;
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if(riskInfoParam.moneyAllowToLoss < moneyLossed) {
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string msj = StringFormat("Alert: we can't make a new trade becouse constraint risk. money allow to loss(%f) ,money lossed:(%f) ,number of consecutive loss:(%d)", riskInfoParam.moneyAllowToLoss, riskInfoParam.moneyLoss, riskInfoParam.currConsecutiveLoss);
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Print(msj);
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Alert(msj);
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}
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if(riskInfoParam.currConsecutiveLoss >= riskInfoParam.consecutiveLossUmbral) {
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if(riskInfoParam.currlossGreaterThanUmbralTime == initTimeParam) {
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riskInfoParam.currlossGreaterThanUmbralTime = TimeCurrent();
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}
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if((TimeCurrent() - riskInfoParam.currlossGreaterThanUmbralTime) < riskInfoParam.stopAfterConsecutiveLossTime) {
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return false;
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} else {
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riskInfoParam.currConsecutiveLoss = 0;
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riskInfoParam.currlossGreaterThanUmbralTime = initTimeParam;
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riskInfoParam.initTimeToAnalizeHistoryOrder = TimeCurrent();
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return true;
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}
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void updateRiskInfo (RiskInfo &riskInfoParam, int TOPO_MAGIC_PARAM) {
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double currAccountBalance = AccountInfoDouble(ACCOUNT_BALANCE);
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double accountBalanceFromMoneyAllowToLoss = (riskInfoParam.moneyAllowToLoss*100) / riskInfoParam.MaxDrawdownInPercent;
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double currRiskInMoney = NormalizeDouble(currAccountBalance*(riskInfoParam.MaxDrawdownInPercent/100),_Digits);
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int currentPositions = PositionsTotal();
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// when accountBalanceFromMoneyAllowToLoss == currAccountBalance || currentPositions == lastsOpenPositionsChecked already analize this risk
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if(accountBalanceFromMoneyAllowToLoss == currAccountBalance || currentPositions == lastsOpenPositionsChecked)
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return;
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if(accountBalanceFromMoneyAllowToLoss <= currAccountBalance) {
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riskInfoParam.moneyAllowToLoss = currRiskInMoney;
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riskInfoParam.initTimeToAnalizeHistoryOrder = TimeCurrent();
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} else {
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riskInfoParam.moneyLoss = accountBalanceFromMoneyAllowToLoss - currAccountBalance;
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}
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lastsOpenPositionsChecked = currentPositions;
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riskInfoParam.currConsecutiveLoss = getConsecutiveLosser(riskInfoParam, TOPO_MAGIC_PARAM);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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RiskInfo initRiskInfo(double MaxRiskByTradeInPercentParam, double MaxDrawdownInPercentParam, datetime initTimeParam, double moneyAllowToLossParam, int consecutiveLossUmbral, int stopAfterConsecutiveLossTimeInMinute) {
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RiskInfo riskInfoTmp;
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riskInfoTmp.MaxRiskByTradeInPercent = MaxRiskByTradeInPercentParam;
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riskInfoTmp.MaxDrawdownInPercent = MaxDrawdownInPercentParam;
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riskInfoTmp.currConsecutiveLoss = 0;
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riskInfoTmp.currlossGreaterThanUmbralTime = initTimeParam;
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riskInfoTmp.initTimeToAnalizeHistoryOrder = initTimeParam;
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riskInfoTmp.moneyAllowToLoss = moneyAllowToLossParam;
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riskInfoTmp.moneyLoss = 0;
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riskInfoTmp.consecutiveLossUmbral = consecutiveLossUmbral;
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riskInfoTmp.stopAfterConsecutiveLossTime = stopAfterConsecutiveLossTimeInMinute * 60;
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return riskInfoTmp;
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}
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//+------------------------------------------------------------------+
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