SuperCharlie_Oxford/Desenvolvimento_v4_2/S5_Direcao1_v4_2.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                             S5_Direcao1_v4_2.mq5 |
//|                                                  DESENVOLVIMENTO |
//|                                                           OXFORD |
//|                                             HEDGING HORN CAPITAL |
//|                                     https://www.hhcapital.com.br |
//+------------------------------------------------------------------+
#property copyright "Copyright 2022, HEDGING HORN CAPITAL"
#property link      "https://www.hhcapital.com.br"
#property version   "DESENV_v2"
#property description "HFT MARKET MAKING BASED ON OXFORD'S STUDIES. MINI INDICE."
//INDICE

//+===================================================================================================================================================================================+
//| 0 - SESSAO DE CABECALHO / ADMISSAO                                                                                                                                                
//+===================================================================================================================================================================================+
//+------------------------------------------------------------------+
//| 0.1 - IMPORTACOES                                                |
//+------------------------------------------------------------------+
#include "MarketBook.mqh"
#include "S0_Admissao1_v4_2.mqh"

//SLOTS_i,q = -<EFBFBD>*k*q^2   ,   i=q
//SLOTS_i,q = <EFBFBD>c/e       ,   i=q-1
//SLOTS_i,q = <EFBFBD>v/e       ,   i=q+1
//SLOTS_i,q = 0          ,   default

//+===================================================================================================================================================================================+
//| 5 - SESSAO DE PRECOS / DIRECAO                                                                                                                                                    
//+===================================================================================================================================================================================+
//+------------------------------------------------------------------+
//| 5.1 - FUNCAO QUE VERIFICA O PRECO NAQUELE INSTANTE               |
//+------------------------------------------------------------------+
int CalculaPrecoOrdem(operacao &Operacao, fluido &Fluidos, slot &Slots[], MqlTick &ArrayTick[], MqlBookInfo &ArrayBook[])
{
   //Calcula os spreads
   if(Slots[0].ponta == 0) 
   {
      Fluidos.precoMedioC = CalculaSpreadOrdemC(Operacao, Fluidos, Slots, ArrayTick, ArrayBook);
   }
   else Fluidos.precoMedioV = CalculaSpreadOrdemV(Operacao, Fluidos, Slots, ArrayTick, ArrayBook);
   
   return 0;
}

//+------------------------------------------------------------------+
//| 5.1 - FUNCAO QUE VERIFICA O PRECO NAQUELE INSTANTE               |
//+------------------------------------------------------------------+
int CalculaPrecoPosicao(operacao &Operacao, fluido &Fluidos, slot &Slots[], MqlTick &ArrayTick[], MqlBookInfo &ArrayBook[])
{
   double sAlvoRet = 0.0;
   double sStopRet = 0.0;
   //Calcula os spreads
   if(Slots[0].ponta == 0) 
   {
      Fluidos.precoMedioC = CalculaSpreadPosicaoC(Operacao, Fluidos, Slots, ArrayTick, ArrayBook, sAlvoRet, sStopRet);
   }
   else Fluidos.precoMedioV = CalculaSpreadPosicaoV(Operacao, Fluidos, Slots, ArrayTick, ArrayBook, sAlvoRet, sStopRet);
   
   return 0;
}

//+------------------------------------------------------------------+
//| 5.2 - FUNCAO QUE CALCULA SPREAD BUY                              |
//+------------------------------------------------------------------+
double CalculaSpreadOrdemC(operacao &Operacao, fluido &Fluidos, slot &SlotsC[], MqlTick &ArrayTick[], MqlBookInfo &ArrayBook[])
{
   double spread = 0.0;
   double spreadEnvio = 0.0;
   double spreadAlvo = 0.0;

   if(Operacao.chaveBook == true) Fluidos.KC = CalculaKC(Fluidos, ArrayBook);
   if(Operacao.chaveBook == true) Fluidos.KV = CalculaKV(Fluidos, ArrayBook);
   if(Operacao.chaveLambda == true) Fluidos.lambdaC = CalculaLambdaCompra(ArrayTick, Fluidos.T);
   if(Operacao.chaveLambda == true) Fluidos.lambdaV = CalculaLambdaVenda(ArrayTick, Fluidos.T);
   if((Operacao.chaveBook == true) || (Operacao.chaveBook == true))
   {
      Fluidos.eC = CalculaEpsilon(Fluidos.lambdaC, Fluidos.KV);
      Fluidos.eV = CalculaEpsilon(Fluidos.lambdaV, Fluidos.KC);
   }
   double spreadMin = Fluidos.tickMin/2;
   
   int n = 10;
   double HC_q = CalculaHC(Fluidos, Fluidos.q, n);
   double HC_qmais1 = CalculaHCmais1(Fluidos, Fluidos.q+1, n);
   double HV_q = CalculaHV(Fluidos, Fluidos.q, n);
   double HV_qmenos1 = CalculaHVmenos1(Fluidos, Fluidos.q-1, n);
   
   double deltaHC = HC_q - HC_qmais1;
   double deltaHV = HV_q - HV_qmenos1;
   
   
   Fluidos.a = CalculaAlpha(Fluidos, Operacao);
   double spreadAlpha = MathRound(Fluidos.a*500/Fluidos.tickMin)*Fluidos.tickMin;
   
   if(spreadAlpha > -15) 
   {
      Fluidos.lC = 1;
   }
   else
   {
      //SE LC FOR 0, N<EFBFBD>O MANDE ORDEM DE COMPRA
      Fluidos.lC = 0;
      return spread;
   } 
   
   double spreadBaseEnvio = MathRound(((1/Fluidos.KC) - Fluidos.a + Fluidos.eV/10 + deltaHC)*500/Fluidos.tickMin) * Fluidos.tickMin;
   double spreadBaseAlvo = MathRound(((1/Fluidos.KV) + Fluidos.a + Fluidos.eC/10 + deltaHV)*500/Fluidos.tickMin) * Fluidos.tickMin;
   double spreadDesvio = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin;
   double spreadStop = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin * 5;
   //double nivel = MathRound(log(Fluidos.iSlot+1) * 100 / Fluidos.tickMin) / 100 * Fluidos.tickMin;
   double nivel = Fluidos.iSlot + 1;
   
   //SET SPREAD ENVIO
   if(spreadBaseEnvio < 0) spreadBaseEnvio = 0;
   
   spreadEnvio = spreadMin + ((spreadBaseEnvio + spreadDesvio)/2 * nivel);
   
   spreadAlvo = 2*spreadMin + (spreadBaseAlvo + spreadDesvio)/2;
   
   
   //SET PRECO ENVIO
   SlotsC[Fluidos.iSlot].precoEnvio = Fluidos.midPrice - spreadEnvio;
   if(MathMod(SlotsC[Fluidos.iSlot].precoEnvio, Fluidos.tickMin) != 0)
   {
      SlotsC[Fluidos.iSlot].precoEnvio = SlotsC[Fluidos.iSlot].precoEnvio - MathMod(SlotsC[Fluidos.iSlot].precoEnvio, Fluidos.tickMin);
   }
   
   //SET PRECO ALVO
   SlotsC[Fluidos.iSlot].precoAlvo = SlotsC[Fluidos.iSlot].precoEnvio + spreadAlvo;
   if(MathMod(SlotsC[Fluidos.iSlot].precoAlvo, Fluidos.tickMin) != 0)
   {
      SlotsC[Fluidos.iSlot].precoAlvo = SlotsC[Fluidos.iSlot].precoAlvo - MathMod(SlotsC[Fluidos.iSlot].precoAlvo, Fluidos.tickMin);
   }
   
   //SET PRECO STOP
   SlotsC[Fluidos.iSlot].precoStop = SlotsC[Fluidos.iSlot].precoEnvio - spreadStop;
   if(MathMod(SlotsC[Fluidos.iSlot].precoStop, Fluidos.tickMin) != 0)
   {
      SlotsC[Fluidos.iSlot].precoStop = SlotsC[Fluidos.iSlot].precoStop - MathMod(SlotsC[Fluidos.iSlot].precoStop, Fluidos.tickMin);
   }
   
  // Print("HC_q: ", HC_q, " | HV_q: ", HV_q, " | HC_qmais1: ", HC_qmais1, " | HV_qmenos1: ", HV_qmenos1, " | deltaHC: ",  deltaHC, " | deltaHV: ",  deltaHV);
 //  Print("MidPrice: ", Fluidos.midPrice," | SpreadEnvioC: ", spreadEnvio, " | spreadAlvo: ", spreadAlvo, " | spreadBase: ", spreadBase, " | spreadDesvio: ", spreadDesvio, " | nivel: ", nivel, " | alpha: ",  spreadAlpha);
   
   //SET TEMPO EXPIRA ORDEM
   if(Operacao.chaveTempoOrdemAuto == true)
   {
      if(nivel == 1)
      {
         //Depth
         double d = spreadEnvio/Fluidos.tickMin;
         Fluidos.T = 60 * MathRound((Fluidos.KC * d) / pow(Fluidos.lambdaV, 2));
      }
   }
 
 
 //  Print("HC_q: ", HC_q, " HC_qmais1: ", HC_qmais1, " diferenca: ", diferenca);
 //  Print("PrecoEnvio: ", SlotsC[Fluidos.iSlot].precoEnvio, " PrecoAlvo: ", SlotsC[Fluidos.iSlot].precoAlvo, " PrecoStop: ", SlotsC[Fluidos.iSlot].precoStop);
   
   
   return spread;   
}

//+------------------------------------------------------------------+
//| 5.3 - FUNCAO QUE CALCULA SPREAD SELL                             |
//+------------------------------------------------------------------+
double CalculaSpreadOrdemV(operacao &Operacao, fluido &Fluidos, slot &SlotsV[], MqlTick &ArrayTick[], MqlBookInfo &ArrayBook[])
{
   double spread = 0.0;
   double spreadEnvio = 0.0;
   double spreadAlvo = 0.0;
   
   if(Operacao.chaveBook == true) Fluidos.KC = CalculaKC(Fluidos, ArrayBook);
   if(Operacao.chaveBook == true) Fluidos.KV = CalculaKV(Fluidos, ArrayBook);
   if(Operacao.chaveLambda == true) Fluidos.lambdaC = CalculaLambdaCompra(ArrayTick, Fluidos.T);
   if(Operacao.chaveLambda == true) Fluidos.lambdaV = CalculaLambdaVenda(ArrayTick, Fluidos.T);
   if((Operacao.chaveBook == true) || (Operacao.chaveBook == true))
   {
      Fluidos.eC = CalculaEpsilon(Fluidos.lambdaC, Fluidos.KV);
      Fluidos.eV = CalculaEpsilon(Fluidos.lambdaV, Fluidos.KC); 
   }
   double spreadMin = Fluidos.tickMin/2;
   Fluidos.eC = spreadMin;
   Fluidos.eV = spreadMin;
   
   int n = 10;
   double HC_q = CalculaHC(Fluidos, Fluidos.q, n);
   double HC_qmais1 = CalculaHCmais1(Fluidos, Fluidos.q+1, n);
   double HV_q = CalculaHV(Fluidos, Fluidos.q, n);
   double HV_qmenos1 = CalculaHVmenos1(Fluidos, Fluidos.q-1, n);
   
   double deltaHC = HC_q - HC_qmais1;
   double deltaHV = HV_q - HV_qmenos1;
   
   Fluidos.a = CalculaAlpha(Fluidos, Operacao);
   double spreadAlpha = MathRound(Fluidos.a*500/Fluidos.tickMin)*Fluidos.tickMin;
   
   if(spreadAlpha < 15) Fluidos.lV = 1;
   else
   {
      Fluidos.lV = 0;
      return spread;
   } 
   
   double spreadBaseEnvio = MathRound(((1/Fluidos.KV) + Fluidos.a + Fluidos.eC/10 + deltaHV)*500/Fluidos.tickMin) * Fluidos.tickMin;
   double spreadBaseAlvo = MathRound(((1/Fluidos.KC) - Fluidos.a + Fluidos.eV/10 + deltaHC)*500/Fluidos.tickMin) * Fluidos.tickMin;
   double spreadDesvio = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin;
   double spreadStop = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin * 5;
   //double nivel = MathRound(log(Fluidos.iSlot+1) * 100 / Fluidos.tickMin) / 100 * Fluidos.tickMin;
   double nivel = Fluidos.iSlot + 1;
   
   //SET SPREAD ENVIO
   if(spreadBaseEnvio < 0) spreadBaseEnvio = 0;
   
   spreadEnvio = spreadMin + ((spreadBaseEnvio + spreadDesvio)/2 * nivel);
   
   spreadAlvo = 2*spreadMin + (spreadBaseAlvo + spreadDesvio)/2;
   
   //SET PRECO ENVIO  
   SlotsV[Fluidos.iSlot].precoEnvio = Fluidos.midPrice + spreadEnvio;
   if(MathMod(SlotsV[Fluidos.iSlot].precoEnvio, Fluidos.tickMin) != 0)
   {
      SlotsV[Fluidos.iSlot].precoEnvio = SlotsV[Fluidos.iSlot].precoEnvio + (Fluidos.tickMin - MathMod(SlotsV[Fluidos.iSlot].precoEnvio, Fluidos.tickMin));
   }
   
   //SET PRECO ALVO
   SlotsV[Fluidos.iSlot].precoAlvo = SlotsV[Fluidos.iSlot].precoEnvio - spreadAlvo;
   if(MathMod(SlotsV[Fluidos.iSlot].precoAlvo, Fluidos.tickMin) != 0)
   {
      SlotsV[Fluidos.iSlot].precoAlvo = SlotsV[Fluidos.iSlot].precoAlvo + (Fluidos.tickMin - MathMod(SlotsV[Fluidos.iSlot].precoAlvo, Fluidos.tickMin));
   }
   
   //SET PRECO STOP
   SlotsV[Fluidos.iSlot].precoStop = SlotsV[Fluidos.iSlot].precoEnvio + spreadStop;  
   if(MathMod(SlotsV[Fluidos.iSlot].precoStop, Fluidos.tickMin) != 0)
   {
      SlotsV[Fluidos.iSlot].precoStop = SlotsV[Fluidos.iSlot].precoStop + (Fluidos.tickMin - MathMod(SlotsV[Fluidos.iSlot].precoStop, Fluidos.tickMin));
   }
   
 //  Print("MidPrice: ", Fluidos.midPrice," | SpreadEnvioV: ", spreadEnvio, " | spreadAlvo: ", spreadAlvo, " | spreadBase: ", spreadBase, " | spreadDesvio: ", spreadDesvio, " | nivel: ", nivel, " | alpha: ",  spreadAlpha);
   
   //SET TEMPO EXPIRA ORDEM
   if(Operacao.chaveTempoOrdemAuto == true)
   {
      if(nivel == 1)
      {
         //Depth
         double d = spreadEnvio/Fluidos.tickMin;
         Fluidos.T = 60 * MathRound((Fluidos.KV * d) / pow(Fluidos.lambdaC, 2));
      }
   }
   
 //  Print("HV_q: ", HV_q, " HV_qmenos1: ", HV_qmenos1, " diferenca: ", diferenca);
 //  Print("PrecoEnvio: ", SlotsV[Fluidos.iSlot].precoEnvio, " PrecoAlvo: ", SlotsV[Fluidos.iSlot].precoAlvo, " PrecoStop: ", SlotsV[Fluidos.iSlot].precoStop);

   return spread;
}

//+------------------------------------------------------------------+
//| 5.2 - FUNCAO QUE CALCULA SPREAD BUY                              |
//+------------------------------------------------------------------+
double CalculaSpreadPosicaoC(operacao &Operacao, fluido &Fluidos, slot &SlotsC[], MqlTick &ArrayTick[], MqlBookInfo &ArrayBook[], double &spreadAlvoRet, double &spreadStopRet)
{
   /*
   double spread = 0.0;
   if(Operacao.chaveBook == true) Fluidos.KV = CalculaKV(Fluidos, ArrayBook);
   if(Operacao.chaveLambda == true) Fluidos.lambdaC = CalculaLambdaCompra(ArrayTick, Fluidos.T);
   double HC_q = CalculaHC(Fluidos, Fluidos.q);
   double HC_qmais1 = CalculaHC(Fluidos, Fluidos.q+1);
   double deltaH = HC_q - HC_qmais1;
   if(deltaH < 0) deltaH = 0.0;
   double spreadMin = Fluidos.tickMin/2;
   double spreadBase = MathRound( 100 * Fluidos.tickMin * ( (Fluidos.lambdaC/Fluidos.KV) + deltaH ) / Fluidos.tickMin ) * Fluidos.tickMin;
   double spreadAlvo = spreadMin + spreadBase;
   double spreadStop = MathRound( Fluidos.sigmaHFT / Fluidos.tickMin ) * Fluidos.tickMin * 5;
   */
   
   //NOVO SPREAD
   double spread = 0.0;
   double spreadAlvo = 0.0;
   TimeToStruct(TimeCurrent(), Operacao.horarioMQL_atual);
   int atual = Operacao.horarioMQL_atual.hour * 60 + Operacao.horarioMQL_atual.min;
   if(Operacao.chaveBook == true) Fluidos.KV = CalculaKV(Fluidos, ArrayBook);
   if(Operacao.chaveLambda == true) Fluidos.lambdaC = CalculaLambdaCompra(ArrayTick, Fluidos.T);
   double spreadMin = Fluidos.tickMin/2;
   Fluidos.eC = spreadMin;
   Fluidos.eV = spreadMin;
   
   int n = 5;
   double HV_q = CalculaHV(Fluidos, Fluidos.q, n);
   double HV_qmenos1 = CalculaHV(Fluidos, Fluidos.q-1, n);
   double deltaH = HV_q - HV_qmenos1;
   Fluidos.a = CalculaAlpha(Fluidos, Operacao);
   double spreadAlpha = MathRound(Fluidos.a*500/Fluidos.tickMin)*Fluidos.tickMin;
   double spreadBase = MathRound(((1/Fluidos.KV) - Fluidos.a + Fluidos.eC/10 + deltaH)*500/Fluidos.tickMin) * Fluidos.tickMin;
   double spreadDesvio = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin;
   double spreadStop = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin * 5;
   
   if(spreadBase < 0) spreadBase = 0;
   spreadAlvo = 2*spreadMin + spreadBase + spreadAlpha;
   if(spreadAlvo < 0) spreadAlvo = Fluidos.tickMin;
   
   spreadAlvoRet = spreadAlvo;
   spreadStopRet = spreadStop;

   return spread;
}

//+------------------------------------------------------------------+
//| 5.3 - FUNCAO QUE CALCULA SPREAD SELL                             |
//+------------------------------------------------------------------+
double CalculaSpreadPosicaoV(operacao &Operacao, fluido &Fluidos, slot &SlotsV[], MqlTick &ArrayTick[], MqlBookInfo &ArrayBook[], double &spreadAlvoRet, double &spreadStopRet)
{
   /*
   double spread = 0.0;
   if(Operacao.chaveBook == true) Fluidos.KC = CalculaKC(Fluidos, ArrayBook);
   if(Operacao.chaveLambda == true) Fluidos.lambdaV = CalculaLambdaVenda(ArrayTick, Fluidos.T);
   double HV_q = CalculaHV(Fluidos, Fluidos.q);
   double HV_qmenos1 = CalculaHV(Fluidos, Fluidos.q-1);
   double deltaH = HV_q - HV_qmenos1;
   if(deltaH < 0) deltaH = 0.0;
   double spreadMin = Fluidos.tickMin/2;
   double spreadBase = MathRound( 100 * Fluidos.tickMin * ( (Fluidos.lambdaV/Fluidos.KC) + deltaH ) / Fluidos.tickMin ) * Fluidos.tickMin;
   double spreadAlvo = spreadMin + spreadBase;
   double spreadStop = MathRound( Fluidos.sigmaHFT / Fluidos.tickMin ) * Fluidos.tickMin * 5;
   */
   
      //NOVO SPREAD
   double spread = 0.0;
   double spreadAlvo = 0.0;
   TimeToStruct(TimeCurrent(), Operacao.horarioMQL_atual);
   int atual = Operacao.horarioMQL_atual.hour * 60 + Operacao.horarioMQL_atual.min;
   if(Operacao.chaveBook == true) Fluidos.KC = CalculaKC(Fluidos, ArrayBook);
   if(Operacao.chaveLambda == true) Fluidos.lambdaV = CalculaLambdaVenda(ArrayTick, Fluidos.T);
   double spreadMin = Fluidos.tickMin/2;
   Fluidos.eC = spreadMin;
   Fluidos.eV = spreadMin;
   
   int n = 5;
   double HC_q = CalculaHC(Fluidos, Fluidos.q, n);
   double HC_qmais1 = CalculaHC(Fluidos, Fluidos.q+1, n);
   double deltaH = HC_q - HC_qmais1;
   Fluidos.a = CalculaAlpha(Fluidos, Operacao);
   double spreadAlpha = MathRound(Fluidos.a*500/Fluidos.tickMin)*Fluidos.tickMin;
   double spreadBase = MathRound(((1/Fluidos.KC) - Fluidos.a + Fluidos.eV/10 + deltaH)*500/Fluidos.tickMin) * Fluidos.tickMin;
   double spreadDesvio = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin;
   double spreadStop = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin * 5;
   
   if(spreadBase < 0) spreadBase = 0;
   spreadAlvo = 2*spreadMin + spreadBase - spreadAlpha;
   if(spreadAlvo < 0) spreadAlvo = Fluidos.tickMin;
   
   spreadAlvoRet = spreadAlvo;
   spreadStopRet = spreadStop;

   return spread;
}

//+------------------------------------------------------------------+
//| 5.5 - FUNCAO QUE CALCULA A MEDIA DE PRECOS                       |
//+------------------------------------------------------------------+
void GetPrecosPassados(MqlTick &ArrayTick[], double &precos[], int T)
{
   if(CopyTicks(Symbol(),ArrayTick,COPY_TICKS_TRADE,0,T) != -1)
   {
      ArraySetAsSeries(ArrayTick,true);
      for(int i=0;i<ArraySize(ArrayTick);i++)
      {
         precos[i] = ArrayTick[i].last;
      }
   }
   else
   {
      Print("Falha ao obter o ArrayTick, falha para GetPrecosPassados");
   }
   
   return;
}

//+------------------------------------------------------------------+
//| 5.7 - FUNCAO QUE CALCULA O LAMBDA COMPRA                         |
//+------------------------------------------------------------------+
int CalculaLambdaCompra(MqlTick &ArrayTick[], int T)
{
   int lambda = 0;
   double t = 0;
   int segundosIntInicial = 0;
   int segundosIntAtual = 0;
   MqlDateTime horaMqlTickInicial;
   MqlDateTime horaMqlTickAtual;
   
   T = T * 5;
   
   for(int i=0;i<ArraySize(ArrayTick);i++)
   {
      if(t<T)
      {
         TimeToStruct(ArrayTick[0].time, horaMqlTickInicial);
         TimeToStruct(ArrayTick[i].time, horaMqlTickAtual);
         
         segundosIntInicial = horaMqlTickInicial.hour*60*60 + horaMqlTickInicial.min*60 + horaMqlTickInicial.sec;
         segundosIntAtual = horaMqlTickAtual.hour*60*60 + horaMqlTickAtual.min*60 + horaMqlTickAtual.sec;
         t = segundosIntInicial - segundosIntAtual;
         
         if(ArrayTick[i].flags == 56)
            lambda += ArrayTick[i].volume;
      }
      
   }
   lambda = lambda / T;
   
   return lambda;
}

//+------------------------------------------------------------------+
//| 5.8 - FUNCAO QUE CALCULA O LAMBDA VENDA                          |
//+------------------------------------------------------------------+
int CalculaLambdaVenda(MqlTick &ArrayTick[], int T)
{
   int lambda = 0;
   double t = 0;
   int segundosIntInicial = 0;
   int segundosIntAtual = 0;
   MqlDateTime horaMqlTickInicial;
   MqlDateTime horaMqlTickAtual;

   T = T * 5;
   
   for(int i=0;i<ArraySize(ArrayTick);i++)
   {
      if(t<T)
      {
         TimeToStruct(ArrayTick[0].time, horaMqlTickInicial);
         TimeToStruct(ArrayTick[i].time, horaMqlTickAtual);
         
         segundosIntInicial = horaMqlTickInicial.hour*60*60 + horaMqlTickInicial.min*60 + horaMqlTickInicial.sec;
         segundosIntAtual = horaMqlTickAtual.hour*60*60 + horaMqlTickAtual.min*60 + horaMqlTickAtual.sec;
         t = segundosIntInicial - segundosIntAtual;
         
         if(ArrayTick[i].flags == 88)
            lambda += ArrayTick[i].volume;
      }
      
   }
   lambda = lambda / T;
   
   return lambda;
}

//+------------------------------------------------------------------+
//| 5.9 - FUNCAO QUE CALCULA O LOB COMPRA                            |
//+------------------------------------------------------------------+
int CalculaLobCompra(fluido &Fluidos, MqlBookInfo &ArrayBook[])
{
   int lobC = 0;
   for(int i=0; i<Fluidos.nBook;i++)
   {
      lobC = ArrayBook[Fluidos.iBid0 + i].volume;
   }
   return lobC;
}

//+------------------------------------------------------------------+
//| 5.10 - FUNCAO QUE CALCULA O LOB VENDA                            |
//+------------------------------------------------------------------+
int CalculaLobVenda(fluido &Fluidos, MqlBookInfo &ArrayBook[])
{
   int lobV = 0;
   for(int i=0; i<Fluidos.nBook;i++)
   {
      lobV = ArrayBook[Fluidos.iAsk0 - i].volume;
   }
   return lobV;
}

//+------------------------------------------------------------------+
//| 5.11 - FUNCAO QUE CALCULA O KC                                   |
//+------------------------------------------------------------------+
int CalculaKC(fluido &Fluidos, MqlBookInfo &ArrayBook[])
{
   int KC = 0;
   
   KC = CalculaLobCompra(Fluidos, ArrayBook) / Fluidos.nBook;
   
   return KC;
}

//+------------------------------------------------------------------+
//| 5.12 - FUNCAO QUE CALCULA O KV                                   |
//+------------------------------------------------------------------+
int CalculaKV(fluido &Fluidos, MqlBookInfo &ArrayBook[])
{
   int KV = 0;
   
   KV = CalculaLobVenda(Fluidos, ArrayBook) / Fluidos.nBook;
   
   return KV;
}

//+------------------------------------------------------------------+
//| 5.13 - FUNCAO QUE CALCULA O h(t,q) do SpreadBuy                  |
//+------------------------------------------------------------------+
double CalculaHC(fluido &Fluidos, int q, int n)
{
   double h = 0.0;
   double exp1 = 0.0;
   double exp2 = 0.0;

   exp1 = (pow(((q*Fluidos.KC*(Fluidos.eC*Fluidos.lambdaC - Fluidos.eV*Fluidos.lambdaV)) - (Fluidos.fi*Fluidos.KC*pow(q,2))),n)/Fatorial(n))  *  (pow(Fluidos.lifetimeOrdem,n)/Fatorial(n));
   exp2 = exp( -Fluidos.c*Fluidos.KC*pow(q,2) ); 
   
   h = (1/Fluidos.KC) * log(1 + (exp1 * exp2));
   
 //  Print("Fluidos.eC*Fluidos.lambdaC - Fluidos.eV*Fluidos.lambdaV: ", Fluidos.eC*Fluidos.lambdaC - Fluidos.eV*Fluidos.lambdaV, " / Fluidos.fi*Fluidos.KC*pow(q,2): ", Fluidos.fi*Fluidos.KC*pow(q,2), " / HC = exp1: ", exp1, " / exp2: ", exp2, " / h:", h);
   
   return h;
}
 
//+------------------------------------------------------------------+
//| 5.14 - FUNCAO QUE CALCULA O h(t,q) do SpreadSell                 |
//+------------------------------------------------------------------+
double CalculaHV(fluido &Fluidos, int q, int n)
{
   double h = 0.0;
   double exp1 = 0.0;
   double exp2 = 0.0;

   exp1 = (pow(((q*Fluidos.KV*(Fluidos.eC*Fluidos.lambdaC - Fluidos.eV*Fluidos.lambdaV)) - (Fluidos.fi*Fluidos.KV*pow(q,2))),n)/Fatorial(n))  *  (pow(Fluidos.lifetimeOrdem,n)/Fatorial(n));
   exp2 = exp( -Fluidos.c*Fluidos.KV*pow(q,2) ); 
   
   h = (1/Fluidos.KV) * log(1 + (exp1 * exp2));
   
   return h;
}


//+------------------------------------------------------------------+
//| 5.15 - FUNCAO QUE CALCULA O h(t,q) do SpreadBuy                  |
//+------------------------------------------------------------------+
double CalculaHCmais1(fluido &Fluidos, int q, int n)
{
   double h = 0.0;
   double exp1 = 0.0;
   double exp2 = 0.0;

   exp1 = (pow((Fluidos.lambdaV*exp(-1-(Fluidos.KC*Fluidos.eC))),n)/Fatorial(n))  *  (pow(Fluidos.lifetimeOrdem,n)/Fatorial(n));
   exp2 = exp( -Fluidos.c*Fluidos.KC*pow(q,2) ); 
   
   h = (1/Fluidos.KC) * log(1 + (exp1 * exp2));
   return h;
}
 
//+------------------------------------------------------------------+
//| 5.16 - FUNCAO QUE CALCULA O h(t,q) do SpreadSell                 |
//+------------------------------------------------------------------+
double CalculaHVmenos1(fluido &Fluidos, int q, int n)
{
   double h = 0.0;
   double exp1 = 0.0;
   double exp2 = 0.0;

   exp1 = (pow((Fluidos.lambdaC*exp(-1-(Fluidos.KV*Fluidos.eV))),n)/Fatorial(n))  *  (pow(Fluidos.lifetimeOrdem,n)/Fatorial(n));
   exp2 = exp( -Fluidos.c*Fluidos.KV*pow(q,2) ); 
   
   h = (1/Fluidos.KV) * log(1 + (exp1 * exp2));
   return h;
}

//+------------------------------------------------------------------+
//| 5.17 - FUNCAO QUE CALCULA O ALPHA                                |
//+------------------------------------------------------------------+
double CalculaAlpha(fluido &Fluidos, operacao &Operacao)
{
   double alpha = 0.0;
   
   alpha = (Fluidos.dzeta*Fluidos.driftHFTTend) - (Fluidos.eta*Fluidos.aceleracao) + (Fluidos.eC*Fluidos.lambdaC) - (Fluidos.eV*Fluidos.lambdaV);
   //Print(" 1: ", Fluidos.driftHFTTend, " 2: ", Fluidos.aceleracao, " 3: ", Fluidos.lambdaC*Fluidos.eC, " 4: ",Fluidos.eV*Fluidos.lambdaV);
   alpha = alpha*100 / Operacao.simbolo.Last();
   return alpha;
}


//+------------------------------------------------------------------+
//| 5.18 - FUNCAO QUE CALCULA O EPSILON                              |
//+------------------------------------------------------------------+
double CalculaEpsilon(int lambda, int K)
{
   double epsilon = 0.0;
   
   epsilon = (double)lambda / (double)K;
   
   return epsilon;
}


//+------------------------------------------------------------------+
//| 5.18 - FUNCAO QUE CALCULA FATORIAL                               |
//+------------------------------------------------------------------+
int Fatorial(int n)
{
   int fatorial = 0;
   for(int i = n; i>0 ; i--)
   {
      if(i == n)
      {
         fatorial = i;
      }
      else
      {
         fatorial = fatorial * i;
      }
   }
   return fatorial;
}

//+===================================================================================================================================================================================+
//| FIM DO PROGRAMA                                                                                                   
//+===================================================================================================================================================================================+