SuperCharlie_Oxford/Homologacao_v4_2/S5_Direcao1_v4_2.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                             S5_Direcao1_v4_2.mq5 |
//|                                                      HOMOLOGACAO |
//|                                                           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   "HOM_v4_2"
#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[], MqlBookInfo &ArrayBook[])
{
   //Calcula os spreads
   if(Slots[0].ponta == 0) 
   {
      Fluidos.precoMedioC = CalculaSpreadOrdemC(Operacao, Fluidos, Slots, ArrayBook);
   }
   else Fluidos.precoMedioV = CalculaSpreadOrdemV(Operacao, Fluidos, Slots, ArrayBook);
   
   return 0;
}

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

//+------------------------------------------------------------------+
//| 5.2 - FUNCAO QUE CALCULA SPREAD BUY                              |
//+------------------------------------------------------------------+
double CalculaSpreadOrdemC(operacao &Operacao, fluido &Fluidos, slot &SlotsC[], MqlBookInfo &ArrayBook[])
{
   double spreadB = 0.0;
   
   if(Operacao.chaveBook == true) Fluidos.KC = CalculaKC(Fluidos, ArrayBook);
   
   TimeToStruct(TimeCurrent(), Operacao.horarioMQL_atual);
   //Converte o horario atual Struct em ushort
   int atual = Operacao.horarioMQL_atual.hour * 60 + Operacao.horarioMQL_atual.min;
   
   double HC_q = CalculaHC(Fluidos, Fluidos.q);
   double HC_qmais1 = CalculaHC(Fluidos, Fluidos.q+1);
   double diferenca = HC_q - HC_qmais1;
   if(diferenca < 0) diferenca = 0.0;
   double spreadCompra = MathRound(100*Fluidos.tickMin*((Fluidos.lambdaV/Fluidos.KC) + diferenca) / Fluidos.tickMin) * Fluidos.tickMin;
   double spreadStop = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin * 5;
   double desvio = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin;
   double nivel = MathRound(log(Fluidos.iSlot+1) * 100 / Fluidos.tickMin) / 100 * Fluidos.tickMin;
   double spreadTotal = Fluidos.tickMin/2 + MathRound((spreadCompra + desvio * nivel)/Fluidos.tickMin)*Fluidos.tickMin;
   
   SlotsC[Fluidos.iSlot].precoEnvio = Fluidos.midPrice - spreadTotal;
   if(MathMod(SlotsC[Fluidos.iSlot].precoEnvio, Fluidos.tickMin) != 0)
   {
      SlotsC[Fluidos.iSlot].precoEnvio = SlotsC[Fluidos.iSlot].precoEnvio - MathMod(SlotsC[Fluidos.iSlot].precoEnvio, Fluidos.tickMin);
   }
   
   SlotsC[Fluidos.iSlot].precoAlvo = SlotsC[Fluidos.iSlot].precoEnvio + Fluidos.tickMin*2 + spreadCompra; 
   if(MathMod(SlotsC[Fluidos.iSlot].precoAlvo, Fluidos.tickMin) != 0)
   {
      SlotsC[Fluidos.iSlot].precoAlvo = SlotsC[Fluidos.iSlot].precoAlvo - MathMod(SlotsC[Fluidos.iSlot].precoAlvo, Fluidos.tickMin);
   }
   
   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, " HC_qmais1: ", HC_qmais1, " diferenca: ", diferenca);
 //  Print("PrecoEnvio: ", SlotsC[Fluidos.iSlot].precoEnvio, " PrecoAlvo: ", SlotsC[Fluidos.iSlot].precoAlvo, " PrecoStop: ", SlotsC[Fluidos.iSlot].precoStop);
   
   return spreadB;   
}

//+------------------------------------------------------------------+
//| 5.3 - FUNCAO QUE CALCULA SPREAD SELL                             |
//+------------------------------------------------------------------+
double CalculaSpreadOrdemV(operacao &Operacao, fluido &Fluidos, slot &SlotsV[], MqlBookInfo &ArrayBook[])
{
   double spread = 0.0;
   
   if(Operacao.chaveBook == true) Fluidos.KV = CalculaKV(Fluidos, ArrayBook);
   
   TimeToStruct(TimeCurrent(), Operacao.horarioMQL_atual);
   //Converte o horario atual Struct em ushort
   int atual = Operacao.horarioMQL_atual.hour * 60 + Operacao.horarioMQL_atual.min;
   
   double HV_q = CalculaHV(Fluidos, Fluidos.q);
   double HV_qmenos1 = CalculaHV(Fluidos, Fluidos.q-1);
   double diferenca = HV_q - HV_qmenos1;
   if(diferenca < 0) diferenca = 0.0;
   double spreadVenda = MathRound(100*Fluidos.tickMin*((Fluidos.lambdaC/Fluidos.KV) + diferenca) / Fluidos.tickMin) * Fluidos.tickMin;
   double spreadStop = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin * 5;
   double desvio = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin;
   double nivel = MathRound(log(Fluidos.iSlot+1) * 100 / Fluidos.tickMin) / 100 * Fluidos.tickMin;
   double spreadTotal = Fluidos.tickMin/2 + MathRound((spreadVenda + desvio * nivel) / Fluidos.tickMin) * Fluidos.tickMin;
     
   SlotsV[Fluidos.iSlot].precoEnvio = Fluidos.midPrice + spreadTotal;
   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));
   }
   
   SlotsV[Fluidos.iSlot].precoAlvo = SlotsV[Fluidos.iSlot].precoEnvio - Fluidos.tickMin*2 - spreadVenda;
   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));
   }
   
   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("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[], MqlBookInfo &ArrayBook[])
{
   double spreadB = 0.0;
   
   if(Operacao.chaveBook == true) Fluidos.KC = CalculaKC(Fluidos, ArrayBook);
   
   //Fluidos.lambdaV = 1;
   //Falta Calcular Fluidos.lambdaV
  
   double spreadCompra = MathRound(100*Fluidos.tickMin*((Fluidos.lambdaV/Fluidos.KC) + CalculaHC(Fluidos, Fluidos.q) - CalculaHC(Fluidos, Fluidos.q+1)) / Fluidos.tickMin) * Fluidos.tickMin;
   double spreadStop = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin * 5;
   double desvio = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin;
   double nivel = MathRound(log(Fluidos.iSlot+1) * 100 / Fluidos.tickMin) / 100 * Fluidos.tickMin;
  // Print("Passo: ", passo);
   
   SlotsC[Fluidos.iSlot].precoAlvo = Fluidos.midPrice + Fluidos.tickMin/2 + spreadCompra;
   SlotsC[Fluidos.iSlot].precoStop = SlotsC[Fluidos.iSlot].precoEnvio - spreadStop;

   return spreadB;   
}

//+------------------------------------------------------------------+
//| 5.3 - FUNCAO QUE CALCULA SPREAD SELL                             |
//+------------------------------------------------------------------+
double CalculaSpreadPosicaoV(operacao &Operacao, fluido &Fluidos, slot &SlotsV[], MqlBookInfo &ArrayBook[])
{
   double spread = 0.0;
   
   if(Operacao.chaveBook == true) Fluidos.KV = CalculaKV(Fluidos, ArrayBook);
   
   //Fluidos.lambdaC = 1;
   //Falta Calcular Fluidos.lambdaC
   
   double spreadVenda = MathRound(100*Fluidos.tickMin*((Fluidos.lambdaC/Fluidos.KV) + CalculaHV(Fluidos, Fluidos.q) - CalculaHV(Fluidos, Fluidos.q-1)) / Fluidos.tickMin) * Fluidos.tickMin;
   double spreadStop = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin * 5;
   double passo = MathRound(Fluidos.sigmaHFT / Fluidos.tickMin) * Fluidos.tickMin;
   double nivel = MathRound(log(Fluidos.iSlot+1) * 100 / Fluidos.tickMin) / 100 * Fluidos.tickMin;
   
   SlotsV[Fluidos.iSlot].precoAlvo = Fluidos.midPrice - Fluidos.tickMin/2 - spreadVenda;
   SlotsV[Fluidos.iSlot].precoStop = SlotsV[Fluidos.iSlot].precoEnvio + 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;
   int t = 0;
   
   for(int i=0;i<ArraySize(ArrayTick);i++)
   {
      while(t<T)
      {
         t = ArrayTick[0].time_msc - ArrayTick[i].time_msc;
         if(ArrayTick[i].flags == 1)
            lambda += ArrayTick[i].volume;
      }
      break;
   }
   
   return lambda;
}

//+------------------------------------------------------------------+
//| 5.8 - FUNCAO QUE CALCULA O LAMBDA VENDA                          |
//+------------------------------------------------------------------+
int CalculaLambdaVenda(MqlTick &ArrayTick[], int T)
{
   int lambda = 0;
   int t = 0;
   
   for(int i=0;i<ArraySize(ArrayTick);i++)
   {
      while(t<T)
      {
         t = ArrayTick[0].time_msc - ArrayTick[i].time_msc;
         if(ArrayTick[i].flags == 2)
            lambda += ArrayTick[i].volume;
      }
   }
   
   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 = CalculaLobCompra(Fluidos, ArrayBook) / Fluidos.nBook;
   
   return KV;
}

//+------------------------------------------------------------------+
//| 5.13 - FUNCAO QUE CALCULA O h(t,q) do SpreadBuy                  |
//+------------------------------------------------------------------+
double CalculaHC(fluido &Fluidos, int q)
{
   double h = 0.0;
    
   h = (Fluidos.lambdaV / Fluidos.KC) * log10(exp( -Fluidos.fi*Fluidos.KC*pow(q,2) * pow(((Fluidos.Td-Fluidos.td)/(Fluidos.Td-Fluidos.t0d)),0.125) ) * exp( -Fluidos.alpha*Fluidos.KC*pow(q,2) ) );
   //pow(((Fluidos.Td-Fluidos.td)/(Fluidos.Td-Fluidos.t0d)),0.125)
   return h;
}
 
//+------------------------------------------------------------------+
//| 5.14 - FUNCAO QUE CALCULA O h(t,q) do SpreadSell                 |
//+------------------------------------------------------------------+
double CalculaHV(fluido &Fluidos, int q)
{
   double h = 0.0;
   
   h = (Fluidos.lambdaC / Fluidos.KV) * log10(exp( -Fluidos.fi*Fluidos.KV*pow(q,2) * pow(((Fluidos.Td-Fluidos.td)/(Fluidos.Td-Fluidos.t0d)),0.125) ) * exp( -Fluidos.alpha*Fluidos.KV*pow(q,2) ) ) ;
   //pow(((Fluidos.Td-Fluidos.td)/(Fluidos.Td-Fluidos.t0d)),0.125)
   return h;
}

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