176 lines
6.3 KiB
MQL5
176 lines
6.3 KiB
MQL5
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//+------------------------------------------------------------------+
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//| S0_Admissao1_v4_1.mqh |
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//| PRODUCAO |
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//| OXFORD |
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//| HEDGING HORN CAPITAL |
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//| https://www.hhcapital.com.br |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2022, HEDGING HORN CAPITAL"
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#property link "https://www.hhcapital.com.br"
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#property version "PROD_v4_1"
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#property description "HFT MARKET MAKING BASED ON OXFORD'S STUDIES. MINI INDICE."
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#include <Expert/Expert.mqh>
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#include <Trade/Trade.mqh>
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#include <Trade/SymbolInfo.mqh>
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#include "MarketBook.mqh"
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//+------------------------------------------------------------------+
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//| 0.1 - OBJETOS OPERACIONAIS |
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//+------------------------------------------------------------------+
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struct CustomMqlTick
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{
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int idTick;
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int vb0;
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int va0;
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int bid1;
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int ask1;
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int vb1;
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int va1;
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int flag;
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int volume;
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datetime timestamp;
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double last;
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double bid0;
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double ask0;
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string tipoEvento;
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};
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struct slot
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{
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ulong idOrdem;
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ulong idPosicao;
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int statusCambio;
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int statusMotor;
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int ponta;
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int state;
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double qtd;
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double precoEnvio;
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double precoAlvo;
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double precoStop;
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MqlDateTime cronometro;
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};
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struct posicao
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{
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ulong idPosicao;
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int ponta;
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double qtd;
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double precoMedio;
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double precoAlvo;
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double precoStop;
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};
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struct fluido
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{
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int q;
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int Q;
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int t;
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int T;
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int t0d;
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int td;
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int Td;
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int nBook;
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int iBid0;
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int iAsk0;
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int iSlot;
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int niveis;
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int rajada;
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int lifetimeOrdem;
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int lifetimePosicao;
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int handlerMA;
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int handlerSTDDEV;
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int periodoMA;
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int periodoSTDDEV;
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int intervaloTicks;
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double media;
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double midPrice;
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double sigmaHFT;
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double sigmaLFT;
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double assimetria;
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double curtose;
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double driftHFTTend;
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double driftHFTVol;
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double driftLFTTend;
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double driftLFTVol;
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double spreadHFTC;
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double spreadHFTV;
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double spreadLFTC;
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double spreadLFTV;
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double KC;
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double KV;
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double lambdaC;
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double lambdaV;
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double lobC;
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double lobV;
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double fi;
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double fiInicial;
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double passoFi;
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double alpha;
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double precoMedioC;
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double precoMedioV;
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double tickMin;
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double precoAbertura;
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double desvioDiario;
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double MA[];
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double STDDEV[];
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double limiteInfTend;
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double limiteSupTend;
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double limiteInfDesvio;
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double limiteSupDesvio;
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};
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struct operacao
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{
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bool chaveEscalonador;
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bool chaveLambda;
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bool chaveBook;
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bool chaveRiscoSaldo;
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bool chaveRiscoTend;
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bool chaveFiAutomatico;
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int magic;
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int diaAtual;
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int posicoes_total;
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int posicoes_total_prev;
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int normalizeDoubleSize;
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int tipoPosicao;
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int lifetimePosicao;
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int countSaldo;
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int countFechaDia;
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ushort horarioShort_atual;
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ushort horarioShort_inicial;
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ushort horarioShort_final;
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ushort horarioShort_fechamento;
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double saldoInicialDia;
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double saldoAtualDia;
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double diferencaSaldo;
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double alvoFinanceiro;
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double stopFinanceiro;
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double alvoPercentual;
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double stopPercentual;
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double precoAlvo;
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double precoStop;
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double precoEnvio;
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string handlerNormalizeDoubleSize;
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MqlDateTime horarioMQL_inicio;
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MqlDateTime horarioMQL_final;
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MqlDateTime horarioMQL_encerramento;
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MqlDateTime horarioMQL_atual;
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MqlDateTime horarioMQL_comprado;
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MqlDateTime horarioMQL_compra;
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MqlDateTime cronometroPosicao;
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MqlTradeRequest request;
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MqlTradeResult result;
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MqlTradeTransaction transaction;
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MqlTradeCheckResult check_result;
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CSymbolInfo simbolo;
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CTrade negocio;
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};
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//+===================================================================================================================================================================================+
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//| FIM DO PROGRAMA
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//+===================================================================================================================================================================================+
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