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SuperCharlie_Oxford/Producao_v4_1/S1_Ignicao1_v4_1.mq5

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2025-05-30 16:27:23 +02:00
<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//| S1_Ignicao1_v4_1.mq5 |
//| PRODUCAO |
//| 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 "PROD_v4_1"
#property description "HFT MARKET MAKING BASED ON OXFORD'S STUDIES. MINI INDICE."
//+===================================================================================================================================================================================+
//| 0 - SESSAO DE CABECALHO / ADMISSAO
//+===================================================================================================================================================================================+
//+------------------------------------------------------------------+
//| 0.1 - IMPORTACOES |
//+------------------------------------------------------------------+
#include <Expert/Expert.mqh>
#include <Trade/Trade.mqh>
#include <Trade/SymbolInfo.mqh>
#include "MarketBook.mqh"
#include "S0_Admissao1_v4_1.mqh"
#include "S2_Motor1_v4_1.mqh"
#include "S3_Freios1_v4_1.mqh"
#include "S4_Cambio4x4_v4_1.mqh"
#include "S5_Direcao1_v4_1.mqh"
#include "S6_Transmissao1_v4_1.mqh"
////
//+------------------------------------------------------------------+
//| 0.2 - ENTRADAS DE USUARIO |
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
//| 0.2.1 - INPUTS DE GERENCIAMENTO DE INVENTARIO |
//+------------------------------------------------------------------+
input group "Gerenciamento de Invent<00>rio---------------|---------------------------------------------------------------"
input int niveis = 4; //<EFBFBD>: Quantidade de n<EFBFBD>veis m<EFBFBD>ximos <EFBFBD> {1}[1, +inf[
input int rajada = 1; //r: Quantidade por ordem r {1}[1, +inf[
//+------------------------------------------------------------------+
//| 0.2.2 - INPUTS DE GERENCIAMENTO DE ESTRATEGIA |
//+------------------------------------------------------------------+
input group "Gerenciamento de Estrat<00>gia---------------|---------------------------------------------------------------"
input double fi = 0.0002; //<EFBFBD>: Running Penalty (inje<EFBFBD><EFBFBD>o eletr<EFBFBD>nica)
input double passoFi = 10; //passo <EFBFBD>
input double custoOperacao = 1.20; //<EFBFBD> : Custo por operacao <EFBFBD> {0.88} [0.0, 2.0[
input int profundidadeBook = 5; //<EFBFBD>: Profundidade do book a calcular o k {5}[1, +inf[
input double desvioDiario = 8; //<EFBFBD>: Desvios padroes limite para o preco do ativo no dia
input int lifetimeOrdem = 120; //<EFBFBD>O: Tempo em seg da duracao de uma ordem pendente
input int lifetimePosicao = 500; //<EFBFBD>P: Tempo em seg da duracao de uma posicao pendente
input int intervaloTicks = 1000; //Ticks: Intervalo de ticks do ArrayTick
//+------------------------------------------------------------------+
//| 0.2.3 - INPUTS DE GERENCIAMENTO DE RISCOS |
//+------------------------------------------------------------------+
input group "Gerenciamento de Riscos-------------------|---------------------------------------------------------------"
input double alvoPercentual = 0.10; //XAlvo%: em formato 0.05 = 5% {0.10} [0, inf+[
input double stopPercentual = 0.10; //XStop%: em formato 0.05 = 5% {0.10} [0, 1]
input double saldoInicial = 4500; //X0: Saldo inicial do dia
input double alvoFinanceiro = 500.0; //<EFBFBD>sup: 3<EFBFBD> Order Risk M.: Alvo financeiro no dia sup(<EFBFBD>)
input double stopFinanceiro = -500.0; //<EFBFBD>inf: 3<EFBFBD> Order Risk M.: Stop financeiro no dia inf(<EFBFBD>)
//+------------------------------------------------------------------+
//| 0.2.4 - INPUTS DE GERENCIAMENTO DE TEMPO |
//+------------------------------------------------------------------+
input group "Gerenciamento de Tempo--------------------|---------------------------------------------------------------"
input ushort horarioShort_inicial = 545; //t0: Hor<EFBFBD>rio inicial 09:05 -> <EFBFBD>0 em minutos {600}[600, 985]
input ushort horarioShort_final = 980; //tf: Hor<EFBFBD>rio final 16:20 -> <EFBFBD>F em minutos {700}[600, 985]
input ushort horarioShort_fechamento = 985; //Tf: Hor<EFBFBD>rio limite de after 16:25 -><EFBFBD>P em minutos{705}[600,990]
//+------------------------------------------------------------------+
//| 0.2.5 - INPUTS DE GERENCIAMENTO DE OPERACOES |
//+------------------------------------------------------------------+
input group "Gerenciamento de Opera<00><00>es----------------|---------------------------------------------------------------"
input bool chaveEscalonador = true; //Chave on/off do escalonador de saldo, alvo, stop do dia {true}
input bool chaveLambda = true; //Chave on/off do lambda {true}
input bool chaveBook = true; //Chave on/off do book {true}
input bool chaveRiscoSaldo = true; //Chave on/off do risco saldo {true}
input bool chaveRiscoTend = false; //Chave on/off do risco de tendencia {true}
input bool chaveFiAutomatico = true; //Chave on/off do fi Automatico {false}
input bool chaveDeinitOrdens = false; //Chave on/off do cancelamento de ordens no Deinit {false}
input bool chaveDeinitPosicoes = false; //Chave on/off do fechamento de posicoes no Deinit {false}
//+------------------------------------------------------------------+
//| 1.3 - VARIAVEIS GLOBAIS |
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
//| 1.3.1 - OBJETOS OPERACIONAIS |
//+------------------------------------------------------------------+
operacao Operacao;
fluido Fluidos;
slot SlotsC[];
slot SlotsV[];
MqlTick ArrayTick[];
MqlBookInfo ArrayBook[];
CMarketBook Book(_Symbol);
//+===================================================================================================================================================================================+
//| 1 - SESSAO DE DAR A PARTIDA E CONTROLA EVENTOS / IGNICAO
//+===================================================================================================================================================================================+
//+------------------------------------------------------------------+
//| 1.1 - FUNCAO DE INICIALIZACAO |
//+------------------------------------------------------------------+
int OnInit()
{
Print("PRODUCAO V1_alterado");
//Inicializao basica
Fluidos.q = 0;
Fluidos.t = 0;
Fluidos.T = lifetimeOrdem;
Fluidos.t0d = horarioShort_inicial;
Fluidos.td = 0;
Fluidos.Td = horarioShort_final;
Fluidos.nBook = profundidadeBook;
Fluidos.iBid0 = -1;
Fluidos.iAsk0 = -1;
Fluidos.iSlot = 0;
Fluidos.niveis = niveis;
Fluidos.rajada = rajada;
Fluidos.lifetimeOrdem = lifetimeOrdem;
Fluidos.lifetimePosicao = lifetimePosicao;
Fluidos.handlerMA = -1;
Fluidos.handlerSTDDEV = -1;
Fluidos.periodoMA = 100;
Fluidos.periodoSTDDEV = 100;
Fluidos.intervaloTicks = intervaloTicks;
Fluidos.limiteInfDesvio = 0;
Fluidos.limiteSupDesvio = 500;
Fluidos.media = -1;
Fluidos.midPrice = -1;
Fluidos.sigmaHFT = -1;
Fluidos.sigmaLFT = -1;
Fluidos.assimetria = 0.0;
Fluidos.curtose = 0.0;
Fluidos.driftLFTTend = 0.0;
Fluidos.driftLFTVol = 0.0;
Fluidos.driftHFTVol = 0.0;
Fluidos.driftHFTTend = 0.0;
Fluidos.spreadLFTC = 0.0;
Fluidos.spreadLFTV = 0.0;
Fluidos.spreadHFTC = 0.0;
Fluidos.spreadHFTV = 0.0;
Fluidos.KC = 100;
Fluidos.KV = 100;
Fluidos.lambdaC = 10;
Fluidos.lambdaV = 10;
Fluidos.lobC = 0.0;
Fluidos.lobV = 0.0;
Fluidos.fi = fi;
Fluidos.fiInicial = fi;
Fluidos.passoFi = passoFi;
Fluidos.alpha = custoOperacao/1000;
Fluidos.desvioDiario = desvioDiario;
Fluidos.precoMedioC = 0.0;
Fluidos.precoMedioV = 0.0;
Fluidos.tickMin = 5;
Fluidos.precoAbertura = -1;
Fluidos.desvioDiario = desvioDiario;
Fluidos.limiteInfTend = -1;
Fluidos.limiteSupTend = -1;
Fluidos.limiteInfDesvio = -1;
Fluidos.limiteSupDesvio = -1;
if(chaveEscalonador == true) Fluidos.rajada = floor(AccountInfoDouble(ACCOUNT_BALANCE)/10000) + 1;
if(chaveEscalonador == true) Fluidos.niveis = floor(AccountInfoDouble(ACCOUNT_BALANCE)/(Fluidos.rajada*1000));
Fluidos.Q = Fluidos.rajada * Fluidos.niveis;
Operacao.chaveEscalonador = chaveEscalonador;
Operacao.chaveLambda = chaveLambda;
Operacao.chaveBook = chaveBook;
Operacao.chaveRiscoSaldo = chaveRiscoSaldo;
Operacao.chaveRiscoTend = chaveRiscoTend;
Operacao.chaveFiAutomatico = chaveFiAutomatico;
Operacao.magic = 11111;
Operacao.diaAtual = 0;
Operacao.posicoes_total_prev = 0;
Operacao.posicoes_total = 0;
Operacao.normalizeDoubleSize = 0;
Operacao.horarioShort_atual =0;
Operacao.horarioShort_inicial = horarioShort_inicial;
Operacao.horarioShort_final = horarioShort_final;
Operacao.horarioShort_fechamento = horarioShort_fechamento;
Operacao.countSaldo = 0;
Operacao.countFechaDia = 0;
Operacao.saldoInicialDia = saldoInicial;
Operacao.saldoAtualDia = 0.0;
Operacao.diferencaSaldo = 0.0;
Operacao.alvoFinanceiro = alvoFinanceiro;
if(stopFinanceiro > 0) Operacao.stopFinanceiro = -1*stopFinanceiro;
else Operacao.stopFinanceiro = stopFinanceiro;
Operacao.alvoPercentual = alvoPercentual;
Operacao.stopPercentual = stopPercentual;
Operacao.stopFinanceiro = stopFinanceiro;
Operacao.handlerNormalizeDoubleSize = "";
Operacao.lifetimePosicao = lifetimePosicao;
Operacao.saldoInicialDia = saldoInicial;
//Inicializa a contagem de dias
TimeToStruct(TimeCurrent(), Operacao.horarioMQL_atual);
Operacao.diaAtual = Operacao.horarioMQL_atual.day;
//Inicializa o MarketBook
if(Operacao.chaveBook == true) if(!MarketBookAdd(_Symbol)) Print("Falha para inicializar o book");
ArrayResize(ArrayTick, Fluidos.intervaloTicks, 0);
//Inicializa o ArrayTick
if(CopyTicks(_Symbol, ArrayTick, COPY_TICKS_ALL, 0, Fluidos.intervaloTicks) != -1)
{
ArraySetAsSeries(ArrayTick, true);
}
else Print("Falha para inicializar o ArrayTicks: ", GetLastError());
//NormalizeDouble
Operacao.handlerNormalizeDoubleSize = DoubleToString(Fluidos.tickMin);
Operacao.handlerNormalizeDoubleSize = StringReplace(Operacao.handlerNormalizeDoubleSize,".","");
Operacao.normalizeDoubleSize = (StringLen(Operacao.handlerNormalizeDoubleSize))-1;
//Ajusta o tamanho dos arrays de slots de compra e venda
ArrayResize(SlotsC, Fluidos.niveis);
ArrayResize(SlotsV, Fluidos.niveis);
//Inicializa os slots de compra e venda
for(int i=0; i<Fluidos.niveis ;i++)
{
SlotsC[i].statusCambio = 0;
SlotsC[i].statusMotor = 0;
SlotsV[i].statusCambio = 0;
SlotsV[i].statusMotor = 0;
SlotsC[i].ponta = 0;
SlotsV[i].ponta = 2;
}
//Cria os buffers dos indicadores de media e desvio padrao
Fluidos.handlerMA = iMA(_Symbol, PERIOD_M1, Fluidos.periodoMA, 0, MODE_EMA, PRICE_MEDIAN);
Fluidos.handlerSTDDEV = iStdDev(_Symbol, PERIOD_M1, Fluidos.periodoSTDDEV, 0, MODE_EMA, PRICE_MEDIAN);
ArraySetAsSeries(Fluidos.MA, true);
ArraySetAsSeries(Fluidos.STDDEV, true);
CopyBuffer(Fluidos.handlerMA, 0, 1, 2, Fluidos.MA);
CopyBuffer(Fluidos.handlerSTDDEV, 0, 1, 2, Fluidos.STDDEV);
Fluidos.media = Fluidos.MA[0];
Fluidos.sigmaHFT = MathAbs(Fluidos.STDDEV[0]);
Fluidos.driftLFTTend = Fluidos.MA[0] - Fluidos.MA[1];
Fluidos.driftLFTVol = Fluidos.STDDEV[0] - Fluidos.STDDEV[1];
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| 1.2 - FUNCAO EVENTO TICK / CORACAO |
//+------------------------------------------------------------------+
void OnTick()
{
//Atualiza os ticks e variaveis
AtualizaVariaveis();
//-log(sqrt(T-t))*tickMin*100
//Chamar o motor
if(VerificaHorarioOrdens(Operacao)) FazTrades(Operacao, Fluidos, SlotsC, SlotsV, ArrayTick, ArrayBook);
else if(VerificaHorarioFechamento(Operacao))
{
FechaPosicoes(Operacao);
Print("Mandou fechar todas as posicoes por fechamento de dia.");
CancelaOrdensAbertas(Operacao);
Print("Mandou cancelar todas as ordens abertas por fechamento de dia.");
ArrayFree(SlotsC);
ArrayFree(SlotsV);
ArrayResize(SlotsC, Fluidos.niveis);
ArrayResize(SlotsV, Fluidos.niveis);
for(int i=0;i<ArraySize(SlotsC);i++)
{
SlotsC[i].statusCambio = 0;
SlotsC[i].statusMotor = 0;
SlotsV[i].statusCambio = 0;
SlotsV[i].statusMotor = 0;
}
Operacao.countSaldo = 0;
}
else return;
return;
}
//+------------------------------------------------------------------+
//| 1.3 - FUNCAO QUE ATUALIZA AS VARIAVEIS IMPORTANTES |
//+------------------------------------------------------------------+
void AtualizaVariaveis()
{
//Atualiza saldoInicialDia no backtest
if(Operacao.chaveEscalonador == true)
{
//Atualiza as rajadas e niveis de acordo com o novo saldo
Fluidos.rajada = floor(AccountInfoDouble(ACCOUNT_BALANCE)/10000) + 1;
Fluidos.niveis = floor(AccountInfoDouble(ACCOUNT_BALANCE)/(Fluidos.rajada*1000));
Fluidos.Q = Fluidos.rajada * Fluidos.niveis;
ArrayResize(SlotsC, Fluidos.niveis);
ArrayResize(SlotsV, Fluidos.niveis);
if(Operacao.countSaldo == 0)
{
Operacao.saldoInicialDia = AccountInfoDouble(ACCOUNT_BALANCE);
Operacao.alvoFinanceiro = Operacao.saldoInicialDia * Operacao.alvoPercentual;
if(stopPercentual > 0) Operacao.stopFinanceiro = Operacao.saldoInicialDia * -1 * Operacao.stopPercentual;
else Operacao.stopFinanceiro = Operacao.saldoInicialDia * Operacao.stopPercentual;
Operacao.countSaldo = 1;
Operacao.countFechaDia = 0;
}
}
Fluidos.precoAbertura = iOpen(_Symbol, PERIOD_D1, 0);
//Atualiza o horario
TimeToStruct(TimeCurrent(), Operacao.horarioMQL_atual);
//Atualiza o book
if(!Operacao.simbolo.RefreshRates()) return;
if(Operacao.chaveBook == true)
{
if(MarketBookGet(_Symbol, ArrayBook))
{
//Atualiza os indices do topo do book
Fluidos.iBid0 = Book.InfoGetInteger(MBOOK_BEST_BID_INDEX);
Fluidos.iAsk0 = Book.InfoGetInteger(MBOOK_BEST_ASK_INDEX);
}
else
{
Print("Falha ao atualizar o Book");
}
}
ArrayResize(ArrayTick, Fluidos.intervaloTicks, 0);
//Atualiza os ticks
if(CopyTicks(Symbol(), ArrayTick,COPY_TICKS_ALL, 0, Fluidos.intervaloTicks) != -1) ArraySetAsSeries(ArrayTick, true);
else Print("Falha para inicializar o ArrayTicks: ", GetLastError());
//Atualiza os buffers de media e desvio padrao
CopyBuffer(Fluidos.handlerMA, 0 ,1, 2, Fluidos.MA);
CopyBuffer(Fluidos.handlerSTDDEV, 0, 1, 2, Fluidos.STDDEV);
Fluidos.midPrice = (Operacao.simbolo.Ask() + Operacao.simbolo.Bid())/2;
Fluidos.media = Fluidos.MA[0];
Fluidos.sigmaHFT = MathAbs(Fluidos.STDDEV[0]);
Fluidos.driftLFTTend = Fluidos.MA[0] - Fluidos.MA[1];
Fluidos.driftLFTVol = Fluidos.STDDEV[0] - Fluidos.STDDEV[1];
Fluidos.q = AtualizaQuantidade(Operacao, Fluidos);
Fluidos.td = Operacao.horarioMQL_atual.hour*60 + Operacao.horarioMQL_atual.min;
for(int i=0; i<Fluidos.niveis ;i++)
{
SlotsC[i].ponta = 0;
SlotsV[i].ponta = 2;
}
return;
}
//+------------------------------------------------------------------+
//| 1.4 - FUNCAO EVENTO BOOK |
//+------------------------------------------------------------------+
void OnBookEvent(const string &symbol)
{
if(Operacao.chaveBook == true)
{
//Atualiza os melhores indices de bid e ask do book
if(MarketBookGet(_Symbol, ArrayBook))
{
Fluidos.iBid0 = Book.InfoGetInteger(MBOOK_BEST_BID_INDEX);
Fluidos.iAsk0 = Book.InfoGetInteger(MBOOK_BEST_ASK_INDEX);
}
else
{
Print("Falha ao obter o Book");
}
}
return;
}
//+------------------------------------------------------------------+
//| 1.5 - FUNCAO EVENTO TRADE |
//+------------------------------------------------------------------+
void OnTrade()
{
}
//+------------------------------------------------------------------+
//| 1.6 - FUNCAO DE DESLIGAMENTO |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
//Da release nos indicadores
IndicatorRelease(Fluidos.handlerMA);
IndicatorRelease(Fluidos.handlerSTDDEV);
if(chaveDeinitOrdens == true)
{
CancelaOrdensAbertas(Operacao);
}
if(chaveDeinitPosicoes == true)
{
FechaPosicoes(Operacao);
}
Print("OUTPUT PATH=",TerminalInfoString(TERMINAL_DATA_PATH));
//Falha na desinicializacao
printf("Deinit reason: %d", reason);
}
//+===================================================================================================================================================================================+
//| FIM DO PROGRAMA
//+===================================================================================================================================================================================+
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