100 lines
No EOL
4.9 KiB
MQL5
100 lines
No EOL
4.9 KiB
MQL5
//+------------------------------------------------------------------+
|
|
//| S1_Admissao1_v0.mqh |
|
|
//| DESENVOLVIMENTO |
|
|
//| Copyright 2022, HEDGING HORN CAPITAL |
|
|
//| https://www.hhcapital.com.br |
|
|
//+------------------------------------------------------------------+
|
|
#property copyright "Copyright 2022, HEDGING HORN CAPITAL"
|
|
#property link "https://www.hhcapital.com.br"
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| 1.3.4 - VARIAVEIS OPERACIONAIS |
|
|
//+------------------------------------------------------------------+
|
|
struct CustomMqlTick
|
|
{
|
|
int idTick;
|
|
string tipoEvento;
|
|
datetime timestamp;
|
|
int flag;
|
|
double last;
|
|
int volume;
|
|
double bid0;
|
|
double ask0;
|
|
int vb0;
|
|
int va0;
|
|
int bid1;
|
|
int ask1;
|
|
int vb1;
|
|
int va1;
|
|
};
|
|
|
|
struct slot
|
|
{
|
|
ulong idOrdem;
|
|
ulong idPosicao;
|
|
int ponta;
|
|
int state;
|
|
int status;
|
|
double qtd;
|
|
double precoEnvio;
|
|
double precoAlvo;
|
|
double precoStop;
|
|
MqlDateTime cronometro;
|
|
};
|
|
|
|
struct posicao
|
|
{
|
|
ulong idPosicao;
|
|
int ponta;
|
|
double qtd;
|
|
double precoMedio;
|
|
double precoAlvo;
|
|
double precoStop;
|
|
};
|
|
|
|
struct fluido
|
|
{
|
|
double media;
|
|
double midprice;
|
|
double sigmaHFT;
|
|
double sigmaLFT;
|
|
double assimetria;
|
|
double curtose; //C = (q3-q1)/2(d9-d1)
|
|
double driftHFTTend; //driftHFTTend = [λc*e^(-kv*spreadV)]-[λv*e^(-kc*spreadC)]
|
|
double driftHFTVol;
|
|
double driftLFTTend;
|
|
double driftLFTVol;
|
|
double spreadHFTC;
|
|
double spreadHFTV;
|
|
double spreadLFTC;
|
|
double spreadLFTV;
|
|
double KC;
|
|
double KV;
|
|
double lambdaC;
|
|
double lambdaV;
|
|
double lobC;
|
|
double lobV;
|
|
double fi;
|
|
double alpha;
|
|
int q;
|
|
int Q;
|
|
int t;
|
|
int T;
|
|
int nBook;
|
|
int iBid0;
|
|
int iBid1;
|
|
int iBid2;
|
|
int iAsk0;
|
|
int iAsk1;
|
|
int iAsk2;
|
|
double precoMedioC;
|
|
double precoMedioV;
|
|
int magic;
|
|
int iSlot;
|
|
int rajada;
|
|
double tickMin;
|
|
bool chaveBook;
|
|
double precoAbertura;
|
|
double desvioDiario;
|
|
int lifetime;
|
|
}; |