cikong/SuperCharlie_Oxford
1
0
Fork 0
Code Issues Pull requests Projects Releases Packages Wiki Activity Actions
SuperCharlie_Oxford/Desenvolvimento_v4_2/S5_Direcao1_v4_2.mqh
super.admin 513958a1f2 convert
2025-05-30 16:27:23 +02:00

619 lines
No EOL
52 KiB
MQL5
Raw Permalink Blame History

//+------------------------------------------------------------------+
//| 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 = -Φ*k*q^2 , i=q
//SLOTS_i,q = λc/e , i=q-1
//SLOTS_i,q = λv/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, NÃO 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
//+===================================================================================================================================================================================+
Reference in a new issue View git blame Copy permalink