241 lines
No EOL
9.1 KiB
MQL5
241 lines
No EOL
9.1 KiB
MQL5
//+------------------------------------------------------------------+
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//| S0_Admissao_v4_4.mqh |
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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 "HOMOLOG_v4_4"
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#property description "HFT MARKET MAKING BASED ON OXFORD'S STUDIES. MINI INDICE."
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//+===================================================================================================================================================================================+
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//| 0 - SESSAO DE CABECALHO / ADMISSAO
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//+===================================================================================================================================================================================+
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//+------------------------------------------------------------------+
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//| 0.1 - IMPORTACOES |
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//+------------------------------------------------------------------+
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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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//| 0.2 - 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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double spreadEnvio;
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double spreadAlvo;
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double spreadStop;
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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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bool LC;
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bool LV;
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int q;
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int Q;
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int t;
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int TOr;
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int TPr;
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int TOe;
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int TPe;
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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 handlerMA;
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int handlerSTDDEVLongo;
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int handlerSTDDEVCurto;
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int handlerVolumeReal;
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int handlerVolumeNegocios;
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int periodoMA;
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int periodoSTDDEVLongo;
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int periodoSTDDEVCurto;
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int periodoVolume;
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int intervaloTicks;
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int fatorHedge;
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int spreadCusto;
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int n;
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int fatorLambdaBacktest;
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double media;
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double midPrice;
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double drift;
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double sigmaHFT;
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double sigmaLFT;
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double volumeReal;
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double volumeNegocios;
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double assimetria;
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double curtose;
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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 precoOpen;
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double precoClose;
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double desvioDiario;
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double MA[];
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double STDDEVLONGO[];
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double STDDEVCURTO[];
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double VOLUMEREAL[];
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double VOLUMENEGOCIOS[];
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double limiteInfTend;
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double limiteSupTend;
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double limiteInfDesvio;
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double limiteSupDesvioLongo;
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double limiteSupDesvioCurto;
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double imbalance;
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double corteImbalance;
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double eC;
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double eV;
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double c;
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string tendencia;
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double fatorStop;
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double gama;
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double ft;
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double fatorVol;
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};
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struct operacao
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{
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bool chaveSaldoChumbado;
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bool chaveEscalonador;
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bool chaveRiscoSaldo;
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bool chaveRiscoTend;
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bool chaveRiscoVolCurto;
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bool chaveTrailing;
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bool chaveDesvio;
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bool chaveDrift;
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bool chaveLambda;
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bool chaveLambdaBacktest;
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bool chaveBook;
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bool chaveBookBacktest;
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bool chaveDeltaH;
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bool chaveTheta;
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bool chaveGama;
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bool chaveFi;
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bool chaveCurtose;
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int magic;
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int diaAtual;
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int diaAnt;
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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 expiraPosicao;
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int countSaldo;
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int countFechaDia;
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int numeroContratos;
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int numeroContratosAcumulado;
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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 precoAlvo;
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double precoStop;
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double precoEnvio;
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double offsetStartTrailingC;
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double offsetStartTrailingV;
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double offsetStopTrailingC;
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double offsetStopTrailingV;
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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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MqlDateTime cronometroRefreshPosicao;
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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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struct gerenciador
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{
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double capitalInicialDia;
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double capitalAberto;
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double capitalFechado;
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double capitalTotal;
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double capitalInvestido;
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double lucroBrutoFechado;
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double lucroBrutoAberto;
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double lucroBrutoComposto;
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double lucroLiquido;
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double lucroLiquidoAcumulado;
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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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};
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//+===================================================================================================================================================================================+
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//| FIM DO PROGRAMA
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//+===================================================================================================================================================================================+ |