mql5/Shared Projects/ERMT-ML/Modules-ML8x/ExecutionOptimizer.mqh

//+------------------------------------------------------------------+
//|                    ExecutionOptimizer.mqh                        |
//|             Smart Order Routing and Execution                    |
//|           Optimal Execution Algorithms & Strategies              |
//+------------------------------------------------------------------+
#ifndef EXECUTION_OPTIMIZER_MQH
#define EXECUTION_OPTIMIZER_MQH

#include "DataTypes_v71.mqh"
#include <Trade/Trade.mqh>

//+------------------------------------------------------------------+
//| Execution Venue                                                  |
//+------------------------------------------------------------------+
struct ExecutionVenue
{
   string            name;
   double            liquidity_score;
   double            avg_spread;
   double            avg_latency_ms;
   double            fill_rate;
   double            price_improvement_rate;
   bool              is_available;
   int               priority;
};

//+------------------------------------------------------------------+
//| Execution Schedule (for TWAP/VWAP)                               |
//+------------------------------------------------------------------+
struct ExecutionSchedule
{
   datetime          start_time;
   datetime          end_time;
   int               slices;
   double            slice_sizes[];
   datetime          slice_times[];
   bool              is_adaptive;
   double            urgency_factor;
};

//+------------------------------------------------------------------+
//| Execution Analytics                                              |
//+------------------------------------------------------------------+
struct ExecutionAnalytics
{
   double            implementation_shortfall;
   double            arrival_price;
   double            avg_fill_price;
   double            vwap_tracking_error;
   double            timing_risk;
   double            market_impact;
   double            opportunity_cost;
   int               fills_count;
   double            fill_rate;
};

//+------------------------------------------------------------------+
//| Execution Optimizer Class                                        |
//+------------------------------------------------------------------+
class CExecutionOptimizer
{
private:
   //--- Configuration
   ENUM_EXECUTION_ALGO m_default_algo;
   double            m_max_slippage_pips;
   double            m_urgency_threshold;
   bool              m_use_dark_pools;
   
   //--- Execution venues
   ExecutionVenue    m_venues[];
   int               m_venue_count;
   
   //--- Active executions
   struct ActiveExecution
   {
      ulong          order_id;
      ExecutionPlan  plan;
      ExecutionSchedule schedule;
      double         filled_volume;
      double         avg_fill_price;
      datetime       start_time;
      int            retry_count;
      bool           is_complete;
   };
   ActiveExecution   m_active_executions[];
   
   //--- Analytics tracking
   ExecutionAnalytics m_analytics;
   double            m_total_volume_executed;
   
   //--- Market impact model
   double            m_impact_coefficient;
   double            m_temporary_impact;
   double            m_permanent_impact;
   
   //--- Helper methods
   double            EstimateMarketImpact(string symbol, double volume, double urgency);
   double            CalculateOptimalSliceSize(string symbol, double total_volume, double time_horizon);
   ExecutionVenue    SelectBestVenue(string symbol, double volume);
   void              UpdateVenueMetrics(ExecutionVenue &venue, double latency, bool success);
   double            GetMarketVolatility(string symbol);
   double            GetMarketDepth(string symbol, bool is_buy);
   
   //--- Execution algorithms
   bool              ExecuteWithTWAP(ExecutionPlan &plan);
   bool              ExecuteWithVWAP(ExecutionPlan &plan);
   bool              ExecuteWithAdaptive(ExecutionPlan &plan);
   bool              ExecuteWithSniper(ExecutionPlan &plan);
   bool              ExecuteWithIceberg(ExecutionPlan &plan);
   
public:
                     CExecutionOptimizer();
                    ~CExecutionOptimizer();
   
   //--- Initialization
   bool              Initialize(ENUM_EXECUTION_ALGO default_algo, double max_slippage);
   void              AddVenue(string name, double liquidity, double spread);
   
   //--- Execution planning
   ExecutionPlan     CreatePlan(string symbol, ENUM_ORDER_TYPE direction, 
                               double volume, double urgency = 0.5);
   ExecutionSchedule CreateSchedule(ExecutionPlan &plan, int slices);
   
   //--- Smart execution
   bool              ExecuteOrder(ExecutionPlan &plan);
   bool              ExecuteSlice(ActiveExecution &execution);
   void              ProcessActiveExecutions();
   
   //--- Emergency operations
   bool              ExecuteEmergencyClose(ulong ticket);
   void              CancelAllPendingExecutions();
   
   //--- Analytics
   double            GetImplementationShortfall() { return m_analytics.implementation_shortfall; }
   double            GetVWAPTrackingError() { return m_analytics.vwap_tracking_error; }
   double            GetAverageFillPrice() { return m_analytics.avg_fill_price; }
   ExecutionAnalytics GetAnalytics() { return m_analytics; }
   
   //--- Optimization
   ENUM_EXECUTION_ALGO SelectOptimalAlgorithm(string symbol, double volume, 
                                              double urgency, MarketConditionsV71 &conditions);
   double            OptimizeSlicing(string symbol, double volume, double volatility);
   
   //--- Market impact
   double            PredictMarketImpact(string symbol, double volume, double participation_rate);
   double            GetOptimalParticipationRate(string symbol, double urgency);
   
   //--- Venue management
   void              UpdateVenueAvailability(string venue_name, bool available);
   void              RebalanceVenuePriorities();
};

//+------------------------------------------------------------------+
//| Constructor                                                      |
//+------------------------------------------------------------------+
CExecutionOptimizer::CExecutionOptimizer()
{
   m_default_algo = EXEC_ADAPTIVE;
   m_max_slippage_pips = 2.0;
   m_urgency_threshold = 0.7;
   m_use_dark_pools = true;
   m_venue_count = 0;
   m_total_volume_executed = 0;
   m_impact_coefficient = 0.1;
   m_temporary_impact = 0.5;
   m_permanent_impact = 0.3;
   
   //--- Initialize analytics
   m_analytics.implementation_shortfall = 0;
   m_analytics.arrival_price = 0;
   m_analytics.avg_fill_price = 0;
   m_analytics.vwap_tracking_error = 0;
   m_analytics.timing_risk = 0;
   m_analytics.market_impact = 0;
   m_analytics.opportunity_cost = 0;
   m_analytics.fills_count = 0;
   m_analytics.fill_rate = 0;
}

//+------------------------------------------------------------------+
//| Destructor                                                       |
//+------------------------------------------------------------------+
CExecutionOptimizer::~CExecutionOptimizer()
{
   ArrayFree(m_venues);
   ArrayFree(m_active_executions);
}

//+------------------------------------------------------------------+
//| Initialize optimizer                                             |
//+------------------------------------------------------------------+
bool CExecutionOptimizer::Initialize(ENUM_EXECUTION_ALGO default_algo, double max_slippage)
{
   m_default_algo = default_algo;
   m_max_slippage_pips = max_slippage;
   
   //--- Add default venues
   AddVenue("Primary", 0.8, 0.1);
   AddVenue("ECN", 0.9, 0.05);
   AddVenue("Dark", 0.6, 0.02);
   
   //--- Initialize active executions array
   ArrayResize(m_active_executions, 100);
   
   Print("ExecutionOptimizer initialized: Algorithm=", EnumToString(m_default_algo),
         ", MaxSlippage=", m_max_slippage_pips);
   
   return true;
}

//+------------------------------------------------------------------+
//| Add execution venue                                              |
//+------------------------------------------------------------------+
void CExecutionOptimizer::AddVenue(string name, double liquidity, double spread)
{
   if(m_venue_count >= ArraySize(m_venues))
      ArrayResize(m_venues, m_venue_count + 10);
   
   m_venues[m_venue_count].name = name;
   m_venues[m_venue_count].liquidity_score = liquidity;
   m_venues[m_venue_count].avg_spread = spread;
   m_venues[m_venue_count].avg_latency_ms = 10; // Default
   m_venues[m_venue_count].fill_rate = 0.95;
   m_venues[m_venue_count].price_improvement_rate = 0.3;
   m_venues[m_venue_count].is_available = true;
   m_venues[m_venue_count].priority = m_venue_count + 1;
   
   m_venue_count++;
}

//+------------------------------------------------------------------+
//| Create execution plan                                            |
//+------------------------------------------------------------------+
ExecutionPlan CExecutionOptimizer::CreatePlan(string symbol, ENUM_ORDER_TYPE direction,
                                              double volume, double urgency)
{
   ExecutionPlan plan;
   plan.symbol = symbol;
   plan.direction = direction;
   plan.total_volume = volume;
   plan.urgency = urgency;
   
   //--- Determine execution algorithm
   if(urgency > m_urgency_threshold)
   {
      plan.algorithm = EXEC_SNIPER; // Aggressive for urgent orders
   }
   else if(volume > SymbolInfoDouble(symbol, SYMBOL_VOLUME_MIN) * 50)
   {
      plan.algorithm = EXEC_ICEBERG; // Hide large orders
   }
   else
   {
      plan.algorithm = m_default_algo;
   }
   
   //--- Calculate display volume for iceberg
   if(plan.algorithm == EXEC_ICEBERG)
   {
      plan.display_volume = volume * 0.2; // Show 20%
      plan.reserve_volume = volume * 0.8;
   }
   else
   {
      plan.display_volume = volume;
      plan.reserve_volume = 0;
   }
   
   //--- Set price limits
   double current_price = (direction == ORDER_TYPE_BUY) ?
                         SymbolInfoDouble(symbol, SYMBOL_ASK) :
                         SymbolInfoDouble(symbol, SYMBOL_BID);
   
   double slippage = m_max_slippage_pips * SymbolInfoDouble(symbol, SYMBOL_POINT) * 10;
   
   if(direction == ORDER_TYPE_BUY)
   {
      plan.limit_price = current_price + slippage;
      plan.stop_price = 0;
   }
   else
   {
      plan.limit_price = current_price - slippage;
      plan.stop_price = 0;
   }
   
   //--- Calculate time horizon based on urgency
   plan.time_horizon = (int)((1 - urgency) * 300 + 60); // 1-6 minutes
   
   //--- Dark pool usage
   plan.use_dark_pool = m_use_dark_pools && (volume > SymbolInfoDouble(symbol, SYMBOL_VOLUME_MIN) * 20);
   
   //--- Maximum spread
   plan.max_spread = SymbolInfoInteger(symbol, SYMBOL_SPREAD) * 2;
   
   return plan;
}

//+------------------------------------------------------------------+
//| Execute order with smart routing                                 |
//+------------------------------------------------------------------+
bool CExecutionOptimizer::ExecuteOrder(ExecutionPlan &plan)
{
   //--- Route to appropriate algorithm
   switch(plan.algorithm)
   {
      case EXEC_MARKET:
         {
            CTrade trade;
            trade.SetDeviationInPoints((int)(m_max_slippage_pips * 10));
            
            if(plan.direction == ORDER_TYPE_BUY)
               return trade.Buy(plan.total_volume, plan.symbol);
            else
               return trade.Sell(plan.total_volume, plan.symbol);
         }
         
      case EXEC_TWAP:
         return ExecuteWithTWAP(plan);
         
      case EXEC_VWAP:
         return ExecuteWithVWAP(plan);
         
      case EXEC_ADAPTIVE:
         return ExecuteWithAdaptive(plan);
         
      case EXEC_ICEBERG:
         return ExecuteWithIceberg(plan);
         
      case EXEC_SNIPER:
         return ExecuteWithSniper(plan);
         
      default:
         return false;
   }
}

//+------------------------------------------------------------------+
//| Execute with adaptive algorithm                                  |
//+------------------------------------------------------------------+
bool CExecutionOptimizer::ExecuteWithAdaptive(ExecutionPlan &plan)
{
   //--- Analyze current market conditions
   double volatility = GetMarketVolatility(plan.symbol);
   double depth = GetMarketDepth(plan.symbol, plan.direction == ORDER_TYPE_BUY);
   
   //--- Create adaptive execution
   ActiveExecution exec;
   exec.order_id = 0;
   exec.plan = plan;
   exec.filled_volume = 0;
   exec.avg_fill_price = 0;
   exec.start_time = TimeCurrent();
   exec.retry_count = 0;
   exec.is_complete = false;
   
   //--- Determine optimal slice size
   double optimal_slice = CalculateOptimalSliceSize(plan.symbol, plan.total_volume, plan.time_horizon);
   
   //--- Create adaptive schedule
   int slices = (int)(plan.total_volume / optimal_slice) + 1;
   exec.schedule = CreateSchedule(plan, slices);
   exec.schedule.is_adaptive = true;
   
   //--- Adjust for market conditions
   if(volatility > 0.02) // High volatility
   {
      exec.schedule.urgency_factor = MathMin(1.0, plan.urgency * 1.2);
      exec.schedule.slices = MathMax(3, slices / 2); // Fewer, larger slices
   }
   else if(depth < 10000) // Low liquidity
   {
      exec.schedule.urgency_factor = plan.urgency * 0.8;
      exec.schedule.slices = slices * 2; // More, smaller slices
   }
   
   //--- Store active execution
   for(int i = 0; i < ArraySize(m_active_executions); i++)
   {
      if(!m_active_executions[i].is_complete)
      {
         m_active_executions[i] = exec;
         break;
      }
   }
   
   //--- Execute first slice immediately
   return ExecuteSlice(exec);
}

//+------------------------------------------------------------------+
//| Execute with TWAP algorithm                                      |
//+------------------------------------------------------------------+
bool CExecutionOptimizer::ExecuteWithTWAP(ExecutionPlan &plan)
{
   //--- Create TWAP execution
   ActiveExecution exec;
   exec.order_id = 0;
   exec.plan = plan;
   exec.filled_volume = 0;
   exec.avg_fill_price = 0;
   exec.start_time = TimeCurrent();
   exec.retry_count = 0;
   exec.is_complete = false;
   
   //--- Create time-weighted schedule
   int slices = MathMax(5, plan.time_horizon / 30); // One slice per 30 seconds
   exec.schedule = CreateSchedule(plan, slices);
   
   //--- Equal-sized slices for TWAP
   double slice_size = plan.total_volume / slices;
   ArrayResize(exec.schedule.slice_sizes, slices);
   ArrayResize(exec.schedule.slice_times, slices);
   
   for(int i = 0; i < slices; i++)
   {
      exec.schedule.slice_sizes[i] = slice_size;
      exec.schedule.slice_times[i] = exec.schedule.start_time + 
                                     (i * plan.time_horizon / slices);
   }
   
   //--- Store and execute
   for(int i = 0; i < ArraySize(m_active_executions); i++)
   {
      if(!m_active_executions[i].is_complete)
      {
         m_active_executions[i] = exec;
         break;
      }
   }
   
   return ExecuteSlice(exec);
}

//+------------------------------------------------------------------+
//| Execute with VWAP algorithm                                      |
//+------------------------------------------------------------------+
bool CExecutionOptimizer::ExecuteWithVWAP(ExecutionPlan &plan)
{
   //--- Get historical volume profile
   long volumes[24];
   datetime current = TimeCurrent();
   MqlDateTime time_struct;
   TimeToStruct(current, time_struct);
   
   //--- Estimate intraday volume distribution
   double total_hist_volume = 0;
   for(int i = 0; i < 24; i++)
   {
      // Simplified U-shaped volume profile
      if(i >= 8 && i <= 16) // Market hours
      {
         volumes[i] = (long)(100 * (1 + MathSin((i - 12) * M_PI / 8)));
      }
      else
      {
         volumes[i] = 10;
      }
      total_hist_volume += volumes[i];
   }
   
   //--- Create VWAP execution
   ActiveExecution exec;
   exec.order_id = 0;
   exec.plan = plan;
   exec.filled_volume = 0;
   exec.avg_fill_price = 0;
   exec.start_time = TimeCurrent();
   exec.retry_count = 0;
   exec.is_complete = false;
   
   //--- Create volume-weighted schedule
   int slices = MathMin(plan.time_horizon / 60, 10); // Max 10 slices
   exec.schedule = CreateSchedule(plan, slices);
   
   ArrayResize(exec.schedule.slice_sizes, slices);
   ArrayResize(exec.schedule.slice_times, slices);
   
   //--- Distribute volume according to historical pattern
   for(int i = 0; i < slices; i++)
   {
      int hour = (time_struct.hour + i * plan.time_horizon / slices / 3600) % 24;
      double weight = volumes[hour] / total_hist_volume;
      exec.schedule.slice_sizes[i] = plan.total_volume * weight / slices;
      exec.schedule.slice_times[i] = exec.schedule.start_time + 
                                    (i * plan.time_horizon / slices);
   }
   
   //--- Store and execute
   for(int i = 0; i < ArraySize(m_active_executions); i++)
   {
      if(!m_active_executions[i].is_complete)
      {
         m_active_executions[i] = exec;
         break;
      }
   }
   
   return ExecuteSlice(exec);
}

//+------------------------------------------------------------------+
//| Execute with iceberg algorithm                                   |
//+------------------------------------------------------------------+
bool CExecutionOptimizer::ExecuteWithIceberg(ExecutionPlan &plan)
{
   //--- Create iceberg execution
   ActiveExecution exec;
   exec.order_id = 0;
   exec.plan = plan;
   exec.filled_volume = 0;
   exec.avg_fill_price = 0;
   exec.start_time = TimeCurrent();
   exec.retry_count = 0;
   exec.is_complete = false;
   
   //--- Calculate visible and hidden portions
   double visible_size = plan.display_volume;
   int total_slices = (int)(plan.total_volume / visible_size) + 1;
   
   exec.schedule = CreateSchedule(plan, total_slices);
   exec.schedule.is_adaptive = true; // Adaptive timing between slices
   
   //--- Store and execute first visible slice
   for(int i = 0; i < ArraySize(m_active_executions); i++)
   {
      if(!m_active_executions[i].is_complete)
      {
         m_active_executions[i] = exec;
         break;
      }
   }
   
   return ExecuteSlice(exec);
}

//+------------------------------------------------------------------+
//| Execute with sniper algorithm (aggressive)                       |
//+------------------------------------------------------------------+
bool CExecutionOptimizer::ExecuteWithSniper(ExecutionPlan &plan)
{
   //--- Sniper executes immediately with wide slippage tolerance
   CTrade trade;
   trade.SetDeviationInPoints((int)(m_max_slippage_pips * 20)); // 10x normal slippage
   trade.SetTypeFilling(ORDER_FILLING_IOC); // Immediate or cancel
   
   //--- Try to execute full size
   bool result = false;
   
   if(plan.direction == ORDER_TYPE_BUY)
   {
      result = trade.Buy(plan.total_volume, plan.symbol);
   }
   else
   {
      result = trade.Sell(plan.total_volume, plan.symbol);
   }
   
   //--- If partial fill, try again with remaining
   if(result && trade.ResultVolume() < plan.total_volume)
   {
      double remaining = plan.total_volume - trade.ResultVolume();
      
      //--- Second attempt
      if(plan.direction == ORDER_TYPE_BUY)
         trade.Buy(remaining, plan.symbol);
      else
         trade.Sell(remaining, plan.symbol);
   }
   
   //--- Update analytics
   if(result)
   {
      m_analytics.fills_count++;
      m_analytics.avg_fill_price = trade.ResultPrice();
      m_total_volume_executed += trade.ResultVolume();
   }
   
   return result;
}

//+------------------------------------------------------------------+
//| Execute a single slice                                           |
//+------------------------------------------------------------------+
bool CExecutionOptimizer::ExecuteSlice(ActiveExecution &execution)
{
   //--- Check if execution is complete
   if(execution.filled_volume >= execution.plan.total_volume * 0.99)
   {
      execution.is_complete = true;
      return true;
   }
   
   //--- Select best venue
   ExecutionVenue venue = SelectBestVenue(execution.plan.symbol, 
                                         execution.plan.total_volume - execution.filled_volume);
   
   //--- Calculate slice size
   double slice_size = execution.plan.display_volume;
   if(execution.schedule.slices > 0 && execution.schedule.slice_sizes != NULL)
   {
      int current_slice = (int)(execution.filled_volume / (execution.plan.total_volume / execution.schedule.slices));
      if(current_slice < ArraySize(execution.schedule.slice_sizes))
         slice_size = execution.schedule.slice_sizes[current_slice];
   }
   
   //--- Ensure we don't over-execute
   slice_size = MathMin(slice_size, execution.plan.total_volume - execution.filled_volume);
   
   //--- Normalize to lot step
   double lot_step = SymbolInfoDouble(execution.plan.symbol, SYMBOL_VOLUME_STEP);
   slice_size = MathRound(slice_size / lot_step) * lot_step;
   
   //--- Execute slice
   CTrade trade;
   trade.SetDeviationInPoints((int)(m_max_slippage_pips * 10));
   
   ulong start_time = GetMicrosecondCount();
   bool result = false;
   
   if(execution.plan.direction == ORDER_TYPE_BUY)
      result = trade.Buy(slice_size, execution.plan.symbol);
   else
      result = trade.Sell(slice_size, execution.plan.symbol);
   
   ulong execution_time = GetMicrosecondCount() - start_time;
   
   //--- Update execution tracking
   if(result)
   {
      double fill_price = trade.ResultPrice();
      double fill_volume = trade.ResultVolume();
      
      //--- Update average fill price
      execution.avg_fill_price = (execution.avg_fill_price * execution.filled_volume + 
                                 fill_price * fill_volume) / 
                                (execution.filled_volume + fill_volume);
      
      execution.filled_volume += fill_volume;
      
      //--- Update venue metrics
      UpdateVenueMetrics(venue, execution_time / 1000.0, true);
      
      //--- Update analytics
      m_analytics.fills_count++;
      m_total_volume_executed += fill_volume;
   }
   else
   {
      execution.retry_count++;
      UpdateVenueMetrics(venue, execution_time / 1000.0, false);
   }
   
   return result;
}

//+------------------------------------------------------------------+
//| Select best execution venue                                      |
//+------------------------------------------------------------------+
ExecutionVenue CExecutionOptimizer::SelectBestVenue(string symbol, double volume)
{
   //--- Score each venue
   double best_score = -1;
   int best_index = 0;
   
   for(int i = 0; i < m_venue_count; i++)
   {
      if(!m_venues[i].is_available)
         continue;
      
      //--- Calculate venue score
      double score = 0;
      
      //--- Liquidity component (40%)
      score += m_venues[i].liquidity_score * 0.4;
      
      //--- Spread component (30%)
      double spread_score = 1.0 - m_venues[i].avg_spread;
      score += spread_score * 0.3;
      
      //--- Latency component (20%)
      double latency_score = 1.0 - (m_venues[i].avg_latency_ms / 100.0);
      score += MathMax(0, latency_score) * 0.2;
      
      //--- Fill rate component (10%)
      score += m_venues[i].fill_rate * 0.1;
      
      //--- Adjust for volume
      if(volume > 10000) // Large order
      {
         score *= m_venues[i].liquidity_score; // Favor high liquidity venues
      }
      
      if(score > best_score)
      {
         best_score = score;
         best_index = i;
      }
   }
   
   return m_venues[best_index];
}

//+------------------------------------------------------------------+
//| Update venue metrics after execution                             |
//+------------------------------------------------------------------+
void CExecutionOptimizer::UpdateVenueMetrics(ExecutionVenue &venue, double latency, bool success)
{
   //--- Update latency with exponential moving average
   venue.avg_latency_ms = venue.avg_latency_ms * 0.9 + latency * 0.1;
   
   //--- Update fill rate
   venue.fill_rate = venue.fill_rate * 0.95 + (success ? 1.0 : 0.0) * 0.05;
   
   //--- Adjust priority based on performance
   if(venue.fill_rate < 0.8)
      venue.priority = MathMin(10, venue.priority + 1);
   else if(venue.fill_rate > 0.95)
      venue.priority = MathMax(1, venue.priority - 1);
}

//+------------------------------------------------------------------+
//| Calculate optimal slice size                                     |
//+------------------------------------------------------------------+
double CExecutionOptimizer::CalculateOptimalSliceSize(string symbol, double total_volume, double time_horizon)
{
   //--- Get market metrics
   double avg_volume = 0;
   long volume_array[];
   if(CopyTickVolume(symbol, PERIOD_M1, 0, 60, volume_array) > 0)
   {
      for(int i = 0; i < ArraySize(volume_array); i++)
         avg_volume += volume_array[i];
      avg_volume /= ArraySize(volume_array);
   }
   
   //--- Target participation rate (% of market volume)
   double target_participation = 0.1; // 10% default
   
   //--- Adjust for urgency
   if(time_horizon < 120) // Less than 2 minutes
      target_participation = 0.2; // More aggressive
   else if(time_horizon > 600) // More than 10 minutes
      target_participation = 0.05; // More passive
   
   //--- Calculate slice size
   double slices_per_minute = 60.0 / (time_horizon / (time_horizon / 60));
   double slice_size = avg_volume * target_participation / slices_per_minute;
   
   //--- Apply bounds
   double min_size = SymbolInfoDouble(symbol, SYMBOL_VOLUME_MIN);
   double max_size = total_volume / 3; // At least 3 slices
   
   slice_size = MathMax(min_size, MathMin(max_size, slice_size));
   
   //--- Normalize to lot step
   double lot_step = SymbolInfoDouble(symbol, SYMBOL_VOLUME_STEP);
   slice_size = MathRound(slice_size / lot_step) * lot_step;
   
   return slice_size;
}

//+------------------------------------------------------------------+
//| Create execution schedule                                        |
//+------------------------------------------------------------------+
ExecutionSchedule CExecutionOptimizer::CreateSchedule(ExecutionPlan &plan, int slices)
{
   ExecutionSchedule schedule;
   schedule.start_time = TimeCurrent();
   schedule.end_time = schedule.start_time + plan.time_horizon;
   schedule.slices = slices;
   schedule.is_adaptive = false;
   schedule.urgency_factor = plan.urgency;
   
   //--- Initialize slice arrays
   ArrayResize(schedule.slice_sizes, slices);
   ArrayResize(schedule.slice_times, slices);
   
   //--- Default equal distribution
   double slice_size = plan.total_volume / slices;
   int time_interval = plan.time_horizon / slices;
   
   for(int i = 0; i < slices; i++)
   {
      schedule.slice_sizes[i] = slice_size;
      schedule.slice_times[i] = schedule.start_time + i * time_interval;
   }
   
   return schedule;
}

//+------------------------------------------------------------------+
//| Get market volatility                                            |
//+------------------------------------------------------------------+
double CExecutionOptimizer::GetMarketVolatility(string symbol)
{
   //--- Calculate realized volatility
   double returns[];
   ArrayResize(returns, 20);
   
   for(int i = 1; i <= 20; i++)
   {
      double close1 = iClose(symbol, PERIOD_M1, i);
      double close2 = iClose(symbol, PERIOD_M1, i-1);
      if(close2 > 0)
         returns[i-1] = (close1 - close2) / close2;
   }
   
   //--- Calculate standard deviation
   double mean = 0;
   for(int i = 0; i < 20; i++)
      mean += returns[i];
   mean /= 20;
   
   double variance = 0;
   for(int i = 0; i < 20; i++)
      variance += MathPow(returns[i] - mean, 2);
   variance /= 20;
   
   return MathSqrt(variance);
}

//+------------------------------------------------------------------+
//| Get market depth                                                 |
//+------------------------------------------------------------------+
double CExecutionOptimizer::GetMarketDepth(string symbol, bool is_buy)
{
   //--- Simplified depth calculation from recent volume
   long volumes[];
   if(CopyTickVolume(symbol, PERIOD_M1, 0, 10, volumes) > 0)
   {
      double total_volume = 0;
      for(int i = 0; i < ArraySize(volumes); i++)
         total_volume += volumes[i];
      
      return total_volume / ArraySize(volumes);
   }
   
   return 1000; // Default depth
}

//+------------------------------------------------------------------+
//| Process active executions                                        |
//+------------------------------------------------------------------+
void CExecutionOptimizer::ProcessActiveExecutions()
{
   datetime current_time = TimeCurrent();
   
   for(int i = 0; i < ArraySize(m_active_executions); i++)
   {
      if(m_active_executions[i].is_complete || m_active_executions[i].plan.symbol == "")
         continue;
      
      //--- Check if it's time for next slice
      bool execute_now = false;
      
      if(m_active_executions[i].schedule.is_adaptive)
      {
         //--- Adaptive timing based on market conditions
         double filled_pct = m_active_executions[i].filled_volume / 
                           m_active_executions[i].plan.total_volume;
         double time_pct = (double)(current_time - m_active_executions[i].start_time) / 
                          m_active_executions[i].plan.time_horizon;
         
         if(filled_pct < time_pct - 0.1) // Behind schedule
            execute_now = true;
      }
      else
      {
         //--- Fixed schedule
         int current_slice = (int)(m_active_executions[i].filled_volume / 
                                  (m_active_executions[i].plan.total_volume / 
                                   m_active_executions[i].schedule.slices));
         
         if(current_slice < m_active_executions[i].schedule.slices &&
            current_time >= m_active_executions[i].schedule.slice_times[current_slice])
         {
            execute_now = true;
         }
      }
      
      //--- Execute if needed
      if(execute_now)
      {
         ExecuteSlice(m_active_executions[i]);
      }
      
      //--- Check for timeout
      if(current_time > m_active_executions[i].schedule.end_time)
      {
         //--- Execute remaining volume urgently
         if(m_active_executions[i].filled_volume < m_active_executions[i].plan.total_volume)
         {
            m_active_executions[i].plan.urgency = 1.0; // Maximum urgency
            ExecuteSlice(m_active_executions[i]);
         }
         
         m_active_executions[i].is_complete = true;
      }
   }
}

//+------------------------------------------------------------------+
//| Predict market impact                                            |
//+------------------------------------------------------------------+
double CExecutionOptimizer::PredictMarketImpact(string symbol, double volume, double participation_rate)
{
   //--- Linear impact model: Impact = α * Volume^β * Volatility^γ * ParticipationRate^δ
   double volatility = GetMarketVolatility(symbol);
   double avg_daily_volume = GetMarketDepth(symbol, true) * 60 * 8; // Rough estimate
   
   double volume_ratio = volume / avg_daily_volume;
   
   //--- Temporary impact
   double temp_impact = m_temporary_impact * MathSqrt(volume_ratio) * 
                       volatility * MathSqrt(participation_rate);
   
   //--- Permanent impact
   double perm_impact = m_permanent_impact * volume_ratio * participation_rate;
   
   return (temp_impact + perm_impact) * 10000; // Convert to basis points
}

//+------------------------------------------------------------------+
//| Select optimal algorithm based on conditions                     |
//+------------------------------------------------------------------+
ENUM_EXECUTION_ALGO CExecutionOptimizer::SelectOptimalAlgorithm(string symbol, double volume,
                                                                double urgency, MarketConditionsV71 &conditions)
{
   //--- High urgency
   if(urgency > 0.8)
      return EXEC_SNIPER;
   
   //--- Large order in low liquidity
   if(volume > GetMarketDepth(symbol, true) * 0.1 && conditions.liquidity_depth < 0.5)
      return EXEC_ICEBERG;
   
   //--- Volatile market
   if(conditions.volatility > 0.02)
      return EXEC_ADAPTIVE;
   
   //--- Trending market
   if(conditions.regime == REGIME_TRENDING_UP || conditions.regime == REGIME_TRENDING_DOWN)
      return EXEC_TWAP; // Spread risk over time
   
   //--- Normal conditions
   return EXEC_VWAP;
}

//+------------------------------------------------------------------+
//| Execute emergency close                                          |
//+------------------------------------------------------------------+
bool CExecutionOptimizer::ExecuteEmergencyClose(ulong ticket)
{
   //--- Use most aggressive settings
   CTrade trade;
   trade.SetDeviationInPoints(1000); // 100 pips slippage
   trade.SetTypeFilling(ORDER_FILLING_IOC);
   
   return trade.PositionClose(ticket);
}

#endif // EXECUTION_OPTIMIZER_MQH