forked from animatedread/Warrior_EA
e62c710d6f
- Ensure `tick_volume` array is set as series in ADShorteningOfThrust.mq5 to prevent future-data leak in volume calculations. - Ensure `open` array is set as series in ADWyckoffFailedStructure.mq5 to prevent future-data leak in structure detection. - Add missing PReLU gradient scaling (multiply by 0.01 for negative outputs) in CPU_CalcHiddenGradient and DirectML shader to match expected derivative behavior across all backends.
200 lines
11 KiB
MQL5
200 lines
11 KiB
MQL5
//+------------------------------------------------------------------+
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//| SignalMarketDepth.mqh |
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//| AnimateDread |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#include "..\Expert\ExpertSignalCustom.mqh"
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// wizard description start
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//+------------------------------------------------------------------+
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//| Description of the class |
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//| Title=Signals of order book (Depth of Market) confirmation |
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//| Type=SignalAdvanced |
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//| Name=MarketDepth |
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//| ShortName=DOM |
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//| Class=CSignalMarketDepth |
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//| Page=signal_market_depth |
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//+------------------------------------------------------------------+
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// wizard description end
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//+------------------------------------------------------------------+
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//| Class CSignalMarketDepth. |
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//| Purpose: rule-based (non-ML) confirmation signal built from the |
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//| live order book (MarketBookGet). NOT a trained input feature - |
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//| MT5 only exposes the CURRENT order book (no historical Depth of |
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//| Market), so this can never be replayed through Train()'s bar-by- |
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//| bar historical loop the way the AI signals' indicator features |
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//| are. It participates in the SAME weighted Direction() composite |
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//| CExpertSignalCustom::Direction() already combines PAI/CONV/LSTM/ |
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//| News/Session/ITF through (see that method) - a nonzero return |
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//| pushes the composite bullish/bearish, EMPTY_VALUE vetoes the tick |
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//| entirely (thin/abnormal-spread protection, same role as the News/ |
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//| Session filters), and 0.0 abstains without influencing anything. |
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//| Availability is checked once, externally, in Warrior_EA.mq5's |
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//| OnInit() (CheckMarketDepthAvailability()) BEFORE this signal is |
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//| even constructed - if the broker/symbol doesn't provide real DOM |
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//| data, EnableMarketDepth is treated as false for the whole run and |
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//| this class is never instantiated, so Direction() being called on |
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//| an unavailable book is not a case this class has to handle. |
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//+------------------------------------------------------------------+
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class CSignalMarketDepth : public CExpertSignalCustom
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{
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protected:
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//--- top-N book levels (per side) summed into the imbalance ratio - deeper levels are noisier/
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//--- more easily spoofed, so this deliberately stays shallow (near-touch liquidity) by default
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int m_depthLevels;
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//--- scales the raw imbalance ratio (-1..+1, (bidVol-askVol)/(bidVol+askVol)) into the -100..100
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//--- range Direction() must return. 1.0 = full range at a fully one-sided book; lower values mute
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//--- this signal's influence on the composite without disabling it outright.
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double m_imbalanceScale;
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//--- hard veto (EMPTY_VALUE, same as the News/Session filters) when the current spread exceeds
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//--- this multiple of its own recent rolling average - protects against entering on a
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//--- momentarily blown-out/illiquid book (thin session, news spike, broker feed hiccup) that a
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//--- one-off imbalance reading from the same broken snapshot can't be trusted to characterize.
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double m_maxSpreadMultiple;
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//--- rolling spread history for the average above - in-memory only, live-only (never touched by
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//--- Train(), never persisted): each new tick's spread is a live, causal reading of "right now",
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//--- exactly like the order book itself.
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double m_spreadHistory[];
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int m_spreadHistoryNext;
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int m_spreadHistoryCount;
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static const int SPREAD_HISTORY_SIZE;
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void UpdateSpreadHistory(double spread);
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double AverageSpreadHistory(void) const;
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//--- Best-effort CSV append of every real (non-abstain) reading - timestamp, symbol, imbalance,
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//--- spread, bidVol, askVol, whether it was a veto this tick. Not a trained feature (nothing in
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//--- this codebase reads this file back) - it exists purely so that after enough live/forward
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//--- running, there's a genuine, EA-collected historical DOM dataset an operator could eventually
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//--- fold into a real retrain, rather than the impossible-to-obtain broker DOM history a trained
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//--- NN feature would otherwise need. A write failure here must never affect trading, so every
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//--- call site treats this as fire-and-forget (return value intentionally ignored).
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bool m_logSnapshots;
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void LogSnapshot(double imbalance, double spread, double bidVol, double askVol, bool vetoed) const;
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public:
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CSignalMarketDepth(void);
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~CSignalMarketDepth(void);
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void DepthLevels(int value) { m_depthLevels = MathMax(1, value); }
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void ImbalanceScale(double value) { m_imbalanceScale = value; }
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void MaxSpreadMultiple(double value) { m_maxSpreadMultiple = value; }
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void LogSnapshots(bool value) { m_logSnapshots = value; }
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//--- order-book imbalance vote / thin-book veto - see the class-level comment above
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virtual double Direction(void) override;
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};
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const int CSignalMarketDepth::SPREAD_HISTORY_SIZE = 50;
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CSignalMarketDepth::CSignalMarketDepth(void) :
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m_depthLevels(5),
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m_imbalanceScale(1.0),
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m_maxSpreadMultiple(3.0),
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m_spreadHistoryNext(0),
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m_spreadHistoryCount(0),
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m_logSnapshots(true)
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{
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ArrayResize(m_spreadHistory, SPREAD_HISTORY_SIZE);
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ArrayInitialize(m_spreadHistory, 0.0);
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CSignalMarketDepth::~CSignalMarketDepth(void)
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{
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}
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//+------------------------------------------------------------------+
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//| Rolling spread history - simple circular buffer, oldest overwritten|
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//+------------------------------------------------------------------+
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void CSignalMarketDepth::UpdateSpreadHistory(double spread)
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{
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m_spreadHistory[m_spreadHistoryNext] = spread;
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m_spreadHistoryNext = (m_spreadHistoryNext + 1) % SPREAD_HISTORY_SIZE;
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if(m_spreadHistoryCount < SPREAD_HISTORY_SIZE)
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m_spreadHistoryCount++;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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double CSignalMarketDepth::AverageSpreadHistory(void) const
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{
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if(m_spreadHistoryCount <= 0)
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return 0.0;
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double sum = 0.0;
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for(int i = 0; i < m_spreadHistoryCount; i++)
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sum += m_spreadHistory[i];
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return sum / m_spreadHistoryCount;
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}
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//+------------------------------------------------------------------+
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//| Best-effort append-only CSV log - see the member declaration |
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//| comment. One file per symbol+period, FILE_COMMON so it survives |
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//| Strategy Tester/optimizer agent isolation the same way the |
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//| production .nnw weight files do (Expert\ExpertSignalAIBase.mqh's |
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//| SetIdentity()/m_folderPath). |
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//+------------------------------------------------------------------+
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void CSignalMarketDepth::LogSnapshot(double imbalance, double spread, double bidVol, double askVol, bool vetoed) const
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{
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if(!m_logSnapshots)
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return;
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string folderPath = eaName + "\\MarketDepthLog\\";
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if(!FolderCreate(folderPath, FILE_COMMON) && GetLastError() != 5010) // 5010 = already exists
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return;
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string fileName = folderPath + m_symbol.Name() + "_" + IntegerToString(m_period) + ".csv";
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bool isNewFile = !FileIsExist(fileName, FILE_COMMON);
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int handle = FileOpen(fileName, FILE_READ | FILE_WRITE | FILE_CSV | FILE_COMMON | FILE_ANSI, ',');
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if(handle == INVALID_HANDLE)
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return; // fire-and-forget - never let a log failure affect trading
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FileSeek(handle, 0, SEEK_END);
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if(isNewFile)
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FileWrite(handle, "timestamp", "symbol", "imbalance", "spread", "bidVol", "askVol", "vetoed");
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FileWrite(handle, (long)TimeCurrent(), m_symbol.Name(), imbalance, spread, bidVol, askVol, (vetoed ? 1 : 0));
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FileClose(handle);
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}
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//+------------------------------------------------------------------+
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//| Order-book imbalance vote + thin-book veto. |
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//+------------------------------------------------------------------+
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double CSignalMarketDepth::Direction(void)
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{
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double spread = (double)(m_symbol.Ask() - m_symbol.Bid());
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//--- build the average from history BEFORE this reading is added, so a single already-blown-out
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//--- spread can't inflate the very average it's about to be compared against
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double avgSpread = AverageSpreadHistory();
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UpdateSpreadHistory(spread);
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// m_maxSpreadMultiple <= 0 means the spread veto is disabled (DOM_SPREADMULT_OFF) - checked
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// explicitly rather than left to fall out of the multiplication below, since spread > avgSpread*0
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// (i.e. spread > 0) would otherwise be true on almost every tick and veto permanently instead of
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// never.
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if(m_maxSpreadMultiple > 0.0 && m_spreadHistoryCount >= 10 && avgSpread > 0.0 && spread > avgSpread * m_maxSpreadMultiple)
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{
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LogSnapshot(0.0, spread, 0.0, 0.0, true);
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return EMPTY_VALUE; // thin/abnormal book - veto this tick, same role as News/Session filters
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}
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MqlBookInfo book[];
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if(!MarketBookGet(m_symbol.Name(), book) || ArraySize(book) == 0)
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return 0.0; // momentary empty snapshot - abstain rather than veto on a single missed read
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double bidVol = 0.0, askVol = 0.0;
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int bidLevels = 0, askLevels = 0;
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for(int i = 0; i < ArraySize(book); i++)
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{
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// volume_real (double) rather than volume (long, whole-lot only) - correctly supports
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// brokers/instruments that report fractional book depth (e.g. crypto CFDs), and avoids an
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// implicit long->double narrowing conversion warning for no benefit.
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if(book[i].type == BOOK_TYPE_BUY && bidLevels < m_depthLevels)
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{
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bidVol += book[i].volume_real;
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bidLevels++;
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}
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else
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if(book[i].type == BOOK_TYPE_SELL && askLevels < m_depthLevels)
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{
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askVol += book[i].volume_real;
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askLevels++;
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}
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}
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if(bidVol + askVol <= 0.0)
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return 0.0;
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//--- (bidVol-askVol)/(bidVol+askVol): +1 = book entirely bid-side (favors Buy), -1 = entirely
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//--- ask-side (favors Sell). More resting bid volume than ask volume near the touch means more
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//--- buyers queued than sellers at nearby prices - a real, right-now liquidity read no historical
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//--- OHLC bar could ever encode, complementary to (not a replacement for) the AI signals.
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double imbalance = (bidVol - askVol) / (bidVol + askVol);
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LogSnapshot(imbalance, spread, bidVol, askVol, false);
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return MathMax(-100.0, MathMin(100.0, imbalance * m_imbalanceScale * 100.0));
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}
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//+------------------------------------------------------------------+
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