//+------------------------------------------------------------------+ //| osi-teste-01-03-feira.mq5 | //| marcoc | //| https://www.mql5.com/pt/users/marcoc | //+------------------------------------------------------------------+ //#include <..\Projects\projetcts\os-ea\OsPadraoDefineIndicator.mqh> #include #include #include #include input bool DEBUG = false ; // se true, grava informacoes de debug no log. input bool GERAR_VOLUME = false ; // se true, gera volume baseado nos ticks. Usa em papeis que nao informam volume, tais como o DJ30. input bool GERAR_OFERTAS = false ; // se true, gera ofertas baseadas nos ticks. Usa em papeis que nao informam o livro de ofertas. input int QTD_BAR_PROC_HIST = 10 ; // Quantidade de barras historicas a processar. Em modo DEBUG, convem deixar este valor baixo pra nao sobrecarregar o arquivo de log. input double BOOK_OUT = 0.4 ; // Porcentagem das extremidades dos precos do book que serão desprezados. input int QTD_TICK_CALC_MEDIAS = 400; // qtd de ticks usados no processamento estatistico. #define LOG(txt) if(DEBUG){Print("DEBUGINDICATOR:",__FUNCTION__,":linha ",__LINE__,":",(txt));} #define LOG_ONCALC LOG("RatesTot:"+IntegerToString( rates_total)+" PrevCalc:"+IntegerToString( prev_calculated) ); #define LOG_ONCALC_HIST LOG("RatesTot:"+IntegerToString(p_rates_total)+" PrevCalc:"+IntegerToString(p_prev_calculated) ); //#define LOG_DEBUG_ONCALC if(DEBUG){Print("DEBUGINDICATOR:",__FUNCTION__,":linha:",__LINE__,": ratesTot:",rates_total," prevCalc:",prev_calculated);} //#define LOG_DEBUG_RESULT_REGISTRO_BOOK if(DEBUG){Print("DEBUGINDICATOR:Resultado registro book "+m_symb.Name()+":", m_tembook);} #property description "Indicador que considera a bolsa como uma grande feira, cheia de barracas" #property description "de vendedores e compradores." #property description "Se o comprador ou vendedor é dono de barraca" #property description "continuar..." #property indicator_chart_window #property indicator_buffers 12 #property indicator_plots 12 //---- plotar linha com o preco medio de vendas #property indicator_label1 "pm_sell" #property indicator_type1 DRAW_LINE #property indicator_color1 clrFireBrick #property indicator_style1 STYLE_SOLID #property indicator_width1 2 //---- plotar linha com preco medio de compras #property indicator_label2 "pm_buy" #property indicator_type2 DRAW_LINE #property indicator_color2 clrMediumBlue #property indicator_style2 STYLE_SOLID #property indicator_width2 2 //---- plotar linha com o preco medio de ofertas de venda (ask) #property indicator_label3 "pm_ask" #property indicator_type3 DRAW_LINE #property indicator_color3 clrMagenta #property indicator_style3 STYLE_SOLID #property indicator_width3 2 //---- plotar linha com o preco medio de ofertas de compra (bid) #property indicator_label4 "pm_bid" #property indicator_type4 DRAW_LINE #property indicator_color4 clrDeepSkyBlue #property indicator_style4 STYLE_SOLID #property indicator_width4 2 //---- plotar seta forca ask #property indicator_label5 "sig_ask" #property indicator_type5 DRAW_ARROW #property indicator_color5 clrMagenta #property indicator_style5 STYLE_SOLID #property indicator_width5 1 //---- plotar seta forca bid #property indicator_label6 "sig_bid" #property indicator_type6 DRAW_ARROW #property indicator_color6 clrDeepSkyBlue #property indicator_style6 STYLE_SOLID #property indicator_width6 1 //---- plotar seta forca buy #property indicator_label7 "sig_buy" #property indicator_type7 DRAW_ARROW #property indicator_color7 clrMediumBlue #property indicator_style7 STYLE_SOLID #property indicator_width7 1 //---- plotar seta forca sel #property indicator_label8 "sig_sel" #property indicator_type8 DRAW_ARROW #property indicator_color8 clrFireBrick #property indicator_style8 STYLE_SOLID #property indicator_width8 1 //---- plotar seta forca up1 #property indicator_label9 "up1" #property indicator_type9 DRAW_ARROW #property indicator_color9 clrDeepSkyBlue #property indicator_style9 STYLE_SOLID #property indicator_width9 3 //---- plotar seta forca up2 #property indicator_label10 "up2" #property indicator_type10 DRAW_ARROW #property indicator_color10 clrDeepSkyBlue #property indicator_style10 STYLE_SOLID #property indicator_width10 3 //---- plotar seta forca down1 #property indicator_label11 "down1" #property indicator_type11 DRAW_ARROW #property indicator_color11 clrFireBrick #property indicator_style11 STYLE_SOLID #property indicator_width11 3 //---- plotar seta forca down2 #property indicator_label12 "down2" #property indicator_type12 DRAW_ARROW #property indicator_color12 clrFireBrick #property indicator_style12 STYLE_SOLID #property indicator_width12 3 //--- buffers do indicador double m_bufPsel []; // preco medio de compras :1 double m_bufPbuy []; // preco medio de vendas :2 double m_bufPask []; // preco medio de ofertas de venda :3 double m_bufPbid []; // preco medio de ofertas de compra :4 double m_bufPaskArrow[]; // forca do preco medio de ofertas de venda :5 double m_bufPbidArrow[]; // forca do preco medio de ofertas de compra :6 double m_bufPbuyArrow[]; // forca do preco medio de venda :7 double m_bufPselArrow[]; // forca do preco medio de compra :8 double m_bufPup1Arrow[]; // forca acima 1 :9 double m_bufPup2Arrow[]; // forca acima 2 :10 double m_bufPdw1Arrow[]; // forca acima 1 :11 double m_bufPdw2Arrow[]; // forca acima 2 :12 // variaveis para controle do livro de ofertas //MqlBookInfo m_book[]; double m_pmask = 0; double m_pmbid = 0; double m_pm = 0; uint m_qtdWinAsk = 0; uint m_qtdWinBid = 0; uint m_qtdEmpate = 0; double m_dask = 0; double m_dbid = 0; bool m_tembook = false; uint m_id_oferta = 0; // variaveis para controle dos ticks osc_estatistic m_minion; CSymbolInfo m_symb ; bool m_prochist; // para nao reprocessar o historico sempre que mudar de barra; double m_vbuy = 0; double m_vsel = 0; double m_tickvol = 0; // apresentacao de depuracao string m_dom_txt ; string m_dom_previsao; string m_tick_txt ; // variaveis para controle do arquivo de log int m_log ; // para gravar dados estatisticos em arquivo de log //================================================================================================= // Indicador demanda e oferta... // Oferta media ask(book) maior que demanda buy(tick) médio --> força pra cima // Oferta media bid(book) menor que demanda sel(tick) médio --> força pra baixo // // Oferta media ask(book) maior que demanda buy(tick) médio e // Oferta media bid(book) maior ou igual a demanda sel(tick) médio --> força pra cima maior ainda // // Oferta media bid(book) menor que demanda sel(tick) médio e // Oferta media ask(book) menor ou igual a demanda buy(tick) médio --> força pra baixo maior ainda //================================================================================================= // variaveis para controle das forças liquidas double m_ofertaAsk = 0; // oferta media ask (oferta de venda )... double m_ofertaBid = 0; // oferta media bid (oferta de compra)... double m_demandBuy = 0; // demanda media buy (demanda de compra)... double m_demandSel = 0; // demanda media sel (demanda de venda )... bool m_forcaAcima1 ;// Oferta media ask(book) maior que demanda buy(tick) médio --> força pra cima bool m_forcaAbaix1 ;// Oferta media bid(book) menor que demanda sel(tick) médio --> força pra baixo bool m_forcaAcima2 ;// força pra cima maior ainda bool m_forcaAbaix2 ;// força pra baixo maior ainda //================================================================================================= uint m_qtd_sec_periodo ; // qtd de segundos que tem o periodo grafico atual. uint m_sec_barra; // segundos na barra atual datetime m_sec_barraAnt; // segundos na barra atual datetime m_sec_barraAtu; // segundos na barra atual //+------------------------------------------------------------------+ //| Função de inicialização do indicador customizado | //+------------------------------------------------------------------+ int OnInit() { //PRINT_DEBUG_INIT_INI LOG("======================================="); m_symb.Name ( Symbol() ); m_symb.Refresh (); m_symb.RefreshRates(); m_qtd_sec_periodo = PeriodSeconds(); m_tembook = MarketBookAdd( m_symb.Name() ); LOG("Resultado registro book "+m_symb.Name()+":"+IntegerToString(m_tembook) ); if (!m_tembook){ Print("DOM indisponivel para "+m_symb.Name()+" :-("); if( GERAR_VOLUME ){ Print("Simulacao de volume ativada! Seguiremos gerando ofertas e demandas a partir dos Ticks :-)" ); }else{ return (INIT_FAILED); } }; ArraySetAsSeries(m_bufPsel , false ); ArraySetAsSeries(m_bufPbuy , false ); ArraySetAsSeries(m_bufPask , false ); ArraySetAsSeries(m_bufPbid , false ); ArraySetAsSeries(m_bufPaskArrow, false ); ArraySetAsSeries(m_bufPbidArrow, false ); ArraySetAsSeries(m_bufPbuyArrow, false ); ArraySetAsSeries(m_bufPselArrow, false ); ArraySetAsSeries(m_bufPup1Arrow, false ); ArraySetAsSeries(m_bufPup2Arrow, false ); ArraySetAsSeries(m_bufPdw1Arrow, false ); ArraySetAsSeries(m_bufPdw2Arrow, false ); Print("Definindo buffers do indicador..."); SetIndexBuffer(0,m_bufPsel , INDICATOR_DATA ); SetIndexBuffer(1,m_bufPbuy , INDICATOR_DATA ); SetIndexBuffer(2,m_bufPask , INDICATOR_DATA ); SetIndexBuffer(3,m_bufPbid , INDICATOR_DATA ); SetIndexBuffer(4,m_bufPaskArrow, INDICATOR_DATA ); SetIndexBuffer(5,m_bufPbidArrow, INDICATOR_DATA ); SetIndexBuffer(6,m_bufPbuyArrow, INDICATOR_DATA ); SetIndexBuffer(7,m_bufPselArrow, INDICATOR_DATA ); SetIndexBuffer(8 ,m_bufPup1Arrow, INDICATOR_DATA ); SetIndexBuffer(9 ,m_bufPup2Arrow, INDICATOR_DATA ); SetIndexBuffer(10,m_bufPdw1Arrow, INDICATOR_DATA ); SetIndexBuffer(11,m_bufPdw2Arrow, INDICATOR_DATA ); //--- Definir um valor vazio PlotIndexSetDouble(0 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(1 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(2 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(3 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(4 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(5 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(6 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(7 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(8 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(9 ,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(10,PLOT_EMPTY_VALUE,0); PlotIndexSetDouble(11,PLOT_EMPTY_VALUE,0); //--- Definir o código símbolo para desenho em PLOT_ARROW PlotIndexSetInteger(4,PLOT_ARROW,225); //ask PlotIndexSetInteger(5,PLOT_ARROW,226); //bid PlotIndexSetInteger(6,PLOT_ARROW,233); //buy PlotIndexSetInteger(7,PLOT_ARROW,234); //sel PlotIndexSetInteger(8 ,PLOT_ARROW,217);//241); //up1 217 PlotIndexSetInteger(9 ,PLOT_ARROW,217);//241); //up2 217 PlotIndexSetInteger(10,PLOT_ARROW,218);//242); //dw1 218 PlotIndexSetInteger(11,PLOT_ARROW,218);//242); //dw2 218 //--- Definindo o deslocamento vertical das setas em pixels... PlotIndexSetInteger(4,PLOT_ARROW_SHIFT,-10); PlotIndexSetInteger(5,PLOT_ARROW_SHIFT,+10); PlotIndexSetInteger(6,PLOT_ARROW_SHIFT,-10); PlotIndexSetInteger(7,PLOT_ARROW_SHIFT,+10); PlotIndexSetInteger(8 ,PLOT_ARROW_SHIFT,-20); //up1 PlotIndexSetInteger(9 ,PLOT_ARROW_SHIFT,-30); //up2 PlotIndexSetInteger(10,PLOT_ARROW_SHIFT,+20); //dw1 PlotIndexSetInteger(11,PLOT_ARROW_SHIFT,+30); //dw2 //---- o nome do indicador a ser exibido na DataWindow e na subjanela IndicatorSetString(INDICATOR_SHORTNAME,"osi-01-04-feira"); //--- ticks m_minion.setModoHibrido(GERAR_VOLUME) ; //se opcao eh true, gera volume baseado nos ticks. Usado em papeis que nao informam volume. m_minion.initialize(QTD_TICK_CALC_MEDIAS); // quantidade de ticks que serah usado no calculo das medias. m_prochist = false; // indica se deve reprocessar o historico. //--- debug if( DEBUG ){ string dt = TimeToString( TimeCurrent(),TIME_DATE|TIME_MINUTES|TIME_SECONDS ); StringReplace ( dt, ".", "" ); StringReplace ( dt, ":", "" ); StringReplace ( dt, " ", "_" ); openLogFile("osi-01-03-feira_" + m_symb.Name() + "_" + dt + "_book.csv" ); } //--- return(INIT_SUCCEEDED); } void OnDeinit(const int i){ LOG("Executando..."); MarketBookRelease( m_symb.Name() ); delete(&m_symb ); //delete(&m_minion); //delete(&m_book); FileClose( m_log ); LOG("Finalizado!"); } //+------------------------------------------------------------------+ //| Atualizando os volumes de bid e oferta | //+------------------------------------------------------------------+ int OnCalculate(const int rates_total, const int prev_calculated, const datetime& time[], const double& open[], const double& high[], const double& low[], const double& close[], const long& tick_volume[], const long& volume[] , const int& spread[] ) { //=============================================================================================== // Processamentos dos ticks (demanda) //=============================================================================================== //m_minion.refresh(); //m_minion.logWrite( "PC:"+IntegerToString(prev_calculated) + "/RT:" + IntegerToString(rates_total) ); //m_lineBuffer1[0] = (double)m_minion.getVolSell0(); MqlTick tick ; double dxSel = 0; double dxBuy = 0; //double medTick = 0; //--------- LOG_ONCALC; if( !m_prochist ){ // para nao reprocessar a ultima barra sempre que mudar de barra. setAsSeries(false); doOnCalculateHistorico(rates_total, prev_calculated,time); setAsSeries(true); } LOG_ONCALC; SymbolInfoTick(_Symbol,tick);// um tick por chamada a oncalculate //=============================================================================================== // Processamento atualizando a barra anterior assim que inicia a nova... //=============================================================================================== if(rates_total > prev_calculated){ //-- ///m_minion.fecharPeriodo(); //-- book m_bufPbidArrow[1] = 0; m_bufPaskArrow[1] = 0; if( m_dbid > m_dask ){ m_bufPbidArrow[1] = m_pmbid;} if( m_dbid < m_dask ){ m_bufPaskArrow[1] = m_pmask;} m_qtdWinAsk = 0; m_qtdWinBid = 0; m_qtdEmpate = 0; m_dask = 0; m_dbid = 0; //-- ticks m_bufPbuyArrow[1] = 0; m_bufPselArrow[1] = 0; dxSel = m_minion.getDxSel();//MathAbs(m_minion.getDxSell0()); dxBuy = m_minion.getDxBuy();//MathAbs(m_minion.getDxBuy0 ()); //medTick = m_minion.getPrecoMedTrade();// getMed0 () ; m_bufPbuyArrow[1] = dxBuy <= dxSel ? m_minion.getPrecoMedTradeBuy():0;//m_minion.getPrecoMedTradeBuy0() : 0; m_bufPselArrow[1] = dxSel <= dxBuy ? m_minion.getPrecoMedTradeSel():0;//m_minion.getPrecoMedTradeSell0(): 0; m_bufPbuy [1] = m_minion.getPrecoMedTradeBuy();//m_minion.getPrecoMedTradeBuy0() ; m_bufPsel [1] = m_minion.getPrecoMedTradeSel();//m_minion.getPrecoMedTradeSell0(); printf("-------------------------"); flushLogBook(); } //=============================================================================================== //=============================================================================================== // Processamento o tick da barra atual... //=============================================================================================== //processando o evento atual... m_minion.addTick(tick);// m_minion.refresh(tick); writeDetLogTick( "PC:"+IntegerToString(prev_calculated) + "/RT:" + IntegerToString(rates_total) ); dxSel = m_minion.getDxSel() ;//MathAbs(m_minion.getDxSell0()); dxBuy = m_minion.getDxBuy() ;// m_minion.getDxBuy0 () ; //medTick = m_minion.getPrecoMedTrade();// m_minion.getMed0 () ; //if( rates_total >= prev_calculated ){//&& dxSel>0 && dxBuy>0 && medTick>0 ){ m_bufPbuy [0] = m_minion.getPrecoMedTradeBuy();//m_minion.getPrecoMedTradeBuy0(); m_bufPsel [0] = m_minion.getPrecoMedTradeSel();//m_minion.getPrecoMedTradeSell0(); m_bufPbuyArrow[0] = dxBuy < dxSel ? m_minion.getPrecoMedTradeBuy():0;//m_minion.getPrecoMedTradeBuy0() : 0; m_bufPselArrow[0] = dxSel < dxBuy ? m_minion.getPrecoMedTradeSel():0;//m_minion.getPrecoMedTradeSell0(): 0; //=============================================================================================== //} // Nao tem book, simulamos com os ticks... if( !m_tembook ){ doOnBookEvent(tick); } //=============================================================================================== // plotando as ofertas do book na barra atual //=============================================================================================== //if( m_tembook ){ if( rates_total >= prev_calculated && m_pmask>0 && m_pmbid>0 && m_pm>0 ){ m_bufPask[0] = m_pmask; m_bufPbid[0] = m_pmbid; if( m_dbid > m_dask ){ m_bufPbidArrow[0] = m_pmbid; m_bufPaskArrow[0] = 0; } if( m_dbid < m_dask ){ m_bufPaskArrow[0] = m_pmask; m_bufPbidArrow[0] = 0; } if( m_dbid == m_dask ){ m_bufPaskArrow[0] = m_pmask; m_bufPbidArrow[0] = 0; } //================================================================================================= // Indicador demanda e oferta... // Oferta media ask(book) maior que demanda buy(tick) médio --> força pra cima // Oferta media bid(book) menor que demanda sel(tick) médio --> força pra baixo // // Oferta media ask(book) maior que demanda buy(tick) médio e // Oferta media bid(book) maior ou igual a demanda sel(tick) médio --> força pra cima maior ainda // // Oferta media bid(book) menor que demanda sel(tick) médio e // Oferta media ask(book) menor ou igual a demanda buy(tick) médio --> força pra baixo maior ainda //================================================================================================= m_ofertaAsk = m_bufPask[0]; // oferta media ask (oferta de venda )... m_ofertaBid = m_bufPbid[0]; // oferta media bid (oferta de compra)... m_demandBuy = m_bufPbuy[0]; // demanda media buy (demanda de compra)... m_demandSel = m_bufPsel[0]; // demanda media sel (demanda de venda )... m_forcaAcima1 = (m_ofertaAsk > m_demandBuy);// Oferta media ask(book) maior que demanda buy(tick) médio --> força pra cima m_forcaAbaix1 = (m_ofertaBid < m_demandSel);// Oferta media bid(book) menor que demanda sel(tick) médio --> força pra baixo m_forcaAcima2 = ( m_forcaAcima1 && (m_ofertaBid >= m_demandSel) );// força pra cima maior ainda m_forcaAbaix2 = ( m_forcaAbaix1 && (m_ofertaAsk <= m_demandBuy) );// força pra baixo maior ainda m_bufPup1Arrow[0] = m_forcaAcima1 ? m_ofertaAsk : 0; m_bufPup2Arrow[0] = m_forcaAcima2 ? m_ofertaAsk : 0; m_bufPdw1Arrow[0] = m_forcaAbaix1 ? m_ofertaBid : 0; m_bufPdw2Arrow[0] = m_forcaAbaix2 ? m_ofertaBid : 0; //if( (m_ofertaAsk-m_minion.getMed0()) > (m_minion.getMed0()-m_ofertaBid) ) { if( (m_ofertaAsk-m_minion.getPrecoMedTrade()) > (m_minion.getPrecoMedTrade()-m_ofertaBid) ) { //reforcar seta acima; m_bufPdw1Arrow[0] = 0; m_bufPdw2Arrow[0] = 0; }else{ //if( (m_ofertaAsk-m_minion.getMed0()) < (m_minion.getMed0()-m_ofertaBid) ) { if( (m_ofertaAsk-m_minion.getPrecoMedTrade()) < (m_minion.getPrecoMedTrade()-m_ofertaBid) ) { //reforcar seta abaixo m_bufPup1Arrow[0] = 0; m_bufPup2Arrow[0] = 0; }else{ // nao reforcar m_bufPup1Arrow[0] = 0; m_bufPup2Arrow[0] = 0; m_bufPdw1Arrow[0] = 0; m_bufPdw2Arrow[0] = 0; } } //} } //else{ // m_bufPask [0] = 0;m_bufPbid [0] = 0; m_bufPaskArrow[0] = 0; m_bufPbidArrow[0] = 0; // m_bufPup1Arrow[0] = 0;m_bufPup2Arrow[0] = 0; m_bufPdw1Arrow[0] = 0; m_bufPdw2Arrow[0] = 0; // m_bufPask [0] = m_minion.ask(); // m_bufPbid [0] = m_minion.bid(); // m_bufPaskArrow[0] = m_minion.last()>=m_minion.ask()?m_minion.ask():0;// continue daqui. Isso tá dando errado. // m_bufPbidArrow[0] = m_minion.last()<=m_minion.bid()?m_minion.bid():0;// continue daqui. Isso tá dando errado. //} //=============================================================================================== // segundos na barra atual... calcTempoBarraAtual(time); //=============================================================================================== // Imprimindo dados de depuracao... //=============================================================================================== imprimirComment(); return(rates_total); } //=============================================================================================== // Processando o historico de ticks no oncalculate... //=============================================================================================== void doOnCalculateHistorico(const int p_rates_total , const int p_prev_calculated, const datetime& p_time[] ){ MqlTick ticks[]; int qtdTicks; double dxSel = 0; double dxBuy = 0; //double medTick = 0; LOG_ONCALC_HIST; setAsSeries(false); zerarBufOfertaDemanda(p_prev_calculated); // processando o historico... for( int i=p_prev_calculated; i QTD_BAR_PROC_HIST || i==0 ){ zerarBufOfertaDemanda(p_prev_calculated); continue; } ///m_minion.fecharPeriodo(); // fechando o periodo anterior de coleta de estatisticas qtdTicks = CopyTicksRange( _Symbol , //const string symbol_name, // nome do símbolo ticks , //MqlTick& ticks_array[], // matriz para recebimento de ticks COPY_TICKS_ALL , //uint flags=COPY_TICKS_ALL, // sinalizador que define o tipo de ticks obtidos p_time[i-1]*1000, //ulong from_msc=0, // data a partir da qual são solicitados os ticks p_time[i ]*1000 //ulong to_msc=0 // data ate a qual são solicitados os ticks ); for(int ind=0; ind=m_minion.ask()?m_minion.ask():0;// continue daqui. Isso tá dando errado. m_bufPbidArrow[i] = m_minion.last()<=m_minion.bid()?m_minion.bid():0;// continue daqui. Isso tá dando errado. //m_bufPask [i] = ticks[ind].ask; //m_bufPbid [i] = ticks[ind].bid; //m_bufPaskArrow[i] = ticks[ind].last>=ticks[ind].ask?ticks[ind].ask:0; //m_bufPbidArrow[i] = ticks[ind].last<=ticks[ind].bid?ticks[ind].bid:0; m_bufPup1Arrow[i] = 0; m_bufPup2Arrow[i] = 0; m_bufPdw1Arrow[i] = 0; m_bufPdw2Arrow[i] = 0; //=============================================================================================== // Imprimindo dados de depuracao... //=============================================================================================== imprimirComment(); } } //m_minion.fecharPeriodo(); // fechando o periodo anterior de coleta de estatisticas m_prochist = true; Print( "Historico processado :-)" ); }//doOnCalculateHistorico. string m_deslocamento = " "+ " "+ " "+ " "+ " "; void imprimirComment(){ //=============================================================================================== // Imprimindo dados de depuracao... //=============================================================================================== m_tick_txt = m_deslocamento+"VBUY===: " + DoubleToString(m_minion.getVolTradeBuy() ,_Digits)+"("+DoubleToString(m_minion.getAceVolBuy(),5 )+")\n"+ m_deslocamento+"VSEL===: " + DoubleToString(m_minion.getVolTradeSel() ,_Digits)+"("+DoubleToString(m_minion.getAceVolSel(),5 )+")\n"+ m_deslocamento+"VTOT===: " + DoubleToString(m_minion.getVolTrade () ,_Digits)+"("+DoubleToString(m_minion.getAceVol (),5 )+")\n"+ m_deslocamento+"=======\n" + m_deslocamento+"VMBUY==: " + DoubleToString (m_minion.getVolMedTradeBuy() ,3 )+ "\n"+ m_deslocamento+"VMSEL==: " + DoubleToString (m_minion.getVolMedTradeSel() ,3 )+ "\n"+ m_deslocamento+"VMTOT==: " + DoubleToString (m_minion.getVolMedTrade() ,3 )+ "\n"+ m_deslocamento+"===========================\n" + m_deslocamento+"PMEDBUY: " + DoubleToString (m_minion.getPrecoMedTradeBuy() ,2 )+ "\n" + m_deslocamento+"PMEDSEL: " + DoubleToString (m_minion.getPrecoMedTradeSel() ,2 )+ "\n" + m_deslocamento+"PMED===: " + DoubleToString (m_minion.getPrecoMedTrade() ,2 )+ "\n" + m_deslocamento+"DXBUY==: " + DoubleToString (m_minion.getDxBuy() ,5 )+ "\n" + m_deslocamento+"DXSEL==: " + DoubleToString (m_minion.getDxSel() ,5 )+ "\n" + m_deslocamento+"===========================\n" + //m_deslocamento+"ACEVTOT: " + DoubleToString (m_minion.getAceVol () ,5 )+ "\n" + //m_deslocamento+"ACEVBUY: " + DoubleToString (m_minion.getAceVolBuy() ,5 )+ "\n" + //m_deslocamento+"ACEVSEL: " + DoubleToString (m_minion.getAceVolSel() ,5 )+ "\n" + m_deslocamento+"TBARRA : " + DoubleToString (m_qtd_sec_periodo ,0 )+ "\n" + m_deslocamento+"TSEC : " + DoubleToString (m_sec_barra ,0 )+ "\n" + m_deslocamento+"=======\n" + m_deslocamento+"TACUM : " + IntegerToString(m_minion.getTempoAcumTrade()/60 ,0 )+ "\n" + m_deslocamento+"TACUMME: " + IntegerToString(m_minion.getTempoAcumTradeMedio()/60,0 )+ "\n" + m_deslocamento+"=======\n" + m_deslocamento+"INDTOT: " + DoubleToString(m_minion.getIndTrade () , 0 )+ "\n" + m_deslocamento+"INDBUY: " + DoubleToString(m_minion.getIndTradeBuy() , 0 )+ "\n" + m_deslocamento+"INFSEL: " + DoubleToString(m_minion.getIndTradeSel() , 0 )+ "\n" + m_deslocamento+"=======\n" + m_deslocamento+"QTDBAR : " + DoubleToString(double(m_minion.getTempoAcumTrade ())/(double)m_qtd_sec_periodo, 2 )+ "\n" + m_deslocamento+"QTDBARB: " + DoubleToString(double(m_minion.getTempoAcumTradeBuy())/(double)m_qtd_sec_periodo, 2 )+ "\n" + m_deslocamento+"QTDBARS: " + DoubleToString(double(m_minion.getTempoAcumTradeSel())/(double)m_qtd_sec_periodo, 2 )+ "\n" + m_deslocamento+"=======\n" + m_deslocamento+"QTDTRADE: "+ IntegerToString(QTD_TICK_CALC_MEDIAS )+ "\n" + m_deslocamento+"=======\n" + m_deslocamento+"VOLTA : " + IntegerToString(m_minion.getQtdVoltaTrade ())+ "\n" + m_deslocamento+"VOLTABUY: "+ IntegerToString(m_minion.getQtdVoltaTradeBuy())+ "\n" + m_deslocamento+"VOLTASEL: "+ IntegerToString(m_minion.getQtdVoltaTradeSel())+ "\n" + m_deslocamento+"================================================\n" ; Comment(m_deslocamento+"DOM PREVISAO ======================================\n"+ m_dom_previsao + //"DOM TXT ==========================================\n"+ //m_dom_txt + m_deslocamento+"TICK TXT ==========================================\n"+ m_tick_txt); //=============================================================================================== } void OnBookEvent(const string &symbol){ if(!m_tembook){ return; } MqlBookInfo book[]; MarketBookGet(symbol, book); doOnBookEvent(book,BOOK_OUT); } void doOnBookEvent(MqlTick& tick){ if(!m_tembook){ return; } MqlBookInfo book[2]; book[0].price = tick.ask ; book[0].type = BOOK_TYPE_SELL; book[0].volume = 1 ; book[0].volume_real = 1 ; book[1].price = tick.bid ; book[1].type = BOOK_TYPE_BUY ; book[1].volume = 1 ; book[1].volume_real = 1 ; doOnBookEvent(book,0.0); } void doOnBookEvent(MqlBookInfo& book[], double book_out){ int tamanhoBook = ArraySize(book); if(tamanhoBook == 0) { printf("Falha carregando livro de ofertas. Motivo: " + (string)GetLastError()); return; } double vask = 0; double vbid = 0; double vpask = 0; double vpbid = 0; // volume de ofertas de venda x peso e compra x peso; double pvpask = 0; double pvpbid = 0; // preco de ofertas de venda x volume de ofertas de venda x peso e o mesmo com relacao a compras double pmask = 0; double pmbid = 0; //preco medio das ofertas de compra(bid) e venda(bid); double pm = 0; double pesoAsk = 0; double pesoBid = 0;// peso adicional das ofertas de venda e compra (peso referente a posicao do preco no book) m_dom_txt = "" ; // calculando os precos significativos no book... int desprezarAsk = (int)( tamanhoBook * (book_out/2.0) )-1; int desprezarBid = tamanhoBook - desprezarAsk -1; for(int i=0; i desprezarAsk ){ vask += book[i].volume_real; vpask += ( book[i].volume_real*pesoAsk ); pvpask += ( book[i].volume_real * book[i].price *pesoAsk ); writeDetLogBook(m_id_oferta, i+1, "ASK",book[i].volume_real, book[i].price, pesoAsk, book[i].volume_real*pesoAsk, pvpask ); }else{ if( book[i].type == BOOK_TYPE_BUY && i < desprezarBid ){ vbid += book[i].volume_real; vpbid += ( book[i].volume_real*pesoBid ); pvpbid += ( book[i].volume_real * book[i].price *pesoBid ); writeDetLogBook(m_id_oferta, i+1, "BID",book[i].volume_real, book[i].price, pesoBid, book[i].volume_real*pesoBid, pvpbid ); }else{ if( i>desprezarAsk && i dx_pmask){ m_qtdWinBid++ ; m_dbid += (dx_pmbid-dx_pmask); bolinha_bid = " *";} if(dx_pmbid < dx_pmask){ m_qtdWinAsk++ ; m_dask += (dx_pmask-dx_pmbid); bolinha_ask = " *";} if(dx_pmbid == dx_pmask){ m_qtdEmpate++; bolinha_empate = " *";} m_dom_previsao = m_deslocamento+"EMPATE :" + IntegerToString(m_qtdEmpate ,0) + " :" + bolinha_empate +"\n"+ m_deslocamento+"OFERTAS VENDA (ASK) SOBE :" + IntegerToString(m_qtdWinAsk ,0) + " :" + DoubleToString(m_dask,_Digits) + bolinha_ask +"\n"+ m_deslocamento+"OFERTAS COMPRA (BID) DESCE:" + IntegerToString(m_qtdWinBid ,0) + " :" + DoubleToString(m_dbid,_Digits) + bolinha_bid +"\n"+ m_deslocamento+"VOL OFERTAS DE VENDA (ASK):" + DoubleToString (vask ) +"\n"+ m_deslocamento+"VOL OFERTAS DE COMPRA(BID):" + DoubleToString (vbid ) +"\n"+ m_deslocamento+"VOL OFERTAS :" + DoubleToString (vbid+vask ) +"\n" //m_deslocamento+"POINT :" + DoubleToString (_Point ) +"\n"+ //m_deslocamento+"TICKSIZE :" + DoubleToString (m_symb.TickSize()) +"\n" ; //Comment(m_dom_previsao + m_dom_txt); m_pmask = pmask; m_pmbid = pmbid; m_pm = pm; } void setAsSeries(bool modo){ ArraySetAsSeries(m_bufPsel , modo ); ArraySetAsSeries(m_bufPbuy , modo ); ArraySetAsSeries(m_bufPask , modo ); ArraySetAsSeries(m_bufPbid , modo ); ArraySetAsSeries(m_bufPaskArrow, modo ); ArraySetAsSeries(m_bufPbidArrow, modo ); ArraySetAsSeries(m_bufPbuyArrow, modo ); ArraySetAsSeries(m_bufPselArrow, modo ); ArraySetAsSeries(m_bufPup1Arrow, modo ); ArraySetAsSeries(m_bufPup2Arrow, modo ); ArraySetAsSeries(m_bufPdw1Arrow, modo ); ArraySetAsSeries(m_bufPdw2Arrow, modo ); } void zerarBufDemanda(uint i){ m_bufPbuy [i] = 0; m_bufPsel [i] = 0; m_bufPbuyArrow[i] = 0; m_bufPselArrow[i] = 0; } void zerarBufOferta(uint i){ m_bufPask [i] = 0; m_bufPbid [i] = 0; m_bufPaskArrow[i] = 0; m_bufPbidArrow[i] = 0; } void zerarBufForca(uint i){ m_bufPup1Arrow[i] = 0; m_bufPup2Arrow[i] = 0; m_bufPdw1Arrow[i] = 0; m_bufPdw2Arrow[i] = 0; } // calcula a quantidade de segundos da barra atual e bem como a % de tempo decorrido... uint m_sec_barra_pro_fim ; double m_porcTempoDesdeInicioBarra; double m_porcTempoToFimBarra ; void calcTempoBarraAtual(const datetime& time[]){ // segundos na barra atual... bool tipo = ArrayIsSeries(time); ArraySetAsSeries(time,true); m_sec_barraAtu = TimeCurrent(); m_sec_barraAnt = time[0]; m_sec_barra = (int)(m_sec_barraAtu - m_sec_barraAnt); m_sec_barra_pro_fim = (int)(m_qtd_sec_periodo - m_sec_barra ); ArraySetAsSeries(time,tipo); m_porcTempoDesdeInicioBarra = (m_sec_barra /m_qtd_sec_periodo)*100.0; m_porcTempoToFimBarra = (m_sec_barra_pro_fim/m_qtd_sec_periodo)*100.0; } void zerarBufOfertaDemanda(uint i){ zerarBufOferta(i); zerarBufDemanda(i); zerarBufForca(i); } void openLogFile(string arqLog){m_log=FileOpen(arqLog, FILE_WRITE|FILE_CSV,';'); writeHeaderLogBook();} void writeHeaderLogBook(){ if( !DEBUG ){ return; } FileWrite( m_log, "SYMB" , "DATA" , "ID" , "I" , "TP" , "VOLR" , "PRICE" , "DIST" , "volXdist" , "priceXvolXdistACUM" ); } void writeDetLogBook(uint id, int i, string tp, double volr, double price, double distPrice, double volXdist, double priceXvolXdist ){ if( !DEBUG ){ return; } string dt = TimeToString( m_symb.Time(),TIME_DATE|TIME_MINUTES|TIME_SECONDS ); StringReplace ( dt, ".", "-" ); FileWrite( m_log, m_symb.Name() , dt , IntegerToString( id ), IntegerToString( i ), tp , DoubleToString ( volr ,_Digits ), DoubleToString ( price ,_Digits ), DoubleToString ( distPrice ,_Digits ), DoubleToString ( volXdist ,_Digits ), DoubleToString ( priceXvolXdist ,_Digits ) ); } void flushLogBook() { if( DEBUG ){ FileFlush(m_log) ; } } void writeDetLogTick(string comment){ if( DEBUG ){ return;/*m_minion.logWrite(comment);*/ } } // escrevendo o log de ticks... //+------------------------------------------------------------------+