924 lines
96 KiB
MQL5
924 lines
96 KiB
MQL5
//+------------------------------------------------------------------+
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//| osi-teste-01-03-feira.mq5 |
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//| marcoc |
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//| https://www.mql5.com/pt/users/marcoc |
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//+------------------------------------------------------------------+
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#include <Trade\SymbolInfo.mqh>
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#include <Files\FileTxt.mqh>
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#include <oslib\os-lib.mq5>
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#include <oslib\osc-estatistic.mqh>
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#include <oslib\osc-tick-util.mqh>
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input bool DEBUG = false ; // se true, grava informacoes de debug no log.
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input bool GERAR_VOLUME = false ; // se true, gera volume baseado nos ticks. Usa em papeis que nao informam volume, tais como o DJ30.
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input bool GERAR_OFERTAS = false ; // se true, gera ofertas baseadas nos ticks. Usa em papeis que nao informam o livro de ofertas.
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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.
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input double BOOK_OUT = 0.4 ; // Porcentagem das extremidades dos precos do book que serão desprezados.
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input int QTD_TICK_CALC_MEDIAS = 10000 ; // qtd de ticks usados no processamento estatistico.
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#define LOG(txt) if(DEBUG){Print("DEBUGINDICATOR:",__FUNCTION__,":linha ",__LINE__,":",(txt));}
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#define LOG_ONCALC LOG("RatesTot:"+IntegerToString( rates_total)+" PrevCalc:"+IntegerToString( prev_calculated) );
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#define LOG_ONCALC_HIST LOG("RatesTot:"+IntegerToString(p_rates_total)+" PrevCalc:"+IntegerToString(p_prev_calculated) );
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#define OSI_FEIRA_SHORT_NAME "osi-01-05-feira"
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#define DEBUG_TICK false
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//#define LOG_DEBUG_ONCALC if(DEBUG){Print("DEBUGINDICATOR:",__FUNCTION__,":linha:",__LINE__,": ratesTot:",rates_total," prevCalc:",prev_calculated);}
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//#define LOG_DEBUG_RESULT_REGISTRO_BOOK if(DEBUG){Print("DEBUGINDICATOR:Resultado registro book "+m_symb.Name()+":", m_tembook);}
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#property description "Indicador que considera a bolsa como uma feira, com barracas"
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#property description "de vendedores e compradores."
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#property description "---------------"
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#property description "osi-01-05-feira: simulacao de ticks e book de ofertas usando a nova classe osc_tick_util."
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#property description "---------------"
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#property indicator_chart_window
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#property indicator_buffers 14
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#property indicator_plots 14
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//---- plotar linha com o preco medio de vendas
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#property indicator_label1 "pm_sell"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrFireBrick
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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//---- plotar linha com preco medio de compras
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#property indicator_label2 "pm_buy"
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrMediumBlue
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#property indicator_style2 STYLE_SOLID
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#property indicator_width2 2
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//---- plotar linha com o preco medio de ofertas de venda (ask)
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#property indicator_label3 "pm_ask"
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#property indicator_type3 DRAW_LINE
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#property indicator_color3 clrMagenta
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#property indicator_style3 STYLE_SOLID
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#property indicator_width3 2
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//---- plotar linha com o preco medio de ofertas de compra (bid)
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#property indicator_label4 "pm_bid"
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#property indicator_type4 DRAW_LINE
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#property indicator_color4 clrDeepSkyBlue
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#property indicator_style4 STYLE_SOLID
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#property indicator_width4 2
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//---- plotar seta forca ask
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#property indicator_label5 "sig_ask"
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#property indicator_type5 DRAW_ARROW
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#property indicator_color5 clrMagenta
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#property indicator_style5 STYLE_SOLID
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#property indicator_width5 1
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//---- plotar seta forca bid
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#property indicator_label6 "sig_bid"
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#property indicator_type6 DRAW_ARROW
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#property indicator_color6 clrDeepSkyBlue
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#property indicator_style6 STYLE_SOLID
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#property indicator_width6 1
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//---- plotar seta forca buy
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#property indicator_label7 "sig_buy"
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#property indicator_type7 DRAW_ARROW
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#property indicator_color7 clrMediumBlue
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#property indicator_style7 STYLE_SOLID
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#property indicator_width7 1
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//---- plotar seta forca sel
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#property indicator_label8 "sig_sel"
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#property indicator_type8 DRAW_ARROW
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#property indicator_color8 clrFireBrick
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#property indicator_style8 STYLE_SOLID
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#property indicator_width8 1
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//---- plotar seta forca up1
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#property indicator_label9 "up1"
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#property indicator_type9 DRAW_ARROW
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#property indicator_color9 clrDeepSkyBlue
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#property indicator_style9 STYLE_SOLID
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#property indicator_width9 3
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//---- plotar seta forca up2
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#property indicator_label10 "up2"
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#property indicator_type10 DRAW_ARROW
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#property indicator_color10 clrDeepSkyBlue
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#property indicator_style10 STYLE_SOLID
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#property indicator_width10 3
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//---- plotar seta forca down1
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#property indicator_label11 "down1"
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#property indicator_type11 DRAW_ARROW
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#property indicator_color11 clrFireBrick
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#property indicator_style11 STYLE_SOLID
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#property indicator_width11 3
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//---- plotar seta forca down2
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#property indicator_label12 "down2"
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#property indicator_type12 DRAW_ARROW
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#property indicator_color12 clrFireBrick
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#property indicator_style12 STYLE_SOLID
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#property indicator_width12 3
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//---- plotar linha preco medio do trade
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#property indicator_label13 "pm-trade"
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#property indicator_type13 DRAW_ARROW
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#property indicator_color13 clrDarkOrchid
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#property indicator_style13 STYLE_SOLID
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#property indicator_width13 3
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//---- plotar linha preco medio do book de ofertas
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#property indicator_label14 "pm-book"
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#property indicator_type14 DRAW_ARROW
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#property indicator_color14 clrOrangeRed
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#property indicator_style14 STYLE_SOLID
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#property indicator_width14 3
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//--- buffers do indicador
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double m_bufPsel []; // preco medio de compras :1
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double m_bufPbuy []; // preco medio de vendas :2
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double m_bufPask []; // preco medio de ofertas de venda :3
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double m_bufPbid []; // preco medio de ofertas de compra :4
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double m_bufPaskArrow[]; // forca do preco medio de ofertas de venda :5
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double m_bufPbidArrow[]; // forca do preco medio de ofertas de compra :6
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double m_bufPbuyArrow[]; // forca do preco medio de venda :7
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double m_bufPselArrow[]; // forca do preco medio de compra :8
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double m_bufPup1Arrow[]; // forca acima 1 :9
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double m_bufPup2Arrow[]; // forca acima 2 :10
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double m_bufPdw1Arrow[]; // forca acima 1 :11
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double m_bufPdw2Arrow[]; // forca acima 2 :12
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double m_bufPtra []; // preco medio de trades (buy/sel) :13
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double m_bufPbok []; // preco medio de ofertas(ask/bid) :14
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// variaveis para controle do livro de ofertas
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//MqlBookInfo m_book[];
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double m_pmask = 0;
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double m_pmbid = 0;
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double m_pm = 0;
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uint m_qtdWinAsk = 0;
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uint m_qtdWinBid = 0;
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uint m_qtdEmpate = 0;
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double m_dask = 0;
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double m_dbid = 0;
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bool m_tembook = false;
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uint m_id_oferta = 0;
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// variaveis para controle dos ticks
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osc_estatistic m_minion ; // estatisticas de ticks e book de ofertas
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osc_tick_util m_tick_util; // para simular ticks de trade em bolsas que nao informam last/volume.
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CSymbolInfo m_symb ;
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bool m_prochist ; // para nao reprocessar o historico sempre que mudar de barra;
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double m_vbuy = 0;
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double m_vsel = 0;
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double m_tickvol = 0;
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// apresentacao de depuracao
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string m_dom_txt ;
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string m_dom_previsao;
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string m_tick_txt ;
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// variaveis para controle do arquivo de log
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int m_log_book ; // descarreganto book de ofetas em arquivo de log (debug)
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int m_log_tick ; // descarreganto ticks em arquivo de log (debug)
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//=================================================================================================
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// Indicador demanda e oferta...
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// Oferta media ask(book) maior que demanda buy(tick) médio --> força pra cima
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// Oferta media bid(book) menor que demanda sel(tick) médio --> força pra baixo
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//
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// Oferta media ask(book) maior que demanda buy(tick) médio e
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// Oferta media bid(book) maior ou igual a demanda sel(tick) médio --> força pra cima maior ainda
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//
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// Oferta media bid(book) menor que demanda sel(tick) médio e
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// Oferta media ask(book) menor ou igual a demanda buy(tick) médio --> força pra baixo maior ainda
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//=================================================================================================
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// variaveis para controle das forças liquidas
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double m_ofertaAsk = 0; // oferta media ask (oferta de venda )...
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double m_ofertaBid = 0; // oferta media bid (oferta de compra)...
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double m_demandBuy = 0; // demanda media buy (demanda de compra)...
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double m_demandSel = 0; // demanda media sel (demanda de venda )...
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bool m_forcaAcima1 ;// Oferta media ask(book) maior que demanda buy(tick) médio --> força pra cima
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bool m_forcaAbaix1 ;// Oferta media bid(book) menor que demanda sel(tick) médio --> força pra baixo
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bool m_forcaAcima2 ;// força pra cima maior ainda
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bool m_forcaAbaix2 ;// força pra baixo maior ainda
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//=================================================================================================
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uint m_qtd_sec_periodo ; // qtd de segundos que tem o periodo grafico atual.
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uint m_sec_barra; // segundos na barra atual
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datetime m_sec_barraAnt; // segundos na barra atual
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datetime m_sec_barraAtu; // segundos na barra atual
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//+------------------------------------------------------------------+
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//| Função de inicialização do indicador customizado |
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//+------------------------------------------------------------------+
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int OnInit() {
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//PRINT_DEBUG_INIT_INI
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LOG("=======================================");
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m_symb.Name ( Symbol() );
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m_symb.Refresh ();
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m_symb.RefreshRates();
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m_qtd_sec_periodo = PeriodSeconds();
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m_tembook = MarketBookAdd( m_symb.Name() );
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LOG("Resultado registro book "+m_symb.Name()+":"+IntegerToString(m_tembook) );
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if (!m_tembook){
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Print("DOM indisponivel para "+m_symb.Name()+" :-(");
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if( GERAR_VOLUME ){
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Print("Simulacao de volume ativada! Seguiremos gerando ofertas e demandas a partir dos Ticks :-)" );
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}else{
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return (INIT_FAILED);
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}
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};
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ArraySetAsSeries(m_bufPsel , false );
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ArraySetAsSeries(m_bufPbuy , false );
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ArraySetAsSeries(m_bufPask , false );
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ArraySetAsSeries(m_bufPbid , false );
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ArraySetAsSeries(m_bufPaskArrow, false );
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ArraySetAsSeries(m_bufPbidArrow, false );
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ArraySetAsSeries(m_bufPbuyArrow, false );
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ArraySetAsSeries(m_bufPselArrow, false );
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ArraySetAsSeries(m_bufPup1Arrow, false );
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ArraySetAsSeries(m_bufPup2Arrow, false );
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ArraySetAsSeries(m_bufPdw1Arrow, false );
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ArraySetAsSeries(m_bufPdw2Arrow, false );
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Print("Definindo buffers do indicador...");
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SetIndexBuffer(0,m_bufPsel , INDICATOR_DATA );
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SetIndexBuffer(1,m_bufPbuy , INDICATOR_DATA );
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SetIndexBuffer(2,m_bufPask , INDICATOR_DATA );
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SetIndexBuffer(3,m_bufPbid , INDICATOR_DATA );
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SetIndexBuffer(4,m_bufPaskArrow, INDICATOR_DATA );
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SetIndexBuffer(5,m_bufPbidArrow, INDICATOR_DATA );
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SetIndexBuffer(6,m_bufPbuyArrow, INDICATOR_DATA );
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SetIndexBuffer(7,m_bufPselArrow, INDICATOR_DATA );
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SetIndexBuffer(8 ,m_bufPup1Arrow, INDICATOR_DATA );
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SetIndexBuffer(9 ,m_bufPup2Arrow, INDICATOR_DATA );
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SetIndexBuffer(10,m_bufPdw1Arrow, INDICATOR_DATA );
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SetIndexBuffer(11,m_bufPdw2Arrow, INDICATOR_DATA );
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//--- Definir um valor vazio
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PlotIndexSetDouble(0 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(1 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(2 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(3 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(4 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(5 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(6 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(7 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(8 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(9 ,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(10,PLOT_EMPTY_VALUE,0);
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PlotIndexSetDouble(11,PLOT_EMPTY_VALUE,0);
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//--- Definir o código símbolo para desenho em PLOT_ARROW
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PlotIndexSetInteger(4,PLOT_ARROW,225); //ask
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PlotIndexSetInteger(5,PLOT_ARROW,226); //bid
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PlotIndexSetInteger(6,PLOT_ARROW,233); //buy
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PlotIndexSetInteger(7,PLOT_ARROW,234); //sel
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PlotIndexSetInteger(8 ,PLOT_ARROW,217);//241); //up1 217
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PlotIndexSetInteger(9 ,PLOT_ARROW,217);//241); //up2 217
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PlotIndexSetInteger(10,PLOT_ARROW,218);//242); //dw1 218
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PlotIndexSetInteger(11,PLOT_ARROW,218);//242); //dw2 218
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//--- Definindo o deslocamento vertical das setas em pixels...
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PlotIndexSetInteger(4,PLOT_ARROW_SHIFT,-10);
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PlotIndexSetInteger(5,PLOT_ARROW_SHIFT,+10);
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PlotIndexSetInteger(6,PLOT_ARROW_SHIFT,-10);
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PlotIndexSetInteger(7,PLOT_ARROW_SHIFT,+10);
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PlotIndexSetInteger(8 ,PLOT_ARROW_SHIFT,-20); //up1
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PlotIndexSetInteger(9 ,PLOT_ARROW_SHIFT,-30); //up2
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PlotIndexSetInteger(10,PLOT_ARROW_SHIFT,+20); //dw1
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PlotIndexSetInteger(11,PLOT_ARROW_SHIFT,+30); //dw2
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//---- o nome do indicador a ser exibido na DataWindow e na subjanela
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IndicatorSetString(INDICATOR_SHORTNAME,OSI_FEIRA_SHORT_NAME);
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//--- ticks
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//m_minion.setModoHibrido(GERAR_VOLUME) ; //se opcao eh true, gera volume baseado nos ticks. Usado em papeis que nao informam volume.
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m_minion.initialize(QTD_TICK_CALC_MEDIAS); // quantidade de ticks que serah usado no calculo das medias.
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m_prochist = false; // indica se deve reprocessar o historico.
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m_tick_util.setTickSize(m_symb.TickSize(), m_symb.Digits() );
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//--- debug
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if( DEBUG ){
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string dt = TimeToString( TimeCurrent(),TIME_DATE|TIME_MINUTES|TIME_SECONDS );
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StringReplace ( dt, ".", "" );
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StringReplace ( dt, ":", "" );
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StringReplace ( dt, " ", "_" );
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openLogFileBook(OSI_FEIRA_SHORT_NAME + "_" + m_symb.Name() + IntegerToString(_Period) + "_" + dt + "_book.csv" );
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openLogFileTick(OSI_FEIRA_SHORT_NAME + "_" + m_symb.Name() + IntegerToString(_Period) + "_" + dt + "_tick.csv" );
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}
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if( DEBUG_TICK ){
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string dt = TimeToString( TimeCurrent(),TIME_DATE|TIME_MINUTES|TIME_SECONDS );
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StringReplace ( dt, ".", "" );
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StringReplace ( dt, ":", "" );
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StringReplace ( dt, " ", "_" );
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openLogFileTick(OSI_FEIRA_SHORT_NAME + "_" + m_symb.Name() + IntegerToString(_Period) + "_" + dt + "_tick.csv" );
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}
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//---
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return(INIT_SUCCEEDED);
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}
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// transforma o tick informativo em tick de trade. Usamos em mercados que nao informam volume ou last nos ticks.
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void normalizar2trade(MqlTick& tick){
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if(GERAR_VOLUME){
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writeDetLogTick( "ANT" );
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m_tick_util.normalizar2trade(tick);
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writeDetLogTick( "POS" );
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}
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}
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void OnDeinit(const int i){
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LOG("Executando...");
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MarketBookRelease( m_symb.Name() );
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delete(&m_symb );
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//delete(&m_minion);
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//delete(&m_book);
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FileClose( m_log_book );
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FileClose( m_log_tick );
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LOG("Finalizado!");
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}
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//+------------------------------------------------------------------+
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//| Atualizando os volumes de bid e oferta |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime& time[],
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const double& open[],
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const double& high[],
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const double& low[],
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const double& close[],
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const long& tick_volume[],
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const long& volume[] ,
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const int& spread[] ) {
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//===============================================================================================
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// Processamentos dos ticks (demanda)
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//===============================================================================================
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//m_minion.refresh();
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//m_minion.logWrite( "PC:"+IntegerToString(prev_calculated) + "/RT:" + IntegerToString(rates_total) );
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//m_lineBuffer1[0] = (double)m_minion.getVolSell0();
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MqlTick tick ;
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double dxSel = 0;
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double dxBuy = 0;
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//double medTick = 0;
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//---------
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LOG_ONCALC;
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if( !m_prochist ){ // para nao reprocessar a ultima barra sempre que mudar de barra.
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setAsSeries(false);
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doOnCalculateHistorico(rates_total, prev_calculated,time);
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setAsSeries(true);
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}
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LOG_ONCALC;
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//===============================================================================================
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// Processamento atualizando a barra anterior assim que inicia a nova...
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//===============================================================================================
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if(rates_total > prev_calculated){
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//-- book
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m_bufPbidArrow[1] = 0;
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m_bufPaskArrow[1] = 0;
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if( m_dbid > m_dask ){ m_bufPbidArrow[1] = m_pmbid;}
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if( m_dbid < m_dask ){ m_bufPaskArrow[1] = m_pmask;}
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m_qtdWinAsk = 0;
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m_qtdWinBid = 0;
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m_qtdEmpate = 0;
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m_dask = 0;
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m_dbid = 0;
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//-- ticks
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m_bufPbuyArrow[1] = 0;
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m_bufPselArrow[1] = 0;
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dxSel = m_minion.getDxSel();
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dxBuy = m_minion.getDxBuy();
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//medTick = m_minion.getPrecoMedTrade();// getMed0 () ;
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m_bufPbuyArrow[1] = dxBuy <= dxSel ? m_minion.getPrecoMedTradeBuy():0;
|
|
m_bufPselArrow[1] = dxSel <= dxBuy ? m_minion.getPrecoMedTradeSel():0;
|
|
m_bufPbuy [1] = m_minion.getPrecoMedTradeBuy();
|
|
m_bufPsel [1] = m_minion.getPrecoMedTradeSel();
|
|
printf("-------------------------");
|
|
flushLogBook();
|
|
}
|
|
//===============================================================================================
|
|
|
|
|
|
//===============================================================================================
|
|
// Processamento o tick da barra atual...
|
|
//===============================================================================================
|
|
//processando o evento atual...
|
|
SymbolInfoTick(_Symbol,tick);// um tick por chamada a oncalculate
|
|
normalizar2trade(tick);
|
|
m_minion.addTick(tick);
|
|
|
|
dxSel = m_minion.getDxSel() ;//MathAbs(m_minion.getDxSell0());
|
|
dxBuy = m_minion.getDxBuy() ;// m_minion.getDxBuy0 () ;
|
|
|
|
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 ){
|
|
m_bufPask[0] = m_minion.getPrecoMedTrade(); // <TODO> retire qd terminar de verificar o trade medio.
|
|
if( rates_total >= prev_calculated && m_pmask>0 && m_pmbid>0 && m_pm>0 ){
|
|
m_bufPask[0] = m_pmask;
|
|
m_bufPbid[0] = m_pmbid;
|
|
m_bufPask[0] = m_minion.getPrecoMedTrade(); // <TODO> retire qd terminar de verificar o trade medio.
|
|
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] = 0 ; 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;// <TODO> continue daqui. Isso tá dando errado.
|
|
// m_bufPbidArrow[0] = m_minion.last()<=m_minion.bid()?m_minion.bid():0;// <TODO> 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<p_rates_total; i++ ){ // O -1 eh pra nao processar o periodo atual dentro do laco.
|
|
|
|
// durante os testes, seguimos somente com as ultimas n barras
|
|
// se prev_calculated eh zero, acontece erro ao buscar o tempo de fechamento da barra anterior
|
|
if( (p_rates_total-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<qtdTicks; ind++){
|
|
|
|
normalizar2trade(ticks[ind]);
|
|
|
|
m_minion.addTick(ticks[ind]);
|
|
doOnBookEvent(ticks[ind]) ;// simulando o book de ofertas durante o processamento do historico...
|
|
|
|
dxSel = m_minion.getDxSel() ;
|
|
dxBuy = m_minion.getDxBuy() ;
|
|
//medTick = m_minion.getPrecoMedTrade();
|
|
|
|
m_bufPbuy [i] = m_minion.getPrecoMedTradeBuy();
|
|
m_bufPsel [i] = m_minion.getPrecoMedTradeSel();
|
|
|
|
m_bufPbuyArrow[i] = dxBuy < dxSel ? m_minion.getPrecoMedTradeBuy():0;
|
|
m_bufPselArrow[i] = dxSel < dxBuy ? m_minion.getPrecoMedTradeSel():0;
|
|
|
|
// pra nao ficar aparecendo as linhas do book com valores errados no passado.
|
|
//m_bufPask [i] = 0;
|
|
//m_bufPbid [i] = 0;
|
|
//m_bufPaskArrow[i] = 0;
|
|
//m_bufPbidArrow[i] = 0;
|
|
|
|
m_bufPask [i] = m_minion.ask();
|
|
m_bufPbid [i] = m_minion.bid();
|
|
m_bufPaskArrow[i] = m_minion.last()>=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_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() ,1 )+ "\n"+
|
|
m_deslocamento+"VMSEL==: " + DoubleToString (m_minion.getVolMedTradeSel() ,1 )+ "\n"+
|
|
m_deslocamento+"VMTOT==: " + DoubleToString (m_minion.getVolMedTrade() ,1 )+ "\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+"===========================\n" +
|
|
m_deslocamento+"INCLBUY: " + DoubleToString (m_minion.getInclinacaoTradeBuy() ,2 )+ "\n" +
|
|
m_deslocamento+"INCLSEL: " + DoubleToString (m_minion.getInclinacaoTradeSel() ,2 )+ "\n" +
|
|
m_deslocamento+"INCL===: " + DoubleToString (m_minion.getInclinacaoTrade() ,2 )+ "\n" +
|
|
m_deslocamento+"===========================\n" +
|
|
m_deslocamento+"DXBUY==: " + DoubleToString (m_minion.getDxBuy() ,2 )+"/"+DoubleToString (m_minion.getDxBuyDelta() ,2 )+ "\n" +
|
|
m_deslocamento+"DXSEL==: " + DoubleToString (m_minion.getDxSel() ,2 )+"/"+DoubleToString (m_minion.getDxSelDelta() ,2 )+ "\n" +
|
|
m_deslocamento+"===========================\n" +
|
|
m_deslocamento+"DXASK==" + DoubleToString (m_minion.getDxAsk() ,2 )+ "\n" +
|
|
m_deslocamento+"DXBID==" + DoubleToString (m_minion.getDxBid() ,2 )+ "\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+"TBAR/TATU: " + DoubleToString (m_qtd_sec_periodo ,0 )+ "/" +
|
|
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+"IND TOT/BUY/SEL:" + IntegerToString(m_minion.getIndTrade () )+ "/" +
|
|
IntegerToString(m_minion.getIndTradeBuy() )+ "/" +
|
|
IntegerToString(m_minion.getIndTradeSel() )+ "\n"+
|
|
m_deslocamento+"IND TOT/ASK/BID:" + IntegerToString(m_minion.getIndBook () )+ "/" +
|
|
IntegerToString(m_minion.getIndBookAsk () )+ "/" +
|
|
IntegerToString(m_minion.getIndBookBid () )+ "\n"+
|
|
m_deslocamento+"=======\n" +
|
|
m_deslocamento+"BAR TOT/BUY/SEL:" + DoubleToString(double(m_minion.getTempoAcumTrade ())/(double)m_qtd_sec_periodo, 2 )+ " / " +
|
|
DoubleToString(double(m_minion.getTempoAcumTradeBuy())/(double)m_qtd_sec_periodo, 2 )+ " / " +
|
|
DoubleToString(double(m_minion.getTempoAcumTradeSel())/(double)m_qtd_sec_periodo, 2 )+ "\n" +
|
|
m_deslocamento+"BAR TOT/ASK/BID:" + DoubleToString(double(m_minion.getTempoAcumBook ())/(double)m_qtd_sec_periodo, 2 )+ " / " +
|
|
DoubleToString(double(m_minion.getTempoAcumBookAsk ())/(double)m_qtd_sec_periodo, 2 )+ " / " +
|
|
DoubleToString(double(m_minion.getTempoAcumBookBid ())/(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+"TK:" + m_tick_util.toString() + "\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);
|
|
doOnBookEvent2(book,BOOK_OUT, TimeCurrent());
|
|
}
|
|
|
|
void doOnBookEvent(MqlTick& tick){
|
|
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);
|
|
doOnBookEvent2(book,0, tick.time); // aqui pode ser processamento de historico, entao usamos a hora do tick e nao a hora atual do servidor.
|
|
}
|
|
|
|
|
|
// acumulacao do book de ofertas baseado no minion de estatisticas...
|
|
void doOnBookEvent2(MqlBookInfo& book[], double book_out, datetime pTime){
|
|
int tamanhoBook = ArraySize(book);
|
|
if(tamanhoBook == 0) { printf("Falha carregando livro de ofertas. Motivo: " + (string)GetLastError()); return; }
|
|
|
|
// em processamento historico ou de mercados sem DOM, recebo a hora para usar na estatistisca do book...
|
|
// em processamento online, usamos a hora da ultima cotacao recebida.
|
|
//datetime dth = (pTime==0)? TimeCurrent() : pTime;
|
|
|
|
m_minion.addBook( pTime, book, tamanhoBook,book_out, m_symb.TickSize() );
|
|
|
|
string bolinha_ask = "";
|
|
string bolinha_bid = "";
|
|
string bolinha_empate = "";
|
|
|
|
if(m_minion.getDxBid() > m_minion.getDxAsk()){ m_qtdWinBid++; m_dbid += (m_minion.getDxBid()-m_minion.getDxAsk()); bolinha_bid = " *";}
|
|
if(m_minion.getDxBid() < m_minion.getDxAsk()){ m_qtdWinAsk++; m_dask += (m_minion.getDxAsk()-m_minion.getDxBid()); bolinha_ask = " *";}
|
|
if(m_minion.getDxBid() == m_minion.getDxAsk()){ m_qtdEmpate++; bolinha_empate = " *";}
|
|
|
|
m_pmask = m_minion.getPrecoMedBookAsk();
|
|
m_pmbid = m_minion.getPrecoMedBookBid();
|
|
m_pm = m_minion.getPrecoMedBook();
|
|
|
|
m_dom_previsao = m_deslocamento+"FORCA EMPATE :" + IntegerToString(m_qtdEmpate ,0) + " :" + bolinha_empate +"\n"+
|
|
m_deslocamento+"FORCA OFER VEN(ASK) SOBE :" + IntegerToString(m_qtdWinAsk ,0) + " :" + DoubleToString(m_dask,_Digits) + bolinha_ask +"\n"+
|
|
m_deslocamento+"FORCA OFER COM(BID) DESCE:" + IntegerToString(m_qtdWinBid ,0) + " :" + DoubleToString(m_dbid,_Digits) + bolinha_bid +"\n"+
|
|
m_deslocamento+"VOL TOT/VEN(ASK)/COM(BID):" + DoubleToString (m_minion.getVolBook() , _Digits ) +"/"+
|
|
DoubleToString (m_minion.getVolBookAsk(), _Digits ) +"/"+
|
|
DoubleToString (m_minion.getVolBookBid(), _Digits ) +"\n"+
|
|
|
|
//m_deslocamento+"DXASK/DXBID : " + DoubleToString (m_minion.getDxAsk() , _Digits ) +"/" +
|
|
// DoubleToString (m_minion.getDxBid() , _Digits ) +"\n" +
|
|
|
|
m_deslocamento+"PRECO MED ASK/ PRECO MED BID:" + DoubleToString (m_minion.getPrecoMedBookAsk(), _Digits ) +"/" +
|
|
DoubleToString (m_minion.getPrecoMedBookBid(), _Digits ) +"\n"+
|
|
//m_deslocamento+"IND TOT/BUY/SEL: " + IntegerToString(m_minion.getIndBook () )+ "/" +
|
|
// IntegerToString(m_minion.getIndBookAsk() )+ "/" +
|
|
// IntegerToString(m_minion.getIndBookBid() )+ "\n" +
|
|
//m_deslocamento+"=======\n" +
|
|
//m_deslocamento+"BAR TOT/ASK/BID: " + DoubleToString(double(m_minion.getTempoAcumBook ())/(double)m_qtd_sec_periodo, 2 )+ "/" +
|
|
// DoubleToString(double(m_minion.getTempoAcumBookAsk())/(double)m_qtd_sec_periodo, 2 )+ "/" +
|
|
// DoubleToString(double(m_minion.getTempoAcumBookBid())/(double)m_qtd_sec_periodo, 2 )+ "\n"
|
|
m_deslocamento+"=======FIM\n";
|
|
}
|
|
|
|
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<tamanhoBook; i++){
|
|
|
|
// calibrando os pesos em funcao da posicao do preco no book...
|
|
pesoAsk = book[0].price - book[i ].price + m_symb.TickSize();
|
|
pesoBid = book[i].price - book[tamanhoBook-1].price + m_symb.TickSize();
|
|
|
|
m_dom_txt +=
|
|
_Symbol +":" +
|
|
"[id]:" + IntegerToString(m_id_oferta) +
|
|
"[i]:" + IntegerToString(i ) +
|
|
" TP:" + IntegerToString(book[i].type ) +
|
|
" VOL:" + IntegerToString(book[i].volume ) +
|
|
" VOLR:" + DoubleToString (book[i].volume_real,m_symb.Digits() ) +
|
|
" PRICE:" + DoubleToString (book[i].price ,m_symb.Digits() ) +
|
|
" pesoAsk:" + DoubleToString (pesoAsk ,m_symb.Digits() ) +
|
|
" pesoBid:" + DoubleToString (pesoBid ,m_symb.Digits() ) + "\n";
|
|
//writeDetLogBook(m_id_oferta, i+1, book[i].type, book[i].volume, book[i].volume_real, book[i].price, pesoAsk, pesoBid );
|
|
|
|
if( book[i].type == BOOK_TYPE_SELL && 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<desprezarBid ){
|
|
Print("Nenhum tipo ///////////////////////////////////////// desprezarAsk:",desprezarAsk," desprezarBid:",desprezarBid, " i:", i);
|
|
}
|
|
}
|
|
}
|
|
}//laco for
|
|
m_id_oferta++;
|
|
//Comment(m_dom_txt);
|
|
|
|
pmask = NormalizeDouble( pvpask / oneIfZero( vpask ), m_symb.Digits() );
|
|
pmbid = NormalizeDouble( pvpbid / oneIfZero( vpbid ), m_symb.Digits() );
|
|
pm = NormalizeDouble( (pvpask+pvpbid) / oneIfZero( (vpask+vpbid) ), m_symb.Digits() );
|
|
|
|
string bolinha_ask = "";
|
|
string bolinha_bid = "";
|
|
string bolinha_empate = "";
|
|
|
|
double dx_pmask = (pmask - pm );
|
|
double dx_pmbid = (pm - pmbid);
|
|
|
|
if(dx_pmbid > 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 openLogFileBook(string arqLog){m_log_book=FileOpen(arqLog, FILE_WRITE|FILE_CSV,';'); writeHeaderLogBook();}
|
|
void openLogFileTick(string arqLog){m_log_tick=FileOpen(arqLog, FILE_WRITE ); }
|
|
|
|
void writeHeaderLogBook(){
|
|
if( !DEBUG ){ return; }
|
|
|
|
FileWrite( m_log_book ,
|
|
"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_book ,
|
|
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_book ); } }
|
|
void flushLogTick() { if( DEBUG || DEBUG_TICK ){ FileFlush(m_log_tick ); } }
|
|
void writeDetLogTick(string comment){ if( DEBUG || DEBUG_TICK ){ FileWrite(m_log_tick, m_tick_util.toStringCSV(comment) ); } } // escrevendo o log de ticks...
|
|
|
|
//+------------------------------------------------------------------+
|
|
|