Warrior_EA/Expert/WarriorExpert.mqh

//+------------------------------------------------------------------+
//|                                                  WarriorExpert.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| CExpert WITH A SESSION-AWARE BAR CLOCK. One override, Refresh().  |
//|                                                                   |
//| WHAT THE STDLIB DOES. With EveryTick = false, CExpert::Refresh()  |
//| lets Processing() run only on ticks TimeframesFlags() marks as a  |
//| new bar of the chart period, and for D1 that is the first tick of |
//| each calendar day - whatever hour it arrives at. The tick is then |
//| CONSUMED: m_last_tick_time moves to it, and every later tick that |
//| day compares against it and reads as "same day, no new bar".      |
//|                                                                   |
//| WHY THAT FAILS ON A CFD. An index CFD quotes a tick at 00:00 (or  |
//| 01:00 across the DST seam) while its trading session is still     |
//| shut, so the one evaluation the day gets lands on a tick the      |
//| broker will not fill. Measured on SP500 D1 2012-2026: 1,647 of    |
//| 3,887 daily entries declined at the gate - "SP500 has no open     |
//| trading session at 2012.01.04 00:00" - and every exit attempted at |
//| 01:00 failed with [Market closed] and was retried a day later.    |
//| NAS100 lost 189 the same way. The signal was right; the clock was |
//| reading it during the maintenance hour.                           |
//|                                                                   |
//| THE FIX. A new-bar tick that arrives while the session is shut is |
//| NOT consumed: m_last_tick_time stays where it was, so the next    |
//| tick still compares as a new bar, and the first tick INSIDE a     |
//| session is the one that gets processed. The signals read bar 1 -  |
//| the closed bar - through StartIndex() either way, so what is      |
//| evaluated is identical; only the minute it is acted on moves,     |
//| from the maintenance hour to the open. Every-tick mode is left    |
//| exactly as the stdlib has it.                                     |
//|                                                                   |
//| THE ACCOUNT GUARD (System\AccountGuard.mqh), optional. When one   |
//| is attached, every tick first updates the kill switch and, while  |
//| the account or this symbol must be flat (kill switch, Friday      |
//| window), closes this chart's position and refuses entries. Every  |
//| open goes through the cross-chart lock and the open-risk cap.     |
//|                                                                   |
//| A BAR IS NOT CONSUMED BY A FAILED OPEN. With EveryTick = false    |
//| the stdlib processes a bar once; an entry refused for a TRANSIENT |
//| reason (another chart holds the lock, requote, market closed at   |
//| the server) would be lost for good. Here the bar stays "new" and  |
//| is processed again on the next tick - the reference EA's retry.   |
//+------------------------------------------------------------------+
#ifndef WARRIOR_EXPERT_MQH
#define WARRIOR_EXPERT_MQH

#include <Expert\Expert.mqh>
#include "..\System\TradeChecks.mqh"
#include "..\System\AccountGuard.mqh"
#include "..\Mind\WarriorMind.mqh"

class CWarriorExpert : public CExpert
  {
protected:
   int               m_deferred;      // new-bar ticks held back because the session was shut
   int               m_deferredBars;  // ...and how many distinct bars that was
   datetime          m_deferredBar;   // the bar being held back, so it is counted once
   CAccountGuard    *m_guard;         // not owned; NULL = no account-level rules
   CWarriorMind     *m_mind;          // not owned; NULL = no trader behind the signal
   int               m_declined;      // entries the Mind stood aside from
   MqlDateTime       m_prevTick;      // m_last_tick_time before this bar was taken, for a retry
   bool              m_retry;         // an open failed transiently: process this bar again
   int               m_retries;       // how often that happened, reported at deinit
   int               m_flattened;     // positions closed by the guard (kill switch / Friday)

   bool              Open(const bool isLong, double price, double sl, double tp);
   void              FlattenMine(void);

public:
                     CWarriorExpert(void) : m_deferred(0), m_deferredBars(0), m_deferredBar(0),
                                            m_guard(NULL), m_mind(NULL), m_declined(0), m_retry(false), m_retries(0),
                                            m_flattened(0) {}
                    ~CWarriorExpert(void) {}
   void              Guard(CAccountGuard *guard) { m_guard = guard; }
   void              Mind(CWarriorMind *mind) { m_mind = mind; }
   virtual void      OnTick(void) override;
   virtual void      Deinit(void) override;

protected:
   virtual bool      Refresh(void) override;
   virtual bool      OpenLong(double price, double sl, double tp) override
                       { return Open(true, price, sl, tp); }
   virtual bool      OpenShort(double price, double sl, double tp) override
                       { return Open(false, price, sl, tp); }
  };
//+------------------------------------------------------------------+
bool CWarriorExpert::Refresh(void)
  {
   //--- Every-tick mode: nothing to defer, the stdlib is right as it is.
   if(m_period_flags == WRONG_VALUE || m_period_flags == 0)
      return CExpert::Refresh();
   if(!m_symbol.RefreshRates())
      return false;
   MqlDateTime time;
   TimeToStruct(m_symbol.Time(), time);
   if((m_period_flags & TimeframesFlags(time)) == 0)
      return false;                              // same bar as the last one processed
   //--- A new bar - but is the market open to act on it? If not, leave m_last_tick_time alone so
   //--- this bar is still "new" on the next tick, and say nothing per tick: the count is reported
   //--- once at deinit, the way the vote reports its gates.
   string why = "";
   if(!TCMarketIsOpen(m_symbol.Name(), m_symbol.Time(), why))
     {
      m_deferred++;
      const datetime bar = iTime(m_symbol.Name(), m_period, 0);
      if(bar != m_deferredBar)
        {
         m_deferredBar = bar;
         m_deferredBars++;
        }
      return false;
     }
   m_prevTick = m_last_tick_time;
   m_last_tick_time = time;
   m_indicators.Refresh();
   return true;
  }
//+------------------------------------------------------------------+
//| The guard runs on EVERY tick - a kill switch or a Friday close    |
//| cannot wait for the next H4 bar - and the stdlib's bar-clocked    |
//| processing after it.                                              |
//+------------------------------------------------------------------+
void CWarriorExpert::OnTick(void)
  {
   if(m_mind != NULL)
      m_mind.OnTick();                       // files a position that has just closed
   if(m_guard != NULL)
     {
      m_guard.Update();
      if(m_guard.MustBeFlat())
         FlattenMine();
     }
   if(!m_on_tick_process || !Refresh())
      return;
   m_retry = false;
   Processing();
   //--- Only the bar clock can be rewound; in every-tick mode the next tick re-evaluates anyway.
   if(m_retry && m_period_flags != WRONG_VALUE && m_period_flags != 0)
     {
      m_last_tick_time = m_prevTick;
      m_retries++;
     }
  }
//+------------------------------------------------------------------+
//| CExpert::OpenLong/OpenShort, with the guard around the send and a |
//| transient failure turned into a retry instead of a lost signal.   |
//| The body is the stdlib's (lot, LotCheck, send), written out so    |
//| the retcode read afterwards is this request's, never a stale one. |
//+------------------------------------------------------------------+
bool CWarriorExpert::Open(const bool isLong, double price, double sl, double tp)
  {
   if(price == EMPTY_VALUE)
      return false;
   //--- THE MIND FIRST: it reads the signal bar and sets this entry's risk scale. A veto is a
   //--- decision, not a transient failure, so it is not retried.
   if(m_mind != NULL)
     {
      string vetoWhy = "";
      if(!m_mind.Assess(isLong, price, sl, vetoWhy))
        {
         m_declined++;
         return false;
        }
     }
   if(m_guard != NULL)
     {
      if(m_guard.MustBeFlat())
         return false;
      if(!m_guard.LockTake())
        {
         m_guard.NoteLockBusy();
         m_retry = true;                 // another chart is mid-open: try again next tick
         return false;
        }
      if(!m_guard.RoomForOne())
        {
         m_guard.LockDrop();
         return false;                   // dropped, not queued - the dip will be gone
        }
     }
   double lot = isLong ? LotOpenLong(price, sl) : LotOpenShort(price, sl);
   lot = LotCheck(lot, price, (isLong ? ORDER_TYPE_BUY : ORDER_TYPE_SELL));
   bool ok = false;
   if(lot > 0.0)
     {
      ok = isLong ? m_trade.Buy(lot, price, sl, tp) : m_trade.Sell(lot, price, sl, tp);
      const uint rc = m_trade.ResultRetcode();
      if(ok && rc != TRADE_RETCODE_DONE && rc != TRADE_RETCODE_PLACED && rc != TRADE_RETCODE_DONE_PARTIAL)
         ok = false;
      string why = "";
      if(!ok && (rc == TRADE_RETCODE_MARKET_CLOSED || rc == TRADE_RETCODE_TRADE_DISABLED ||
                 TCRetcodeAdvice(rc, why) > 0))
         m_retry = true;
     }
   if(m_guard != NULL)
      m_guard.LockDrop();
   if(ok && m_mind != NULL)
      m_mind.Opened(isLong, sl);
   return ok;
  }
//+------------------------------------------------------------------+
//| Close THIS chart's position - every other chart closes its own.   |
//| Only inside a session: outside one the server refuses, and the    |
//| next in-session tick will do it.                                  |
//+------------------------------------------------------------------+
void CWarriorExpert::FlattenMine(void)
  {
   if(!SelectPosition())
      return;
   string why = "";
   if(!TCMarketIsOpen(m_symbol.Name(), TimeCurrent(), why))
      return;
   if(m_trade.PositionClose(m_position.Ticket()))
      m_flattened++;
  }
//+------------------------------------------------------------------+
void CWarriorExpert::Deinit(void)
  {
   if(m_deferredBars > 0)
      PrintFormat("CWarriorExpert: BAR CLOCK - %d bar(s) opened with the session shut and were"
                  " processed at the first tick inside a session instead (%d closed ticks skipped).",
                  m_deferredBars, m_deferred);
   if(m_retries > 0)
      PrintFormat("CWarriorExpert: %d bar(s) re-processed after a transient open failure.", m_retries);
   if(m_mind != NULL)
      m_mind.Report();
   if(m_guard != NULL)
     {
      PrintFormat("CWarriorExpert: %d position(s) closed by the account guard (kill switch / Friday).",
                  m_flattened);
      m_guard.Report();
     }
   CExpert::Deinit();
  }
#endif // WARRIOR_EXPERT_MQH