Warrior_EA/Mind/TradeBook.mqh

//+------------------------------------------------------------------+
//|                                                    TradeBook.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| THE JOURNAL OF REAL TRADES, one line each, written when they      |
//| CLOSE: what the trader saw (the whole SMarketContext), what they  |
//| decided (size, and why), and what happened (R, the worst and best  |
//| the trade was ever worth, how long it took, how it ended).        |
//|                                                                   |
//| This is not Database\WarriorJournal.mqh. That one journals every   |
//| FILTER FIRING as a virtual trade against invented barriers, to     |
//| rank modules. This one records the trades the account actually     |
//| took, at the barriers it actually had, with the costs it actually  |
//| paid - the only kind of evidence the Mind acts on.                |
//|                                                                    |
//| R = net result / the money the stop put at risk when the trade     |
//| opened. It is computed from the broker's own OrderCalcProfit, so   |
//| it needs no contract-size arithmetic here and includes swap and    |
//| commission. MAE/MFE are read from the bars the trade lived through, |
//| not from ticks, so they are the same under any tester model.      |
//|                                                                    |
//| FILE: Common\Files\Warrior_EA\Mind\book_<SYMBOL>_<TF>.csv          |
//|  * tester  -> truncated at Init. A backtest's book is that         |
//|               backtest's, never last week's.                       |
//|  * live    -> appended, and read back at Init so the reviewer      |
//|               resumes where the account left off.                  |
//+------------------------------------------------------------------+
#ifndef WARRIOR_TRADEBOOK_MQH
#define WARRIOR_TRADEBOOK_MQH

#include "MarketContext.mqh"

//--- A trade from the moment it opens to the moment it is filed.
struct STradeRecord
  {
   ulong             position;     // position id
   datetime          openTime, closeTime;
   int               side;         // +1 long, -1 short
   double            entry, exit, sl, lots;
   double            riskMoney;    // what the stop put at risk when it opened
   double            net;          // profit + swap + commission
   double            r;            // net / riskMoney
   double            maeR, mfeR;   // worst / best excursion, in R (mae <= 0 <= mfe)
   int               bars;         // bars the trade lived through
   string            reason;       // stop / stopout / expert
   double            scale;        // risk multiple applied to the base (1.0 = untouched)
   double            reviewP;      // the reviewer's P(win), or CTX_NA
   int               reviewN;      // trades behind it
   SMarketContext    ctx;
  };

class CTradeBook
  {
protected:
   string            m_path;
   bool              m_live;
   int               m_written;

   static string     BaseHeader(void)
     {
      return "position,open_time,close_time,side,entry,exit,sl,lots,risk_money,net,r,mae_r,mfe_r,"
             "bars,reason,scale,review_p,review_n,";
     }

public:
                     CTradeBook(void) : m_path(""), m_live(false), m_written(0) {}
   //--- Opens (tester: truncates; live: keeps) the file for this symbol and timeframe.
   bool              Init(const string symbol, const ENUM_TIMEFRAMES tf, const bool tester);
   string            Path(void) const { return m_path; }
   int               Written(void) const { return m_written; }
   void              Append(const STradeRecord &t);
   //--- Live only: replay the file, handing each row's context and R to the caller.
   //--- Rows are parsed by the width of the header this build writes; a file from a build with
   //--- different fields is refused rather than mis-read.
   int               Load(SMarketContext &ctxs[], double &rs[]) const;
  };
//+------------------------------------------------------------------+
bool CTradeBook::Init(const string symbol, const ENUM_TIMEFRAMES tf, const bool tester)
  {
   FolderCreate("Warrior_EA", FILE_COMMON);
   FolderCreate("Warrior_EA\\Mind", FILE_COMMON);
   m_path = "Warrior_EA\\Mind\\book_" + symbol + "_" + IntegerToString((int)tf) + ".csv";
   m_live = !tester;
   const string header = BaseHeader() + CtxHeader() + ",story";
   if(tester || !FileIsExist(m_path, FILE_COMMON))
     {
      const int h = FileOpen(m_path, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
      if(h == INVALID_HANDLE)
        {
         PrintFormat("CTradeBook: cannot write %s (error %d) - no book will be kept.", m_path, GetLastError());
         m_path = "";
         return false;
        }
      FileWriteString(h, header + "\r\n");
      FileClose(h);
      return true;
     }
   //--- Live restart: the existing file must be one this build can read.
   const int h = FileOpen(m_path, FILE_READ | FILE_TXT | FILE_ANSI | FILE_COMMON);
   if(h == INVALID_HANDLE)
      return false;
   const string first = FileReadString(h);
   FileClose(h);
   if(first != header)
     {
      PrintFormat("CTradeBook: %s was written by a different build (columns differ) - starting a"
                  " new book beside it.", m_path);
      m_path = "Warrior_EA\\Mind\\book_" + symbol + "_" + IntegerToString((int)tf) + "_" +
               TimeToString(TimeLocal(), TIME_DATE) + ".csv";
      const int w = FileOpen(m_path, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
      if(w == INVALID_HANDLE)
        {
         m_path = "";
         return false;
        }
      FileWriteString(w, header + "\r\n");
      FileClose(w);
     }
   return true;
  }
//+------------------------------------------------------------------+
void CTradeBook::Append(const STradeRecord &t)
  {
   if(m_path == "")
      return;
   const int h = FileOpen(m_path, FILE_READ | FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
   if(h == INVALID_HANDLE)
      return;
   FileSeek(h, 0, SEEK_END);
   string story = t.ctx.story;
   StringReplace(story, ",", ";");
   StringReplace(story, "\n", " ");
   const string row = StringFormat("%I64u,%s,%s,%d,%.5f,%.5f,%.5f,%.2f,%.2f,%.2f,%.4f,%.4f,%.4f,%d,%s,%.2f,%s,%d,",
                                   t.position, TimeToString(t.openTime, TIME_DATE | TIME_MINUTES),
                                   TimeToString(t.closeTime, TIME_DATE | TIME_MINUTES), t.side,
                                   t.entry, t.exit, t.sl, t.lots, t.riskMoney, t.net, t.r, t.maeR,
                                   t.mfeR, t.bars, t.reason, t.scale,
                                   (t.reviewP == CTX_NA ? "" : DoubleToString(t.reviewP, 4)), t.reviewN)
                      + CtxRow(t.ctx) + "," + story;
   FileWriteString(h, row + "\r\n");
   FileClose(h);
   m_written++;
  }
//+------------------------------------------------------------------+
int CTradeBook::Load(SMarketContext &ctxs[], double &rs[]) const
  {
   if(m_path == "" || !m_live)
      return 0;
   const int h = FileOpen(m_path, FILE_READ | FILE_TXT | FILE_ANSI | FILE_COMMON);
   if(h == INVALID_HANDLE)
      return 0;
   FileReadString(h);                                   // header
   const int base = 18;                                 // columns before the context
   int n = 0;
   while(!FileIsEnding(h))
     {
      const string line = FileReadString(h);
      string f[];
      const int cols = StringSplit(line, ',', f);
      if(cols < base + CTX_N)
         continue;
      ArrayResize(ctxs, n + 1, 64);
      ArrayResize(rs, n + 1, 64);
      ctxs[n].Reset(0);
      for(int i = 0; i < CTX_N; i++)
         ctxs[n].v[i] = StringToDouble(f[base + i]);
      rs[n] = StringToDouble(f[10]);                    // the `r` column
      n++;
     }
   FileClose(h);
   return n;
  }
#endif // WARRIOR_TRADEBOOK_MQH