forked from animatedread/Warrior_EA
e9c562b39f
- Introduced `FeatureScale.mqh` with `FeatSquash` function for stateless feature scaling. - Added `RegimeMath.mqh` class for regime arithmetic, including efficiency and variance calculations. - Documented the Mind trading logic in `MIND.md`, detailing the trading process and modes. - Created `VOLNORM_PLAN.md` and `VOLNORM_RESULTS.md` for tick-volume normalization testing. - Implemented `read_book.py` for analyzing trade book data and correlations. - Developed `volnorm.py` for testing tick-volume normalization with new and old methods.
132 lines
5.4 KiB
MQL5
132 lines
5.4 KiB
MQL5
//+------------------------------------------------------------------+
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//| MarketContext.mqh |
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//| AnimateDread |
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//| |
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//| WHAT THE TRADER SAW WHEN THEY PRESSED THE BUTTON. |
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//| |
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//| One fixed-width record of every modality's reading at the signal |
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//| bar. It is the single source of truth for three consumers that |
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//| used to be three hand-kept lists: the modalities WRITE it, the |
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//| trade book PERSISTS it (header and row both come from CtxName()), |
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//| and the reviewer BUCKETS it. Add a field once, here, and all |
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//| three follow; nothing else spells a column name. |
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//| |
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//| CTX_NA marks a reading the modality could not produce. It is |
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//| never zero: a missing Wyckoff read must not look like "phase 0". |
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//+------------------------------------------------------------------+
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#ifndef WARRIOR_MARKETCONTEXT_MQH
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#define WARRIOR_MARKETCONTEXT_MQH
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#define CTX_NA (-999.0)
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enum ENUM_CTX
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{
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//--- price shape (ModalityPrice)
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CTX_Z = 0, // z-score(20) of the close
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CTX_DIST_ATR, // (close - SMA20) / ATR
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CTX_RET1_ATR, // last bar's return, in ATR
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CTX_DROP5_ATR, // 5-bar return, in ATR
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CTX_RANGE_ATR, // bar range, in ATR
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CTX_CLOSE_LOC, // where the close sat in its own range, 0..1
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CTX_ER, // efficiency ratio (20)
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CTX_VR, // variance ratio (60, 5)
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CTX_REGIME, // 0 chop / 1 trend / 2 mean-revert
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//--- volatility (ModalityPrice)
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CTX_VOL_PCT, // expanding-window percentile of Garman-Klass sigma(30)
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CTX_ATR_RATIO, // ATR / mean ATR of the last 100 bars
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//--- volume, clock removed (ModalityVolume)
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CTX_RVOL, // ln(tick volume / same-hour median), level-detrended
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CTX_RVOL_RAW, // the same without the detrend
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CTX_ABSORB, // effort minus result: rvol - ln(range/ATR). High = volume without progress
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//--- Wyckoff structure (ModalityWyckoff)
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CTX_WYK_OK, // 1 when the indicators answered
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CTX_WYK_PHASE, // phase * direction: +-1..5 = A..E
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CTX_WYK_EVENT, // last event within the look-back, signed code (+-1..9)
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CTX_WYK_AGE, // bars since that event
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CTX_WYK_SPRING, // strongest spring/UTAD grade within the look-back, signed
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CTX_WYK_CHAR, // +1 accumulation / -1 distribution / 0 not anchored
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CTX_WYK_RANGEPOS, // close inside the open range, 0..1 (NA when no range is open)
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CTX_WYK_FAIL, // failed-structure quality, signed
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CTX_WYK_BIAS, // the reader's verdict for a LONG, -1..+1
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//--- cross-index breadth (ModalityBreadth)
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CTX_BREADTH_N, // peers that answered
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CTX_BREADTH, // fraction of them at z(20) <= -1
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//--- calendar (ModalityCalendar)
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CTX_DOW,
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CTX_HOUR,
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CTX_DOM, // day of month
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CTX_TO_MONTH_END, // calendar days to month end
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CTX_N
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};
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string CtxName(const int i)
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{
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switch(i)
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{
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case CTX_Z: return "z20";
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case CTX_DIST_ATR: return "dist_sma_atr";
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case CTX_RET1_ATR: return "ret1_atr";
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case CTX_DROP5_ATR: return "ret5_atr";
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case CTX_RANGE_ATR: return "range_atr";
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case CTX_CLOSE_LOC: return "close_loc";
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case CTX_ER: return "er20";
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case CTX_VR: return "vr60_5";
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case CTX_REGIME: return "regime";
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case CTX_VOL_PCT: return "vol_pct";
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case CTX_ATR_RATIO: return "atr_ratio";
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case CTX_RVOL: return "rvol_tod";
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case CTX_RVOL_RAW: return "rvol_tod_raw";
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case CTX_ABSORB: return "absorb";
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case CTX_WYK_OK: return "wyk_ok";
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case CTX_WYK_PHASE: return "wyk_phase";
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case CTX_WYK_EVENT: return "wyk_event";
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case CTX_WYK_AGE: return "wyk_event_age";
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case CTX_WYK_SPRING: return "wyk_spring";
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case CTX_WYK_CHAR: return "wyk_char";
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case CTX_WYK_RANGEPOS: return "wyk_range_pos";
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case CTX_WYK_FAIL: return "wyk_fail";
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case CTX_WYK_BIAS: return "wyk_bias";
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case CTX_BREADTH_N: return "breadth_n";
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case CTX_BREADTH: return "breadth";
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case CTX_DOW: return "dow";
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case CTX_HOUR: return "hour";
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case CTX_DOM: return "dom";
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case CTX_TO_MONTH_END: return "to_month_end";
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}
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return "?";
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}
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struct SMarketContext
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{
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datetime bar; // open time of the signal bar
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double v[CTX_N];
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string story; // the same reading, as a trader would say it
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void Reset(const datetime t)
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{
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bar = t;
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story = "";
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for(int i = 0; i < CTX_N; i++)
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v[i] = CTX_NA;
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}
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bool Has(const int f) const { return v[f] != CTX_NA; }
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};
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//--- The CSV columns for a context, in field order. Header and row are built from the same loop,
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//--- so they cannot disagree about width or order.
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string CtxHeader(void)
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{
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string h = "";
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for(int i = 0; i < CTX_N; i++)
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h += (i > 0 ? "," : "") + CtxName(i);
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return h;
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}
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string CtxRow(const SMarketContext &c)
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{
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string r = "";
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for(int i = 0; i < CTX_N; i++)
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r += (i > 0 ? "," : "") + DoubleToString(c.v[i], 5);
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return r;
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}
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#endif // WARRIOR_MARKETCONTEXT_MQH
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