345 lines
12 KiB
MQL5
345 lines
12 KiB
MQL5
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//+------------------------------------------------------------------+
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//| Article-22063-Alternative-Bars-For-Market-Intent.mq5 |
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//| Patrick M. Njoroge |
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//| https://www.mql5.com/en/users/patricknjoroge743 |
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//+------------------------------------------------------------------+
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//| Example EA that constructs alternative bars from the live tick |
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//| stream and writes them to CSV for downstream feature pipelines |
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//| or parity testing against the Python afml.data_structures.bars |
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//| implementation. |
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//| |
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//| Usage: |
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//| 1. Drop onto a chart, set InpBarType and InpBarSize. |
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//| 2. For imbalance bars, ensure the JSON config file exists |
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//| in MQL5/Files/Common or supply InpExpTicksInit directly. |
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//| 3. Run in Strategy Tester for parity verification, or on a |
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//| live chart for deployment. |
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//| |
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//| NOTE: All dollar-based bar types now use the mid-price |
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//| ((bid + ask)/2) as the valuation basis. This reduces |
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//| noise from bid-ask bounce and gives a more representative |
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//| trade value. |
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//+------------------------------------------------------------------+
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#property copyright "Patrick M. Njoroge"
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#property link "https://www.mql5.com/en/users/patricknjoroge743"
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#property version "1.00"
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#include <AlternativeBars\CBarConstructor.mqh>
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#include <AlternativeBars\CStandardBars.mqh>
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#include <AlternativeBars\CImbalanceBars.mqh>
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#include <AlternativeBars\CRunsBar.mqh>
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//--- Bar type selector
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enum ENUM_BAR_TYPE
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{
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BAR_TIME = 0,
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BAR_TICK = 1,
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BAR_VOLUME = 2,
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BAR_DOLLAR = 3,
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BAR_TICK_IMB = 4,
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BAR_VOLUME_IMB = 5,
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BAR_DOLLAR_IMB = 6,
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BAR_TICK_RUNS = 7,
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BAR_VOLUME_RUNS = 8,
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BAR_DOLLAR_RUNS = 9
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};
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//--- Inputs
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input ENUM_BAR_TYPE InpBarType = BAR_DOLLAR; // Bar type
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input double InpBarSize = 10000000.0; // Threshold (seconds for time; count for tick; volume/dollar units otherwise)
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input double InpExpTicksInit = 300.0; // Initial E_0[T] for imbalance/run bars
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input double InpExpImbInit = 0.1; // Initial E_0[|imbalance|] for imbalance bars
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input double InpExpRunBuyInit = 0.1; // Initial E_0[theta_buy/T] for run bars
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input double InpExpRunSellInit = 0.1; // Initial E_0[theta_sell/T] for run bars
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input int InpEwmSpan = 20; // EWM span for adaptation
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input bool InpUseStateFile = true; // Persist EWM state across EA restarts
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input string InpStateFile = "bar_state.bin"; // State file (MQL5/Files/Common)
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input int InpStateMaxAgeMin = 1440; // Max staleness (minutes); older state is discarded
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//--- Globals
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CBarConstructor *g_bar = NULL;
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long g_tick_num = 0;
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int g_csv_handle = INVALID_HANDLE;
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datetime g_state_saved = 0;
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//+------------------------------------------------------------------+
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//| Factory to instantiate the bar constructor for the given type |
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//+------------------------------------------------------------------+
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CBarConstructor *CreateBarConstructor(void)
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{
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switch(InpBarType)
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{
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case BAR_TIME:
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return new CTimeBar((int)InpBarSize);
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case BAR_TICK:
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return new CTickBar((int)InpBarSize);
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case BAR_VOLUME:
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return new CVolumeBar(InpBarSize);
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case BAR_DOLLAR:
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return new CDollarBar(InpBarSize);
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case BAR_TICK_IMB:
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return new CImbalanceBar(IMB_METRIC_TICK,
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InpExpTicksInit,
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InpExpImbInit,
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InpEwmSpan);
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case BAR_VOLUME_IMB:
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return new CImbalanceBar(IMB_METRIC_VOLUME,
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InpExpTicksInit,
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InpExpImbInit,
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InpEwmSpan);
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case BAR_DOLLAR_IMB:
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return new CImbalanceBar(IMB_METRIC_DOLLAR,
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InpExpTicksInit,
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InpExpImbInit,
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InpEwmSpan);
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case BAR_TICK_RUNS:
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return new CRunsBar(IMB_METRIC_TICK,
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InpExpTicksInit,
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InpExpRunBuyInit,
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InpExpRunSellInit,
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InpEwmSpan);
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case BAR_VOLUME_RUNS:
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return new CRunsBar(IMB_METRIC_VOLUME,
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InpExpTicksInit,
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InpExpRunBuyInit,
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InpExpRunSellInit,
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InpEwmSpan);
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case BAR_DOLLAR_RUNS:
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return new CRunsBar(IMB_METRIC_DOLLAR,
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InpExpTicksInit,
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InpExpRunBuyInit,
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InpExpRunSellInit,
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InpEwmSpan);
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}
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return NULL;
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}
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//+------------------------------------------------------------------+
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//| State file helpers |
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//+------------------------------------------------------------------+
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bool RestoreState(void)
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{
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if(!InpUseStateFile)
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return false;
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if(!FileIsExist(InpStateFile, FILE_COMMON))
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return false;
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int fh = FileOpen(InpStateFile, FILE_READ | FILE_BIN | FILE_COMMON);
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if(fh == INVALID_HANDLE)
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{
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PrintFormat("RestoreState: FileOpen failed, err=%d", GetLastError());
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return false;
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}
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//--- Check staleness
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datetime saved = (datetime)FileReadLong(fh);
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if((TimeCurrent() - saved) > (InpStateMaxAgeMin * 60))
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{
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FileClose(fh);
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PrintFormat("State file is stale (saved at %s); discarding.",
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TimeToString(saved));
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return false;
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}
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g_tick_num = FileReadLong(fh);
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bool ok = g_bar.LoadState(fh);
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FileClose(fh);
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if(ok)
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PrintFormat("State restored: saved=%s, tick_num=%d, type=%s",
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TimeToString(saved), g_tick_num, g_bar.BarType());
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return ok;
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}
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//+------------------------------------------------------------------+
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//| PersistState |
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//+------------------------------------------------------------------+
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bool PersistState(void)
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{
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if(!InpUseStateFile || g_bar == NULL)
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return false;
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int fh = FileOpen(InpStateFile, FILE_WRITE | FILE_BIN | FILE_COMMON);
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if(fh == INVALID_HANDLE)
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{
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PrintFormat("PersistState: FileOpen failed, err=%d", GetLastError());
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return false;
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}
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FileWriteLong(fh, (long)TimeCurrent());
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FileWriteLong(fh, g_tick_num);
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bool ok = g_bar.SaveState(fh);
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FileClose(fh);
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if(ok)
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PrintFormat("State saved at tick_num=%d", g_tick_num);
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return ok;
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}
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//+------------------------------------------------------------------+
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//| CSV output helpers |
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//+------------------------------------------------------------------+
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bool OpenCsvOutput(void)
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{
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//--- Build a unique suffix from the parameters that distinguish runs
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string suffix;
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switch(InpBarType)
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{
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case BAR_TIME:
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case BAR_TICK:
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case BAR_VOLUME:
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case BAR_DOLLAR:
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suffix = StringFormat("%s_size%g",
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g_bar.BarType(),
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InpBarSize);
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break;
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default: // all information bars (imbalance & run)
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suffix = StringFormat("%s_span%d_size%g",
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g_bar.BarType(),
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InpEwmSpan,
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InpExpTicksInit);
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//--- For run bars, also append the buy/sell initial values
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if(InpBarType == BAR_TICK_RUNS ||
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InpBarType == BAR_VOLUME_RUNS ||
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InpBarType == BAR_DOLLAR_RUNS)
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{
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suffix += StringFormat("_buy%g_sell%g",
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InpExpRunBuyInit,
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InpExpRunSellInit);
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}
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break;
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}
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string fname = _Symbol + "_" + suffix + ".csv";
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bool existed = FileIsExist(fname);
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g_csv_handle = FileOpen(fname,
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FILE_WRITE | FILE_READ | FILE_CSV | FILE_ANSI,
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',');
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if(g_csv_handle == INVALID_HANDLE)
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{
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PrintFormat("OpenCsvOutput: FileOpen('%s') failed, err=%d",
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fname, GetLastError());
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return false;
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}
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FileSeek(g_csv_handle, 0, SEEK_END);
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if(!existed || FileTell(g_csv_handle) == 0)
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{
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FileWrite(g_csv_handle,
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"time", "open", "high", "low", "close",
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"mid_open", "mid_close",
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"tick_volume", "volume", "spread",
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"tick_num", "bar_type");
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| WriteBarToCsv |
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//+------------------------------------------------------------------+
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void WriteBarToCsv(const SBar &bar)
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{
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if(g_csv_handle == INVALID_HANDLE)
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return;
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FileWrite(g_csv_handle,
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TimeToString(bar.time, TIME_DATE | TIME_SECONDS),
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DoubleToString(bar.open, _Digits),
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DoubleToString(bar.high, _Digits),
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DoubleToString(bar.low, _Digits),
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DoubleToString(bar.close, _Digits),
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DoubleToString(bar.mid_open, _Digits),
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DoubleToString(bar.mid_close, _Digits),
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IntegerToString(bar.tick_volume),
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DoubleToString(bar.volume, 2),
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DoubleToString(bar.spread, 5),
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IntegerToString(bar.tick_num),
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bar.bar_type);
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FileFlush(g_csv_handle);
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}
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//+------------------------------------------------------------------+
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//| OnInit |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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g_bar = CreateBarConstructor();
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if(g_bar == NULL)
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{
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Print("OnInit: unknown bar type");
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return INIT_FAILED;
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}
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RestoreState();
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if(!OpenCsvOutput())
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{
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delete g_bar;
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g_bar = NULL;
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return INIT_FAILED;
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}
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PrintFormat("BarBuilderEA: type=%s, bar_size=%g, state=%s, output=%s",
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g_bar.BarType(),
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InpBarSize,
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InpUseStateFile ? "persisted" : "ephemeral",
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_Symbol + "_" + g_bar.BarType() + ".csv");
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return INIT_SUCCEEDED;
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}
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//+------------------------------------------------------------------+
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//| OnTick |
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//+------------------------------------------------------------------+
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void OnTick()
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{
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MqlTick tick;
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if(!SymbolInfoTick(_Symbol, tick))
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return;
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g_tick_num += 1;
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SBar bar;
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if(g_bar.ProcessTick(tick, g_tick_num, bar))
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WriteBarToCsv(bar);
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}
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//+------------------------------------------------------------------+
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//| OnDeinit |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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if(g_csv_handle != INVALID_HANDLE)
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{
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FileClose(g_csv_handle);
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g_csv_handle = INVALID_HANDLE;
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}
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//--- Persist state unless the EA is being removed by the user
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if(reason == REASON_REMOVE)
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{
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if(InpUseStateFile && FileIsExist(InpStateFile, FILE_COMMON))
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FileDelete(InpStateFile, FILE_COMMON);
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}
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else
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{
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PersistState();
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}
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if(g_bar != NULL)
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{
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delete g_bar;
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g_bar = NULL;
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}
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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