RUSSIAN BEAR High Frequency Trading HFT 2018 最新版

#include <WinUser32.mqh>
#include <stderror.mqh>
#include <stdlib.mqh>

extern int Magic=3331;

extern double MaxSpread=1.0;//0.6;
extern double Lot=0.1;
extern double SL=7.0;//3.5;//3.5;//5;
extern double TP=0.7;//0.4;
extern double jumpStepBuy =0.5;
extern double jumpStepSell=0.5;
extern double jumpTimeSec=0.5;//1.0;//max time to change in price in sec
extern bool invertJump=true;//false;
extern bool invertBuySell=true;//false;
extern int SlippageOpen=0;
extern int SlippageClose=0;
extern bool TradeBuy=true;
extern bool TradeSell=true;
extern bool UseMM=true;
extern double MM=5;//9.5;//9.5;

extern bool useMoving=false;
extern int MovingPeriod=10;//if price under moving so can buy only

extern bool noMoreTrades=false;

double pAsk=0;
double pBid=0;
double point;

bool canBuy=true;
bool canSell=true;

bool imaBuy=true;
bool imaSell=true;

double ArrPrice[10000];
int ArrTimer[10000];

int t=0;
double l=0;
int nd;
int check;

void deinit()
{
}

void init()
{
Comment(“”);
if(MarketInfo(Symbol(),MODE_MINLOT)<0.1)
{
nd=2;
}
else if(MarketInfo(Symbol(),MODE_MINLOT)>0.1)
{
nd=0;
}
else
{
nd=1;
}

if(Digits==2 || Digits==3)point=0.01;
if(Digits==4 || Digits==5)point=0.0001;

ArrayInitialize(ArrPrice,0);
ArrayInitialize(ArrTimer,0);

pAsk=MarketInfo(Symbol(),MODE_ASK);
pBid=MarketInfo(Symbol(),MODE_BID);
}

int start()
{
int x;
pAsk=MarketInfo(Symbol(),MODE_ASK);
pBid=MarketInfo(Symbol(),MODE_BID);

for(x=0;x<30;x++){if(TryClose())break;Sleep(100);}
CalcLot();

checkMoving();
checkJump();
for(x=0;x<30;x++){if(TryTrade())break;Sleep(100);}

}

void CalcLot()
{
if(UseMM==true)
{
l=NormalizeDouble(AccountEquity()*MM/10000,nd);
if(l<MarketInfo(Symbol(),MODE_MINLOT)) l=MarketInfo(Symbol(),MODE_MINLOT);
if(l>MarketInfo(Symbol(),MODE_MAXLOT)) l=MarketInfo(Symbol(),MODE_MAXLOT);
}
else
{
l=Lot;
}
}

bool TryTrade(){
int total=OrdersTotal();

//if(canBuy)Alert(“buy”+(pAsk-pBid)/point);
//if(canSell)Alert(“Sell”+(pAsk-pBid)/point);

if(TradeBuy==true && canBuy==true && imaBuy && !noMoreTrades && (pAsk-pBid)/point<=MaxSpread){
if(!invertBuySell && MyOrdersBuyTotal (Magic)<1){OrderSend(Symbol(),OP_BUY,l,MarketInfo(Symbol(),MODE_ASK),SlippageOpen,0,0,””,Magic,0,Green);total++;}
if( invertBuySell && MyOrdersSellTotal(Magic)<1){OrderSend(Symbol(),OP_SELL,l,MarketInfo(Symbol(),MODE_BID),SlippageOpen,0,0,””,Magic,0,Red);total++;}//inv
check=GetLastError();if(check!=ERR_NO_ERROR) Print(“error: “,ErrorDescription(check));
}

if(TradeSell==true && canSell==true && imaSell && !noMoreTrades && (pAsk-pBid)/point<=MaxSpread){
if(!invertBuySell && MyOrdersSellTotal(Magic)<1){OrderSend(Symbol(),OP_SELL,l,MarketInfo(Symbol(),MODE_BID),SlippageOpen,0,0,””,Magic,0,Red);total++;}
if( invertBuySell && MyOrdersBuyTotal (Magic)<1){OrderSend(Symbol(),OP_BUY,l,MarketInfo(Symbol(),MODE_ASK),SlippageOpen,0,0,””,Magic,0,Green);total++;}//inv
check=GetLastError();if(check!=ERR_NO_ERROR) Print(“error: “,ErrorDescription(check));
}

if(total==OrdersTotal()){return(true);}else{return(false);}
}

bool TryClose(){
double p,moneyProfit,minProfit,maxLose;
int total=OrdersTotal();

for(int i=0;i<OrdersTotal();i++){
OrderSelect(i,SELECT_BY_POS,MODE_TRADES);

//close profit
if(OrderMagicNumber()==Magic && OrderSymbol()==Symbol() && OrderType()==OP_SELL){
p=OrderOpenPrice()-MarketInfo(Symbol(),MODE_ASK);
moneyProfit=pipsProfit(OrderLots(),p);
minProfit =pipsProfit(OrderLots(),TP*point);
maxLose =pipsProfit(OrderLots(),-SL*point);
if(moneyProfit+OrderCommission()>=minProfit){OrderClose(OrderTicket(),OrderLots(),MarketInfo(Symbol(),MODE_ASK),SlippageClose,Blue);total–;}
if(moneyProfit+OrderCommission()<=maxLose ){OrderClose(OrderTicket(),OrderLots(),MarketInfo(Symbol(),MODE_ASK),SlippageClose,Blue);total–;}
}

//close profit
if(OrderMagicNumber()==Magic && OrderSymbol()==Symbol() && OrderType()==OP_BUY){
p=MarketInfo(Symbol(),MODE_BID)-OrderOpenPrice();
moneyProfit=pipsProfit(OrderLots(),p);
minProfit =pipsProfit(OrderLots(),TP*point);
maxLose =pipsProfit(OrderLots(),-SL*point);
if(moneyProfit+OrderCommission()>=minProfit){OrderClose(OrderTicket(),OrderLots(),MarketInfo(Symbol(),MODE_BID),SlippageClose,Red);total–;}
if(moneyProfit+OrderCommission()<=maxLose ){OrderClose(OrderTicket(),OrderLots(),MarketInfo(Symbol(),MODE_ASK),SlippageClose,Blue);total–;}
}
}

//return (true);
if(total==OrdersTotal()){return(true);}else{return(false);}
}

int MyOrdersBuyTotal(int Magic)
{
int c=0;
int total = OrdersTotal();

for (int cnt = 0 ; cnt < total ; cnt++)
{
OrderSelect(cnt,SELECT_BY_POS,MODE_TRADES);
if (OrderMagicNumber() == Magic && OrderSymbol()==Symbol() && OrderType()==OP_BUY)
{
c++;
}
}
return(c);
}

int MyOrdersSellTotal(int Magic)
{
int c=0;
int total = OrdersTotal();
for (int cnt = 0 ; cnt < total ; cnt++)
{
OrderSelect(cnt,SELECT_BY_POS,MODE_TRADES);
if (OrderMagicNumber() == Magic && OrderSymbol()==Symbol() && OrderType()==OP_SELL)
{
c++;
}
}
return(c);
}

//////////////////REMON//////////////////////////////
double calc_iMA(int iPeriod){
double d=0;
for(int i=0;i<iPeriod;i++){
d+=Close[i];
}
d/=iPeriod;
return(d);
}
/////////////////////////////////////////
double pipsProfit(double lots,double pips){
//Alert(MarketInfo(Symbol(),MODE_TICKVALUE));
//return(lots*pips/point*10);
return(MarketInfo(Symbol(),MODE_TICKVALUE)*lots*pips/point*10);
}
//////////////////////////////////////////
void checkJump(){
//move all step to down
for(int i=ArraySize(ArrPrice)-1;i>0;i–){
ArrPrice[i]=ArrPrice[i-1];
ArrTimer[i]=ArrTimer[i-1];
}

ArrPrice[0]=Bid;
ArrTimer[0]=GetTickCount();

int max=ArraySize(ArrTimer)-1;

for(i=0;i<ArraySize(ArrTimer);i++){
if(ArrTimer[0]-ArrTimer[i]>jumpTimeSec*1000 && ArrPrice[i]!=0){max=i;break;}
}

for(i=0;i<max;i++){
double p=(Bid-ArrPrice[i])/point;
//Alert(p + ” , ” +(pAsk-pBid)/point);
if(!invertJump){
if(p>= jumpStepSell){canSell=true;}else{canSell=false;}//jump up go sell
if(p<=-jumpStepBuy ){canBuy =true;}else{canBuy =false;}//jump down go buy
}else{
if(p>= jumpStepSell){canBuy =true;}else{canBuy =false;}//jump up go buy
if(p<=-jumpStepBuy ){canSell=true;}else{canSell=false;}//jump down go sell
}
}

}

void checkMoving(){
double v=calc_iMA(MovingPeriod);
if(Close[0]>v){imaBuy =true;}else{imaBuy =false;}
if(Close[0]<v){imaSell=true;}else{imaSell=false;}
}