Price Data Components
Orders Execution
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VarMovAvg V001
/*-----------------------------+
| |
| Shared by www.Aptrafx.com |
| |
+------------------------------*/
//+------------------------------------------------------------------+
//| VarMovAvg V001.mq4 |
//| |
//| |
//+------------------------------------------------------------------+
#include <WinUser32.mqh>
#property copyright "Balidev for Darma"
#property link "www.balidev.com"
//---- input parameters
extern int prm.vma.periodAMA = 52;
extern int prm.vma.nfast = 5;
extern int prm.vma.nslow = 20;
extern double prm.vma.G = 1.0;
extern double prm.vma.dK = 2.0;
extern int prm.vma.calc_period = 100;
extern double prm.magic = 997;
extern int prm.sig.pipsBarA = 2;
extern int prm.sig.pipsBarB = 1;
extern int prm.sig.pipsTrade = 2;
extern int prm.mastop.period = 52;
extern int prm.mastop.mashift = 0;
extern int prm.mastop.method = MODE_EMA;
extern int prm.mastop.shift = 0;
extern int prm.stop.diff = 34;
extern int prm.entry.diff = 2;
extern int prm.slippage = 2;
#define TRADE_NONE -1
#define TRADE_BUY OP_BUY
#define TRADE_SELL OP_SELL
#define STATUS_NONE 1
#define STATUS_CROSS 2
#define STATUS_BAR_A 3
#define STATUS_BAR_B 4
#define STATUS_SIGNAL 5
#define STATUS_TRADE 6
#define STATUS_LATE 8
#define MSG_TRADE 1
#define MSG_STATUS 2
#define MSG_ERROR 3
int m_cross = false;
int m_bara = false;
int m_barb = false;
int m_status = STATUS_NONE;
int m_trade = TRADE_NONE;
int m_spread = 0;
double m_vma[500];
double m_close_a;
double m_high_b;
double m_order_price;
datetime m_ts_m1 = 0;
datetime m_ts_m5 = 0;
datetime m_ts_m15 = 0;
datetime m_ts_m30 = 0;
datetime m_ts_h1 = 0;
datetime m_ts_h4 = 0;
datetime m_ts_d1 = 0;
datetime m_ts_w1 = 0;
datetime m_ts_mn1 = 0;
bool is_open_m1 (datetime ts) {return (m_ts_m1 < ts - (ts % PERIOD_M1));}
bool is_open_m5 (datetime ts) {return (m_ts_m5 < ts - (ts % PERIOD_M5));}
bool is_open_m15 (datetime ts) {return (m_ts_m15 < ts - (ts % PERIOD_M15));}
bool is_open_m30 (datetime ts) {return (m_ts_m30 < ts - (ts % PERIOD_M30));}
bool is_open_h1 (datetime ts) {return (m_ts_h1 < ts - (ts % PERIOD_H1));}
bool is_open_h4 (datetime ts) {return (m_ts_h4 < ts - (ts % PERIOD_H4));}
bool is_open_d1 (datetime ts) {return (m_ts_d1 < ts - (ts % PERIOD_D1));}
bool is_open_w1 (datetime ts) {return (m_ts_w1 < ts - (ts % PERIOD_W1));}
bool is_open_mn1 (datetime ts) {return (m_ts_mn1 < ts - (ts % PERIOD_MN1));}
int get_used_timeframe () {
return(Period());
}
bool is_open_tick(datetime ts, int timeframe) {
datetime tick;
if (timeframe == 0){
tick = get_used_timeframe();
} else {
tick = timeframe;
}
if (tick == PERIOD_M1) {return (is_open_m1(ts));}
else if (tick == PERIOD_M5) {return (is_open_m5(ts));}
else if (tick == PERIOD_M15) {return (is_open_m15(ts));}
else if (tick == PERIOD_M30) {return (is_open_m30(ts));}
else if (tick == PERIOD_H1) {return (is_open_h1(ts));}
else if (tick == PERIOD_H4) {return (is_open_h4(ts));}
else if (tick == PERIOD_D1) {return (is_open_d1(ts));}
else if (tick == PERIOD_W1) {return (is_open_w1(ts));}
else if (tick == PERIOD_MN1) {return (is_open_mn1(ts));}
}
void set_ts(datetime ts) {
m_ts_m1 = ts - (ts % (60 * PERIOD_M1));
m_ts_m5 = ts - (ts % (60 * PERIOD_M5));
m_ts_m15 = ts - (ts % (60 * PERIOD_M15));
m_ts_m30 = ts - (ts % (60 * PERIOD_M30));
m_ts_h1 = ts - (ts % (60 * PERIOD_H1));
m_ts_h4 = ts - (ts % (60 * PERIOD_H4));
m_ts_d1 = ts - (ts % (60 * PERIOD_D1));
m_ts_w1 = ts - (ts % (60 * PERIOD_W1));
m_ts_mn1 = ts - (ts % (60 * PERIOD_MN1));
}
int init() {
m_spread = Ask - Bid;
m_trade = TRADE_NONE;
return(0);
}
int deinit() {
return(0);
}
void show_message(int type, string msg) {
Print(msg);
}
double get_lots() {
return(1);
}
void iVMA (string symbol, int tf, int periodAMA, int nfast, int nslow, double G, double dK, int calc_period) {
int i,pos=0;
double noise=0.000000001,AMA,AMA0,signal,ER;
double dSC,ERSC,SSC,ddK;
double slowSC,fastSC;
pos = calc_period - 1;
AMA0 = Close[pos + 1];
slowSC=(2.0 /(prm.vma.nslow+1));
fastSC=(2.0 /(prm.vma.nfast+1));
while (pos >= 0) {
if(pos == Bars - periodAMA - 2) {
AMA0 = Close[pos + 1];
}
signal=MathAbs(Close[pos] - Close[pos + periodAMA]);
noise=0.000000001;
for(i = 0; i < periodAMA; i++) {
noise =noise + MathAbs(Close[pos+i] - Close[pos+i+1]);
}
ER = signal/noise;
dSC = (fastSC - slowSC);
ERSC = ER * dSC;
SSC = ERSC + slowSC;
AMA = AMA0 + (MathPow(SSC,G) * (Close[pos] - AMA0));
m_vma[pos] = AMA;
AMA0 = AMA;
pos--;
}
}
int stop = 0;
int start(){
int i;
int order_count = 0;
string symbol = Symbol();
int period = Period();
int ts = CurTime();
double stoploss;
/* determine number of opened order */
for (i = 0; i < OrdersTotal(); i++) {
if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES)) {
if ((OrderMagicNumber() == prm.magic) && (OrderSymbol() == symbol)) {
if ((OrderType() == OP_BUY) || (OrderType() == OP_SELL)) {
order_count ++;
if (m_trade == TRADE_NONE) {
m_trade = OrderType();
}
}
}
}
}
iVMA(symbol, period, prm.vma.periodAMA, prm.vma.nfast, prm.vma.nslow, prm.vma.G, prm.vma.dK, prm.vma.calc_period);
/* decide what to do */
/* check current position */
if (order_count == 0) {
int prev_trade;
int fwd_trade;
int fwd_bar;
int prev_bar;
int fwd_status;
double fwd_close_a;
double fwd_high_b;
double fwd_order_price;
if (m_trade == TRADE_NONE) {
/* we may catch for bar A and Bar B, and stay at bar B as long
the order price didn't hit */
if (Close[1] < m_vma[1]) {
prev_trade = TRADE_BUY;
for (i = 1; i <= Bars; i++) {
if (Low[i] > m_vma[i]) {
prev_bar = i;
break;
}
}
} else if (Close[1] > m_vma[1]) {
prev_trade = TRADE_SELL;
for (i = 1; i <= Bars; i++) {
if (High[i] < m_vma[i]) {
prev_bar = i;
break;
}
}
} else {
/* we cannot determine the previous trade, but we need to search until
we found one of the above condition */
for (i = 1; i <= Bars; i++) {
if (High[i] < m_vma[i]) {
prev_trade = TRADE_SELL;
prev_bar = i;
break;
} else if (Low[i] > m_vma[i]) {
prev_trade = TRADE_BUY;
prev_bar = i;
break;
}
}
}
fwd_status = STATUS_TRADE;
if (prev_trade == TRADE_BUY) {
/* we trace forward for bar A, Bar B and signal */
for (fwd_bar = prev_bar; ((fwd_bar > 0) && (fwd_status != STATUS_LATE)); fwd_bar --) {
if (fwd_status == STATUS_TRADE) {
if (Close[fwd_bar] < NormalizeDouble(m_vma[fwd_bar] - ( prm.sig.pipsBarA * Point), Digits)) {
fwd_status = STATUS_BAR_A;
fwd_close_a = Close[fwd_bar];
Print("Trade Buy, found Bar A at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
}
} else if (fwd_status == STATUS_BAR_A) {
if (Close[fwd_bar] < NormalizeDouble(fwd_close_a - (prm.sig.pipsBarB * Point), Digits)) {
fwd_status = STATUS_BAR_B;
fwd_high_b = Low[fwd_bar];
fwd_order_price = NormalizeDouble(fwd_high_b - (prm.sig.pipsTrade * Point), Digits);
Print("Trade Buy, found Bar B at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
} else if (Close[fwd_bar] >= NormalizeDouble(m_vma[fwd_bar] + (prm.sig.pipsBarA * Point), Digits)) {
// reset the state
fwd_status = STATUS_TRADE;
Print("Trade Buy, A Reset at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
}
} else if (fwd_status == STATUS_BAR_B) {
/* check if it is time to entry or it is too late to send an order */
/* we found the last bar, and close[0] is the highest price and it is hit the entry position line */
if (Low[fwd_bar] < NormalizeDouble(fwd_order_price - (prm.entry.diff * Point), Digits)) {
fwd_status = STATUS_LATE;
Print("Too Late to entry ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
break;
} else if (Close[fwd_bar] >= NormalizeDouble(m_vma[fwd_bar] + (prm.sig.pipsBarA * Point), Digits)) {
// reset the state
fwd_status = STATUS_TRADE;
Print("Trade Buy, B Reset at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
}
}
}
if (fwd_status == STATUS_BAR_B) {
Print("Waiting for signal ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS), "price at ", Close[0], " price range ", fwd_order_price, " - " , NormalizeDouble(fwd_order_price - (prm.entry.diff * Point), Digits));
if ((Close[0] <= fwd_order_price) && (Close[0] >= (fwd_order_price - (prm.entry.diff * Point)))) {
// it is time to entry
Print("SIGNAL at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
stoploss = iMA(symbol, period, prm.mastop.period, prm.mastop.mashift, prm.mastop.method, PRICE_HIGH, prm.mastop.shift);
stoploss = NormalizeDouble(stoploss + (prm.stop.diff * Point), Digits);
//open the new order
if (OrderSend(
symbol,
OP_SELL,
get_lots(),
Bid,
prm.slippage,
stoploss,
0,
"",
prm.magic,
0,
Red ) != -1) {
m_trade = TRADE_SELL;
m_status = STATUS_TRADE;
} else {
// error sending order
}
}
}
} else if (prev_trade == TRADE_SELL) {
// we trace forward for bar A, Bar B and signal
for (fwd_bar = prev_bar; ((fwd_bar > 0) && (fwd_status != STATUS_LATE)); fwd_bar --) {
if (fwd_status == STATUS_TRADE) {
if (Close[fwd_bar] > NormalizeDouble(m_vma[fwd_bar] + ( prm.sig.pipsBarA * Point), Digits)) {
fwd_status = STATUS_BAR_A;
fwd_close_a = Close[fwd_bar];
Print("Trade Sell, found Bar A at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
}
} else if (fwd_status == STATUS_BAR_A) {
if (Close[fwd_bar] > NormalizeDouble(fwd_close_a + (prm.sig.pipsBarB * Point), Digits)) {
fwd_status = STATUS_BAR_B;
fwd_high_b = High[fwd_bar];
fwd_order_price = NormalizeDouble(fwd_high_b + (prm.sig.pipsTrade * Point), Digits);
Print("Trade Sell, found Bar B at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
} else if (Close[fwd_bar] <= NormalizeDouble(m_vma[fwd_bar] - (prm.sig.pipsBarA * Point), Digits)) {
// reset the state
fwd_status = STATUS_TRADE;
Print("Trade Buy, A Reset at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
}
} else if (fwd_status == STATUS_BAR_B) {
// check if it is time to entry or it is too late to send an order
// we found the last bar, and close[0] is the highest price and it is hit the entry position line
if (High[fwd_bar] > NormalizeDouble(fwd_order_price + (prm.entry.diff * Point), Digits) ) {
fwd_status = STATUS_LATE;
Print("Too Late to entry ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
break;
} else if (Close[fwd_bar] <= NormalizeDouble(m_vma[fwd_bar] - (prm.sig.pipsBarA * Point), Digits)) {
// reset the state
fwd_status = STATUS_TRADE;
Print("Trade Buy, B Reset at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
}
}
}
if (fwd_status == STATUS_BAR_B) {
Print("Waiting for signal ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS), " price at ", Close[0], " price range ", fwd_order_price, " - " , NormalizeDouble(fwd_order_price + (prm.entry.diff * Point), Digits));
if ((Close[0] >= fwd_order_price) && (Close[0] <= NormalizeDouble(fwd_order_price + (prm.entry.diff * Point), Digits))) {
Print("SIGNAL at ", TimeToStr(CurTime(),TIME_DATE|TIME_SECONDS));
// it is time to entry
stoploss = iMA(symbol, period, prm.mastop.period, prm.mastop.mashift, prm.mastop.method, PRICE_LOW, prm.mastop.shift);
stoploss = NormalizeDouble(stoploss + (prm.stop.diff * Point), Digits);
// open the new order
if (OrderSend(
symbol,
OP_BUY,
get_lots(),
Ask,
prm.slippage,
stoploss,
0,
"",
prm.magic,
0,
Blue ) != -1) {
m_trade = TRADE_BUY;
m_status = STATUS_TRADE;
} else {
// error sending order
}
}
}
}
} else if (m_trade == TRADE_BUY) {
// Hit SL when perform the BUY order.
stoploss = iMA(symbol, period, prm.mastop.period, prm.mastop.mashift, prm.mastop.method, PRICE_HIGH, prm.mastop.shift);
stoploss = NormalizeDouble(stoploss + (prm.stop.diff * Point), Digits);
/// open the new order
if (OrderSend(
symbol,
OP_SELL,
get_lots(),
Bid,
prm.slippage,
stoploss,
0,
"",
prm.magic,
0,
Red ) != -1) {
m_trade = TRADE_SELL;
m_status = STATUS_TRADE;
} else {
// error sending order
}
} else if (m_trade == TRADE_SELL) {
// Hit SL when perform the BUY order.
stoploss = iMA(symbol, period, prm.mastop.period, prm.mastop.mashift, prm.mastop.method, PRICE_LOW, prm.mastop.shift);
stoploss = NormalizeDouble(stoploss - (prm.stop.diff * Point), Digits);
// open the new order
if (OrderSend(
symbol,
OP_BUY,
get_lots(),
Ask,
prm.slippage,
stoploss,
0,
"",
prm.magic,
0,
Red ) != -1 ) {
m_trade = TRADE_BUY;
m_status = STATUS_TRADE;
} else {
// error sending order
}
}
} else {
bool order_sent = false;
if (m_trade == TRADE_NONE) {
// it is too late to perform a trade action
// manual intervention is required.
}
if (m_trade == TRADE_BUY) {
// perform this action every open bar
if (m_status == STATUS_BAR_B) {
/* real time check for the rade position */
if (Close[0] <= m_order_price) {
// close current buy order and open new sell order
for (i = OrdersTotal() - 1; i >= 0; i --) {
if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES)) {
if ((OrderSymbol() == symbol) && (OrderMagicNumber() == prm.magic)) {
OrderClose(OrderTicket(), OrderLots(), Close[0], prm.slippage, Blue);
}
}
}
stoploss = iMA(symbol, period, prm.mastop.period, prm.mastop.mashift, prm.mastop.method, PRICE_HIGH, prm.mastop.shift);
stoploss = NormalizeDouble(stoploss + (prm.stop.diff * Point), Digits);
/* open the new order */
if (OrderSend(
symbol,
OP_SELL,
get_lots(),
Bid,
prm.slippage,
stoploss,
0,
"",
prm.magic,
0,
Red) != -1) {
m_trade = TRADE_SELL;
m_status = STATUS_TRADE;
} else {
m_trade = TRADE_NONE;
m_status = STATUS_NONE;
}
order_sent = true;
}
}
if ((m_trade == TRADE_BUY) && (!order_sent) && (is_open_tick(ts, period))) {
// modify stop lost every open tick
stoploss = iMA(symbol, period, prm.mastop.period, prm.mastop.mashift, prm.mastop.method, PRICE_LOW, prm.mastop.shift);
stoploss = NormalizeDouble(stoploss - (prm.stop.diff * Point), Digits);
for (i = OrdersTotal() - 1; i >= 0; i--) {
if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES)) {
if ((OrderSymbol() == symbol) && (OrderMagicNumber() == prm.magic)) {
OrderModify(OrderTicket(), OrderOpenPrice(), stoploss, OrderTakeProfit(), OrderExpiration(), Aqua);
}
}
}
}
if ((m_trade == TRADE_BUY) && (!order_sent) && (is_open_tick(ts, period))) {
// check if the SELL signal is trigerred
if (Close[1] > m_vma[1]) {
m_status = STATUS_TRADE;
show_message(MSG_TRADE, "TRADE BUY");
show_message(MSG_STATUS, "Bar on top of VMA line");
show_message(MSG_ERROR, "");
} else {
if (m_status == STATUS_TRADE) {
if (Close[1] <= NormalizeDouble(m_vma[1] - (prm.sig.pipsBarA * Point), Digits)) {
m_status = STATUS_BAR_A;
m_close_a = Close[1];
show_message(MSG_TRADE, "TRADE BUY");
show_message(MSG_STATUS, "Bar A accepted, Waiting for Bar B");
show_message(MSG_ERROR, "");
}
} else if (m_status == STATUS_BAR_A) {
if (Close[1] >= NormalizeDouble(m_vma[1] + (prm.sig.pipsBarA * Point), Digits)) {
m_status = STATUS_TRADE;
m_close_a = 0;
show_message(MSG_TRADE, "TRADE BUY");
show_message(MSG_STATUS, "Sell Signal on Bar A was reset");
show_message(MSG_ERROR, "");
} else if (Close[1] <= m_close_a - (prm.sig.pipsBarB * Point)) {
m_status = STATUS_BAR_B;
m_high_b = Low[1];
m_order_price = NormalizeDouble(m_high_b - (prm.sig.pipsTrade * Point), Digits);
show_message(MSG_TRADE, "TRADE BUY");
show_message(MSG_STATUS, "Bar B accepted, Waiting the Sell position at");
show_message(MSG_ERROR, "");
}
} else if (m_status == STATUS_BAR_B) {
if (Close[1] >= NormalizeDouble(m_vma[1] + (prm.sig.pipsBarA * Point), Digits)) {
m_status = STATUS_TRADE;
show_message(MSG_TRADE, "TRADE BUY");
show_message(MSG_STATUS, "Sell Signal on Bar B was reset");
show_message(MSG_ERROR, "");
}
}
}
}
} else if (m_trade == TRADE_SELL) {
// perform this action every open bar
if (m_status == STATUS_BAR_B) {
/* real time check for the rade position */
if (Close[0] >= m_order_price) {
// close current buy order and open new sell order
for (i = OrdersTotal() - 1; i >= 0; i --) {
if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES)) {
if ((OrderSymbol() == symbol) && (OrderMagicNumber() == prm.magic)) {
OrderClose(OrderTicket(), OrderLots(), Ask, prm.slippage, Red);
}
}
}
stoploss = iMA(symbol, period, prm.mastop.period, prm.mastop.mashift, prm.mastop.method, PRICE_LOW, prm.mastop.shift);
stoploss = NormalizeDouble(stoploss - (prm.stop.diff * Point), Digits);
/* open the new order */
if (OrderSend(
symbol,
OP_BUY,
get_lots(),
Ask,
prm.slippage,
stoploss,
0,
"",
prm.magic,
0,
Blue) != -1) {
m_trade = TRADE_BUY;
m_status = STATUS_TRADE;
} else {
m_trade = TRADE_NONE;
m_status = STATUS_NONE;
}
order_sent = true;
}
}
if ((m_trade == TRADE_SELL) && (!order_sent) && (is_open_tick(ts, period))) {
// modify stop lost every open tick
stoploss = iMA(symbol, period, prm.mastop.period, prm.mastop.mashift, prm.mastop.method, PRICE_HIGH, prm.mastop.shift);
stoploss = NormalizeDouble(stoploss + (prm.stop.diff * Point), Digits);
for (i = OrdersTotal() - 1; i >= 0; i--) {
if (OrderSelect(i, SELECT_BY_POS, MODE_TRADES)) {
if ((OrderSymbol() == symbol) && (OrderMagicNumber() == prm.magic)) {
OrderModify(OrderTicket(), OrderOpenPrice(), stoploss, OrderTakeProfit(), OrderExpiration(), Aqua);
}
}
}
}
if ((m_trade == TRADE_SELL) && (!order_sent) && (is_open_tick(ts, period))) {
// check if the SELL signal is trigerred
if (Close[1] < m_vma[1]) {
m_status = STATUS_TRADE;
show_message(MSG_TRADE, "TRADE SELL");
show_message(MSG_STATUS, "Bar below VMA line");
show_message(MSG_ERROR, "");
} else {
if (m_status == STATUS_TRADE) {
if (Close[1] >= NormalizeDouble(m_vma[1] + (prm.sig.pipsBarA * Point), Digits)) {
m_status = STATUS_BAR_A;
m_close_a = Close[1];
show_message(MSG_TRADE, "TRADE SELL");
show_message(MSG_STATUS, "Bar A accepted, Waiting for Bar B");
show_message(MSG_ERROR, "");
}
} else if (m_status == STATUS_BAR_A) {
if (Close[1] <= NormalizeDouble(m_vma[1] - (prm.sig.pipsBarA * Point), Digits)) {
m_status = STATUS_TRADE;
m_close_a = 0;
show_message(MSG_TRADE, "TRADE SELL");
show_message(MSG_STATUS, "Buy Signal on Bar A was reset");
show_message(MSG_ERROR, "");
} else if (Close[1] >= m_close_a + (prm.sig.pipsBarB * Point)) {
m_status = STATUS_BAR_B;
m_high_b = High[1];
m_order_price = NormalizeDouble(m_high_b + (prm.sig.pipsTrade * Point), Digits);
show_message(MSG_TRADE, "TRADE SELL");
show_message(MSG_STATUS, "Bar B accepted, Waiting the buy position at");
show_message(MSG_ERROR, "");
}
} else if (m_status == STATUS_BAR_B) {
if (Close[1] < NormalizeDouble(m_vma[1] - (prm.sig.pipsBarA * Point), Digits)) {
m_status = STATUS_TRADE;
show_message(MSG_TRADE, "TRADE SELL");
show_message(MSG_STATUS, "Buy Signal on Bar B was reset");
show_message(MSG_ERROR, "");
}
}
}
}
}
}
set_ts(ts);
return(0);
}
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