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[mqlkit.git] / include / offline_charts.mqh

//+------------------------------------------------------------------+\r
//|                                               offline_charts.mq4 |\r
//|                                                     Bernd Kreuss |\r
//|                                              Version 2010.9.12.1 |\r
//|                 paypal-donations go here -> mailto:7ibt@arcor.de |\r
//+------------------------------------------------------------------+\r
#property copyright "Bernd Kreuss"\r
#property link      "http://sites.google.com/site/prof7bit/"\r
\r
/** @file\r
* This file contains functions, needed to handle offline charts,\r
* the latest version of this file is available at \r
* http://sites.google.com/site/prof7bit/\r
*\r
* You can create or update offline charts in real time and also refresh\r
* the chart window associated with such an offline chart automatically, \r
*\r
* The main purpose of this library is to be able to produce\r
* equity curves resulting from traded strategies in real time, \r
* equity curves that would contain every drawdown that occured\r
* during the trades, not only closed profits. This is especially\r
* useful when used while backtesting an EA, unlike the built-in\r
* backtester equity plotter this one will record everything that\r
* happens while the positions are open and draw a much more \r
* realistic picture.\r
*\r
* To use the equity plotter feature simply include the .mqh file in \r
* your expert and then on every tick call the function recordEquity()\r
* For example if you have an EA with the name "foobazer" and want to\r
* record it's performance in an M15 chart you would issue the following\r
* call on every tick: \r
* \r
*   recordEquity("foobazer", PERIOD_M15, magic_number)\r
*\r
* \r
* !!! Use a different name for every chart the EA runs on !!!\r
* The period has nothing to do with the period the EA runs on, it is\r
* just meant to tell the function which timeframe the equity chart should have\r
* and can be every period you want. In the above example It will create and \r
* continually update an offline M15 chart with the name "foobazer" containing \r
* the performance of your EA in real time from this moment on. If you run your \r
* EA on backtester then an underscore will be prepended to the name of the chart,\r
* so it won't overwrite your live chart.\r
* \r
* Names can only contain up to 12 characters. Make sure every EA on every \r
* chart will use a DIFFERENT NAME when calling this function or they will \r
* all write to the same chart and produce a complete mess.\r
*/\r
\r
#include <WinUser32.mqh>\r
\r
#define OFFLINE_HEADER_SIZE 148 ///< LONG_SIZE + 64 + 12 + 4 * LONG_SIZE + 13 * LONG_SIZE \r
#define OFFLINE_RECORD_SIZE 44  ///< 5 * DOUBLE_SIZE + LONG_SIZE \r
\r
int __chart_file = 0; ///< the cache for the file handle (only used in backtesting mode) \r
\r
/**\r
* Record the equity curve for the specified filter critera into an offline chart.\r
* Call this function on every tick. It will produce a chart that will \r
* include every high and low of the total floating and realized profits.\r
* \r
* You can filter by magic number and/or by the comment field.\r
* If magic is -1 then all magic numbers are allowed, if it is 0 then \r
* only manually opened trades are counted, if it is any other\r
* value then only trades with this particular number are counted. \r
* The second filter is comment, if it is "" then it is not filtered\r
* by comment, else only trades with this exact comment string are\r
* counted.\r
* \r
* Offset is used to make sure the chart always is in positive terrotory.\r
* Since metatrader won't display charts with negative values and we are\r
* only summing up an individual strategie's profit (or loss!), not total \r
* equity, we need some imaginary positive starting capital for each chart.\r
*/\r
void recordEquity(string name, int period, int magic=-1, string comment="", double offset=5000){\r
   double equity;\r
   \r
   // don't do anything during optimization runs\r
   if (IsOptimization()){\r
      return(0);\r
   }\r
   \r
   // This can happen shortly after a restart of metatrader. The order history\r
   // is still empty. We do nothing in this case and wait for the next tick.\r
   if (OrdersHistoryTotal() == 0){\r
      return(0);\r
   }\r
\r
   if (magic == -1 && comment == ""){\r
      // If there is no filter we can simply use AccountEquity(), also we\r
      // don't need a virtual starting balance in this case. \r
      equity = AccountEquity();\r
   }else{\r
      // Otherwise calculate the partial profits and add 'offset' \r
      // as virtual starting balance.\r
      equity = getAllProfitFiltered(magic, comment) + offset;\r
   }\r
      \r
   // when run in the strategy tester we add a _ to the chart name\r
   // so it wont interfere with the same chart in live trading\r
   if (IsTesting()){\r
      name = "_" + name;\r
   }\r
   \r
   // write it into the chart.\r
   updateOfflineChart(name, period, 2, equity, 0); \r
}\r
\r
/**\r
* Update the offline chart with a new price. \r
* This function will find the last bar in the offline chart file \r
* (create the chart if necessary) update the last bar (adjust the close, \r
* add to the volume and extend high or low if necessary) or start a new bar \r
* if current time is beyond the lifetime of the last bar in the chart.\r
* Note: if you want to make Renko or other range based charts you will need to\r
* write your own function similar to this but with a different algorithm to\r
* detect when a new bar must be started. This one is strictly time based.\r
*/ \r
void updateOfflineChart(string symbol, int period, int digits, double price, double volume){\r
   double o,h,l,c,v;\r
   int t;\r
   int time_current = iTime(NULL, period, 0); // FIXME! the starting time for the period's current bar\r
   \r
   // create the chart if it doesn't already exist\r
   // or just update the header\r
   writeOfflineHeader(symbol, period, digits);\r
   \r
   // read the last bar in the chart (if any)\r
   if (!readOfflineBar(symbol, period, 1, t, o, h, l, c, v)){\r
      // no bars in chart yet, so just make one\r
      writeOfflineBar(symbol, period, 0, time_current, price, price, price, price, volume);\r
      return(0);\r
   }\r
   \r
   if (t > time_current){\r
      // this is a very special case: the last bar in the chart is\r
      // NEWER that the bar we just want to record. This can only\r
      // happen if we backtest and there is already a chart left\r
      // from a previous backtest. In this case the only reasonable\r
      // thing we would want to do is completely empty the chart and\r
      // start again.\r
      if (IsTesting()){\r
         // ONLY empty the chart if we REALLY are in the baktester, \r
         // else we simply IGNORE it completely instead of accidently \r
         // destroying a whole and possibly months old chart just \r
         // because of one bad timestamp.\r
         emptyOfflineChart(symbol, period, digits);   \r
         writeOfflineBar(symbol, period, 0, time_current, price, price, price, price, volume);\r
      }\r
      return(0);\r
   }\r
   \r
   if (t == time_current){\r
      // the bar has the current time, so update it\r
      if (price > h){\r
         h = price;\r
      }\r
      if (price < l){\r
         l = price;\r
      }\r
      c = price;\r
      v += volume;\r
      writeOfflineBar(symbol, period, 1, t, o, h, l, c, v);\r
   }else{\r
      // last bar is old, start a new one\r
      writeOfflineBar(symbol, period, 0, time_current, price, price, price, price, volume);\r
   }  \r
}\r
\r
/**\r
* empty the chart, write a fresh header\r
*/\r
void emptyOfflineChart(string symbol, int period, int digits){\r
   // close it first (if we are in the backtester and the file is kept open)\r
   forceFileClose();\r
      \r
   // open (and immediately close) the file in write only mode, \r
   // this will truncate it to zero length, after that we write a fresh header\r
   FileClose(FileOpenHistory(offlineFileName(symbol, period), FILE_WRITE | FILE_BIN));\r
   writeOfflineHeader(symbol, period, digits);\r
}\r
\r
/**\r
* write or update the header of an offline chart file,\r
* if the file does not yet exist create the file.\r
*/\r
void writeOfflineHeader(string symbol, int period, int digits){\r
   int    version = 400;\r
   string c_copyright = "(C)opyright 2009-2010, Bernd Kreuss";\r
   int    i_unused[13];\r
   \r
   int F = fileOpenEx(offlineFileName(symbol, period), FILE_BIN | FILE_READ | FILE_WRITE);\r
   FileSeek(F, 0, SEEK_SET);\r
   FileWriteInteger(F, version, LONG_VALUE);\r
   FileWriteString(F, c_copyright, 64);\r
   FileWriteString(F, symbol, 12);\r
   FileWriteInteger(F, period, LONG_VALUE);\r
   FileWriteInteger(F, digits, LONG_VALUE);\r
   FileWriteInteger(F, 0, LONG_VALUE);       //timesign\r
   FileWriteInteger(F, 0, LONG_VALUE);       //last_sync\r
   FileWriteArray(F, i_unused, 0, 13);\r
\r
   fileCloseEx(F);\r
}\r
\r
/**\r
* Write (or update) one bar in the offline chart file\r
* and refresh the chart window if it is currently open.\r
* The parameter bars_back is the offset counted from the end of\r
* the file: 0 means append a new bar, 1 means update the last bar\r
* 2 would be the second last bar and so on.\r
* The parameter time is the POSIX-Timestamp representing the \r
* beginning of that bar. It is the same value that would be \r
* returned from iTime() or Time[], namely the seconds that\r
* have passed since the UNIX-Epoch (00:00 a.m. of 1 January, 1970)\r
*/\r
void writeOfflineBar(string symbol, int period, int bars_back, int time, double open, double high, double low, double close, double volume){\r
   int F = fileOpenEx(offlineFileName(symbol, period), FILE_BIN | FILE_READ | FILE_WRITE);\r
   \r
   int position = bars_back * OFFLINE_RECORD_SIZE;   \r
   FileSeek(F, -position, SEEK_END);\r
\r
   if (FileTell(F) >= OFFLINE_HEADER_SIZE){\r
      FileWriteInteger(F, time, LONG_VALUE); \r
      FileWriteDouble(F, open, DOUBLE_VALUE);\r
      FileWriteDouble(F, low, DOUBLE_VALUE);\r
      FileWriteDouble(F, high, DOUBLE_VALUE);\r
      FileWriteDouble(F, close, DOUBLE_VALUE);\r
      FileWriteDouble(F, volume, DOUBLE_VALUE);\r
   \r
      // refresh the chart window\r
      // this won't work in backtesting mode\r
      // and also don't do it while deinitializing or the\r
      // WindowHandle() function will run into a deadlock\r
      // for unknown reasons. (this took me a while to debug)\r
      if (!IsStopped() && !IsTesting()){\r
         int hwnd=WindowHandle(symbol, period);\r
         if (hwnd != 0){\r
            PostMessageA(hwnd, WM_COMMAND, 33324, 0);\r
         }\r
      }\r
   }\r
   fileCloseEx(F);\r
}\r
\r
/**\r
* Read one bar out of the offline chart file and fill the\r
* "by reference"-parameters that were passed to the function.\r
* The function returns True if successful or False otherwise.\r
* The parameter bars_back is the offset counting from the end\r
* of the file: 0 makes no sense since it would be past the end,\r
* 1 means read the last bar in the file, 2 the second last, etc.\r
* If bars_back would point outside the file (beginning or end)\r
* the function will return False and do nothing, otherwise\r
* the read values will be filled into the supplied parameters\r
* and the function will return True\r
*/ \r
bool readOfflineBar(string symbol, int period, int bars_back, int& time, double& open, double& high, double& low, double& close, double& volume){\r
   int F = fileOpenEx(offlineFileName(symbol, period), FILE_BIN | FILE_READ | FILE_WRITE);\r
   \r
   int position = bars_back * OFFLINE_RECORD_SIZE;\r
   FileSeek(F, -position, SEEK_END);\r
   \r
   if (FileSize(F) - FileTell(F) >= OFFLINE_RECORD_SIZE && FileTell(F) >= OFFLINE_HEADER_SIZE){\r
      time = FileReadInteger(F, LONG_VALUE); \r
      open = FileReadDouble(F, DOUBLE_VALUE);\r
      low = FileReadDouble(F, DOUBLE_VALUE);\r
      high = FileReadDouble(F, DOUBLE_VALUE);\r
      close = FileReadDouble(F, DOUBLE_VALUE);\r
      volume = FileReadDouble(F, DOUBLE_VALUE);\r
      fileCloseEx(F);\r
      return(True);\r
   }else{\r
      fileCloseEx(F);\r
      return(False);\r
   }\r
}\r
\r
/**\r
* construct the file name for the chart file, truncate the \r
* symbol name to the maximum of 12 allowed characters.\r
*/\r
string offlineFileName(string symbol, int period){\r
   return(StringSubstr(symbol, 0, 12) + period + ".hst");\r
}\r
\r
/**\r
* loop through all trades (historic and currently open) and\r
* sum up all profits (including swap and commission).\r
*/\r
double getAllProfitFiltered(int magic=-1, string comment=""){\r
   int cnt, total;\r
   double floating = 0;\r
   double realized = 0;\r
   static int last_closed_ticket = 0;\r
   string cache_name; \r
   \r
   // we need a unique name under which to cache the realized P&L later\r
   if (IsTesting()){\r
      cache_name = "profit_cache@@" + magic + "@" + comment;\r
   }else{\r
      cache_name = "profit_cache@" + magic + "@" + comment;\r
   }\r
   \r
   // sum up the floating\r
   total=OrdersTotal();\r
   for(cnt=0; cnt<total; cnt++){\r
      OrderSelect(cnt, SELECT_BY_POS, MODE_TRADES);\r
      if ((magic == -1 || OrderMagicNumber() == magic) \r
       && (comment == "" || StringFind(OrderComment(), comment, 0) != -1)\r
      ){\r
         floating += OrderProfit() + OrderSwap() + OrderCommission();\r
      }\r
   }\r
   \r
   // Now calculate the total realized profit.\r
   // We first check if the order history has changed since \r
   // the last tick by looking at the newest ticket number.\r
   // If there was no change then we can assume that no trade\r
   // has been closed and we can simply use the cached value\r
   // of the previously calculated realized profit.\r
   total=OrdersHistoryTotal();\r
   OrderSelect(total-1, SELECT_BY_POS, MODE_HISTORY);\r
   if (last_closed_ticket != OrderTicket()){\r
   \r
      // history is different from last time, so we must do \r
      // the expensive loop and sum up all realized profit\r
      last_closed_ticket = OrderTicket();\r
      realized = 0;\r
      for(cnt=0; cnt<total; cnt++){\r
         OrderSelect(cnt, SELECT_BY_POS, MODE_HISTORY);\r
         if ((magic == -1 || OrderMagicNumber() == magic) \r
          && (comment == "" ||  StringFind(OrderComment(), comment, 0) != -1)\r
         ){\r
            realized += OrderProfit() + OrderSwap() + OrderCommission();\r
         }\r
      }\r
      // remember it for the next call.\r
      // We need to store it separately for every possible filter.\r
      // We dont have hash tables in mql4, so we must abuse \r
      // the global variables function to store name-value pairs.\r
      GlobalVariableSet(cache_name, realized);      \r
   }else{\r
   \r
      // history not changed. retrieve the cached value.\r
      realized = GlobalVariableGet(cache_name);\r
   }\r
   \r
   return (floating + realized);\r
}\r
\r
/**\r
* Open the chart file. In testing mode this will open the file\r
* only when called for the first time and cache the file handle\r
* for subsequent calls to speed up things. The corresponding\r
* fileCloseEx() function will do nothing when in testing mode.\r
*/\r
int fileOpenEx(string name, int mode){\r
   if (IsTesting()){\r
      if (__chart_file == 0){\r
         __chart_file = FileOpenHistory(name, mode);\r
      }\r
      return(__chart_file);\r
   }else{\r
      return(FileOpenHistory(name, mode));\r
   }\r
}\r
\r
/**\r
* close the file. Keep the file open when in teting mode.\r
*/\r
void fileCloseEx(int file){\r
   if (!IsTesting()){\r
      FileClose(file);\r
   }else{\r
      //FileFlush(file);\r
   }\r
}\r
\r
/**\r
* enforce closing of the file (in backtesting mode when it is held open)\r
*/ \r
void forceFileClose(){\r
   if(__chart_file != 0){\r
      FileClose(__chart_file);\r
      __chart_file = 0;\r
   }\r
}