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xMQL5/BKPS/Series2/XTMPack/x-saherelm.rsi.provider.lib.mq5
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2024-01-25 04:09:42 +03:30

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////////////////////////////////////////////////////////////
//
// SaherElm IT Center MQL5 RSI Signal Provider Library
// --------------------------------------------------------
// Name: XRSISignalProvider
// Description: RSI based signal provider ...
//
//
// Maintainer:
// ------------
// Hadi Khazaee Asl (hadi_khazaee_asl@yahoo.com)
//
//////////////////////////////////////////////////////
//
// Global Properties ...
#property library
#property copyright "Copyright 2023, SaherElm IT Center"
#property link "https://www.saherelm.ir"
#property version "1.00"
#property strict
//
// START Inputs ...
//
input group "XRSI Provider";
//
input group "XRSI Common";
input bool enableRSIProvider = true; // Enable Provider
input bool rsiEnableAlerts = true; // Enable Events Alert
//
input group "XRSI Indicator";
input int rsiPeriod = 14; // RSI Period
input ENUM_APPLIED_PRICE rsiAppliedTo = PRICE_CLOSE; // RSI Applied To
//
input group "XRSI Trader";
input int rsiMagicNumber = 16940561; // RSI Trader MagicNumber
input int rsiSlippage = 10; // RSI Trader Slippage
input double rsiLongEntryLevel = 30; // RSI Long Entry Level
input double rsiLongExitLevel = 60; // RSI Long Exit Level
input double rsiShortEntryLevel = 70; // RSI Short Entry Level
input double rsiShortExitLevel = 40; // RSI Short Exit Level
//
input group "XRSI Neural Networks";
input bool rsiUseNeuralNetworks = true; // Enable Neural Networks
input bool rsiNNUseContinuesLearning = true; // Enable Continues Learning on Neural Networks
input int rsiNNNumberOfNodes = 10; // Number Of Input Nodes
input double rsiNNLongTargetOutput = 0.3; // BackPropagation Target Output for Long Trades
input double rsiNNShortTargetOutput = -0.3; // BackPropagation Target Output for Short Trades
//
input group "XRSI Trade Management";
input bool rsiAllowLongTrades = true; // Allow Long Trades
input bool rsiAllowShortTrades = true; // Allow Short Trades
input bool rsiUseGridTrades = true; // Enable Grid Trades
input double rsiGridVolumeMultiplier = 2; // Grid Volume Multiplier
input double rsiGridDistancePips = 10; // Grid Position Distance in Pips
//
input group "XRSI Risk Management";
input bool rsiUseDynamicVolume = true; // Enable Dynamic Volume
input double rsiStaticVolume = 0.01; // Static Volume
// input double rsiBalanceIncreasedFactor = 0.1; // RSI Balance Increase Factor
// input double rsiVolumeIncreasedFactor = 0.000001; // RSI Volume Increase Factor
// //
// // END Inputs ...
// //
input double rsiBalanceIncreased = 500; // RSI Balance Increase
input double rsiVolumeIncreased = 0.01; // RSI Volume Increase
//
// END Inputs ...
//
//
// Include Common Library ...
#include "x-saherelm.common.lib.mq5"
//
// Include Logger Library ...
#include "x-saherelm.log.lib.mq5"
//
// Include Alert Library ...
#include "x-saherelm.alert.lib.mq5"
//
// Include Draw Library ...
#include "x-saherelm.draw.lib.mq5"
//
// Include Class Libraries ...
#include "x-saherelm.class.lib.mq5"
//
// Include Neural Networks Library ...
#include "x-saherelm.nn.lib.mq5";
//
// START Global Definitions: Variables, Properties and etc ...
//
int rsiHandler = INVALID_HANDLE;
double rsiBuffer[];
//
XCTrade *rsiTrader;
XCAccountInfo rsiAccountInfo;
//
XCNNBase *rsiNN;
//
double rsiGridLongPrice = 0;
double rsiGridLongVolume = 0;
//
double rsiGridShortPrice = 0;
double rsiGridShortVolume = 0;
//
// holds Neural Networks Output Value ...
double rsiNNOutput;
//
// END Global Definitions: Variables, Properties and etc ...
//
//
// START Provided Functions ...
//
//
// Initial Library if required ...
bool OnInInitXRSISignalProviderLibrary()
{
//
bool result = false;
//
// Error Message ...
string message = "";
//
// Check RSI Period ...
if (rsiPeriod < 5)
{
//
message = "invalid rsi period ...";
LogMessage(message);
//
return result;
}
//
// Check RSI Over Baught and Over Sold Levels ...
if (
rsiLongExitLevel <= 0 ||
rsiLongEntryLevel <= 0 ||
rsiShortExitLevel <= 0 ||
rsiShortEntryLevel <= 0 ||
rsiLongEntryLevel >= rsiLongExitLevel ||
rsiLongEntryLevel >= rsiShortEntryLevel ||
rsiShortEntryLevel <= rsiShortExitLevel ||
rsiShortEntryLevel <= rsiLongEntryLevel)
{
//
message = "invalid over baught / over seld level ...";
LogMessage(message);
//
return result;
}
//
// Check Risk Management ...
if (rsiUseDynamicVolume)
{
//
// if (rsiBalanceIncreasedFactor <= 0 || rsiVolumeIncreasedFactor <= 0)
if (rsiBalanceIncreased <= 0 || rsiVolumeIncreased <= 0)
{
//
message = "invalid volume increased factors ...";
LogMessage(message);
//
return result;
}
}
else
{
//
double maxAvailableVolume = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_MAX);
double minAvailableVolume = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_MIN);
//
if (rsiStaticVolume > maxAvailableVolume || rsiStaticVolume < minAvailableVolume)
{
//
message = "invalid static volume ...";
LogMessage(message);
//
return result;
}
}
//
// Check Neural Networks Inputs ...
if (rsiUseNeuralNetworks)
{
//
// Number Of Nodes ...
if (rsiNNNumberOfNodes < 3)
{
//
message = "invalid neurak networks inputs ...";
LogMessage(message);
//
return result;
}
//
// if there is no error in nn inputs, make an instance of
// Neural Networks Clsss ...
rsiNN = new XCNNBase(
rsiNNNumberOfNodes);
}
//
// Preparing RSI Handler ...
rsiHandler = iRSI(_Symbol, _Period, rsiPeriod, rsiAppliedTo);
if (rsiHandler == INVALID_HANDLE)
{
//
message = "failed to initialize rsi indicator handler ...";
LogMessage(message);
//
return result;
}
//
// Make XCTrader instance ...
rsiTrader = new XCTrade(
_Symbol,
rsiSlippage,
rsiMagicNumber);
//
result = true;
//
// Logging State ...
message = "Initializion of (" + "XRSI Provider" + " _ " + _Symbol + " _ " + EnumToString(_Period) + ") Succeeded ...";
LogMessage(message);
//
return result;
}
//
// DeInitial Library if required ...
void OnDeinitXRSISignalProviderLibrary()
{
//
// Logging State ...
string message = "De Initializion of (" + "XRSI Provider" + ") Succeeded ...";
LogMessage(message);
}
//
// this is a Globally Function which do all of
// checkings and positions handling ...
void HandleXSignalProviderTick()
{
//
// Reading RSI Values ...
ArraySetAsSeries(rsiBuffer, true);
//
// Copy RSI Buffers based on NN Conditions ...
if (rsiUseNeuralNetworks)
{
//
CopyBuffer(rsiHandler, 0, 0, rsiNNNumberOfNodes, rsiBuffer);
//
// Calculate Neural Network Output Layer based on Inputs ...
// since here there is no any external inputs except rsiBuffer
// we passed it directly to our Neural Networks as Inputs ...
rsiNNOutput = rsiNN.CalculateOutputLayer(rsiBuffer);
//
// Check Continues Learning is Enabled ...
if (rsiNNUseContinuesLearning)
{
//
// Handle Back Propagation (Continues Learning) ...
double targetOutput = 0;
if (rsiBuffer[1] >= 50)
{
targetOutput = rsiNNLongTargetOutput;
}
else if (rsiBuffer[1] < 50)
{
targetOutput = rsiNNShortTargetOutput;
}
//
// Handle Calculate Weights ...
if (targetOutput != 0)
{
rsiNN.BackPropagation(rsiBuffer, rsiNNOutput, targetOutput);
}
}
}
else
{
CopyBuffer(rsiHandler, 0, 0, 5, rsiBuffer);
}
//
// Handle Open Trades ...
HandleOpenTrades();
//
// Handle Close Trades ...
HandleCloseTrades();
//
// Draw Signals ...
// bool hasPrimaryLongSignal = HasPrimaryLongSignal();
// bool hasPrimaryShortSignal = HasPrimaryShortSignal();
// bool hasPrimarySignal = hasPrimaryLongSignal || hasPrimaryShortSignal;
// if (hasPrimarySignal)
// {
// //
// ENUM_X_SIGNAL_TYPE signalType = hasPrimaryLongSignal ? X_SIGNAL_LONG : X_SIGNAL_SHORT;
// double signalPrice = signalType == X_SIGNAL_LONG ? GetAsk() : GetBid();
// string signalName = logTag + "_" + EnumToString(signalType) + "_" + DoubleToString(signalPrice);
// color signalColor = signalType == X_SIGNAL_LONG ? clrAqua : clrYellow;
// datetime signalTime1 = iTime(_Symbol, _Period, 1);
// datetime signalTime2 = iTime(_Symbol, _Period, 0);
// //
// DrawTrendLine(
// 0, // Chart Id ...
// signalName, // Object Name ...
// 0, // SubWindow ...
// signalTime1, // Time 1 ...
// signalPrice, // Price 1 ...
// signalTime2, // Time 2 ...
// signalPrice, // Price 2 ...
// signalColor, // Color ...
// STYLE_SOLID,
// 5
// );
// }
}
//
// Check Market Conditions to find Long Primary Signals ...
bool HasPrimaryLongSignal()
{
//
bool result = false;
//
// Check Buy/Long Conditions ...
result = rsiBuffer[1] >= rsiLongEntryLevel && rsiBuffer[2] < rsiLongEntryLevel;
//
return result;
}
//
// Check Market Conditions to find Short Primary Signals ...
bool HasPrimaryShortSignal()
{
//
bool result = false;
//
// Check Sell/Short Conditions ...
result = rsiBuffer[1] <= rsiShortEntryLevel && rsiBuffer[2] > rsiShortEntryLevel;
//
return result;
}
//
// Check Market Conditions to find Long Grid Signals ...
bool HasGridLongSignal()
{
//
bool result = false;
//
// Check Buy/Long Conditions ...
result = rsiBuffer[1] >= rsiLongEntryLevel && rsiBuffer[2] < rsiLongEntryLevel;
//
return result;
}
//
// Check Market Conditions to find Short Grid Signals ...
bool HasGridShortSignal()
{
//
bool result = false;
//
// Check Sell/Short Conditions ...
result = rsiBuffer[1] <= rsiShortEntryLevel && rsiBuffer[2] > rsiShortEntryLevel;
//
return result;
}
//
// Check Market Conditions for closing Long Trades ...
bool CanCloseLongTrades()
{
//
bool result = rsiBuffer[1] > rsiLongExitLevel && rsiBuffer[2] < rsiLongExitLevel;
return result;
}
//
// Check Market Conditions for closing Short Trades ...
bool CanCloseShortTrades()
{
//
bool result = rsiBuffer[1] < rsiShortExitLevel && rsiBuffer[2] > rsiShortExitLevel;
return result;
}
//
// Handle Long/Buy for Primary Trades...
bool HandlePrimaryLong(
XSignal &signal, // return structure if signal founded
bool doTrade = true // do trade on signal
)
{
//
bool result = false;
//
ResetLastError();
//
// Check Conditions of Neural Networks if it's enabled ...
bool canForward = !rsiUseNeuralNetworks ? true : rsiNNOutput > 0;
//
if (HasPrimaryLongSignal() && rsiTrader.CountLongs() == 0 && canForward)
{
//
double entry = GetAsk();
double volume = CalculateVolume();
//
double canDoTrade = CanDoTrade();
//
signal.entry = entry;
signal.volume = volume;
signal.symbol = _Symbol;
signal.type = X_SIGNAL_LONG;
signal.magicNumber = rsiMagicNumber;
signal.time = iTime(_Symbol, _Period, 0);
signal.comment = "Primary XRSI Long";
//
if (enableRSIProvider && rsiAllowLongTrades && doTrade && canDoTrade)
{
//
// Execute Signal ...
result = rsiTrader.ExecuteSignal(signal);
//
// Since this means an error happens, we have to log this error ...
if (!result)
{
string errMessage = "failed to execute Long signal: " + (string)GetLastError();
LogMessage(errMessage);
}
}
else
{
result = false;
}
}
//
// Handle Alerts ...
if (result)
{
//
if (rsiEnableAlerts)
{
SendAlert(signal, true);
}
else
{
LogExecutedSignal(signal);
}
}
//
return result;
}
//
// Handle Short/Sell for Primary Trades...
bool HandlePrimaryShort(
XSignal &signal, // return structure if signal founded
bool doTrade = true // do trade on signal
)
{
//
bool result = false;
//
ResetLastError();
//
// Check Conditions of Neural Networks if it's enabled ...
bool canForward = !rsiUseNeuralNetworks ? true : rsiNNOutput < 0;
//
if (HasPrimaryShortSignal() && rsiTrader.CountShorts() == 0 && canForward)
{
//
double entry = GetBid();
double volume = CalculateVolume();
//
double canDoTrade = CanDoTrade();
//
signal.entry = entry;
signal.volume = volume;
signal.symbol = _Symbol;
signal.type = X_SIGNAL_SHORT;
signal.magicNumber = rsiMagicNumber;
signal.time = iTime(_Symbol, _Period, 0);
signal.comment = "Primary XRSI Short";
//
if (enableRSIProvider && rsiAllowShortTrades && doTrade && canDoTrade)
{
//
// Execute Signal ...
result = rsiTrader.ExecuteSignal(signal);
//
// Since this means an error happens, we have to log this error ...
if (!result)
{
string errMessage = "failed to execute Short signal: " + (string)GetLastError();
LogMessage(errMessage);
}
}
else
{
result = false;
}
}
//
// Handle Alerts ...
if (result)
{
//
if (rsiEnableAlerts)
{
SendAlert(signal, true);
}
else
{
LogExecutedSignal(signal);
}
}
//
return result;
}
//
// Handle Long/Buy for Grid Trades...
bool HandleGridLong(
XSignal &signal, // return structure if signal founded
bool doTrade = true // do trade on signal
)
{
//
bool result = false;
//
ResetLastError();
//
double ask = GetAsk();
bool canDoGridTrade = ask <= rsiGridLongPrice;
if (HasGridLongSignal() && rsiTrader.CountLongs() > 0 && canDoGridTrade)
{
//
double entry = ask;
double volume = rsiGridLongVolume;
//
double canDoTrade = CanDoTrade();
//
signal.entry = entry;
signal.volume = volume;
signal.symbol = _Symbol;
signal.type = X_SIGNAL_LONG;
signal.magicNumber = rsiMagicNumber;
signal.time = iTime(_Symbol, _Period, 0);
signal.comment = "Grid XRSI Long";
//
if (enableRSIProvider && rsiAllowLongTrades && rsiUseGridTrades && doTrade && canDoTrade)
{
//
// Execute Signal ...
result = rsiTrader.ExecuteSignal(signal);
//
// Since this means an error happens, we have to log this error ...
if (!result)
{
string errMessage = "failed to execute Long signal: " + (string)GetLastError();
LogMessage(errMessage);
}
}
else
{
result = false;
}
}
//
// Handle Alerts ...
if (result)
{
//
if (rsiEnableAlerts)
{
SendAlert(signal, true);
}
else
{
LogExecutedSignal(signal);
}
}
//
return result;
}
//
// Handle Short/Sell for Grid Trades...
bool HandleGridShort(
XSignal &signal, // return structure if signal founded
bool doTrade = true // do trade on signal
)
{
//
bool result = false;
//
ResetLastError();
//
double bid = GetBid();
bool canDoGridTrade = bid >= rsiGridShortPrice;
if (HasGridShortSignal() && rsiTrader.CountShorts() > 0 && canDoGridTrade)
{
//
double entry = bid;
double volume = rsiGridShortVolume;
//
double canDoTrade = CanDoTrade();
//
signal.entry = entry;
signal.volume = volume;
signal.symbol = _Symbol;
signal.type = X_SIGNAL_SHORT;
signal.magicNumber = rsiMagicNumber;
signal.time = iTime(_Symbol, _Period, 0);
signal.comment = "Grid XRSI Short";
//
if (enableRSIProvider && rsiAllowShortTrades && rsiUseGridTrades && doTrade && canDoTrade)
{
//
// Execute Signal ...
result = rsiTrader.ExecuteSignal(signal);
//
// Since this means an error happens, we have to log this error ...
if (!result)
{
string errMessage = "failed to execute Short signal: " + (string)GetLastError();
LogMessage(errMessage);
}
}
else
{
result = false;
}
}
//
// Handle Alerts ...
if (result)
{
//
if (rsiEnableAlerts)
{
SendAlert(signal, true);
}
else
{
LogExecutedSignal(signal);
}
}
//
return result;
}
//
// Handle Open Trades ...
void HandleOpenTrades()
{
//
// Primary Long Trade ...
XSignal primaryLongSignal = {};
bool isPrimaryLongSignalExecuted = HandlePrimaryLong(primaryLongSignal);
if (isPrimaryLongSignalExecuted)
{
//
// Calculate Grid Long Conditions ...
CalculateGridLongConditions(primaryLongSignal);
}
//
// Primary Short Trade ...
XSignal primaryShortSignal = {};
bool isPrimaryShortSignalExecuted = HandlePrimaryShort(primaryShortSignal);
if (isPrimaryShortSignalExecuted)
{
//
// Calculate Grid Short Conditions ...
CalculateGridShortConditions(primaryShortSignal);
}
//
// Check Grid Trades ...
if (rsiUseGridTrades)
{
//
// Grid Long Trade ...
XSignal gridLongSignal = {};
bool isGridLongSignalExecuted = HandleGridLong(gridLongSignal);
if (isGridLongSignalExecuted)
{
//
// Calculate Grid Long Conditions ...
CalculateGridLongConditions(gridLongSignal);
}
//
// Grid Short Trade ...
XSignal gridShortSignal = {};
bool isGridShortSignalExecuted = HandleGridShort(gridShortSignal);
if (isGridShortSignalExecuted)
{
//
// Calculate Grid Short Conditions ...
CalculateGridShortConditions(gridShortSignal);
}
}
}
//
// Handle Close Trades ...
void HandleCloseTrades()
{
//
// Handle Long/Buy Close ...
if (rsiTrader.CountLongs() > 0 && CanCloseLongTrades())
{
//
rsiTrader.CloseLongPositions();
//
// Reset Grid Long Conditions ...
rsiGridLongPrice = 0;
rsiGridLongVolume = 0;
//
string message = "XRSI Closing Long Trades ...";
//
if (rsiEnableAlerts)
{
SendAlert(message);
}
else
{
LogMessage(message);
}
}
//
// Handle Short/Sell Close ...
if (rsiTrader.CountShorts() > 0 && CanCloseShortTrades())
{
//
rsiTrader.CloseShortPositions();
//
// Reset Grid Short Conditions ...
rsiGridShortPrice = 0;
rsiGridShortVolume = 0;
//
string message = "XRSI Closing Short Trades ...";
//
if (rsiEnableAlerts)
{
SendAlert(message);
}
else
{
LogMessage(message);
}
}
}
//
// Calculating Volume for Tradings ...
double CalculateVolume()
{
//
double result = rsiStaticVolume;
if (!rsiUseDynamicVolume)
{
return result;
}
//
double accountBalance = rsiAccountInfo.GetBalance();
// double accountInitialBalance = rsiAccountInfo.GetInitialBalance();
// double balanceIncreased = accountInitialBalance * rsiBalanceIncreasedFactor;
// double volumeIncreased = accountInitialBalance * rsiVolumeIncreasedFactor;
double balanceIncreased = rsiBalanceIncreased;
double volumeIncreased = rsiVolumeIncreased;
//
result = (volumeIncreased * accountBalance) / balanceIncreased;
//
// Normalize Volume ...
result = NormalizeDouble(result, 2);
//
double maxAvailableVolume = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_MAX);
double minAvailableVolume = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_MIN);
//
// Validate Result ...
if (result > maxAvailableVolume)
{
result = maxAvailableVolume;
}
else if (result < minAvailableVolume)
{
result = minAvailableVolume;
}
//
return result;
}
//
// Calculate Grid Long Trades Price and Volume ...
void CalculateGridLongConditions(XSignal &signal)
{
//
// Check Grid Trades Enable ...
if (!rsiUseGridTrades)
{
return;
}
//
// Calculate GridLongPrice and GridLongVolume ...
rsiGridLongVolume = NormalizeDouble(signal.volume * rsiGridVolumeMultiplier, 2);
rsiGridLongPrice = NormalizeDouble(signal.entry - (rsiGridDistancePips * 10 * _Point), _Digits);
}
//
// Calculate Grid Short Trades Price and Volume ...
void CalculateGridShortConditions(XSignal &signal)
{
//
// Check Grid Trades Enable ...
if (!rsiUseGridTrades)
{
return;
}
//
// Calculate GridShortPrice and GridShortVolume ...
rsiGridShortVolume = NormalizeDouble(signal.volume * rsiGridVolumeMultiplier, 2);
rsiGridShortPrice = NormalizeDouble(signal.entry + (rsiGridDistancePips * 10 * _Point), _Digits);
}
//
// Determine based on current account state
bool CanDoTrade()
{
//
bool result = true;
//
// TODO: Complete this ...
//
return true;
}
//
// END Provided Functions ...
//