Table of all trades. Accessed via MQL5
Karputov Vladimir:
How do I get a table of trades? So far, it doesn't matter from indicator or Expert Advisor. If periodically (in OnTimer() or in OnTick()) we receive the history of ticks through CopyTicks - they will be added to the arrayMqlTick.
But a simple analysis of this array will not give an answer - were there new deals or not, because the comparison of tick times is not always correct, because there may be several deals in one millisecond:
Use onBookEvent() event - it is triggered for each change of the market.
Karputov Vladimir:
Use second cutoffs. For example, in MqlTick or even in OnEvent, copy the new ticks which arrived in last second to the array. The difference between the previous value and the current size of the array will indicate the number of new ticks.
How do I get a table of trades? So far, it doesn't matter from indicator or Expert Advisor. If periodically (in OnTimer() or in OnTick()) we receive the history of ticks through CopyTicks - they will be added to the arrayMqlTick.
But a simple analysis of this array will not give an answer - were there new deals or not, because the comparison of tick times is not always correct, because there may be several deals in one millisecond:
prostotrader:
Use onBookEvent() event, it will be triggered on each change of the rate.
The cup is, roughly speaking, a "tick chart twitch" - it is not necessarily a change in the table of all trades.
Vasiliy Sokolov:
Use the second cutoffs. For example, in MqlTick or even in OnEvent copy the new ticks received during the last second into the array. The difference between the previous value and the current size of the array will indicate the number of new ticks.
Do something like a mask: 0-1-0-1, and if the mask is stable at about five and ten lines, it's a guaranteed match?
Use the second cutoffs. For example, in MqlTick or even in OnEvent copy the new ticks received during the last second into the array. The difference between the previous value and the current size of the array will indicate the number of new ticks.
Karputov Vladimir:
A bet is, to put it crudely, a "tick chart twitch" - it is not necessarily a change in the table of all trades.
If you think about it a bit, there are bound to be all trades.
Here is a simple example of the All Trades Tape indicator
//+------------------------------------------------------------------+ //| DealsLent.mq5 | //| Copyright 2016, prostotrader | //| https://www.mql5.com | //+------------------------------------------------------------------+ #property copyright "Copyright 2016, prostotrader" #property link "https://www.mql5.com" #property version "1.00" input int Ticks = 100; //Тики #property indicator_separate_window #property indicator_buffers 2 #property indicator_plots 2 //--- plot Label1 #property indicator_label1 "Sell" #property indicator_type1 DRAW_LINE #property indicator_color1 clrRed #property indicator_style1 STYLE_SOLID #property indicator_width1 1 //--- plot Label1 #property indicator_label2 "Buy" #property indicator_type2 DRAW_LINE #property indicator_color2 clrBlue #property indicator_style2 STYLE_SOLID #property indicator_width2 1 //--- indicator buffers double SellBuffer[]; double BuyBuffer[]; double sell_deals; double buy_deals; long curr_time; int event_cnt; bool on_call; //+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ int OnInit() { curr_time=0; if(!MarketBookAdd(Symbol())) { Print(__FUNCTION__,": Стакан символа "+Symbol()+" не добавден!"); return( INIT_FAILED ); } //--- Period if(Period()!=PERIOD_M1) { Print("Ошибка! Период графика должен быть 'M1'"); return( INIT_FAILED ); } //--- IndicatorSetInteger(INDICATOR_DIGITS,0); IndicatorSetString(INDICATOR_SHORTNAME,"DealsLent"); //--- SetIndexBuffer(0,SellBuffer,INDICATOR_DATA); PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE); ArraySetAsSeries(SellBuffer,true); //--- SetIndexBuffer(1,BuyBuffer,INDICATOR_DATA); PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,EMPTY_VALUE); ArraySetAsSeries(BuyBuffer,true); //--- event_cnt=0; on_call=false; return(INIT_SUCCEEDED); } //+------------------------------------------------------------------+ //| Custom indicator deinitialization function | //+------------------------------------------------------------------+ void OnDeinit(const int reason) { MarketBookRelease(Symbol()); if(reason==REASON_INITFAILED) { int window=ChartWindowFind(ChartID(),"DealsLent"); ChartIndicatorDelete(ChartID(),window,"DealsLent"); } } //+------------------------------------------------------------------+ //| Custom indicator On book event function | //+------------------------------------------------------------------+ void OnBookEvent(const string &symbol) { MqlTick ticks[]; if(symbol==Symbol()) { if(curr_time==0) { if(CopyTicks(Symbol(),ticks,COPY_TICKS_ALL,0,1)==1) { curr_time=ticks[0].time_msc; } } else { sell_deals= 0; buy_deals = 0; if(CopyTicks(Symbol(),ticks,COPY_TICKS_ALL,0,Ticks)==Ticks) { for(int i=0; i<Ticks; i++) { if(ticks[i].time_msc!=curr_time) { if(( ticks[i].flags &TICK_FLAG_BUY)==TICK_FLAG_BUY) { buy_deals++; } else if(( ticks[i].flags &TICK_FLAG_SELL)==TICK_FLAG_SELL) { sell_deals++; } } } } curr_time=ticks[0].time_msc; double price[]; on_call=true; OnCalculate(event_cnt,event_cnt,0,price); } } } //+------------------------------------------------------------------+ //| Custom indicator iteration function | //+------------------------------------------------------------------+ int OnCalculate(const int rates_total, const int prev_calculated, const int begin, const double &price[]) { if(prev_calculated==0) { ArrayInitialize(SellBuffer,EMPTY_VALUE); ArrayInitialize(BuyBuffer,EMPTY_VALUE); } else { if(rates_total==event_cnt) { if(on_call) { on_call=false; //--- for(int i=rates_total-1; i>0; i--) { SellBuffer[i]= SellBuffer[i-1]; BuyBuffer[i] = BuyBuffer[i-1]; } SellBuffer[0]= double(sell_deals); BuyBuffer[0] = double(buy_deals); } } else { if(on_call) { on_call=false; SellBuffer[0]= double(sell_deals); BuyBuffer[0] = double(buy_deals); } else { SellBuffer[0]= SellBuffer[1]; BuyBuffer[0] = BuyBuffer[1]; } } } event_cnt=rates_total; //--- return value of prev_calculated for next call return(rates_total); } //+------------------------------------------------------------------+
prostotrader:
If you think about it a bit, there are bound to be all the trades.
Here is a simple example of the All Trades Ribbon indicator
Failed to run:
2016.08.24 15:54:41.700 DealsLent (RTS-12.16,M1) array out of range in 'DealsLent.mq5' (118,25)
Karputov Vladimir:
Failed to start:
void OnBookEvent(const string &symbol)
{
MqlTick ticks[];
if(symbol==Symbol())
{
if(curr_time==0)
{
if(CopyTicks(Symbol(),ticks,COPY_TICKS_ALL,0,1)==1)
{
curr_time=ticks[0].time_msc;
}
}
else
{
sell_deals= 0;
buy_deals = 0;
if(CopyTicks(Symbol(),ticks,COPY_TICKS_ALL,0,Ticks)==Ticks)
{
for(int i=0; i<Ticks; i++)
{
if(ticks[i].time_msc!=curr_time)
{
if(( ticks[i].flags &TICK_FLAG_BUY)==TICK_FLAG_BUY)
{
buy_deals++;
}
else
if(( ticks[i].flags &TICK_FLAG_SELL)==TICK_FLAG_SELL)
{
sell_deals++;
}
}
}
curr_time=ticks[0].time_msc;
double price[];
on_call=true;
OnCalculate(event_cnt,event_cnt,0,price);
}
}
}
}
Karputov Vladimir:
Yes.
A bet is, to put it crudely, a 'tick chart twitch' - it is not necessarily a change in the table of all trades.
Do something like a mask do: 0-1-0-1, and if the mask is stable with about five and ten lines - it means a guaranteed match?Karputov Vladimir
A full-featured "All Trades Feed" indicator
//+------------------------------------------------------------------+ //| DealsLent.mq5 | //| Copyright 2016, prostotrader | //| https://www.mql5.com | //+------------------------------------------------------------------+ #property copyright "Copyright 2016, prostotrader" #property link "https://www.mql5.com" #property version "1.00" #property indicator_separate_window #property indicator_buffers 2 #property indicator_plots 2 //--- plot Label1 #property indicator_label1 "Sell" #property indicator_type1 DRAW_LINE #property indicator_color1 clrRed #property indicator_style1 STYLE_SOLID #property indicator_width1 1 //--- plot Label1 #property indicator_label2 "Buy" #property indicator_type2 DRAW_LINE #property indicator_color2 clrBlue #property indicator_style2 STYLE_SOLID #property indicator_width2 1 //--- indicator buffers double SellBuffer[]; double BuyBuffer[]; double sell_deals; double buy_deals; ulong start_time; int event_cnt; bool on_call; //+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ int OnInit() { start_time=0; if(!MarketBookAdd(Symbol())) { Print(__FUNCTION__,": Стакан символа "+Symbol()+" не добавден!"); return( INIT_FAILED ); } //--- Bars int bars=Bars(Symbol(),PERIOD_CURRENT); if (bars<3) { Print(__FUNCTION__,": Не достаточно баров на текущем таймфрейме!"); return( INIT_FAILED ); } //--- IndicatorSetInteger(INDICATOR_DIGITS,0); IndicatorSetString(INDICATOR_SHORTNAME,"DealsLent"); //--- SetIndexBuffer(0,SellBuffer,INDICATOR_DATA); PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE); ArraySetAsSeries(SellBuffer,true); //--- SetIndexBuffer(1,BuyBuffer,INDICATOR_DATA); PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,EMPTY_VALUE); ArraySetAsSeries(BuyBuffer,true); //--- event_cnt=0; on_call=false; return(INIT_SUCCEEDED); } //+------------------------------------------------------------------+ //| Custom indicator deinitialization function | //+------------------------------------------------------------------+ void OnDeinit(const int reason) { MarketBookRelease(Symbol()); if(reason==REASON_INITFAILED) { int window=ChartWindowFind(ChartID(),"DealsLent"); ChartIndicatorDelete(ChartID(),window,"DealsLent"); } } //+------------------------------------------------------------------+ //| Custom indicator On book event function | //+------------------------------------------------------------------+ void OnBookEvent(const string &symbol) { MqlTick ticks[]; if(symbol==Symbol()) { if(start_time==0) { if(CopyTicks(Symbol(),ticks,COPY_TICKS_ALL,0,1)==1) { start_time=ulong(ticks[0].time_msc); } } else { sell_deals= 0; buy_deals = 0; int copied= CopyTicks(Symbol(),ticks,COPY_TICKS_ALL,start_time,0); if(copied>0) { for(int i=0; i<copied; i++) { if(( ticks[i].flags &TICK_FLAG_BUY)==TICK_FLAG_BUY) { buy_deals++; } else if(( ticks[i].flags &TICK_FLAG_SELL)==TICK_FLAG_SELL) { sell_deals++; } } start_time=ulong(ticks[copied - 1].time_msc); double price[]; on_call=true; OnCalculate(event_cnt,event_cnt,0,price); } } } } //+------------------------------------------------------------------+ //| Custom indicator iteration function | //+------------------------------------------------------------------+ int OnCalculate(const int rates_total, const int prev_calculated, const int begin, const double &price[]) { if(prev_calculated==0) { ArrayInitialize(SellBuffer,EMPTY_VALUE); ArrayInitialize(BuyBuffer,EMPTY_VALUE); } else { if(rates_total==event_cnt) { if(on_call) { on_call=false; //--- for(int i=rates_total-1; i>0; i--) { SellBuffer[i]= SellBuffer[i-1]; BuyBuffer[i] = BuyBuffer[i-1]; } SellBuffer[0]= double(sell_deals); BuyBuffer[0] = double(buy_deals); } } else { if(on_call) { on_call=false; SellBuffer[0]= double(sell_deals); BuyBuffer[0] = double(buy_deals); } else { SellBuffer[0]= SellBuffer[1]; BuyBuffer[0] = BuyBuffer[1]; } } } event_cnt=rates_total; //--- return value of prev_calculated for next call return(rates_total); } //+------------------------------------------------------------------+
prostotrader:
Thanks a lot ! I had an idea about it the other day
Karputov Vladimir
A full-featured "All Trades Feed" indicator
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How do I get a table of trades? So far, it doesn't matter from indicator or Expert Advisor. If periodically (in OnTimer() or in OnTick()) we receive the history of ticks through CopyTicks - they will be added to the arrayMqlTick.
But a simple analysis of this array will not give an answer - were there new deals or not, because the comparison of tick times is not always correct, because there may be several deals in one millisecond: