MQL5 Cookbook: 开发多品种指标分析价格偏离
Anatoli Kazharski | 25 六月, 2014
介绍
在本篇中, 我们将研究开发一款多品种指标来分析指定时间周期内的价格偏离。其核心议题已经在之前的多货币对指标编程文章中进行过讨论 "MQL5 Cookbook: 用 MQL5 开发多品种波动指标"。所以这次，我们将仅关注那些有了大幅变化的新特征和功能。如果您是多货币对指标编程的新人, 我建议您先去阅读之前的文章。
在本篇中我们将研究以下问题:
- 改变图表属性。
- 处理 CHARTEVENT_OBJECT_DRAG（拖拽图表对象）以及 CHARTEVENT_CHART_CHANGE (使用属性对话框缩放图表或修改图表属性) 事件。
- 使用多种颜色渲染指标缓存区。
- 在指标缓存区的可视区域内定义最高和最低，来设置图表的最高/最低。
- 序列翻转。
我们的指标代码数量十分庞大, 大概有 1500 行。所以, 我们将所有函数分成若干分离的文件，并在主项目文件中链接它们。此处将有三类外部函数文件:
- Checks.mqh - 执行各种检查并下载可用数据的函数。
- Objects.mqh - 管理图形对象的函数。
- Chart.mqh - 管理图表属性的函数。
所有不属于以上分类的函数，将会留在主文件中。
指标开发
下一步进行指标编程。首先我们需要创建一个新项目。为此, 在 Metatrader 5\MQL5\Indicators 目录中创建与我们的指标同名的文件夹, 并在 Include 文件夹中我们会放置包含文件。下一步, 在指标文件夹中创建主文件。可以通过手工创建带有 *.mq5 后缀的文本文件，或使用 MQL5 向导 的模板。加上程序核心函数 OnInit(), OnDeinit() 和 OnCalculate() , 我们还使用了 OnChartEvent() 以及 OnTimer()。
就像在之前的文章中, 加上当前品种，我们将显示外部参数中指定的五个品种。但此时, 替代某些公式的计算数值, 我们将在图表上输出原始价格数据。用户可在外部参数的下拉列表中自由选择呈现的数据类型: 折线, 柱线 或 蜡烛条。
如果我们打算就显示单色数据线, 那么指定缓存区数量等于指标属性中的品种数量就足够了。 (#property). 但既然此处有两种模式来绘制序列作为柱线或蜡烛条, 我们就需要更多的缓存区用于双色模式: 丝瓜缓存区来渲染每个序列，并用一个缓存区来为每一个图形序列元素设置颜色（依据条件）。
对于每个序列，它需要在程序属性块中指定颜色。为此，简单地将它们列出清单，并用逗号分隔。第一个颜色用于单色模式。在双色模式中, 它用于阳线。第二个颜色用于双色模式中的阴线。
所有这些参数的代码提供如下:
#property indicator_chart_window // Indicator is in the main window #property indicator_buffers 25 // Number of buffers for indicator calculation #property indicator_plots 5 // Number of plotting series //--- Indicator buffers colors #property indicator_color1 clrDodgerBlue,C'0,50,100' #property indicator_color2 clrLimeGreen,C'20,80,20' #property indicator_color3 clrGold,C'160,140,0' #property indicator_color4 clrAqua,C'0,140,140' #property indicator_color5 clrMagenta,C'130,0,130'
使用 #define 语句可以声明常量，并且使用 #include 命令行可以包含已经在上边描述的函数文件, 以及来自 标准库 的画布类:
//--- Constants #define RESET 0 // Returning the indicator recalculation command to the terminal #define SYMBOLS_COUNT 5 // Number of symbols //--- Include the class for working with the canvas #include <Canvas\Canvas.mqh> //--- Include the class for working with the canvas #include "Include/Checks.mqh" #include "Include/Chart.mqh" #include "Include/Objects.mqh"
加入 ENUM_DRAWTYPE 和 ENUM_START_POINT 枚举来创建用于外部参数的下拉列表，以便选择价格数据绘制类型，和价格偏离模式的起始点数:
//--- Drawing type of the price data enum ENUM_DRAWTYPE { LINE =0, // Line BARS =1, // Bars CANDLES=2 // Candlesticks }; //--- Mode of the price divergence starting point enum ENUM_START_POINT { VERTICAL_LINE=0, // Vertical line MONTH =1, // Month WEEK =2, // Week DAY =3, // Day HOUR =4 // Hour };
数据渲染类型已经在前面描述过, 现在让我们来说说价格偏离起始点数的含义。
总共此处有五种模式: 垂直线, 月线, 周线, 日线 和 小时线。对于 垂直线 模式, 当在图表中加载指标时会加入一条垂直线。您可以拖拽此线到指定柱线，此处所有品种的价格将会汇聚到一点。当前品种指定柱线的开盘价格将会作为这次汇聚的参考点。任何其它模式将告知程序，每次价格将在指定周期的开始汇聚。即，在每月的开始, 在每周的开始, 在每天的开始或在每小时的开始。
以下您可以发现指标的输入参数列表:
//--- External parameters input ENUM_DRAWTYPE DrawType =CANDLES; // Drawing type input ENUM_START_POINT StartPriceDivergence =VERTICAL_LINE; // Start of price divergence input bool TwoColor =false; // Two-color bars/candlesticks sinput string dlm01=""; //- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - input string Symbol02 ="GBPUSD"; // Symbol 2 input bool Inverse02 =false; // Inverse symbol 2 input string Symbol03 ="AUDUSD"; // Symbol 3 input bool Inverse03 =false; // Inverse symbol 3 input string Symbol04 ="NZDUSD"; // Symbol 4 input bool Inverse04 =false; // Inverse symbol 4 input string Symbol05 ="USDCAD"; // Symbol 5 input bool Inverse05 =false; // Inverse symbol 5 input string Symbol06 ="USDCHF"; // Symbol 6 input bool Inverse06 =false; // Inverse symbol 6
品种数量从 2 开始, 因为 1 是当前图表品种。
可以对每个包含的品种进行翻转。翻转意即品种数据将会被上下颠倒。这很有用，当分析品种列表中的货币对含有相同货币 (例如, 美元) 则它们就有了同样的基准。例如, 在 EURUSD 货币对中, 美元是基准货币, 在 USDCHF 货币对中也可以作为基准。如果图表中的当前品种是 EURUSD, 那么您翻转 USDCHF, 其呈现结果将更便于您的分析。
以下是全局变量和数组列表:
//--- Structure of the indicator buffers arrays struct buffers { double open[]; // Open prices buffer double high[]; // High prices buffer double low[]; // Low prices buffer double close[]; // Close prices buffer double icolor[]; // Buffer to determine the color of element }; buffers buffer_data[SYMBOLS_COUNT]; //--- Load the class CCanvas canvas; //--- Variables/arrays for copying data from OnCalculate() int OC_rates_total =0; // Size of input time series int OC_prev_calculated =0; // Bars processed at the previous call datetime OC_time[]; // Opening time double OC_open[]; // Open prices double OC_high[]; // High prices double OC_low[]; // Low prices double OC_close[]; // Close prices long OC_tick_volume[]; // Tick volumes long OC_volume[]; // Real volumes int OC_spread[]; // Spread //--- For the purpose of storing and checking the time of the first bar in the terminal datetime series_first_date[SYMBOLS_COUNT]; datetime series_first_date_last[SYMBOLS_COUNT]; //--- Time array of the bar from which we will start drawing datetime limit_time[SYMBOLS_COUNT]; //--- Symbol names array string symbol_names[SYMBOLS_COUNT]; //--- Array of symbol inverse flags bool inverse[SYMBOLS_COUNT]; //--- Colors of indicator lines color line_colors[SYMBOLS_COUNT]={clrDodgerBlue,clrLimeGreen,clrGold,clrAqua,clrMagenta}; //--- String representing the lack of the symbol string empty_symbol="EMPTY"; //--- Chart properties int window_number =WRONG_VALUE; // Indicator window number int chart_width =0; // Chart width int chart_height =0; // Chart height int last_chart_width =0; // Last saved chart width int last_chart_height =0; // Last saved chart height int chart_center_x =0; // Horizontal center of chart int chart_center_y =0; // Vertical center of chart color color_bar_up =clrRed; // Up bar color color color_bar_down =C'100,0,0'; // Down bar color string indicator_shortname ="MS_PriceDivergence"; // Short name of the indicator string prefix =indicator_shortname+"_"; // Prefix for objects //--- Name of vertical line of the price divergence starting point string start_price_divergence=prefix+"start_price_divergence"; //--- Canvas properties string canvas_name =prefix+"canvas"; // Canvas name color canvas_background =clrBlack; // Canvas background color uchar canvas_opacity =190; // Opacity int font_size =16; // Font size string font_name ="Calibri"; // Font ENUM_COLOR_FORMAT clr_format =COLOR_FORMAT_ARGB_RAW; // Color components should be correctly set by the user //--- Canvas messages string msg_prepare_data ="Preparing data! Please wait..."; string msg_not_synchronized ="Unsynchronized data! Please wait..."; string msg_load_data =""; string msg_sync_update =""; string msg_last =""; //--- ENUM_TIMEFRAMES timeframe_start_point =Period(); // Timeframe for the price divergence starting point datetime first_period_time =NULL; // Time of the first specified period on chart double divergence_price =0.0; // Price of the price divergence starting point datetime divergence_time =NULL; // Time of the price divergence starting point double symbol_difference[SYMBOLS_COUNT]; // Difference in price relative to the current symbol double inverse_difference[SYMBOLS_COUNT]; // Difference that is formed when calculating inversion
之后, 我们将研究指标初始化过程中使用的函数。大体上，与之前文章中的 OnInit() 函数相比，此处没有主要的变化。
我们来加入指标是否正在使用的检查。问题的关键是目前终端的开发者还没有实现在策略测试员中控制图表属性的所有功能，所以我们限制指标只能用在策略测试员之外。为了实现这个目的，我们将写一个简单的函数 - CheckTesterMode()。它将位于 Checks.mqh 文件:
//+------------------------------------------------------------------+ //| Checks if indicator is used in Strategy Tester | //+------------------------------------------------------------------+ bool CheckTesterMode() { //--- Report that indicator is not intended to be used in Strategy Tester if(MQLInfoInteger(MQL_TESTER) || MQLInfoInteger(MQL_VISUAL_MODE) || MQLInfoInteger(MQL_OPTIMIZATION)) { Comment("Currently, the <- "+MQLInfoString(MQL_PROGRAM_NAME)+" -> indicator is not intended to be used in Strategy Tester!"); return(false); } //--- return(true); }
其它新函数 SetBarsColors() 意在为当前品种的柱线/蜡烛条设置颜色。它位于 Chart.mqh 文件。
//+------------------------------------------------------------------+ //| Sets colors for the current symbol bars | //+------------------------------------------------------------------+ void SetBarsColors() { //--- Color for the up bar, shadows and body borders of bull candlesticks ChartSetInteger(0,CHART_COLOR_CHART_UP,color_bar_up); //--- Body color of a bull candlestick ChartSetInteger(0,CHART_COLOR_CANDLE_BULL,color_bar_up); //--- Line chart color and color of "Doji" Japanese candlesticks ChartSetInteger(0,CHART_COLOR_CHART_LINE,color_bar_up); //--- For two-color mode if(TwoColor) { //--- Color for the down bar, shadows and body borders of bear candlesticks ChartSetInteger(0,CHART_COLOR_CHART_DOWN,color_bar_down); //--- Body color of a bear candlestick ChartSetInteger(0,CHART_COLOR_CANDLE_BEAR,color_bar_down); } //--- If two-color mode is turned off else { //--- Color for the down bar, shadows and body borders of bear candlesticks ChartSetInteger(0,CHART_COLOR_CHART_DOWN,color_bar_up); //--- Body color of a bear candlestick ChartSetInteger(0,CHART_COLOR_CANDLE_BEAR,color_bar_up); } }
在初始化阶段, 我们需要确定哪个模式在 StartPriceDivergence 外部参数中被选择。如果 垂直线 被选择, 则 timeframe_start_point 全局变量将被分配省缺值, 即，当前时间帧。否则，将会应用选择的时间帧。出于此目的, 让我们来写 InitStartPointTF() 函数:
//+------------------------------------------------------------------+ //| Identifies timeframe for the price starting point mode | //+------------------------------------------------------------------+ void InitStartPointTF() { //--- Exit if vertical line mode is selected if(StartPriceDivergence==VERTICAL_LINE) return; //--- Otherwise define the timeframe switch(StartPriceDivergence) { case MONTH : timeframe_start_point=PERIOD_MN1; break; case WEEK : timeframe_start_point=PERIOD_W1; break; case DAY : timeframe_start_point=PERIOD_D1; break; case HOUR : timeframe_start_point=PERIOD_H1; break; } }
此 CheckInputParameters() 函数不像之前文章中的那个，现在它看上去像这样:
//+------------------------------------------------------------------+ //| Checks input parameters for correctness | //+------------------------------------------------------------------+ bool CheckInputParameters() { //--- For all other modes except the 'Vertical Line' if(StartPriceDivergence!=VERTICAL_LINE) { //--- If the current period is greater than or equal to the specified period of the price divergence starting point, report of it and exit if(PeriodSeconds()>=PeriodSeconds(timeframe_start_point)) { Print("Current timeframe should be less than one specified in the Start Price Divergence parameter!"); Comment("Current timeframe should be less than one specified in the Start Price Divergence parameter!"); return(false); } } //--- return(true); }
数组的初始化就像以前文章中一样。仅有名称和数组数量被改变。
//+------------------------------------------------------------------+ //| First initialization of arrays | //+------------------------------------------------------------------+ void InitArrays() { ArrayInitialize(limit_time,NULL); ArrayInitialize(symbol_difference,0.0); ArrayInitialize(inverse_difference,0.0); ArrayInitialize(series_first_date,NULL); ArrayInitialize(series_first_date_last,NULL); //--- for(int s=0; s<SYMBOLS_COUNT; s++) { ArrayInitialize(buffer_data[s].open,EMPTY_VALUE); ArrayInitialize(buffer_data[s].high,EMPTY_VALUE); ArrayInitialize(buffer_data[s].low,EMPTY_VALUE); ArrayInitialize(buffer_data[s].close,EMPTY_VALUE); ArrayInitialize(buffer_data[s].icolor,EMPTY_VALUE); } } //+------------------------------------------------------------------+ //| Initializes array of symbols | //+------------------------------------------------------------------+ void InitSymbolNames() { symbol_names[0]=AddSymbolToMarketWatch(Symbol02); symbol_names[1]=AddSymbolToMarketWatch(Symbol03); symbol_names[2]=AddSymbolToMarketWatch(Symbol04); symbol_names[3]=AddSymbolToMarketWatch(Symbol05); symbol_names[4]=AddSymbolToMarketWatch(Symbol06); } //+------------------------------------------------------------------+ //| Initializes array of inversions | //+------------------------------------------------------------------+ void InitInverse() { inverse[0]=Inverse02; inverse[1]=Inverse03; inverse[2]=Inverse04; inverse[3]=Inverse05; inverse[4]=Inverse06; }
显著的变化是在 SetIndicatorProperties() 函数中。事实上，这是一个全新的函数。现在, 依据选择的数据渲染模式, 在初始化阶段设置相对应的属性。
//+------------------------------------------------------------------+ //| Sets indicator properties | //+------------------------------------------------------------------+ void SetIndicatorProperties() { //--- Set the short name IndicatorSetString(INDICATOR_SHORTNAME,indicator_shortname); //--- Set the number of decimal digits IndicatorSetInteger(INDICATOR_DIGITS,_Digits); //--- In the 'Line' mode we need only one buffers that displays the open price if(DrawType==LINE) { for(int s=0; s<SYMBOLS_COUNT; s++) SetIndexBuffer(s,buffer_data[s].close,INDICATOR_DATA); } //--- In other modes we use all prices for drawing // bars/candlesticks and additional buffer for the two-color mode else if(DrawType==BARS || DrawType==CANDLES) { for(int s=0; s<SYMBOLS_COUNT; s++) { static int buffer_number=0; SetIndexBuffer(buffer_number,buffer_data[s].open,INDICATOR_DATA); buffer_number++; SetIndexBuffer(buffer_number,buffer_data[s].high,INDICATOR_DATA); buffer_number++; SetIndexBuffer(buffer_number,buffer_data[s].low,INDICATOR_DATA); buffer_number++; SetIndexBuffer(buffer_number,buffer_data[s].close,INDICATOR_DATA); buffer_number++; SetIndexBuffer(buffer_number,buffer_data[s].icolor,INDICATOR_COLOR_INDEX); buffer_number++; } } //--- Set labels for the current timeframe // In the 'Line' mode only opening price is used if(DrawType==LINE) { for(int s=0; s<SYMBOLS_COUNT; s++) PlotIndexSetString(s,PLOT_LABEL,symbol_names[s]+",Close"); } //--- In other modes all prices of bars/candlesticks // ";" is used as a separator else if(DrawType==BARS || DrawType==CANDLES) { for(int s=0; s<SYMBOLS_COUNT; s++) { PlotIndexSetString(s,PLOT_LABEL, symbol_names[s]+",Open;"+ symbol_names[s]+",High;"+ symbol_names[s]+",Low;"+ symbol_names[s]+",Close"); } } //--- Set the type of lines for indicator buffers //--- Line if(DrawType==LINE) for(int s=0; s<SYMBOLS_COUNT; s++) PlotIndexSetInteger(s,PLOT_DRAW_TYPE,DRAW_LINE); //--- Bars if(DrawType==BARS) for(int s=0; s<SYMBOLS_COUNT; s++) PlotIndexSetInteger(s,PLOT_DRAW_TYPE,DRAW_COLOR_BARS); //--- Candlesticks if(DrawType==CANDLES) for(int s=0; s<SYMBOLS_COUNT; s++) PlotIndexSetInteger(s,PLOT_DRAW_TYPE,DRAW_COLOR_CANDLES); //--- Set the type of lines for data of current symbol //--- Line if(DrawType==LINE) ChartSetInteger(0,CHART_MODE,CHART_LINE); //--- Bars if(DrawType==BARS) ChartSetInteger(0,CHART_MODE,CHART_BARS); //--- Candlesticks if(DrawType==CANDLES) ChartSetInteger(0,CHART_MODE,CHART_CANDLES); //--- Set the line width for(int s=0; s<SYMBOLS_COUNT; s++) PlotIndexSetInteger(s,PLOT_LINE_WIDTH,1); //--- Set the line color for the 'Line' mode if(DrawType==LINE) for(int s=0; s<SYMBOLS_COUNT; s++) PlotIndexSetInteger(s,PLOT_LINE_COLOR,line_colors[s]); //--- Display data in Data Window only for existing symbols for(int s=0; s<SYMBOLS_COUNT; s++) { if(symbol_names[s]!=empty_symbol) PlotIndexSetInteger(s,PLOT_SHOW_DATA,true); else PlotIndexSetInteger(s,PLOT_SHOW_DATA,false); } //--- Empty value for plotting where nothing will be drawn for(int s=0; s<SYMBOLS_COUNT; s++) PlotIndexSetDouble(s,PLOT_EMPTY_VALUE,EMPTY_VALUE); }
最后, 其它新函数 SetDivergenceLine() 用在 OnInit()中。它在 垂直线 模式中，设置绿色垂直线来操控价格偏离开始点数。
//+------------------------------------------------------------------+ //| Sets vertical line for price divergence starting point | //+------------------------------------------------------------------+ void SetDivergenceLine() { //--- If there is no vertical line yet, set it if(StartPriceDivergence==VERTICAL_LINE && ObjectFind(0,start_price_divergence)<0) //--- Place a vertical line on the true bar CreateVerticalLine(0,0,TimeCurrent()+PeriodSeconds(),start_price_divergence, 2,STYLE_SOLID,clrGreenYellow,true,true,false,"","\n"); //--- For all other modes except the 'Vertical Line' if(StartPriceDivergence!=VERTICAL_LINE) DeleteObjectByName(start_price_divergence); }
以下所呈现的，是所有之前在 OnInit() 函数中描述过的。当所有的代码分成不同的函数和文件, 它变得更利于阅读和编写代码。
//+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ int OnInit() { //--- Check if indicator is currently being used in Strategy Tester if(!CheckTesterMode()) return(INIT_FAILED); //--- Set the color for bars/candlesticks SetBarsColors(); //--- Define the timeframe for the price divergence starting point InitStartPointTF(); //--- Check input parameters for correctness if(!CheckInputParameters()) return(INIT_PARAMETERS_INCORRECT); //--- Set the timer at 1-second intervals EventSetMillisecondTimer(1000); //--- Set the font to be displayed on the canvas canvas.FontSet(font_name,font_size,FW_NORMAL); //--- Initialization of arrays InitArrays(); //--- Initialize the array of symbols InitSymbolNames(); //--- Initialize the array of inversions InitInverse(); //--- Set indicator properties SetIndicatorProperties(); //--- Set vertical line of the price divergence start SetDivergenceLine(); //--- Clear the comment Comment(""); //--- Refresh the chart ChartRedraw(); //--- Initialization completed successfully return(INIT_SUCCEEDED); }
在 OnCalculate() 函数中, 程序代码维持不变。在之前的文章中，在所有的可用数据检查完成之后，程序首先填充辅助数组，然后才用准备好的数据填充指标缓存区。这次我们尝试在一个单循环中分配所有的事情。
我做了验证函数，并且加载数据更加严格。现在，您想要的每个数值都会经过几次尝试。如果数值已经获取，则循环停止。而且因为现在我们有若干模式，我们需要确定一个周期的开始 (月, 周, 日, 小时)，那么我们将通过更高的时间帧得到周期的开始时间。所以，我创建了一个类似于 LoadAndFormData() 的附加函数，它有一个相似的名称 LoadAndFormDataHighTF()。它的代码十分类似于原来的那个, 所以我没有把它贴在这里。
用于当前以及更高时间帧的数据验证已经在一个函数 CheckAvailableData() 中实现:
//+------------------------------------------------------------------+ //| Checks the amount of available data for all symbols | //+------------------------------------------------------------------+ bool CheckAvailableData() { int attempts=100; //--- for(int s=0; s<SYMBOLS_COUNT; s++) { //--- If this symbol is available if(symbol_names[s]!=empty_symbol) { datetime time[]; // Array for checking the number of bars int total_period_bars =0; // Number of bars of the current period datetime terminal_first_date =NULL; // First date of the current time frame data available in the terminal //--- Get the first date of the current time frame data in the terminal terminal_first_date=(datetime)SeriesInfoInteger(symbol_names[s],Period(),SERIES_TERMINAL_FIRSTDATE); //--- Get the number of available bars from the date specified total_period_bars=Bars(symbol_names[s],Period(),terminal_first_date,TimeCurrent()); //--- Check the readiness of bar data for(int i=0; i<attempts; i++) { //--- Copy the specified amount of data if(CopyTime(symbol_names[s],Period(),0,total_period_bars,time)) { //--- If the required amount has been copied, terminate the loop if(ArraySize(time)>=total_period_bars) break; } } //--- If the amount of data copied is not sufficient, one more attempt is required if(ArraySize(time)==0 || ArraySize(time)<total_period_bars) { msg_last=msg_prepare_data; ShowCanvasMessage(msg_prepare_data); OC_prev_calculated=0; return(false); } } } //--- Exit if current mode is vertical line of the price divergence starting point if(StartPriceDivergence==VERTICAL_LINE) return(true); else { datetime time[]; // Array for checking the number of bars int total_period_bars =0; // Number of bars of the current period datetime terminal_first_date =NULL; // First date of the current time frame data available in the terminal //--- Get the first date of the current time frame data in the terminal for(int i=0; i<attempts; i++) if((terminal_first_date=(datetime)SeriesInfoInteger(Symbol(),Period(),SERIES_FIRSTDATE))>0) break; //--- Get the number of available bars from the date specified for(int i=0; i<attempts; i++) if((total_period_bars=(int)SeriesInfoInteger(Symbol(),timeframe_start_point,SERIES_BARS_COUNT))>0) break; //--- Check the readiness of bar data for(int i=0; i<attempts; i++) //--- Copy the specified amount of data if(CopyTime(Symbol(),timeframe_start_point, terminal_first_date+PeriodSeconds(timeframe_start_point),TimeCurrent(),time)>0) break; //--- If the amount of data copied is not sufficient, one more attempt is required if(ArraySize(time)<=0 || total_period_bars<=0) { msg_last=msg_prepare_data; ShowCanvasMessage(msg_prepare_data); OC_prev_calculated=0; return(false); } } //--- return(true); }
此 FillIndicatorBuffers() 函数为了当前任务已变得明显复杂。这是由于事实上有多种模式，并且它们中的每一个都需要它自己的动作。实际上, 所有事情可分成四步。
- 获得制定品种数据。
- 获得更高时间帧的数据, 并确定当所有品种汇聚时的时间及价格水平。
- 计算数值并填充指标缓存区。
- 验证计算的数值。
函数代码提供了详尽的注释以便于您的研究:
//+------------------------------------------------------------------+ //| Fills indicator buffers | //+------------------------------------------------------------------+ void FillIndicatorBuffers(int i,int s,datetime const &time[]) { MqlRates rates[]; // Data structure double period_open[]; // Opening price for bar at the price divergence starting point datetime period_time[]; // Time of the price divergence starting point int attempts=100; // Number of copying attempts datetime high_tf_time=NULL; // Time of higher timeframe's bar //--- Exit if we are out of "true" bars zone if(time[i]<limit_time[s]) return; //--- Reset the last error ResetLastError(); //--- Get data of current bar for the specified symbol for(int j=0; j<attempts; j++) if(CopyRates(symbol_names[s],Period(),time[i],1,rates)==1) { ResetLastError(); break; } //--- Exit if failed to get data if(ArraySize(rates)<1 || GetLastError()!=0) return; //--- If the current time is before the first timeframe's time or // bar time is not equal to the bar time of the current symbol or // empty values are fetched if(rates[0].time==NULL || time[i]!=rates[0].time || time[i]<first_period_time || rates[0].low==EMPTY_VALUE || rates[0].open==EMPTY_VALUE || rates[0].high==EMPTY_VALUE || rates[0].close==EMPTY_VALUE) { //--- Write empty value if(DrawType!=LINE) { buffer_data[s].low[i] =EMPTY_VALUE; buffer_data[s].open[i] =EMPTY_VALUE; buffer_data[s].high[i] =EMPTY_VALUE; } buffer_data[s].close[i]=EMPTY_VALUE; return; } //--- If current mode is vertical line of the price divergence starting point if(StartPriceDivergence==VERTICAL_LINE) { //--- Get the time of the line divergence_time=(datetime)ObjectGetInteger(0,start_price_divergence,OBJPROP_TIME); //--- Get the time of the first bar first_period_time=time[0]; } //--- For all other modes, we will keep track the beginning of period else { //--- If we are here for the first time, store data of the first bar of higher timeframe if(divergence_time==NULL) { ResetLastError(); //--- Get opening time of the first bar of higher timeframe for(int j=0; j<attempts; j++) if(CopyTime(Symbol(),timeframe_start_point,time[0]+PeriodSeconds(timeframe_start_point),1,period_time)==1) { ResetLastError(); break; } //--- Exit if failed to get price/time if(ArraySize(period_time)<1 || GetLastError()!=0) return; //--- Otherwise store time of the first bar of higher timeframe else first_period_time=period_time[0]; } //--- If current bar's time on the current timeframe is before the first bar's time on higher timeframe if(time[i]<first_period_time) high_tf_time=first_period_time; //--- Otherwise we will receive data of the last bar of the higher timeframe with respect to the current bar on the current timeframe else high_tf_time=time[i]; //--- Reset the last error ResetLastError(); //--- Get the opening price of the first bar of the higher timeframe for(int j=0; j<attempts; j++) if(CopyOpen(Symbol(),timeframe_start_point,high_tf_time,1,period_open)==1) { ResetLastError(); break; } //--- Get opening time of the first bar of higher timeframe for(int j=0; j<attempts; j++) if(CopyTime(Symbol(),timeframe_start_point,high_tf_time,1,period_time)==1) { ResetLastError(); break; } //--- Exit if failed to get price/time if(ArraySize(period_open)<1 || ArraySize(period_time)<1 || GetLastError()!=0) return; //--- If the current timeframe's time is before the first period's time or // time of specified period is not equal to the one in memory if(time[i]<first_period_time || divergence_time!=period_time[0]) { symbol_difference[s] =0.0; // Zero out difference in symbol prices inverse_difference[s] =0.0; // Zero our difference of inversion //--- Store time of the price divergence starting point divergence_time=period_time[0]; //--- Store price of the price divergence starting point divergence_price=period_open[0]; //--- Set vertical line in the beginning of the price divergence start CreateVerticalLine(0,0,period_time[0],start_price_divergence+"_"+TimeToString(divergence_time), 2,STYLE_SOLID,clrWhite,false,false,true,TimeToString(divergence_time),"\n"); } } //--- If current mode is 'Vertical Line' and bar's time is less than line's time if(StartPriceDivergence==VERTICAL_LINE && time[i]<divergence_time) { //--- Keep zero values of difference symbol_difference[s] =0.0; inverse_difference[s] =0.0; //--- For the 'Line' drawing mode only opening price is used if(DrawType==LINE) buffer_data[s].close[i]=rates[0].close-symbol_difference[s]; //--- For all other modes all prices are used else { buffer_data[s].low[i] =rates[0].low-symbol_difference[s]; buffer_data[s].open[i] =rates[0].open-symbol_difference[s]; buffer_data[s].high[i] =rates[0].high-symbol_difference[s]; buffer_data[s].close[i] =rates[0].close-symbol_difference[s]; //--- Set color for the current element of indicator buffer SetBufferColorIndex(i,s,rates[0].close,rates[0].open); } } //--- For all other modes else { //--- If inversion of symbol data is required if(inverse[s]) { //--- If new period has started, recalculate variables if(symbol_difference[s]==0.0) { //--- For the 'Vertical Line' mode if(StartPriceDivergence==VERTICAL_LINE) { //--- Calculate the difference symbol_difference[s] =rates[0].open-OC_open[i]; inverse_difference[s] =OC_open[i]-(-OC_open[i]); } //--- For all other modes else { //--- Calculate the difference symbol_difference[s] =rates[0].open-divergence_price; inverse_difference[s] =divergence_price-(-divergence_price); } } //--- In the 'Line' mode only opening price is used if(DrawType==LINE) buffer_data[s].close[i]=-(rates[0].close-symbol_difference[s])+inverse_difference[s]; //--- For all other modes all prices are used else { buffer_data[s].low[i] =-(rates[0].low-symbol_difference[s])+inverse_difference[s]; buffer_data[s].open[i] =-(rates[0].open-symbol_difference[s])+inverse_difference[s]; buffer_data[s].high[i] =-(rates[0].high-symbol_difference[s])+inverse_difference[s]; buffer_data[s].close[i] =-(rates[0].close-symbol_difference[s])+inverse_difference[s]; //--- Set color for the current element of indicator buffer SetBufferColorIndex(i,s,rates[0].close,rates[0].open); } } //--- If inversion is not used, then we need to calculate only the difference between symbol prices at the beginning of period else { //--- If new period has started if(symbol_difference[s]==0.0) { //--- For the 'Vertical Line' mode if(StartPriceDivergence==VERTICAL_LINE) symbol_difference[s]=rates[0].open-OC_open[i]; //--- For all other modes else symbol_difference[s]=rates[0].open-divergence_price; } //--- For the 'Line' drawing mode only opening price is used if(DrawType==LINE) buffer_data[s].close[i]=rates[0].close-symbol_difference[s]; //--- For all other modes all prices are used else { buffer_data[s].low[i] =rates[0].low-symbol_difference[s]; buffer_data[s].open[i] =rates[0].open-symbol_difference[s]; buffer_data[s].high[i] =rates[0].high-symbol_difference[s]; buffer_data[s].close[i] =rates[0].close-symbol_difference[s]; //--- Set color for the current element of indicator buffer SetBufferColorIndex(i,s,rates[0].close,rates[0].open); } } } //--- Verification of the calculated values // In the 'Line' mode only opening price is used if(DrawType==LINE) { //--- If the current time is before the first timeframe's time or // bar time is not equal to the bar time, write empty value if(time[i]!=rates[0].time || time[i]<first_period_time) buffer_data[s].close[i]=EMPTY_VALUE; } //--- For all other modes all prices are used else { //--- If the current time is before the first timeframe's time or // bar time is not equal to the bar time of the current symbol or // empty values are fetched if(rates[0].time==NULL || time[i]!=rates[0].time || time[i]<first_period_time || rates[0].low==EMPTY_VALUE || rates[0].open==EMPTY_VALUE || rates[0].high==EMPTY_VALUE || rates[0].close==EMPTY_VALUE) { //--- Write empty value buffer_data[s].low[i] =EMPTY_VALUE; buffer_data[s].open[i] =EMPTY_VALUE; buffer_data[s].high[i] =EMPTY_VALUE; buffer_data[s].close[i] =EMPTY_VALUE; } } }
当学习以上函数时，您可能注意到另一个定制函数 SetBufferColorIndex()。这个函数设置指标颜色缓存区的颜色。
//+------------------------------------------------------------------+ //| Sets the color for buffer element by condition | //+------------------------------------------------------------------+ void SetBufferColorIndex(int i,int symbol_number,double close,double open) { //--- For two-color mode, check condition if(TwoColor) { //--- If the closing price is more than the opening price, this is up bar, so we use the first color if(close>open) buffer_data[symbol_number].icolor[i]=0; //--- otherwise it is down bar, so we use the second color else buffer_data[symbol_number].icolor[i]=1; } //--- For one-color mode we use the first color for all bars/candlesticks else buffer_data[symbol_number].icolor[i]=0; }
一旦指标缓存区被填充, 我们需要确定图表窗口中当前可视区域的所有最大和最小值。MQL5 可以得到图表窗口第一个可视柱线，以及可视柱线数量。我们将在另一个定制函数 CorrectChartMaxMin() 中从这些特性中获益。在函数中的代码流程可以分为若干步骤:
- 确定第一及最后的可视柱线数量。
- 确定当前品种可视柱线的最大和最小值。
- 确定品种的所有数组最大和最小数量。
- 在图表属性中设置最大和最小值。
以下是位于 Chart.mqh 文件中的 CorrectChartMaxMin() 函数代码。
//+------------------------------------------------------------------+ //| Corrects chart's high/low with respect to all buffers | //+------------------------------------------------------------------+ void CorrectChartMaxMin() { double low[]; // Array of lows double high[]; // Array of highs int attempts =10; // Number of attempts int array_size =0; // Array size for drawing int visible_bars =0; // Number of visible bars int first_visible_bar =0; // Number of the first visible bar int last_visible_bar =0; // Number of the last visible bar double max_price =0.0; // Highest price double min_price =0.0; // Lowest price double offset_max_min =0.0; // Offset from chart's high/low //--- Reset the last error ResetLastError(); //--- Number of visible bars visible_bars=(int)ChartGetInteger(0,CHART_VISIBLE_BARS); //--- Number of the first visible bar first_visible_bar=(int)ChartGetInteger(0,CHART_FIRST_VISIBLE_BAR); //--- Number of the last visible bar last_visible_bar=first_visible_bar-visible_bars; //--- Exit in case of error if(GetLastError()!=0) return; //--- Fix incorrect value if(last_visible_bar<0) last_visible_bar=0; //--- Get the current symbol high/low in visible area of chart for(int i=0; i<attempts; i++) if(CopyHigh(Symbol(),Period(),last_visible_bar,visible_bars,high)==visible_bars) break; for(int i=0; i<attempts; i++) if(CopyLow(Symbol(),Period(),last_visible_bar,visible_bars,low)==visible_bars) break; //--- Exit if failed to get data if(ArraySize(high)<=0 || ArraySize(low)<=0) return; //--- If succeeded to get data, identify high and low in the current symbol arrays else { min_price=low[ArrayMinimum(low)]; max_price=high[ArrayMaximum(high)]; } //--- Get high and low prices in all price arrays for(int s=0; s<SYMBOLS_COUNT; s++) { //--- If current symbol is not present, go to the next one if(symbol_names[s]==empty_symbol) continue; //--- datetime time[]; // Time array int bars_count=0; // Number of bars for calculation //--- Set zero size for arrays ArrayResize(high,0); ArrayResize(low,0); //--- Get the time of the first bar visible on chart for(int i=0; i<attempts; i++) if(CopyTime(Symbol(),Period(),last_visible_bar,visible_bars,time)==visible_bars) break; //--- Exit if the amount of data is less than number of visible bars on chart if(ArraySize(time)<visible_bars) return; //--- If time of the first "true" bar is greater than // time of the first visible bar on the chart, then // get available number of bars of the current symbol in loop if(limit_time[s]>time[0]) { //--- Get the array size array_size=ArraySize(time); //--- Get the number of bars from the first "true" one if((bars_count=Bars(Symbol(),Period(),limit_time[s],time[array_size-1]))<=0) return; } //--- Else get number of visible bars on chart else bars_count=visible_bars; //--- Index elements in indicator buffers as timeseries ArraySetAsSeries(low,true); ArraySetAsSeries(high,true); //--- Copy data from the indicator buffer // All modes except 'Line' if(DrawType!=LINE) { ArrayCopy(low,buffer_data[s].low); ArrayCopy(high,buffer_data[s].high); } //--- For the 'Line' mode else { ArrayCopy(low,buffer_data[s].close); ArrayCopy(high,buffer_data[s].close); } //--- Get the array size array_size=ArraySize(high); //--- Fill empty values, // so they are not considered when calculating high/low for(int i=0; i<array_size; i++) { if(high[i]==EMPTY_VALUE) high[i]=max_price; if(low[i]==EMPTY_VALUE) low[i]=min_price; } //--- Get high/low with respect to inversion if(inverse[s]) { //--- If no errors occur, store values if(ArrayMaximum(high,last_visible_bar,bars_count)>=0 && ArrayMinimum(low,last_visible_bar,bars_count)>=0) { max_price=fmax(max_price,low[ArrayMaximum(low,last_visible_bar,bars_count)]); min_price=fmin(min_price,high[ArrayMinimum(high,last_visible_bar,bars_count)]); } } else { //--- If no errors occur, store values if(ArrayMinimum(low,last_visible_bar,bars_count)>=0 && ArrayMaximum(high,last_visible_bar,bars_count)>=0) { min_price=fmin(min_price,low[ArrayMinimum(low,last_visible_bar,bars_count)]); max_price=fmax(max_price,high[ArrayMaximum(high,last_visible_bar,bars_count)]); } } } //--- Calculate offset (3%) form chart's top and bottom offset_max_min=((max_price-min_price)*3)/100; //--- Turn on the fixed chart scale mode. ChartSetInteger(0,CHART_SCALEFIX,true); //--- Set high/low ChartSetDouble(0,CHART_FIXED_MAX,max_price+offset_max_min); ChartSetDouble(0,CHART_FIXED_MIN,min_price-offset_max_min); //--- Refresh the chart ChartRedraw(); }
以上函数描述将会用在处理拖拽垂直线事件中 (当然还有 OnCalculate 计算指标数值时):
//+------------------------------------------------------------------+ //| ChartEvent function | //+------------------------------------------------------------------+ void OnChartEvent(const int id, const long &lparam, const double &dparam, const string &sparam) { //--- Event of dragging a graphical object if(id==CHARTEVENT_OBJECT_DRAG) { //--- If current mode is vertical line for the price divergence starting point, then update indicator buffers if(StartPriceDivergence==VERTICAL_LINE) OnCalculate(OC_rates_total, 0, OC_time, OC_open, OC_high, OC_low, OC_close, OC_tick_volume, OC_volume, OC_spread); } //--- Event of resizing the chart or modifying the chart properties using the properties dialog window. if(id==CHARTEVENT_CHART_CHANGE) //--- Correct the maximum and minimum of chart with respect to the indicator buffers' values CorrectChartMaxMin(); }
所有函数准备完毕。您可在文章的附件中学习全部注释。
让我们来展示我们到底得到了什么。省缺品种 GBPUSD, AUDUSD, NZDUSD, USDCAD, USDCHF 已经在外部参数中指定。在以下截图中您可以看到 EURUSD 周线图表的 垂直线 模式，翻转被禁止:
图例. 1 - 周线时间帧 "垂直线" 模式
在以下截图中您可以看到 M30 时间帧的 日线 模式, 但这次允许翻转以便 USD 作为基准货币。在我们的例子中它们是 USDCAD (淡蓝蜡烛条) 和 USDCHF (藕荷色蜡烛条)。
图例. 2 - M30 时间帧 "日线" 模式
结论
我认为，我们已经创建了一个非常有趣，详实的多币种价格偏离的分析工具。这个指标可以无限增强。
感谢您占用时间！