MT4.0编程函数库

MT4.0编程函数库
MT4.0和3.x相比，编程语言迥然不同，基本上是C语言的翻版，所以有一些C语言基础是很容易学会MT编程的。
MT4.0可以编写的程序有好几类，主要是自动交易程序和指标，估计大家都是为了给自己的投资策略，由于我的精力有限，所以接下来只介绍自动交易程序。
1. MT程序的语法
MT程序既然是C语言的翻版，语法和C语言当然很接近了，用有限的篇幅来说明其语法似乎是一个不能完成的任务，我这里只能告诉大家如何去学习。
语法说明可以在Meta Editor的帮助中找到，在工具栏上点MQL Navigator，就会弹出MT编程的导航，其中Dictionary就是语言和函数库的帮助。
在这个树状帮助目录下，语法的说明在Basic下，主要包括Syntax, Data type, Operations & Expressions, Operators, Functions, Variables, Preprocessor
如果会C的话，粗略看一下即可，如果不会，结合例程学习一遍吧。
由于帮助基本是英文的，所以刚开始学还是有难度的，不过没有办法，我也帮不上忙，大家有问题就提吧，我尽量回答。啥时候能出个中文版的就好了。
学习的时候，从网上搜一些现成的程序进行学习和修改是加快学习的一个办法，上一次我贴的Grid的交易程序就是一个很好的学习的例子。
2. 函数库
MT的函数库帮助进行了分类，看起来还是比较方便的。这里也没有办法详细介绍，做一个扼要介绍。
还是在帮助的Dictionary下，看这些帮助要考验一下大家的英文，特别要涉及到金融和计算机专业英语。
包括以下几类：
(1) Stardard constants
也就是系统定义的标准常量，主要是一些枚举类型和窗口常量等，一般先不用管它，在别的地方会链接过来。
(2) Predifined variables
一些系统常量，包括买入价，卖出价，最高、最低价等，还是很有用的，不过不太多，挨个儿看一下吧。
(3) Account Information
账户有关的函数
(4) Array functions
数组处理函数。
(5) Common functions
常用处理函数。
(6) Conversion functions
转换函数，主要是字符串和主要类型之间的转换函数。
(7) Custom Indicators
编写自定义指标用到的函数，如果不编写自定义指标的话，可以不管它。
(8) Date&Time functions
时间日期有关的函数
(9) File functions
文件处理函数
(10) Globle variables
全局变量有关的处理函数。
(11) Math & Trig
数学计算函数
(12)Object functions
对象处理函数，主要是在图表中处理对象的函数，对象是指直线、文本等。
(13) String functions
字符串处理函数。
(14) Technical indicators
技术指标函数，相信大家一定会经常用到的。大家通过指标的英文，应该比较容易看出来谁是谁。
(15) Trading functions
交易函数。这一类对自动交易系统是很重要的。
(16) Window functions
窗口处理函数，基本不需要用到。
3. 创建程序
在MT的程序组中，有一个Meta Editor，这就是MT的编译器，还是很容易上手的。用过Visual Studio C++的人一看，有点熟，对吧？
首先，点击菜单File->New，弹出对话框，程序类型选择Expert Advisor，后面按导航操作输入名称即可。
这样一个简单的MT空白交易程序就创建了，点按钮Compile或直接按快捷键F5就可以编译通过了。因为是空白的，这时候它什么也不能干。
注意：自动交易程序一定要存放在安装目录下的Experts子目录。
4. 修改
(1)全局变量
在程序的开头，可以定义一下全局变量。前面加extern的全局变量的值，在自动交易程序启动的时候可以直接在MT改，不需要重新编译。
(2)入口函数
MT程序的调用入口是start()函数，和C程序的main()函数是一样的，一般就在这里写处理过程即可。
(3) 子函数
比较复杂的过程，可以写子函数，在start()函数里调用子函数。
5. 例程：以下是在MT官方网站的论坛下hdb写的Grid自动交易程序，供参考。
#property copyright "***************"
#property link ""
//#property version "1.8"
// DISCLAIMER ***** IMPORTANT NOTE ***** READ BEFORE USING *****
// This expert advisor can open and close real positions and hence do real trades and lose real money.
// This is not a 'trading system' but a simple robot that places trades according to fixed rules.
// The author has no pretentions as to the profitability of this system and does not suggest the use
// of this EA other than for testing purposes in demo accounts.
// Use of this system is free - but u may not resell it - and is without any garantee as to its
// suitability for any purpose.
// By using this program you implicitly acknowledge that you understand what it does and agree that
// the author bears no responsibility for any losses.
// Before using, please also check with your broker that his systems are adapted for the frequest trades
// associated with this expert.
// 1.8 changes
// made wantLongs and wantShorts into localvariables. Previously, if u set UseMACD to true,
// it did longs and shorts and simply ignored the wantLongs and wantShorts flags.
// Now, these flags are not ignored.
// added a loop to check if there are 'illicit' open orders above or below the EMA when the limitEMA34
// flag is used. These accumulate over time and are never removed and is due to the EMA moving.
// removed the switch instruction as they dont seem to work - replaced with if statements
// made the EMA period variable
//
//
// modified by cori. Using OrderMagicNumber to identify the trades of the grid
extern int uniqueGridMagic = 11111; // Magic number of the trades. must be unique to identify
// the trades of one grid
extern double Lots = 0.1; //
extern double GridSize = 6; // pips between orders - grid or mesh size
extern double GridSteps = 12; // total number of orders to place
extern double TakeProfit = 12 ; // number of ticks to take profit. normally is = grid size but u can override
extern double StopLoss = 0; // if u want to add a stop loss. normal grids dont use stop losses
extern double UpdateInterval = 1; // update orders every x minutes
extern bool wantLongs = true; // do we want long positions
extern bool wantShorts = true; // do we want short positions
extern bool wantBreakout = true; // do we want longs above price, shorts below price
extern bool wantCounter = true; // do we want longs below price, shorts above price
extern bool limitEMA = false; // do we want longs above ema only, shorts below ema only
extern int EMAperiod = 34; // the length of the EMA.. was previously fixed at 34
extern double GridMaxOpen = 0; // maximum number of open positions : not yet implemented..
extern bool UseMACD = false; // if true, will use macd >0 for longs only, macd >0 for shorts only
// on crossover, will cancel all pending orders. This will override any
// wantLongs and wantShort settings - at least for now.
extern bool CloseOpenPositions = false;// if UseMACD, do we also close open positions with a loss?
extern bool doHouseKeeping = true; // just a test

// modified by cori. internal variables only
string GridName = "Grid"; // identifies the grid. allows for several co-existing grids
double LastUpdate = 0; // counter used to note time of last update

#property copyright "**********"
#property link ""

int init()
{
//----
#property show_inputs // shows the parameters - thanks Slawa...
//----
// added my corri and removed by hdb!! lol.. just to stay compatible with open grids...
// GridName = StringConcatenate( "Grid", Symbol() );
return(0);
}
//+------------------------------------------------------------------------+
//| tests if there is an open position or order in the region of atRate |
//| will check for longs if checkLongs is true, else will check |
//| for shorts |
//+------------------------------------------------------------------------+
bool IsPosition(double atRate, double inRange, bool checkLongs )
{
int totalorders = OrdersTotal();
for(int j=0;j {
OrderSelect(j, SELECT_BY_POS);
// modified by cori. Using OrderMagicNumber to identify the trades of the grid // hdb added or gridname for compatibility
if ( OrderSymbol()==Symbol() && ( (OrderMagicNumber() == uniqueGridMagic) || (OrderComment() == GridName)) ) // only look if mygrid and symbol...
{ int type = OrderType();
if (MathAbs( OrderOpenPrice() - atRate ) < (inRange*0.9)) // dont look for exact price but price proximity (less than gridsize) - added 0.9 because of floating point errors
{ if ( ( checkLongs && ( type == OP_BUY || type == OP_BUYLIMIT || type == OP_BUYSTOP ) ) || (!checkLongs && ( type == OP_SELL || type == OP_SELLLIMIT || type == OP_SELLSTOP ) ) )
{
return(true);
}
}
}
}
return(false);
}
//+------------------------------------------------------------------------+
//| cancells all pending orders |
//+------------------------------------------------------------------------+
void CloseAllPendingOrders( )
{
int totalorders = OrdersTotal();
&bsp; for(int j=totalorders-1;j>=0;j--) // scan all orders and positions...
{
OrderSelect(j, SELECT_BY_POS);
// modified as per cori. Using OrderMagicNumber to identify the trades of the grid // hdb added or gridname for compatibility
if ( OrderSymbol()==Symbol() && ( (OrderMagicNumber() == uniqueGridMagic) || (OrderComment() == GridName)) ) // only look if mygrid and symbol...
{
int type = OrderType();
if ( type > 1 ) bool result = OrderDelete( OrderTicket() );
}
}
return;
}
//+------------------------------------------------------------------------+
//| cancells all pending orders and closes open positions |
//+------------------------------------------------------------------------+
void CloseOpenOrders()
{
int total = OrdersTotal();
for(int i=total-1;i>=0;i--)
{
OrderSelect(i, SELECT_BY_POS);
int type = OrderType();
bool result = false;
// modified by cori. Using OrderMagicNumber to identify the trades of the grid // hdb added or gridname for compatibility
if ( OrderSymbol()==Symbol() && ( (OrderMagicNumber() == uniqueGridMagic) || (OrderComment() == GridName)) ) // only look if mygrid and symbol...
{
//Close opened long positions
if ( type == OP_BUY ) result = OrderClose( OrderTicket(), OrderLots(), 骗子Info(OrderSymbol(), MODE_BID), 5, Red );
//Close opened short positions
if ( type == OP_SELL ) result = OrderClose( OrderTicket(), OrderLots(), 骗子Info(OrderSymbol(), MODE_ASK), 5, Red );
//Close pending orders
if ( type > 1 ) result = OrderDelete( OrderTicket() );
}
}
return;
}
//+------------------------------------------------------------------------+
//| cancells all open orders which fall on the wrong side of the EMA |
//+------------------------------------------------------------------------+
void CloseOrdersfromEMA( double theEMAValue )
{
int totalorders = OrdersTotal();
for(int j=totalorders-1;j>=0;j--) // scan all orders and positions...
{
OrderSelect(j, SELECT_BY_POS);
if ( OrderSymbol()==Symbol() && ( (OrderMagicNumber() == uniqueGridMagic) || (OrderComment() == GridName)) ) // only look if mygrid and symbol...
{
int type = OrderType();
bool result = false;
//if (type > 1) Print(type," ",theEMAValue," ",OrderOpenPrice());
if ( type == OP_BUYLIMIT && OrderOpenPrice() <= theEMAValue ) result = OrderDelete( OrderTicket() );
if ( type == OP_BUYSTOP && OrderOpenPrice() <= theEMAValue ) result = OrderDelete( OrderTicket() );
if ( type == OP_SELLLIMIT && OrderOpenPrice() >= theEMAValue ) result = OrderDelete( OrderTicket() );
if ( type == OP_SELLSTOP && OrderOpenPrice() >= theEMAValue ) result = OrderDelete( OrderTicket() );
}
}
return;
}
//+------------------------------------------------------------------+
//| script program start function |
//+------------------------------------------------------------------+
int start()
{
//----
int i, j,k, ticket, entermode, totalorders;
bool doit;
double point, startrate, traderate;
//---- setup parameters
if ( TakeProfit <= 0 ) //
{ TakeProfit = GridSize; }
bool myWantLongs = wantLongs;
bool myWantShorts = wantShorts;
//----
if (MathAbs(CurTime()-LastUpdate)> UpdateInterval*60) // we update the first time it is called and every UpdateInterval minutes
{
LastUpdate = CurTime();
point = 骗子Info(Symbol(),MODE_POINT);
startrate = ( Ask + point*GridSize/2 ) / point / GridSize; // round to a number of ticks divisible by GridSize
k = startrate ;
k = k * GridSize ;
startrate = k * point - GridSize*GridSteps/2*point ; // calculate the lowest entry point
double myEMA=iMA(NULL,0,EMAperiod,0,MODE_EMA,PRICE_CLOSE,0);

if (limitEMA)
{
if (doHouseKeeping) CloseOrdersfromEMA(myEMA);
}
if ( UseMACD )
{
double Macd0=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,0);
double Macd1=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,1);
double Macd2=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,2);
if( Macd0>0 && Macd1>0 && Macd2<0) // cross up
{
CloseAllPendingOrders();
if ( CloseOpenPositions == true ) { CloseOpenOrders(); }
}
if( Macd0<0 && Macd1<0 && Macd2>0) // cross down
&nbp; {
CloseAllPendingOrders();
if ( CloseOpenPositions == true ) { CloseOpenOrders(); }
}
myWantLongs = false;
myWantShorts = false;
if( Macd0>0 && Macd1>0 && Macd2>0 && wantLongs ) // is well above zero
{
myWantLongs = true;
}
if( Macd0<0 && Macd1<0 && Macd2<0 && wantShorts ) // is well below zero
{
myWantShorts = true;
}
}
for( i=0;i {
traderate = startrate + i*point*GridSize;
if ( myWantLongs && (!limitEMA || traderate > myEMA))
{
if ( IsPosition(traderate,point*GridSize,true) == false ) // test if i have no open orders close to my price: if so, put one on
{
double myStopLoss = 0;
if ( StopLoss > 0 )
{ myStopLoss = traderate-point*StopLoss ; }
if ( traderate > Ask )
{ entermode = OP_BUYSTOP; }
else
{ entermode = OP_BUYLIMIT ; }
if ( ((traderate > Ask ) && (wantBreakout)) || ((traderate <= Ask ) && (wantCounter)) )
{
// modified by cori. Using OrderMagicNumber to identify the trades of the grid
ticket=OrderSend(Symbol(),entermode,Lots,traderate,0,myStopLoss,traderate+point*TakeProfit,GridName,uniqueGridMagic,0,Green);
}
}
}
if ( myWantShorts && (!limitEMA || traderate < myEMA))
{
if (IsPosition(traderate,point*GridSize,false)== false ) // test if i have no open orders close to my price: if so, put one on
{
myStopLoss = 0;
if ( StopLoss > 0 )
{ myStopLoss = traderate+point*StopLoss ; }
if ( traderate > Bid )
{ entermode = OP_SELLLIMIT; }
else
{ entermode = OP_SELLSTOP ; }

if ( ((traderate < Bid ) && (wantBreakout)) || ((traderate >= Bid ) && (wantCounter)) )
{
// modified by cori. Using OrderMagicNumber to identify the trades of the grid
ticket=OrderSend(Symbol(),entermode,Lots,traderate,0,myStopLoss,traderate-point*TakeProfit,GridName,uniqueGridMagic,0,Red);
}
}
}
}
}
return(0);
}
//+------------------------------------------------------------------+
自动交易系统的测试
很多人都想用历史数据测试自己的自动交易系统结果怎么样。
在MT的View菜单下，有一个Strategy tester。
选定自己的交易系统，设定好币种，历史数据的时间周期，交易系统的属性，勾上Recalculate，设定时间范围，点Start按钮即开始测试。
特别强调的是，由于历史数据不能反映内部的波动情况，测试中可以选择三种插值方式，但是因为要使用插值，测试结果可能是不准确的，尤其是在以下两种情况下：
(1) 有止损的策略
(2) 使用的TimeFrame比较大
找了一个根据均线交易的例子，我自己择主要的加了一些中文注释，看看有没有帮助。
//+------------------------------------------------------------------+
//| Moving Average.mq4 |
//| Copyright ?2005, MetaQuotes Software Corp. |
//| http://forexea.com |
//+------------------------------------------------------------------+
#define MAGICMA 20050610
// extern的全局变量，编译后可以直接在MT中修改
extern double Lots = 0.1;
extern double MaximumRisk = 0.02;
extern double DecreaseFactor = 3;
extern double MovingPeriod = 12;
extern double MovingShift = 6;
//+------------------------------------------------------------------+
//| 入口函数，程序从这里开始运行 |
//+------------------------------------------------------------------+
void start() {
//----
if(Bars<100 //如果历史数据不足100根K线
|| IsTradeAllowed()==false) // 或者系统目前不允许交易
return; // 退出
//----
if(CalculateCurrentOrders(Symbol())==0)// 调用子函数CalculateCurrentOrders检查现有仓位，是否需要建仓
CheckForOpen(); // 调用子函数CheckForOpen开始建立仓位
else
CheckForClose(); // 否则检查是否需要平仓
//----
}
//+------------------------------------------------------------------+
//| 检查现有仓位|
//+------------------------------------------------------------------+
int CalculateCurrentOrders(string symbol)
{
int buys=0,sells=0;
//----
for(int i=0;i {
if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) // 如果获取Order失败，则退出
break;
if(OrderSymbol()==Symbol() && OrderMagicNumber()==MAGICMA) // 获取仓位成功
{
if(OrderType()==OP_BUY) buys++; // 如果是买单，买单计数器加一
if(OrderType()==OP_SELL) sells++; // 如果是卖单，卖单计数器加一
}
}
//---- return orders volume
if(buys>0) return(buys); // 有至少一张买单，返回买单数量
else return(-sells); // 否则，返回卖单数量的负值
}

//+------------------------------------------------------------------+
//| 计算最优仓位
//+http://blog.sina.com.cn/zhouxiaoyin18---------------------+
double LotsOptimized()
{
double lot=Lots;
int orders=HistoryTotal(); // history orders total
int losses=0; // number of losses orders without a break
//---- select lot size
lot=NormalizeDouble(AccountFreeMargin()*MaximumRisk/1000.0,1);
//---- calcuulate number of losses orders without a break
if(DecreaseFactor>0)
{
for(int i=orders-1;i>=0;i--)
{
if(OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)==false) { Print("Error in history!"); break; }
if(OrderSymbol()!=Symbol() || OrderType()>OP_SELL) continue;
//----
if(OrderProfit()>0) break;
if(OrderProfit()<0) losses++;
}
if(losses>1) lot=NormalizeDouble(lot-lot*losses/DecreaseFactor,1);
}
//---- return lot size
if(lot<0.1) lot=0.1;
return(lot);
}

//+------------------------------------------------------------------+
//| 检查是否建仓 |
//+------------------------------------------------------------------+
void CheckForOpen()
{
double ma;
int res;
//---- go trading only for first tiks of new bar
if(Volume[0]>1) return;
//---- 指标调用，iMA就是均线（Moving Average）
ma=iMA(NULL,0,MovingPeriod,MovingShift,MODE_SMA,PRICE_CLOSE,0);
//---- sell conditions
if(Open[1]>ma && Close[1] {
// 建立仓位
res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,0,"",MAGICMA,0,Red);
return;
}
//---- buy conditions
if(Open[1]ma)
{
res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,0,"",MAGICMA,0,Blue);
return;
}
//----
}

//+------------------------------------------------------------------+
//| 检查是否平仓 |
//+------------------------------------------------------------------+
void CheckForClose()
{
double ma;
//---- go trading only for first tiks of new bar
if(Volume[0]>1) return;
//---- get Moving Average
ma=iMA(NULL,0,MovingPeriod,MovingShift,MODE_SMA,PRICE_CLOSE,0);
//----
for(int i=0;i {
if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break;
if(OrderMagicNumber()!=MAGICMA || OrderSymbol()!=Symbol()) continue;
//---- check order type
if(OrderType()==OP_BUY)
{
if(Open[1]>ma && Close[1] break;
}
if(OrderType()==OP_SELL)
{
if(Open[1]ma) OrderClose(OrderTicket(),OrderLots(),Ask,3,White);
break;
}
}
//----
}

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