外汇EA：MT4.0编程函数库

2012-05-28 09:27:08    来源：    作者：

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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 "外汇联盟 www.FXunion.com QQ群144033"

#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 "外汇联盟 www.FXunion.com QQ群144033"

#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://fxunion.net                |
//+------------------------------------------------------------------+
#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;
        }
     }
//----
  }