EURUSD mid-Atlantic drift: recognising when the overlap is dead

[FTtrader]

To integrate the M15 Doji cluster, you need to pull historical price rates using CopyRates for the PERIOD_M15 timeframe and calculate the absolute pip difference between the open and close of the last two fully closed candles.

By structuring the logic gate as isAtrDead && (isVolumeDead || isDojiCluster), the kill-switch requires the ATR drop to be confirmed by either a structural volume withdrawal or a price-action stalemate.

[FTtrader]

Here is the complete updated MQL5 logic:

Code: Select all

#property strict
#include <Trade\Trade.mqh>

input int    AtrPeriod           = 14;
input double MinAtrPips          = 3.0;

// Time parameters (Broker Server Time)
input int    BaselineStartHour   = 15;   
input int    BaselineStartMinute = 0;
input int    BaselineEndHour     = 16;   
input int    BaselineEndMinute   = 0;

input int    KillWindowHour      = 16;   
input int    KillWindowMinute    = 30; 
input int    HardStopHour        = 18;   
input int    HardStopMinute      = 0;  

input double VolumeDropThreshold = 0.40; 
input int    VolumeCheckBars     = 3;    

// Doji Cluster Parameters
input double DojiMaxBodyPips     = 1.0;  // Max pip difference between Open/Close

CTrade trade;
int    atrHandle;
bool   tradingSuspended = false;
double pipSize;

double dailyBaselineVolume = 0;
int    lastBaselineDay     = -1;

int OnInit()
{
    atrHandle = iATR(_Symbol, PERIOD_M5, AtrPeriod);
    if (atrHandle == INVALID_HANDLE) return INIT_FAILED;

    pipSize = (_Digits == 5 || _Digits == 3) ? _Point * 10.0 : _Point;
    trade.SetAsyncMode(true);

    return INIT_SUCCEEDED;
}

void OnDeinit(const int reason)
{
    IndicatorRelease(atrHandle);
}

void OnTick()
{
    EvaluateVolatilityState();
    if (tradingSuspended) return;
    
    // Standard execution logic goes here
}

void EvaluateVolatilityState()
{
    MqlDateTime dt;
    TimeCurrent(dt);

    int currentMinutes   = dt.hour * 60 + dt.min;
    int killStartMinutes = KillWindowHour * 60 + KillWindowMinute;
    int hardStopMinutes  = HardStopHour * 60 + HardStopMinute;

    if (currentMinutes >= hardStopMinutes)
    {
        SuspendTrading("Hard time stop reached.");
        return;
    }

    int baselineEndMinutes = BaselineEndHour * 60 + BaselineEndMinute;
    
    if (currentMinutes >= baselineEndMinutes && dt.day_of_year != lastBaselineDay)
    {
        MqlDateTime startDt = dt;
        startDt.hour = BaselineStartHour; startDt.min = BaselineStartMinute; startDt.sec = 0;
        MqlDateTime endDt = dt;
        endDt.hour = BaselineEndHour; endDt.min = BaselineEndMinute; endDt.sec = 0;

        datetime startTime = StructToTime(startDt);
        datetime endTime = StructToTime(endDt);
        
        long baseVolBuffer[];
        int copied = CopyTickVolume(_Symbol, PERIOD_M5, startTime, endTime, baseVolBuffer);
        
        if (copied > 0)
        {
            long totalBaseVol = 0;
            for(int i = 0; i < copied; i++) totalBaseVol += baseVolBuffer[i];
            dailyBaselineVolume = (double)totalBaseVol / copied;
            lastBaselineDay = dt.day_of_year; 
        }
    }

    if (currentMinutes >= killStartMinutes && dailyBaselineVolume > 0)
    {
        // 1. ATR Check
        double atrBuffer[];
        ArraySetAsSeries(atrBuffer, true);
        double currentAtrPips = 0;
        bool isAtrDead = false;

        if (CopyBuffer(atrHandle, 0, 1, 1, atrBuffer) > 0) 
        {
            currentAtrPips = atrBuffer[0] / pipSize;
            if (currentAtrPips < MinAtrPips) isAtrDead = true;
        }

        // 2. Volume Check
        long currentVolBuffer[];
        double currentAvgVol = 0;
        bool isVolumeDead = false;

        if (CopyTickVolume(_Symbol, PERIOD_M5, 1, VolumeCheckBars, currentVolBuffer) == VolumeCheckBars)
        {
            long currentTotal = 0;
            for(int i = 0; i < VolumeCheckBars; i++) currentTotal += currentVolBuffer[i];
            currentAvgVol = (double)currentTotal / VolumeCheckBars;
            if (currentAvgVol < dailyBaselineVolume * (1.0 - VolumeDropThreshold)) isVolumeDead = true;
        }

        // 3. M15 Doji Cluster Check
        MqlRates m15Rates[];
        ArraySetAsSeries(m15Rates, true);
        bool isDojiCluster = false;
        double body1 = 0, body2 = 0;

        // Copy last 2 fully closed M15 candles (index 1 and 2 conceptually)
        if (CopyRates(_Symbol, PERIOD_M15, 1, 2, m15Rates) == 2)
        {
            body1 = MathAbs(m15Rates[0].open - m15Rates[0].close) / pipSize;
            body2 = MathAbs(m15Rates[1].open - m15Rates[1].close) / pipSize;
            
            if (body1 <= DojiMaxBodyPips && body2 <= DojiMaxBodyPips)
            {
                isDojiCluster = true;
            }
        }

        // 4. Final Logic Gate Validation
        if (isAtrDead && (isVolumeDead || isDojiCluster))
        {
            string reason = StringFormat("ATR: %.1f | Vol: %.0f/%.0f | Dojis: %.1f & %.1f pips", 
                                          currentAtrPips, currentAvgVol, dailyBaselineVolume, body1, body2);
            SuspendTrading(reason);
        }
    }
}

void SuspendTrading(string reason)
{
    if (tradingSuspended) return;
    tradingSuspended = true;
    Print("Kill-switch armed: ", reason);

    for (int i = PositionsTotal() - 1; i >= 0; i--)
    {
        ulong ticket = PositionGetTicket(i);
        if (PositionGetString(POSITION_SYMBOL) == _Symbol)
        {
            trade.PositionClose(ticket);
        }
    }

    for (int i = OrdersTotal() - 1; i >= 0; i--)
    {
        ulong ticket = OrderGetTicket(i);
        if (OrderGetString(ORDER_SYMBOL) == _Symbol)
        {
            trade.OrderDelete(ticket);
        }
    }
}

[FTtrader]

Execution Mechanics

Multi-Timeframe Polling: The EA simultaneously polls PERIOD_M5 for ATR and tick volume, while polling PERIOD_M15 for the price action structure.

Reverse Indexing Array: ArraySetAsSeries(m15Rates, true) ensures that m15Rates[0] is the most recently closed M15 candle, and m15Rates[1] is the preceding candle, regardless of how many elements are copied.

Absolute Difference: Using MathAbs(open - close) allows the logic to capture both bullish and bearish dojis indiscriminately.

[FXS Prop Desk]

FTtrader, the ArraySetAsSeries detail is one of those things that silently breaks EAs when forgotten, so it is good to see it called out. One more trap with multi-timeframe polling: the M15 data may not be fully synchronised the moment the M5 bar closes, especially after a weekend or reconnect. Checking that the M15 copy returned the expected number of bars, and that the latest bar's time is what you expect, avoids decisions made on stale structure.