forex-scalping.com

Code: Select all

using System;
using System.Diagnostics;
using System.IO;
using cAlgo.API;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.FullAccess)]
    public class ExecutionLogger : Robot
    {
        private string _filePath;

        protected override void OnStart()
        {
            // Requires AccessRights.FullAccess to write outside the sandbox
            string docsPath = Environment.GetFolderPath(Environment.SpecialFolder.MyDocuments);
            _filePath = Path.Combine(docsPath, "ExecutionLog_cTrader.csv");
            
            if (!File.Exists(_filePath))
                File.AppendAllText(_filePath, "Timestamp,Symbol,Type,IntendedPrice,FillPrice,Slippage(Pips),Latency(ms)\n");
        }

        public void ExecuteTestTrade(TradeType tradeType, double volume)
        {
            double intendedPrice = tradeType == TradeType.Buy ? Symbol.Ask : Symbol.Bid;
            
            Stopwatch sw = Stopwatch.StartNew();
            TradeResult result = ExecuteMarketOrder(tradeType, SymbolName, volume, "LatencyTest");
            sw.Stop();

            if (result.IsSuccessful)
            {
                double fillPrice = result.Position.EntryPrice;
                
                // Positive slippage value indicates a worse fill (cost to you)
                double slippage = tradeType == TradeType.Buy 
                    ? (fillPrice - intendedPrice) 
                    : (intendedPrice - fillPrice);
                
                double slippageInPips = slippage / Symbol.PipSize;

                string logLine = $"{Server.Time:yyyy-MM-dd HH:mm:ss.fff},{SymbolName},{tradeType},{intendedPrice},{fillPrice},{slippageInPips:F1},{sw.ElapsedMilliseconds}\n";
                File.AppendAllText(_filePath, logLine);
            }
        }
    }
}

Code: Select all

#property strict

int file_handle;

int OnInit() {
    file_handle = FileOpen("ExecutionLog_MT5.csv", FILE_CSV|FILE_READ|FILE_WRITE|FILE_ANSI, ",");
    if(file_handle != INVALID_HANDLE) {
        FileSeek(file_handle, 0, SEEK_END);
        if(FileSize(file_handle) == 0) {
            FileWrite(file_handle, "Timestamp", "Symbol", "Type", "IntendedPrice", "FillPrice", "Slippage(Points)", "Latency(ms)");
        }
    }
    return(INIT_SUCCEEDED);
}

void OnDeinit(const int reason) {
    if(file_handle != INVALID_HANDLE) FileClose(file_handle);
}

void ExecuteTestTrade(ENUM_ORDER_TYPE orderType, double volume) {
    MqlTradeRequest request={0};
    MqlTradeResult result={0};
    
    request.action = TRADE_ACTION_DEAL;
    request.symbol = _Symbol;
    request.volume = volume;
    request.type = orderType;
    request.price = (orderType == ORDER_TYPE_BUY) ? SymbolInfoDouble(_Symbol, SYMBOL_ASK) : SymbolInfoDouble(_Symbol, SYMBOL_BID);
    request.deviation = 50; // Allow slight deviation to ensure the test trade fills
    
    ulong start_time = GetMicrosecondCount();
    bool success = OrderSend(request, result);
    ulong latency_us = GetMicrosecondCount() - start_time;
    
    if(success && result.retcode == TRADE_RETCODE_DONE) {
        double slippage = (orderType == ORDER_TYPE_BUY) ? (result.price - request.price) : (request.price - result.price);
        double slippage_points = slippage / _Point;
        double latency_ms = latency_us / 1000.0;
        
        string timestamp = TimeToString(TimeCurrent(), TIME_DATE|TIME_SECONDS);
        FileWrite(file_handle, timestamp, _Symbol, EnumToString(orderType), request.price, result.price, slippage_points, latency_ms);
    }
}