forex-scalping.com

Code: Select all

//@version=5
indicator("Institutional Execution Cost & Breakeven", overlay=true, max_lines_count=50)

// =========================================================================
// INPUT GROUPS & SETTINGS
// =========================================================================
grp_acct  = "1. Account & Sizing"
acctBal   = input.float(10000, title="Account Balance ($)", group=grp_acct, tooltip="Used to calculate the % drag this trade has on your total portfolio.")
qty       = input.float(100, title="Position Size (Qty)", group=grp_acct, tooltip="Total shares, contracts, or coins.")

grp_fees  = "2. Fee Structure"
feeType   = input.string("Per Unit", title="Commission Type", options=["Per Unit", "Percentage (%)"], group=grp_fees)
feeVal    = input.float(0.005, title="Fee Rate (Round Trip)", group=grp_fees)
fixedFee  = input.float(0.0, title="Fixed Ticket Fee", group=grp_fees)

grp_mkt   = "3. Market Impact & Volatility"
spread    = input.float(1.0, title="Base Spread (Ticks)", group=grp_mkt, step=0.5)
baseSlip  = input.float(1.0, title="Base Slippage Per Side (Ticks)", group=grp_mkt, step=0.5)
useDyn    = input.bool(true, title="Use Volatility-Adjusted Slippage?", group=grp_mkt, tooltip="Adds dynamic slippage based on ATR. During high volatility (e.g., news), expected slippage increases automatically.")
slipFact  = input.float(0.05, title="ATR Slippage Factor", group=grp_mkt, step=0.01, tooltip="What % of the 14-period ATR to add as extra slippage.")

grp_ui    = "4. Visuals & UI"
showTable = input.bool(true, title="Show Cost Dashboard", group=grp_ui)
tablePos  = input.string("Bottom Right", title="Table Position", options=["Top Right", "Bottom Right", "Bottom Left", "Top Left"], group=grp_ui)
showEnv   = input.bool(true, title="Show Breakeven Envelope on Chart", group=grp_ui, tooltip="Plots the exact price level you must cross to become profitable after all fees.")

// =========================================================================
// CORE DYNAMIC CALCULATIONS
// =========================================================================
// Asset base metrics
pointVal  = syminfo.pointvalue > 0 ? syminfo.pointvalue : 1
tickVal   = syminfo.mintick * pointVal
posValue  = close * pointVal * qty

// Volatility (ATR) Adjusted Slippage
atr14     = ta.atr(14)
atrTicks  = atr14 / syminfo.mintick
dynSlip   = useDyn ? baseSlip + (atrTicks * slipFact) : baseSlip

// 1. Commission Cost (Round Trip)
commCost  = feeType == "Per Unit" ? (feeVal * qty) + fixedFee : (posValue * (feeVal / 100)) + fixedFee

// 2. Spread Cost (Round Trip)
spreadCost = spread * tickVal * qty

// 3. Slippage Cost (Round Trip = Per side * 2)
slipCost  = (dynSlip * 2) * tickVal * qty

// Total Overhead & Account Drag
totalCost = commCost + spreadCost + slipCost
acctDrag  = (totalCost / acctBal) * 100

// Breakeven Analysis
ticksToBE = totalCost / (tickVal * qty)
priceToBE = ticksToBE * syminfo.mintick

// =========================================================================
// VISUAL BREAKEVEN ENVELOPE (CHART PLOTS)
// =========================================================================
// Calculates the dynamic spread/fee envelope. Price must escape this channel to be green.
longBE  = close + priceToBE
shortBE = close - priceToBE

plot(showEnv ? longBE : na, title="Long Breakeven", color=color.new(color.teal, 30), linewidth=1, style=plot.style_linebr)
plot(showEnv ? shortBE : na, title="Short Breakeven", color=color.new(color.maroon, 30), linewidth=1, style=plot.style_linebr)
fill(plot(close, display=display.none), plot(showEnv ? longBE : na, display=display.none), color=color.new(color.teal, 90), title="Long Drag Zone")
fill(plot(close, display=display.none), plot(showEnv ? shortBE : na, display=display.none), color=color.new(color.maroon, 90), title="Short Drag Zone")

// =========================================================================
// INSTITUTIONAL DASHBOARD RENDERING
// =========================================================================
get_position(pos) =>
    pos == "Top Right" ? position.top_right : 
    pos == "Bottom Right" ? position.bottom_right : 
    pos == "Bottom Left" ? position.bottom_left : position.top_left

var table t = table.new(get_position(tablePos), 2, 8, border_width = 1, border_color = color.rgb(30, 30, 30))
cStr = " " + syminfo.currency

// Custom Pro Colors
bg_head = color.rgb(15, 15, 15)
bg_row  = color.rgb(28, 28, 28)
bg_tot  = color.rgb(25, 118, 210) // Darker institutional blue
bg_warn = color.rgb(255, 82, 82, 20) // Soft alert red

if barstate.islast and showTable
    // Headers
    table.cell(t, 0, 0, "Execution Drag Model", text_color=color.white, bgcolor=bg_head, text_halign=text.align_left, text_weight="bold")
    table.cell(t, 1, 0, syminfo.ticker, text_color=color.white, bgcolor=bg_head, text_halign=text.align_right, text_weight="bold")
    
    // Position Data
    table.cell(t, 0, 1, "Notional Exposure", text_color=color.gray, bgcolor=bg_row, text_halign=text.align_left, text_size=size.small)
    table.cell(t, 1, 1, str.tostring(posValue, "#,###.##") + cStr, text_color=color.gray, bgcolor=bg_row, text_halign=text.align_right, text_size=size.small)

    // Component Breakdown
    table.cell(t, 0, 2, "Broker Commissions", text_color=color.silver, bgcolor=bg_row, text_halign=text.align_left)
    table.cell(t, 1, 2, str.tostring(commCost, "#.##") + cStr, text_color=color.red, bgcolor=bg_row, text_halign=text.align_right)
    
    table.cell(t, 0, 3, "Bid-Ask Spread Drag", text_color=color.silver, bgcolor=bg_row, text_halign=text.align_left)
    table.cell(t, 1, 3, str.tostring(spreadCost, "#.##") + cStr, text_color=color.red, bgcolor=bg_row, text_halign=text.align_right)
    
    table.cell(t, 0, 4, useDyn ? "Vol-Adjusted Slippage (ATR)" : "Static Slippage Est.", text_color=useDyn ? color.orange : color.silver, bgcolor=bg_row, text_halign=text.align_left)
    table.cell(t, 1, 4, str.tostring(slipCost, "#.##") + cStr, text_color=color.red, bgcolor=bg_row, text_halign=text.align_right)
    
    // Totals
    table.cell(t, 0, 5, "Total Cost (Round Trip)", text_color=color.white, bgcolor=bg_tot, text_halign=text.align_left, text_weight="bold")
    table.cell(t, 1, 5, str.tostring(totalCost, "#.##") + cStr, text_color=color.white, bgcolor=bg_tot, text_halign=text.align_right, text_weight="bold")

    // Account Impact (The Hidden Tax)
    table.cell(t, 0, 6, "Portfolio Drag (Cost %)", text_color=color.silver, bgcolor=bg_warn, text_halign=text.align_left, text_size=size.small)
    table.cell(t, 1, 6, str.tostring(acctDrag, "#.####") + "%", text_color=color.red, bgcolor=bg_warn, text_halign=text.align_right, text_size=size.small, text_weight="bold")

    // Target Metrics
    table.cell(t, 0, 7, "Ticks to Breakeven", text_color=color.orange, bgcolor=bg_warn, text_halign=text.align_left, text_weight="bold")
    table.cell(t, 1, 7, str.tostring(ticksToBE, "#.##") + " Ticks", text_color=color.orange, bgcolor=bg_warn, text_halign=text.align_right, text_weight="bold")

Code: Select all

//+------------------------------------------------------------------+
//|                                         ExecutionDragModel.mq5   |
//|                                     Institutional Cost Model     |
//+------------------------------------------------------------------+
#property copyright "Pro Execution Model"
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_plots   2

// Plot Long Breakeven
#property indicator_label1  "Long Breakeven"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrTeal
#property indicator_style1  STYLE_DASH
#property indicator_width1  1

// Plot Short Breakeven
#property indicator_label2  "Short Breakeven"
#property indicator_type2   DRAW_LINE
#property indicator_color2  clrMaroon
#property indicator_style2  STYLE_DASH
#property indicator_width2  1

// --- Inputs ---
input string   grp1 = "--- Position & Fees ---";
input double   InpLots           = 1.0;       // Position Size (Lots)
input int      InpFeeType        = 0;         // Fee Type: 0=Per Lot, 1=Percentage
input double   InpFeeRate        = 3.5;       // Fee Rate (Round Trip per Lot or %)
input double   InpFixedFee       = 0.0;       // Fixed Ticket Fee ($)

input string   grp2 = "--- Market Impact ---";
input int      InpBaseSpread     = 10;        // Base Spread (in Points)
input int      InpBaseSlippage   = 10;        // Base Slippage Per Side (in Points)
input bool     InpUseDynSlip     = true;      // Use Volatility-Adjusted Slippage (ATR)
input double   InpSlipFactor     = 0.05;      // ATR Slippage Factor

// --- Buffers ---
double LongBEBuffer[];
double ShortBEBuffer[];

// --- Global Variables ---
int atr_handle;
string prefix = "EDM_";

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
  {
   SetIndexBuffer(0, LongBEBuffer, INDICATOR_DATA);
   SetIndexBuffer(1, ShortBEBuffer, INDICATOR_DATA);
   
   atr_handle = iATR(_Symbol, PERIOD_CURRENT, 14);
   if(atr_handle == INVALID_HANDLE) {
      Print("Error creating ATR handle");
      return(INIT_FAILED);
   }
   return(INIT_SUCCEEDED);
  }

//+------------------------------------------------------------------+
//| Custom indicator deinitialization function                       |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
   ObjectsDeleteAll(0, prefix);
   IndicatorRelease(atr_handle);
  }

//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
                const int prev_calculated,
                const datetime &time[],
                const double &open[],
                const double &high[],
                const double &low[],
                const double &close[],
                const long &tick_volume[],
                const long &volume[],
                const int &spread[])
  {
   if(rates_total < 14) return(0);

   double atr_array[];
   if(CopyBuffer(atr_handle, 0, 0, rates_total, atr_array) <= 0) return(0);

   double point = SymbolInfoDouble(_Symbol, SYMBOL_POINT);
   double tick_size = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_TICK_SIZE);
   double tick_val = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_TICK_VALUE);
   
   // Value of 1 point for 1 lot
   double point_val = tick_val * (point / tick_size); 
   if(point_val == 0) point_val = 1; // Failsafe
   
   double contract_size = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_CONTRACT_SIZE);

   int start = prev_calculated == 0 ? 0 : prev_calculated - 1;

   for(int i = start; i < rates_total; i++)
     {
      double current_close = close[i];
      double notional = InpLots * contract_size * current_close;
      
      // Volatility Adjusted Slippage
      double atr_val = atr_array[i];
      double atr_points = atr_val / point;
      double dyn_slip = InpUseDynSlip ? InpBaseSlippage + (atr_points * InpSlipFactor) : InpBaseSlippage;
      
      // Costs
      double commCost = (InpFeeType == 0) ? (InpFeeRate * InpLots) + InpFixedFee : (notional * (InpFeeRate / 100)) + InpFixedFee;
      double spreadCost = InpBaseSpread * point_val * InpLots;
      double slipCost = (dyn_slip * 2) * point_val * InpLots; // Round trip
      double totalCost = commCost + spreadCost + slipCost;
      
      // Breakeven
      double pointsToBE = totalCost / (point_val * InpLots);
      
      LongBEBuffer[i] = current_close + (pointsToBE * point);
      ShortBEBuffer[i] = current_close - (pointsToBE * point);
      
      // Update Dashboard on the very last tick
      if(i == rates_total - 1)
        {
         double acct_bal = AccountInfoDouble(ACCOUNT_BALANCE);
         double acct_drag = (acct_bal > 0) ? (totalCost / acct_bal) * 100 : 0;
         DrawDashboard(notional, commCost, spreadCost, slipCost, totalCost, acct_drag, pointsToBE);
        }
     }
   return(rates_total);
  }

//+------------------------------------------------------------------+
//| Draw On-Chart Dashboard                                          |
//+------------------------------------------------------------------+
void DrawDashboard(double notional, double comm, double spread, double slip, double total, double drag, double be_points)
  {
   int x = 20, y = 30, space = 22;
   string ccy = AccountInfoString(ACCOUNT_CURRENCY);
   
   CreateLabel(prefix+"H1", "Institutional Execution Drag Model | " + _Symbol, x, y, clrWhite, 11, true);
   CreateLabel(prefix+"R1", "Notional Exposure: " + DoubleToString(notional, 2) + " " + ccy, x, y+(space*1), clrSilver);
   CreateLabel(prefix+"R2", "Broker Commissions: " + DoubleToString(comm, 2) + " " + ccy, x, y+(space*2), clrRed);
   CreateLabel(prefix+"R3", "Bid-Ask Spread Drag: " + DoubleToString(spread, 2) + " " + ccy, x, y+(space*3), clrRed);
   CreateLabel(prefix+"R4", "Slippage Estimate: " + DoubleToString(slip, 2) + " " + ccy, x, y+(space*4), InpUseDynSlip ? clrOrange : clrRed);
   
   CreateLabel(prefix+"R5", "Total Overhead: " + DoubleToString(total, 2) + " " + ccy, x, y+(space*5)+5, clrDodgerBlue, 10, true);
   CreateLabel(prefix+"R6", "Portfolio Drag: " + DoubleToString(drag, 4) + "%", x, y+(space*6)+5, clrSalmon, 10, true);
   CreateLabel(prefix+"R7", "Points to Breakeven: " + DoubleToString(be_points, 1), x, y+(space*7)+5, clrGold, 10, true);
  }

void CreateLabel(string name, string text, int x, int y, color clr, int size=10, bool bold=false)
  {
   if(ObjectFind(0, name) < 0) ObjectCreate(0, name, OBJ_LABEL, 0, 0, 0);
   ObjectSetInteger(0, name, OBJPROP_XDISTANCE, x);
   ObjectSetInteger(0, name, OBJPROP_YDISTANCE, y);
   ObjectSetInteger(0, name, OBJPROP_CORNER, CORNER_RIGHT_LOWER); // Bottom Right
   ObjectSetString(0, name, OBJPROP_TEXT, text);
   ObjectSetString(0, name, OBJPROP_FONT, "Trebuchet MS");
   ObjectSetInteger(0, name, OBJPROP_FONTSIZE, size);
   ObjectSetInteger(0, name, OBJPROP_COLOR, clr);
   ObjectSetInteger(0, name, OBJPROP_BACK, false);
   ObjectSetInteger(0, name, OBJPROP_SELECTABLE, false);
  }

Code: Select all

//+------------------------------------------------------------------+
//|                                         ExecutionDragModel.mq4   |
//|                                     Institutional Cost Model     |
//+------------------------------------------------------------------+
#property copyright "Pro Execution Model"
#property link      ""
#property version   "1.00"
#property strict
#property indicator_chart_window
#property indicator_buffers 2

// Plot Long Breakeven
#property indicator_color1  clrTeal
#property indicator_style1  STYLE_DASH
#property indicator_width1  1

// Plot Short Breakeven
#property indicator_color2  clrMaroon
#property indicator_style2  STYLE_DASH
#property indicator_width2  1

// --- Inputs ---
extern double   InpLots           = 1.0;       // Position Size (Lots)
extern int      InpFeeType        = 0;         // Fee Type: 0=Per Lot, 1=Percentage
extern double   InpFeeRate        = 3.5;       // Fee Rate (Round Trip per Lot or %)
extern double   InpFixedFee       = 0.0;       // Fixed Ticket Fee ($)

extern int      InpBaseSpread     = 10;        // Base Spread (in Points)
extern int      InpBaseSlippage   = 10;        // Base Slippage Per Side (in Points)
extern bool     InpUseDynSlip     = true;      // Use Volatility-Adjusted Slippage (ATR)
extern double   InpSlipFactor     = 0.05;      // ATR Slippage Factor

// --- Buffers ---
double LongBEBuffer[];
double ShortBEBuffer[];

string prefix = "EDM_";

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
  {
   SetIndexBuffer(0, LongBEBuffer);
   SetIndexStyle(0, DRAW_LINE);
   SetIndexLabel(0, "Long Breakeven");
   
   SetIndexBuffer(1, ShortBEBuffer);
   SetIndexStyle(1, DRAW_LINE);
   SetIndexLabel(1, "Short Breakeven");

   return(INIT_SUCCEEDED);
  }

//+------------------------------------------------------------------+
//| Custom indicator deinitialization function                       |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
   ObjectsDeleteAll(0, prefix);
  }

//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
                const int prev_calculated,
                const datetime &time[],
                const double &open[],
                const double &high[],
                const double &low[],
                const double &close[],
                const long &tick_volume[],
                const long &volume[],
                const int &spread[])
  {
   if(rates_total < 14) return(0);

   double point = Point;
   double tick_size = MarketInfo(Symbol(), MODE_TICKSIZE);
   double tick_val = MarketInfo(Symbol(), MODE_TICKVALUE);
   
   double point_val = tick_val * (point / tick_size); 
   if(point_val == 0) point_val = 1;
   
   double contract_size = MarketInfo(Symbol(), MODE_LOTSIZE);
   int start = prev_calculated == 0 ? 0 : prev_calculated - 1;

   for(int i = start; i < rates_total; i++)
     {
      double current_close = close[i];
      double notional = InpLots * contract_size * current_close;
      
      // Calculate ATR using built-in MQL4 function
      double atr_val = iATR(Symbol(), 0, 14, i);
      double atr_points = atr_val / point;
      double dyn_slip = InpUseDynSlip ? InpBaseSlippage + (atr_points * InpSlipFactor) : InpBaseSlippage;
      
      // Costs
      double commCost = (InpFeeType == 0) ? (InpFeeRate * InpLots) + InpFixedFee : (notional * (InpFeeRate / 100)) + InpFixedFee;
      double spreadCost = InpBaseSpread * point_val * InpLots;
      double slipCost = (dyn_slip * 2) * point_val * InpLots; 
      double totalCost = commCost + spreadCost + slipCost;
      
      // Breakeven
      double pointsToBE = totalCost / (point_val * InpLots);
      
      LongBEBuffer[i] = current_close + (pointsToBE * point);
      ShortBEBuffer[i] = current_close - (pointsToBE * point);
      
      if(i == rates_total - 1)
        {
         double acct_bal = AccountInfoDouble(ACCOUNT_BALANCE);
         double acct_drag = (acct_bal > 0) ? (totalCost / acct_bal) * 100 : 0;
         DrawDashboard(notional, commCost, spreadCost, slipCost, totalCost, acct_drag, pointsToBE);
        }
     }
   return(rates_total);
  }

void DrawDashboard(double notional, double comm, double spread, double slip, double total, double drag, double be_points)
  {
   int x = 20, y = 180, space = 20; 
   string ccy = AccountInfoString(ACCOUNT_CURRENCY);
   
   CreateLabel(prefix+"H1", "Institutional Execution Drag Model | " + Symbol(), x, y, clrWhite, 11);
   CreateLabel(prefix+"R1", "Notional Exposure: " + DoubleToString(notional, 2) + " " + ccy, x, y-(space*1), clrSilver);
   CreateLabel(prefix+"R2", "Broker Commissions: " + DoubleToString(comm, 2) + " " + ccy, x, y-(space*2), clrRed);
   CreateLabel(prefix+"R3", "Bid-Ask Spread Drag: " + DoubleToString(spread, 2) + " " + ccy, x, y-(space*3), clrRed);
   CreateLabel(prefix+"R4", "Slippage Estimate: " + DoubleToString(slip, 2) + " " + ccy, x, y-(space*4), InpUseDynSlip ? clrOrange : clrRed);
   
   CreateLabel(prefix+"R5", "Total Overhead: " + DoubleToString(total, 2) + " " + ccy, x, y-(space*5)-5, clrDodgerBlue, 10);
   CreateLabel(prefix+"R6", "Portfolio Drag: " + DoubleToString(drag, 4) + "%", x, y-(space*6)-5, clrSalmon, 10);
   CreateLabel(prefix+"R7", "Points to Breakeven: " + DoubleToString(be_points, 1), x, y-(space*7)-5, clrGold, 10);
  }

void CreateLabel(string name, string text, int x, int y, color clr, int size=9)
  {
   if(ObjectFind(name) < 0) ObjectCreate(name, OBJ_LABEL, 0, 0, 0);
   ObjectSet(name, OBJPROP_XDISTANCE, x);
   ObjectSet(name, OBJPROP_YDISTANCE, y);
   ObjectSet(name, OBJPROP_CORNER, CORNER_RIGHT_LOWER); 
   ObjectSetText(name, text, size, "Trebuchet MS", clr);
  }

Code: Select all

//+------------------------------------------------------------------+
//|                                           ProExecutionModel.mq5  |
//|                                 Institutional Cost Model w/ GUI  |
//+------------------------------------------------------------------+
#property copyright "Pro Execution Model"
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_plots   2

// Plot Long Breakeven
#property indicator_label1  "Long Breakeven"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrTeal
#property indicator_style1  STYLE_DASH
#property indicator_width1  1

// Plot Short Breakeven
#property indicator_label2  "Short Breakeven"
#property indicator_type2   DRAW_LINE
#property indicator_color2  clrMaroon
#property indicator_style2  STYLE_DASH
#property indicator_width2  1

// --- Inputs ---
input string   grp1 = "--- Position & Fees ---";
input double   InpLots           = 1.0;       // Position Size (Lots)
input int      InpFeeType        = 0;         // Fee Type: 0=Per Lot, 1=Percentage
input double   InpFeeRate        = 3.5;       // Fee Rate (Round Trip per Lot or %)
input double   InpFixedFee       = 0.0;       // Fixed Ticket Fee ($)

input string   grp2 = "--- Market Impact ---";
input bool     InpUseLiveSpread  = true;      // Use Live Broker Spread? (Overrides Base)
input int      InpBaseSpread     = 10;        // Base Spread (if Live is false)
input int      InpBaseSlippage   = 10;        // Base Slippage Per Side (in Points)
input bool     InpUseDynSlip     = true;      // Use Volatility-Adjusted Slippage (ATR)
input double   InpSlipFactor     = 0.05;      // ATR Slippage Factor

// --- Buffers ---
double LongBEBuffer[];
double ShortBEBuffer[];

// --- Global Variables ---
int atr_handle;
string prefix = "PRO_EDM_";

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
  {
   SetIndexBuffer(0, LongBEBuffer, INDICATOR_DATA);
   SetIndexBuffer(1, ShortBEBuffer, INDICATOR_DATA);
   
   atr_handle = iATR(_Symbol, PERIOD_CURRENT, 14);
   if(atr_handle == INVALID_HANDLE) return(INIT_FAILED);
   
   return(INIT_SUCCEEDED);
  }

void OnDeinit(const int reason) { ObjectsDeleteAll(0, prefix); IndicatorRelease(atr_handle); }

//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total, const int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[])
  {
   if(rates_total < 14) return(0);

   double atr_array[];
   if(CopyBuffer(atr_handle, 0, 0, rates_total, atr_array) <= 0) return(0);

   double point = SymbolInfoDouble(_Symbol, SYMBOL_POINT);
   double tick_size = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_TICK_SIZE);
   double tick_val = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_TICK_VALUE);
   
   double point_val = tick_val * (point / tick_size); 
   if(point_val == 0) point_val = 1; 
   
   double contract_size = SymbolInfoDouble(_Symbol, SYMBOL_TRADE_CONTRACT_SIZE);
   int start = prev_calculated == 0 ? 0 : prev_calculated - 1;

   for(int i = start; i < rates_total; i++)
     {
      double current_close = close[i];
      double notional = InpLots * contract_size * current_close;
      
      // Dynamic ATR Slippage
      double dyn_slip = InpBaseSlippage;
      if(InpUseDynSlip) dyn_slip += ((atr_array[i] / point) * InpSlipFactor);
      
      // Live vs Manual Spread
      int current_spread = InpBaseSpread;
      if(InpUseLiveSpread) current_spread = (int)SymbolInfoInteger(_Symbol, SYMBOL_SPREAD);
      
      // Core Costs
      double commCost = (InpFeeType == 0) ? (InpFeeRate * InpLots) + InpFixedFee : (notional * (InpFeeRate / 100)) + InpFixedFee;
      double spreadCost = current_spread * point_val * InpLots;
      double slipCost = (dyn_slip * 2) * point_val * InpLots; 
      double totalCost = commCost + spreadCost + slipCost;
      
      // Breakeven Math
      double pointsToBE = totalCost / (point_val * InpLots);
      LongBEBuffer[i] = current_close + (pointsToBE * point);
      ShortBEBuffer[i] = current_close - (pointsToBE * point);
      
      // UI Update on live tick
      if(i == rates_total - 1)
        {
         double acct_bal = AccountInfoDouble(ACCOUNT_BALANCE);
         double acct_drag = (acct_bal > 0) ? (totalCost / acct_bal) * 100 : 0;
         DrawPanel(notional, commCost, spreadCost, slipCost, totalCost, acct_drag, pointsToBE, InpUseLiveSpread);
        }
     }
   return(rates_total);
  }

//+------------------------------------------------------------------+
//| Graphical UI Panel Construction                                  |
//+------------------------------------------------------------------+
void DrawPanel(double notional, double comm, double spread, double slip, double total, double drag, double be_points, bool liveSpread)
  {
   int baseX = 20, baseY = 20, w = 310, h = 210, pad = 15, rowH = 22;
   string ccy = AccountInfoString(ACCOUNT_CURRENCY);
   
   // Background Panel
   if(ObjectFind(0, prefix+"_BG") < 0) ObjectCreate(0, prefix+"_BG", OBJ_RECTANGLE_LABEL, 0, 0, 0);
   ObjectSetInteger(0, prefix+"_BG", OBJPROP_XDISTANCE, baseX);
   ObjectSetInteger(0, prefix+"_BG", OBJPROP_YDISTANCE, baseY);
   ObjectSetInteger(0, prefix+"_BG", OBJPROP_XSIZE, w);
   ObjectSetInteger(0, prefix+"_BG", OBJPROP_YSIZE, h);
   ObjectSetInteger(0, prefix+"_BG", OBJPROP_BGCOLOR, C'20,20,20');
   ObjectSetInteger(0, prefix+"_BG", OBJPROP_COLOR, C'60,60,60'); // Border
   ObjectSetInteger(0, prefix+"_BG", OBJPROP_CORNER, CORNER_RIGHT_UPPER);
   ObjectSetInteger(0, prefix+"_BG", OBJPROP_BACK, true);

   // Draw Rows
   DrawTextItem(prefix+"H1", "Execution Drag Model | " + _Symbol, baseX+pad, baseY+pad, clrWhite, 10, true);
   DrawTextItem(prefix+"R1", "Notional Exposure:", baseX+pad, baseY+pad+(rowH*1), clrSilver);
   DrawValItem(prefix+"V1", DoubleToString(notional, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*1), clrSilver);
   
   DrawTextItem(prefix+"R2", "Broker Commissions:", baseX+pad, baseY+pad+(rowH*2), clrSilver);
   DrawValItem(prefix+"V2", DoubleToString(comm, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*2), C'255,100,100');
   
   DrawTextItem(prefix+"R3", liveSpread ? "Spread Drag (LIVE):" : "Spread Drag (STATIC):", baseX+pad, baseY+pad+(rowH*3), clrSilver);
   DrawValItem(prefix+"V3", DoubleToString(spread, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*3), C'255,100,100');
   
   DrawTextItem(prefix+"R4", "Est. Slippage (ATR):", baseX+pad, baseY+pad+(rowH*4), clrSilver);
   DrawValItem(prefix+"V4", DoubleToString(slip, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*4), C'255,150,50');
   
   DrawTextItem(prefix+"R5", "Total Overhead:", baseX+pad, baseY+pad+(rowH*5)+5, clrDodgerBlue, 9, true);
   DrawValItem(prefix+"V5", DoubleToString(total, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*5)+5, clrDodgerBlue, 9, true);
   
   DrawTextItem(prefix+"R6", "Portfolio Drag:", baseX+pad, baseY+pad+(rowH*6)+5, clrSilver);
   DrawValItem(prefix+"V6", DoubleToString(drag, 3) + "%", baseX+w-pad, baseY+pad+(rowH*6)+5, clrSalmon, 9, true);
   
   DrawTextItem(prefix+"R7", "Points to Breakeven:", baseX+pad, baseY+pad+(rowH*7)+5, clrGold, 9, true);
   DrawValItem(prefix+"V7", DoubleToString(be_points, 1), baseX+w-pad, baseY+pad+(rowH*7)+5, clrGold, 9, true);
  }

void DrawTextItem(string name, string text, int x, int y, color clr, int size=9, bool bold=false)
  {
   if(ObjectFind(0, name) < 0) ObjectCreate(0, name, OBJ_LABEL, 0, 0, 0);
   ObjectSetInteger(0, name, OBJPROP_XDISTANCE, x);
   ObjectSetInteger(0, name, OBJPROP_YDISTANCE, y);
   ObjectSetInteger(0, name, OBJPROP_CORNER, CORNER_RIGHT_UPPER);
   ObjectSetString(0, name, OBJPROP_TEXT, text);
   ObjectSetString(0, name, OBJPROP_FONT, "Trebuchet MS");
   ObjectSetInteger(0, name, OBJPROP_FONTSIZE, size);
   ObjectSetInteger(0, name, OBJPROP_COLOR, clr);
  }

void DrawValItem(string name, string text, int x, int y, color clr, int size=9, bool bold=false)
  {
   DrawTextItem(name, text, x, y, clr, size, bold);
   ObjectSetInteger(0, name, OBJPROP_ANCHOR, ANCHOR_RIGHT_UPPER); // Right align the numbers
  }

Code: Select all

//+------------------------------------------------------------------+
//|                                           ProExecutionModel.mq4  |
//|                                 Institutional Cost Model w/ GUI  |
//+------------------------------------------------------------------+
#property copyright "Pro Execution Model"
#property strict
#property indicator_chart_window
#property indicator_buffers 2

#property indicator_color1  clrTeal
#property indicator_style1  STYLE_DASH
#property indicator_width1  1

#property indicator_color2  clrMaroon
#property indicator_style2  STYLE_DASH
#property indicator_width2  1

// --- Inputs ---
extern double   InpLots           = 1.0;       // Position Size (Lots)
extern int      InpFeeType        = 0;         // Fee Type: 0=Per Lot, 1=Percentage
extern double   InpFeeRate        = 3.5;       // Fee Rate (Round Trip per Lot or %)
extern double   InpFixedFee       = 0.0;       // Fixed Ticket Fee ($)

extern bool     InpUseLiveSpread  = true;      // Use Live Broker Spread? 
extern int      InpBaseSpread     = 10;        // Base Spread (if Live is false)
extern int      InpBaseSlippage   = 10;        // Base Slippage Per Side (in Points)
extern bool     InpUseDynSlip     = true;      // Use Volatility-Adjusted Slippage (ATR)
extern double   InpSlipFactor     = 0.05;      // ATR Slippage Factor

// --- Buffers ---
double LongBEBuffer[];
double ShortBEBuffer[];

string prefix = "PRO_EDM_";

int OnInit()
  {
   SetIndexBuffer(0, LongBEBuffer);
   SetIndexStyle(0, DRAW_LINE);
   SetIndexLabel(0, "Long Breakeven");
   
   SetIndexBuffer(1, ShortBEBuffer);
   SetIndexStyle(1, DRAW_LINE);
   SetIndexLabel(1, "Short Breakeven");
   return(INIT_SUCCEEDED);
  }

void OnDeinit(const int reason) { ObjectsDeleteAll(0, prefix); }

int OnCalculate(const int rates_total, const int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[])
  {
   if(rates_total < 14) return(0);

   double point = Point;
   double tick_size = MarketInfo(Symbol(), MODE_TICKSIZE);
   double tick_val = MarketInfo(Symbol(), MODE_TICKVALUE);
   
   double point_val = tick_val * (point / tick_size); 
   if(point_val == 0) point_val = 1;
   
   double contract_size = MarketInfo(Symbol(), MODE_LOTSIZE);
   int start = prev_calculated == 0 ? 0 : prev_calculated - 1;

   for(int i = start; i < rates_total; i++)
     {
      double current_close = close[i];
      double notional = InpLots * contract_size * current_close;
      
      // Dynamic ATR Slippage
      double atr_val = iATR(Symbol(), 0, 14, i);
      double dyn_slip = InpBaseSlippage;
      if(InpUseDynSlip) dyn_slip += ((atr_val / point) * InpSlipFactor);
      
      // Live Spread Pull
      int current_spread = InpBaseSpread;
      if(InpUseLiveSpread) current_spread = (int)MarketInfo(Symbol(), MODE_SPREAD);
      
      // Core Costs
      double commCost = (InpFeeType == 0) ? (InpFeeRate * InpLots) + InpFixedFee : (notional * (InpFeeRate / 100)) + InpFixedFee;
      double spreadCost = current_spread * point_val * InpLots;
      double slipCost = (dyn_slip * 2) * point_val * InpLots; 
      double totalCost = commCost + spreadCost + slipCost;
      
      // Breakeven Math
      double pointsToBE = totalCost / (point_val * InpLots);
      LongBEBuffer[i] = current_close + (pointsToBE * point);
      ShortBEBuffer[i] = current_close - (pointsToBE * point);
      
      // UI Update
      if(i == rates_total - 1)
        {
         double acct_bal = AccountInfoDouble(ACCOUNT_BALANCE);
         double acct_drag = (acct_bal > 0) ? (totalCost / acct_bal) * 100 : 0;
         DrawPanel(notional, commCost, spreadCost, slipCost, totalCost, acct_drag, pointsToBE, InpUseLiveSpread);
        }
     }
   return(rates_total);
  }

void DrawPanel(double notional, double comm, double spread, double slip, double total, double drag, double be_points, bool liveSpread)
  {
   int baseX = 20, baseY = 20, w = 310, h = 210, pad = 15, rowH = 22;
   string ccy = AccountInfoString(ACCOUNT_CURRENCY);
   
   if(ObjectFind(prefix+"_BG") < 0) ObjectCreate(prefix+"_BG", OBJ_RECTANGLE_LABEL, 0, 0, 0);
   ObjectSet(prefix+"_BG", OBJPROP_XDISTANCE, baseX);
   ObjectSet(prefix+"_BG", OBJPROP_YDISTANCE, baseY);
   ObjectSet(prefix+"_BG", OBJPROP_XSIZE, w);
   ObjectSet(prefix+"_BG", OBJPROP_YSIZE, h);
   ObjectSet(prefix+"_BG", OBJPROP_BGCOLOR, C'20,20,20');
   ObjectSet(prefix+"_BG", OBJPROP_COLOR, C'60,60,60');
   ObjectSet(prefix+"_BG", OBJPROP_CORNER, CORNER_RIGHT_UPPER);
   ObjectSet(prefix+"_BG", OBJPROP_BACK, true);

   DrawTextItem(prefix+"H1", "Execution Drag Model | " + Symbol(), baseX+pad, baseY+pad, clrWhite, 10);
   
   DrawTextItem(prefix+"R1", "Notional Exposure:", baseX+pad, baseY+pad+(rowH*1), clrSilver);
   DrawValItem(prefix+"V1", DoubleToString(notional, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*1), clrSilver);
   
   DrawTextItem(prefix+"R2", "Broker Commissions:", baseX+pad, baseY+pad+(rowH*2), clrSilver);
   DrawValItem(prefix+"V2", DoubleToString(comm, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*2), C'255,100,100');
   
   DrawTextItem(prefix+"R3", liveSpread ? "Spread Drag (LIVE):" : "Spread Drag (STATIC):", baseX+pad, baseY+pad+(rowH*3), clrSilver);
   DrawValItem(prefix+"V3", DoubleToString(spread, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*3), C'255,100,100');
   
   DrawTextItem(prefix+"R4", "Est. Slippage (ATR):", baseX+pad, baseY+pad+(rowH*4), clrSilver);
   DrawValItem(prefix+"V4", DoubleToString(slip, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*4), C'255,150,50');
   
   DrawTextItem(prefix+"R5", "Total Overhead:", baseX+pad, baseY+pad+(rowH*5)+5, clrDodgerBlue, 9);
   DrawValItem(prefix+"V5", DoubleToString(total, 2) + " " + ccy, baseX+w-pad, baseY+pad+(rowH*5)+5, clrDodgerBlue, 9);
   
   DrawTextItem(prefix+"R6", "Portfolio Drag:", baseX+pad, baseY+pad+(rowH*6)+5, clrSilver);
   DrawValItem(prefix+"V6", DoubleToString(drag, 3) + "%", baseX+w-pad, baseY+pad+(rowH*6)+5, clrSalmon, 9);
   
   DrawTextItem(prefix+"R7", "Points to Breakeven:", baseX+pad, baseY+pad+(rowH*7)+5, clrGold, 9);
   DrawValItem(prefix+"V7", DoubleToString(be_points, 1), baseX+w-pad, baseY+pad+(rowH*7)+5, clrGold, 9);
  }

void DrawTextItem(string name, string text, int x, int y, color clr, int size=9)
  {
   if(ObjectFind(name) < 0) ObjectCreate(name, OBJ_LABEL, 0, 0, 0);
   ObjectSet(name, OBJPROP_XDISTANCE, x);
   ObjectSet(name, OBJPROP_YDISTANCE, y);
   ObjectSet(name, OBJPROP_CORNER, CORNER_RIGHT_UPPER);
   ObjectSetText(name, text, size, "Trebuchet MS", clr);
  }

void DrawValItem(string name, string text, int x, int y, color clr, int size=9)
  {
   DrawTextItem(name, text, x, y, clr, size);
   ObjectSet(name, OBJPROP_ANCHOR, ANCHOR_RIGHT_UPPER); 
  }