forex-scalping.com

Code: Select all

//@version=5
indicator("Execution Risk & Cluster Mapper", overlay=true, max_lines_count=500)

// --- Inputs ---
grp_sessions = "Cluster Zones (Time)"
londonOpen   = input.session("0800-0815", title="London Open Risk Window", group=grp_sessions)
nyOpen       = input.session("1330-1345", title="NY Open Risk Window", group=grp_sessions)

grp_levels   = "Cluster Zones (Price)"
showRoundNum = input.bool(true, title="Highlight Round Numbers (Gold/FX)", group=grp_levels)
roundNumStep = input.float(10.0, title="Round Number Step (e.g., 10 for Gold)", group=grp_levels)

grp_spread   = "Microstructure"
maxSpread    = input.float(2.0, title="Spread Alert Threshold (Ticks/Points)", group=grp_spread)

// --- 1. Session Cluster Highlighting ---
// Highlights the background during known high-reject/requote windows
inLondon = time(timeframe.period, londonOpen, "Europe/London") != 0
inNY     = time(timeframe.period, nyOpen, "America/New_York") != 0

bgcolor(inLondon ? color.new(color.blue, 90) : na, title="London Open Cluster")
bgcolor(inNY ? color.new(color.red, 90) : na, title="NY Open Cluster")

// --- 2. Round Number Proximity (Slippage Clusters) ---
// Plots lines at major psychological levels where order books thin out
if showRoundNum and barstate.islast
    float currentPrice = close
    float lowerRound = math.floor(currentPrice / roundNumStep) * roundNumStep
    float upperRound = lowerRound + roundNumStep
    
    // Draw lines only on the visible end of the chart to avoid clutter
    line.new(bar_index - 50, lowerRound, bar_index + 10, lowerRound, color=color.new(color.gray, 50), style=line.style_dotted, width=1)
    line.new(bar_index - 50, upperRound, bar_index + 10, upperRound, color=color.new(color.gray, 50), style=line.style_dotted, width=1)

// --- 3. Real-Time Spread Dashboard ---
// Pine can only track bid/ask on the live, streaming bar
var float rtSpread = na
if barstate.isrealtime
    // Calculate spread in terms of the asset's minimum tick
    rtSpread := (syminfo.ask - syminfo.bid) / syminfo.mintick

var table execTable = table.new(position.bottom_right, 2, 3, border_width=1, border_color=color.new(color.gray, 80))

if barstate.islast
    table.cell(execTable, 0, 0, "Execution Metric", text_color=color.gray, bgcolor=color.new(color.black, 80))
    table.cell(execTable, 1, 0, "Current Status", text_color=color.gray, bgcolor=color.new(color.black, 80))

    // Spread Row
    color spreadColor = na(rtSpread) ? color.gray : (rtSpread > maxSpread ? color.red : color.green)
    string spreadText = na(rtSpread) ? "Waiting for tick..." : str.tostring(rtSpread, "#.##") + " ticks"
    table.cell(execTable, 0, 1, "Live Spread", text_color=color.white, bgcolor=color.new(color.black, 80))
    table.cell(execTable, 1, 1, spreadText, text_color=spreadColor, bgcolor=color.new(color.black, 80))

    // Session Risk Row
    bool isRiskWindow = inLondon or inNY
    table.cell(execTable, 0, 2, "Session Risk", text_color=color.white, bgcolor=color.new(color.black, 80))
    table.cell(execTable, 1, 2, isRiskWindow ? "HIGH (Cluster Zone)" : "Standard", text_color=isRiskWindow ? color.orange : color.green, bgcolor=color.new(color.black, 80))

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 ExecutionKpiLogger : Robot
    {
        [Parameter("Volume (Units)", DefaultValue = 100000, MinValue = 1)]
        public double VolumeInUnits { get; set; }

        private string _csvPath;
        private readonly object _fileLock = new object();

        protected override void OnStart()
        {
            // Initialize CSV on the Desktop
            string desktopPath = Environment.GetFolderPath(Environment.SpecialFolder.Desktop);
            _csvPath = Path.Combine(desktopPath, "Execution_KPI_Log.csv");
            
            if (!File.Exists(_csvPath))
            {
                File.WriteAllText(_csvPath, "Timestamp,Symbol,Side,SpreadAtClick(Pips),RequestedPrice,FillPrice,Slippage(Pips),Latency(ms),Status,RejectReason\n");
            }

            // Build the on-chart execution panel
            var panel = new StackPanel 
            { 
                Orientation = Orientation.Horizontal, 
                HorizontalAlignment = HorizontalAlignment.Center, 
                VerticalAlignment = VerticalAlignment.Bottom, 
                Margin = 20 
            };
            
            var buyBtn = new Button { Text = "BUY (Track KPI)", BackgroundColor = Color.SeaGreen, Margin = 5, Width = 120, Height = 35 };
            var sellBtn = new Button { Text = "SELL (Track KPI)", BackgroundColor = Color.Firebrick, Margin = 5, Width = 120, Height = 35 };
            
            buyBtn.Click += args => ExecuteAndLogAsync(TradeType.Buy);
            sellBtn.Click += args => ExecuteAndLogAsync(TradeType.Sell);
            
            panel.AddChild(buyBtn);
            panel.AddChild(sellBtn);
            Chart.AddControl(panel);
        }

        private async void ExecuteAndLogAsync(TradeType tradeType)
        {
            // Capture state exactly at the moment of the click
            var stopwatch = Stopwatch.StartNew();
            DateTime clickTime = Server.Time;
            double spreadAtClick = Symbol.Spread / Symbol.PipSize;
            double requestedPrice = tradeType == TradeType.Buy ? Symbol.Ask : Symbol.Bid;
            
            // Execute the order asynchronously
            var result = await ExecuteMarketOrderAsync(tradeType, SymbolName, Symbol.NormalizeVolumeInUnits(VolumeInUnits), "KPI_Logger");
            
            stopwatch.Stop();

            // Calculate KPIs
            double fillPrice = result.Position?.EntryPrice ?? 0;
            double slippage = 0;
            
            if (result.IsSuccessful)
            {
                // Positive slippage = worse fill. Negative slippage = price improvement.
                slippage = tradeType == TradeType.Buy 
                    ? (fillPrice - requestedPrice) / Symbol.PipSize 
                    : (requestedPrice - fillPrice) / Symbol.PipSize;
            }

            string status = result.IsSuccessful ? "Filled" : "Rejected";
            string reason = result.IsSuccessful ? "" : result.Error.ToString();
            
            // Format and append to CSV
            string logLine = $"{clickTime:yyyy-MM-dd HH:mm:ss.fff},{SymbolName},{tradeType},{spreadAtClick:F1},{requestedPrice},{fillPrice},{slippage:F1},{stopwatch.ElapsedMilliseconds},{status},{reason}\n";

            lock (_fileLock)
            {
                File.AppendAllText(_csvPath, logLine);
            }
            
            Print($"Execution Logged: {status} | Latency: {stopwatch.ElapsedMilliseconds}ms | Slippage: {slippage:F1} pips");
        }
    }
}

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//+------------------------------------------------------------------+
//|                                             ExecutionKPILogger.mq5|
//+------------------------------------------------------------------+
#property copyright "Execution KPI Tracker"
#property version   "1.00"

input double InpVolume = 0.1; // Volume (Lots)

string csv_filename = "Execution_KPI_Log.csv";

int OnInit()
  {
   // Build on-chart UI
   CreateButton("btnBuy", "BUY (Track KPI)", 20, 20, clrWhite, clrSeaGreen);
   CreateButton("btnSell", "SELL (Track KPI)", 160, 20, clrWhite, clrFireBrick);
   
   // Initialize CSV with headers if it doesn't exist
   if(!FileIsExist(csv_filename))
     {
      int handle = FileOpen(csv_filename, FILE_WRITE|FILE_TXT|FILE_ANSI);
      if(handle != INVALID_HANDLE)
        {
         FileWrite(handle, "Timestamp,Symbol,Side,SpreadAtClick(Pips),RequestedPrice,FillPrice,Slippage(Pips),Latency(ms),Status,RejectReason");
         FileClose(handle);
        }
     }
   return(INIT_SUCCEEDED);
  }

void OnDeinit(const int reason)
  {
   ObjectDelete(0, "btnBuy");
   ObjectDelete(0, "btnSell");
  }

void CreateButton(string name, string text, int x, int y, color txt_color, color bg_color)
  {
   ObjectCreate(0, name, OBJ_BUTTON, 0, 0, 0);
   ObjectSetInteger(0, name, OBJPROP_XDISTANCE, x);
   ObjectSetInteger(0, name, OBJPROP_YDISTANCE, y);
   ObjectSetInteger(0, name, OBJPROP_XSIZE, 130);
   ObjectSetInteger(0, name, OBJPROP_YSIZE, 35);
   ObjectSetString(0, name, OBJPROP_TEXT, text);
   ObjectSetInteger(0, name, OBJPROP_COLOR, txt_color);
   ObjectSetInteger(0, name, OBJPROP_BGCOLOR, bg_color);
   ObjectSetInteger(0, name, OBJPROP_CORNER, CORNER_LEFT_LOWER);
   ObjectSetInteger(0, name, OBJPROP_STATE, false);
  }

void OnChartEvent(const int id, const long &lparam, const double &dparam, const string &sparam)
  {
   if(id == CHARTEVENT_OBJECT_CLICK)
     {
      if(sparam == "btnBuy")
        {
         ExecuteAndLog(ORDER_TYPE_BUY);
         ObjectSetInteger(0, "btnBuy", OBJPROP_STATE, false);
        }
      else if(sparam == "btnSell")
        {
         ExecuteAndLog(ORDER_TYPE_SELL);
         ObjectSetInteger(0, "btnSell", OBJPROP_STATE, false);
        }
     }
  }

void ExecuteAndLog(ENUM_ORDER_TYPE type)
  {
   ulong start_mcs = GetMicrosecondCount();
   datetime click_time = TimeCurrent();
   
   double ask = SymbolInfoDouble(_Symbol, SYMBOL_ASK);
   double bid = SymbolInfoDouble(_Symbol, SYMBOL_BID);
   double point = SymbolInfoDouble(_Symbol, SYMBOL_POINT);
   
   // Normalize pips based on digit count (3/5 digits vs 2/4 digits)
   int digits = (int)SymbolInfoInteger(_Symbol, SYMBOL_DIGITS);
   double pip_size = (digits == 3 || digits == 5) ? point * 10 : point;
   
   double spread_pips = (ask - bid) / pip_size;
   double req_price = (type == ORDER_TYPE_BUY) ? ask : bid;
   
   MqlTradeRequest request={0};
   MqlTradeResult result={0};
   
   request.action = TRADE_ACTION_DEAL;
   request.symbol = _Symbol;
   request.volume = InpVolume;
   request.type = type;
   request.price = req_price;
   request.deviation = 1000; // Intentionally high to ensure fill and measure exact slip
   request.magic = 999111;
   
   // Blocking call to capture latency
   bool success = OrderSend(request, result);
   
   ulong latency_mcs = GetMicrosecondCount() - start_mcs;
   double latency_ms = latency_mcs / 1000.0;
   
   double fill_price = result.price;
   double slippage = 0;
   
   if(success && fill_price > 0)
     {
      slippage = (type == ORDER_TYPE_BUY) 
         ? (fill_price - req_price) / pip_size 
         : (req_price - fill_price) / pip_size;
     }
     
   string status = success ? "Filled" : "Rejected";
   string reason = success ? "" : IntegerToString(result.retcode);
   string side_str = (type == ORDER_TYPE_BUY) ? "Buy" : "Sell";
   
   int handle = FileOpen(csv_filename, FILE_READ|FILE_WRITE|FILE_TXT|FILE_ANSI);
   if(handle != INVALID_HANDLE)
     {
      FileSeek(handle, 0, SEEK_END);
      string log_line = StringFormat("%s,%s,%s,%.1f,%f,%f,%.1f,%.1f,%s,%s",
                                     TimeToString(click_time, TIME_DATE|TIME_SECONDS),
                                     _Symbol, side_str, spread_pips, req_price, fill_price,
                                     slippage, latency_ms, status, reason);
      FileWrite(handle, log_line);
      FileClose(handle);
     }
     
   PrintFormat("Execution: %s | Latency: %.1fms | Slippage: %.1f pips", status, latency_ms, slippage);
  }

Code: Select all

//+------------------------------------------------------------------+
//|                                             ExecutionKPILogger.mq4|
//+------------------------------------------------------------------+
#property strict

input double InpVolume = 0.1; // Volume (Lots)

string csv_filename = "Execution_KPI_Log.csv";

int OnInit()
  {
   CreateButton("btnBuy", "BUY (Track KPI)", 20, 20, clrWhite, clrSeaGreen);
   CreateButton("btnSell", "SELL (Track KPI)", 160, 20, clrWhite, clrFireBrick);
   
   if(!FileIsExist(csv_filename))
     {
      int handle = FileOpen(csv_filename, FILE_WRITE|FILE_TXT|FILE_ANSI);
      if(handle != INVALID_HANDLE)
        {
         FileWrite(handle, "Timestamp,Symbol,Side,SpreadAtClick(Pips),RequestedPrice,FillPrice,Slippage(Pips),Latency(ms),Status,RejectReason");
         FileClose(handle);
        }
     }
   return(INIT_SUCCEEDED);
  }

void OnDeinit(const int reason)
  {
   ObjectDelete(0, "btnBuy");
   ObjectDelete(0, "btnSell");
  }

void CreateButton(string name, string text, int x, int y, color txt_color, color bg_color)
  {
   ObjectCreate(0, name, OBJ_BUTTON, 0, 0, 0);
   ObjectSetInteger(0, name, OBJPROP_XDISTANCE, x);
   ObjectSetInteger(0, name, OBJPROP_YDISTANCE, y);
   ObjectSetInteger(0, name, OBJPROP_XSIZE, 130);
   ObjectSetInteger(0, name, OBJPROP_YSIZE, 35);
   ObjectSetString(0, name, OBJPROP_TEXT, text);
   ObjectSetInteger(0, name, OBJPROP_COLOR, txt_color);
   ObjectSetInteger(0, name, OBJPROP_BGCOLOR, bg_color);
   ObjectSetInteger(0, name, OBJPROP_CORNER, CORNER_LEFT_LOWER);
   ObjectSetInteger(0, name, OBJPROP_STATE, false);
  }

void OnChartEvent(const int id, const long &lparam, const double &dparam, const string &sparam)
  {
   if(id == CHARTEVENT_OBJECT_CLICK)
     {
      if(sparam == "btnBuy")
        {
         ExecuteAndLog(OP_BUY);
         ObjectSetInteger(0, "btnBuy", OBJPROP_STATE, false);
        }
      else if(sparam == "btnSell")
        {
         ExecuteAndLog(OP_SELL);
         ObjectSetInteger(0, "btnSell", OBJPROP_STATE, false);
        }
     }
  }

void ExecuteAndLog(int type)
  {
   ulong start_mcs = GetMicrosecondCount();
   datetime click_time = TimeCurrent();
   RefreshRates(); // Vital in MQL4 to ensure Ask/Bid aren't stale before order
   
   double req_price = (type == OP_BUY) ? Ask : Bid;
   
   double pip_size = (Digits == 3 || Digits == 5) ? Point * 10 : Point;
   double spread_pips = (Ask - Bid) / pip_size;
   
   // Blocking execution call
   int ticket = OrderSend(Symbol(), type, InpVolume, req_price, 1000, 0, 0, "KPI_Logger", 999111, 0, (type==OP_BUY)?clrBlue:clrRed);
   
   ulong latency_mcs = GetMicrosecondCount() - start_mcs;
   double latency_ms = latency_mcs / 1000.0;
   
   bool success = (ticket > 0);
   double fill_price = 0;
   double slippage = 0;
   int err_code = 0;
   
   if(success)
     {
      if(OrderSelect(ticket, SELECT_BY_TICKET))
        {
         fill_price = OrderOpenPrice();
         slippage = (type == OP_BUY) 
            ? (fill_price - req_price) / pip_size 
            : (req_price - fill_price) / pip_size;
        }
     }
   else
     {
      err_code = GetLastError();
     }
     
   string status = success ? "Filled" : "Rejected";
   string reason = success ? "" : IntegerToString(err_code);
   string side_str = (type == OP_BUY) ? "Buy" : "Sell";
   
   int handle = FileOpen(csv_filename, FILE_READ|FILE_WRITE|FILE_TXT|FILE_ANSI);
   if(handle != INVALID_HANDLE)
     {
      FileSeek(handle, 0, SEEK_END);
      string log_line = StringFormat("%s,%s,%s,%.1f,%f,%f,%.1f,%.1f,%s,%s",
                                     TimeToString(click_time, TIME_DATE|TIME_SECONDS),
                                     Symbol(), side_str, spread_pips, req_price, fill_price,
                                     slippage, latency_ms, status, reason);
      FileWrite(handle, log_line);
      FileClose(handle);
     }
     
   PrintFormat("Execution: %s | Latency: %.1fms | Slippage: %.1f pips", status, latency_ms, slippage);
  }