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Fixes unmatched data error where volume limit was exceeded for higher…
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… timeframes
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@kenorb
kenorb committed Oct 26, 2016
1 parent 9ba7866 commit f9943d1
Showing 1 changed file with 54 additions and 44 deletions.
98 changes: 54 additions & 44 deletions MT4/MQL4/Scripts/CSV2FXT.mq4
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Original file line number Diff line number Diff line change
Expand Up @@ -2,26 +2,27 @@
Copyright (C) 2009-2012 Birt Ltd <birt@eareview.net>
This license governs use of the accompanying software. If you use the software, you accept this license. If you do not accept the license, do not use the software.
1. Definitions
The terms "reproduce", "reproduction", and "distribution" have the same meaning here as under U.S. copyright law.
"You" means the licensee of the software, who is not engaged in designing, developing, or testing other software that has the same or substantially the same features or functionality as the software.
"Your company" means the company you worked for when you downloaded the software.
"Reference use" means use of the software within your company as a reference, in read only form, for the sole purposes of debugging and maintaining your products to run properly in conjuction with the software. For clarity, "reference use" does NOT include (a) the right to use the software for purposes of designing, developing, or testing other software that has the same or substantially the same features or functionality as the software, and (b) the right to distribute the software outside of your household or company.
"Licensed patents" means any Licensor patent claims which read directly on the software as distributed by the Licensor under this license.
2. Grant of Rights
(A) Copyright Grant- Subject to the terms of this license, the Licensor grants you a non-transferable, non-exclusive, worldwide, royalty-free copyright license to use and to reproduce the software for reference use.
(B) Patent Grant- Subject to the terms of this license, the Licensor grants you a non-transferable, non-exclusive, worldwide, royalty-free patent license under licensed patents for reference use.
3. Limitations
(A) No Trademark License- This license does not grant you any rights to use the Licensor's name, logo, or trademarks.
(B) If you begin patent litigation against the Licensor over patents that you think may apply to the software (including a cross-claim or counterclaim in a lawsuit), your license to the software ends automatically.
(C) The software is licensed "as-is." You bear the risk of using it. The Licensor gives no express warranties, guarantees or conditions. You may have additional consumer rights under your local laws which this license cannot change. To the extent permitted under your local laws, the Licensor excludes the implied warranties of merchantability, fitness for a particular purpose and non-infringement.
*/

#property copyright "birt"
#property link "http://eareview.net/"
#property show_inputs
Expand Down Expand Up @@ -69,7 +70,7 @@
#import

enum Version {
CSV2FXT_Version=0, // 0.50
CSV2FXT_Version=0, // 0.51
};

enum DST {
Expand Down Expand Up @@ -147,7 +148,7 @@ enum AGMT {
};

#include <FXTHeader.mqh>
input Version CSV2FXT_version=0; // CSV2FXT version
input string CSV2FXT_version="0.51"; // CSV2FXT version
extern string CsvFile=""; // CSV filename
extern bool CreateHst=true; // Create HST files
extern string ValueInfo="(regardless of the number of digits)."; // All spreads & commissions are in pips
Expand All @@ -158,30 +159,32 @@ extern datetime EndDate=0; // End date
extern bool UseRealSpread=false; // Use real (variable) spread
extern double SpreadPadding = 0.0; // Spread padding
extern double MinSpread = 0.0; // Minimum spread
extern string CommissionInfo = "Only fill in the desired commission type."; // Commission info 
extern string CommissionInfo = "Only fill in the desired commission type."; // Commission info?
extern double PipsCommission = 0.0; // Commission in pips
extern double MoneyCommission = 0.0; // Commission in account currency
extern string Leverage = "automatic (current account leverage)";
extern string GMTOffsetInfo2 = "These apply to the resulting FXT file."; // FXT GMT and DST info
input GMT FXTGMTOffset = 0; // FXT GMT offset
input DST FXTDST = 0; // FXT DST setting
extern string GMTOffsetInfo3 = "These specify the configuration of the CSV data file."; // CSV GMT and DST info  
extern string GMTOffsetInfo3 = "These specify the configuration of the CSV data file."; // CSV GMT and DST info ?
input AGMT CSVGMTOffset = -13; // CSV GMT offset
input ADST CSVDST = -1; // CSV DST setting
extern bool RemoveDuplicateTicks = true; // Remove duplicate ticks
extern bool CreateM1 = false; // Create M1 FXT
extern bool CreateM5 = false; // Create M5 FXT
extern bool CreateM15 = false; // Create M15 FXT
extern bool CreateM30 = false; // Create M30 FXT
extern bool CreateH1 = false; // Create H1 FXT
extern bool CreateH4 = false; // Create H4 FXT
extern bool CreateD1 = false; // Create D1 FXT
extern bool RemoveDuplicateTicks = false; // Remove duplicate ticks
extern bool CreateM1 = true; // Create M1 FXT
extern bool CreateM5 = true; // Create M5 FXT
extern bool CreateM15 = true; // Create M15 FXT
extern bool CreateM30 = true; // Create M30 FXT
extern bool CreateH1 = true; // Create H1 FXT
extern bool CreateH4 = true; // Create H4 FXT
extern bool CreateD1 = true; // Create D1 FXT
extern string TimeShiftInfo = "Do not enable unless you know exactly what you're doing."; // Time shift info
extern bool TimeShift = false; // Time shift
extern double PriceFactor = 1.0; // Price multiplication factor
// this was removed from the externs because mostly nobody needs it
//extern string VolumeInfo1="Only enable this if you actually need it.";
bool UseRealVolume=false;
// This was removed from the externs because mostly nobody needs it.
// extern string VolumeInfo1="Only enable this if you actually need it.";
bool UseRealVolume=false; // Do not enable, not compatible anymore.

bool CorrectVolume = true; // Enable this to allow correct volume calculation on all timeframes.

int ExtSrcGMT = 0;
int ExtSrcDST = 0;
Expand Down Expand Up @@ -243,8 +246,9 @@ int ExtMinHoursGap = 2;
#define FIELD_TYPE_NUMBER 1
#define KNOWN_DATE_FORMATS 20

void OnDeinit(const int reason) {

void OnDeinit(const int reason)
{
TerminalClose(0);
}

void OnStart()
Expand Down Expand Up @@ -301,15 +305,15 @@ void OnStart()
if (IsNumeric(Leverage)) {
LeverageVal = StrToInteger(Leverage);
}
if(CreateM1 == true) ExtPeriodSelection[0] = true;
if(CreateM5 == true) ExtPeriodSelection[1] = true;
if(CreateM15 == true) ExtPeriodSelection[2] = true;
if(CreateM30 == true) ExtPeriodSelection[3] = true;
if(CreateH1 == true) ExtPeriodSelection[4] = true;
if(CreateH4 == true) ExtPeriodSelection[5] = true;
if(CreateD1 == true) ExtPeriodSelection[6] = true;

if (CreateM1 == true || CorrectVolume == true) ExtPeriodSelection[0] = true;
if (CreateM5 == true || CorrectVolume == true) ExtPeriodSelection[1] = true;
if (CreateM15 == true || CorrectVolume == true) ExtPeriodSelection[2] = true;
if (CreateM30 == true || CorrectVolume == true) ExtPeriodSelection[3] = true;
if (CreateH1 == true || CorrectVolume == true) ExtPeriodSelection[4] = true;
if (CreateH4 == true || CorrectVolume == true) ExtPeriodSelection[5] = true;
if (CreateD1 == true || CorrectVolume == true) ExtPeriodSelection[6] = true;

if (CsvFile == "") {
CsvFile = StringSubstr(Symbol(),0,6) + ".csv";
}
Expand Down Expand Up @@ -378,6 +382,7 @@ void OnStart()
WriteHeader(ExtFxtHandle[i],Symbol(),ExtPeriods[i],0,(int)Spread,PipsCommission,MoneyCommission,LeverageVal);
}
}

//---- open hst-files and write their headers
if(CreateHst) WriteHstHeaders();
int progress = -1;
Expand Down Expand Up @@ -538,7 +543,9 @@ void OnStart()
hstFiles = " and the HST files to history\\" + AccountServer();
note = "\nNote: this will overwrite any existing " + Symbol() + " HST files in the history\\" + AccountServer() + " folder!";
}
bool flag = false;
if (MessageBox("Processing for " + Symbol() + " has finished.\nWould you like to move the FXT file(s) to tester\\history" + hstFiles + "?" + note, "CSV2FXT", MB_YESNO | MB_ICONQUESTION) == IDYES) {
flag = true;
for (i = 0; i < ExtPeriodCount; i++) {
if (ExtPeriodSelection[i] && ExtFxtHandle[i] >= 0) {
fileName=Symbol()+(string)ExtPeriods[i]+"_0.fxt";
Expand All @@ -548,7 +555,9 @@ void OnStart()
copyOk = true;
}
else if ((attr & FILE_ATTRIBUTE_READONLY) != 0) {
if (MessageBox("File tester\\history\\" + fileName + " already exists and has its readonly attribute set. Would you like to overwrite it?", "CSV2FXT", MB_ICONQUESTION | MB_YESNO) == IDYES) {
if (flag == true)
//if (MessageBox("File tester\\history\\" + fileName + " already exists and has its readonly attribute set. Would you like to overwrite it?", "CSV2FXT", MB_ICONQUESTION | MB_YESNO) == IDYES)
{
SetFileAttributesW(ExtTerminalPath + "tester\\history\\" + fileName, FILE_ATTRIBUTE_NORMAL);
copyOk = true;
}
Expand All @@ -558,7 +567,7 @@ void OnStart()
}
if (copyOk) {
if (MoveFileExW(ExtFolder + fileName, ExtTerminalPath + "\\tester\\history\\" + fileName, MOVEFILE_REPLACE_EXISTING) == 0) {
MessageBox("Unable to move MQL4\\Files\\" + fileName + " to " + "tester\\history\\" + fileName + ".", "CSV2FXT", MB_ICONEXCLAMATION);
MessageBox("Unable to move MQL4\\Files\\" + fileName + " to " + "tester\\history\\" + fileName + ". Possibly strategy tester locked the file, please restart your MT4 terminal, run CSV2FXT script first.", "CSV2FXT", MB_ICONEXCLAMATION);
}
}
}
Expand All @@ -568,10 +577,11 @@ void OnStart()
for (i = 0; i < ExtPeriodCount; i++) {
fileName = Symbol() + (string)ExtPeriods[i] + ".hst";
if (MoveFileExW(ExtFolder + fileName, ExtTerminalPath + targetPath + fileName, MOVEFILE_REPLACE_EXISTING) == 0) {
MessageBox("Unable to move MQL4\\Files\\" + fileName + " to " + targetPath + fileName + ".");
MessageBox("Unable to move MQL4\\Files\\" + fileName + " to " + targetPath + fileName + ". Possibly strategy tester locked the file, please restart your MT4 terminal, run CSV2FXT script first.");
}
}
MessageBox("You should restart your MT4 terminal at this point to make sure the HST files are properly synchronized.", "CSV2FXT", MB_ICONEXCLAMATION);

}
}
//----
Expand Down Expand Up @@ -713,17 +723,17 @@ bool ReadNextTick(datetime& cur_time, double& tick_price, double& tick_volume)
// file is ending
return (false);
}

if (brokenRecord) {
if (ExtLastTime != 0) { // don't report this if it's the header row
Print("Broken record in the CSV file after " + TimeToStr(ExtLastTime, TIME_MINUTES|TIME_DATE|TIME_SECONDS));
}
continue;
}

dblAsk = NormalizeDouble(PriceFactor * dblAsk, Digits);
dblBid = NormalizeDouble(PriceFactor * dblBid, Digits);

if (wrongPricesMsg < 20 && ExtLastTime != 0) {
if ( (lastTickAsk != 0 && MathAbs(dblAsk - lastTickAsk) > lastTickAsk * ExtTickMaxDifference) ||
(lastTickBid != 0 && MathAbs(dblBid - lastTickBid) > lastTickBid * ExtTickMaxDifference) ||
Expand All @@ -737,22 +747,22 @@ bool ReadNextTick(datetime& cur_time, double& tick_price, double& tick_volume)
continue;
}
}

date_time -= ExtSrcGMT * 3600;
date_time -= DSTOffset(cur_time, ExtSrcDST);

cur_time = date_time + FXTGMTOffset * 3600;
cur_time += DSTOffset(cur_time, FXTDST);
if (TimeShift) {
cur_time -= 883612800;
}
tick_price = dblBid;

if (UseRealSpread) {
ExtSpread = NormalizeDouble(dblAsk - tick_price + SpreadPadding * Point, Digits);
if (ExtSpread < MinSpread * Point) ExtSpread = NormalizeDouble(MinSpread * Point, Digits);
}

if (!UseRealVolume) {
tick_volume = 1;
}
Expand All @@ -769,7 +779,7 @@ bool ReadNextTick(datetime& cur_time, double& tick_price, double& tick_volume)
lastTickTimeMin = TimeMinute(cur_time);
lastTickAsk = dblAsk;
lastTickBid = dblBid;

if (ExtLastTime != 0 && cur_time >= ExtLastTime + ExtMinHoursGap * 3600) {
int day = TimeDayOfWeek(cur_time);
bool alert = true;
Expand Down Expand Up @@ -854,7 +864,7 @@ void WriteHstHeaders()
int i_hperiod=ExtPeriods[i];
int i_hdigits=Digits;
int i_unused[13];
//----
//----
ExtHstHandle[i]=FileOpen(c_symbol+(string)i_hperiod+".hst", FILE_BIN|FILE_WRITE);
if(ExtHstHandle[i] < 0) Print("Error opening " + c_symbol + (string)i_hperiod + ".hst");
//---- write history file header
Expand Down Expand Up @@ -1430,7 +1440,7 @@ bool FigureOutCSVFormat(string csvFile) {
cmt = cmt + ".";
Print(cmt);
}

// figure out the last date in the file
if (IsDllsAllowed()) {
int fd = CreateFileW(ExtFolder + csvFile, GENERIC_READ, W_FILE_SHARE_READ, 0, OPEN_EXISTING, FILE_ATTRIBUTE_NORMAL, 0);
Expand Down Expand Up @@ -1665,7 +1675,7 @@ bool CheckDateCommon(string year, string month, string day, string hour, string
else if (StringLen(year) == 2) {
if (!IsNumeric(year) || (StrToInteger(year) > 38 && StrToInteger(year) < 70)) {
return (false);
}
}
}
else {
return (false);
Expand Down Expand Up @@ -2401,4 +2411,4 @@ string DllVersion(string dllName) {
vString += vChar;
}
return (StringTrimRight(StringTrimLeft(StringSubstr(vString, StringFind(vString, "FileVersion") + 11, 10))));
}
}

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