Fractals in a fast moving market | Forex Factory

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Fractals in a fast moving market

  • #1
  • First Post: Feb 2, 2018 2:08am Feb 2, 2018 2:08am
Hi All,

I'm trying to devise the best way to capture a fractal in a fast moving market, and in general, as well.
My code is looking at the third bar back to find the latest fractal, when first placed on a chart, if there's no fractal in the last three bars, it would mean that some entries might be missing as the EA is working with fractals as the entry points (just me playing around with code, no strategy here).
Will it be better to capture the latest lower and upper fractals using a loop? But in a fast moving market, wouldn't it also mean way more resources consumed by the EA? And maybe by the time the calculation is done, the price had already moved on and the entry might be taken at a different price than intended?

Hope I explained myself well.
  • #2
  • Edited 4:47am Feb 2, 2018 4:36am | Edited 4:47am
The most efficient way is to use iFractals and loop through it only when a new bar forms. Something like this
Inserted Code
struct Fractal{double price; datetime time;};
//+------------------------------------------------------------------+
void OnTick()
{
   static datetime   last_bar=0;
   static Fractal    last_upper = {0};
   static Fractal    last_lower = {0};
   datetime          current_bar = (datetime)SeriesInfoInteger(_Symbol,_Period,SERIES_LASTBAR_DATE);
   if(last_bar != current_bar)
   {
      if(!LatestFractal(MODE_UPPER, last_upper) || !LatestFractal(MODE_LOWER, last_lower))
         printf("%s:: %d",__FUNCTION__,_LastError);
      else
         last_bar = current_bar;
   }
   string comm = StringFormat("Last upper fractal @ %s = %.5f\nLast lower fractal @ %s = %.5f",
                              TimeToString(last_upper.time),last_upper.price,
                              TimeToString(last_lower.time),last_lower.price);
   Comment(comm);
}
//+------------------------------------------------------------------+
bool LatestFractal(int mode,Fractal &f)
{
   for(int i=0;i<Bars;i++)
   {
      f.price = iFractals(_Symbol, _Period, mode, i);
      if(f.price > 0.0 && f.price != EMPTY_VALUE)
      {
         f.time  = Time[i];
         return true;
      }
   }
   return false;
}

BTW, even if you did loop on every tick the complete calculation only takes about 500 microseconds. The quickest I've seen MT ticks in a fast market is around 10 milliseconds, which means finding fractals from the indicator buffers is not going to be your bottle-neck.
  • #3
  • Feb 2, 2018 9:11am Feb 2, 2018 9:11am
Quoting Nicholishen
The most efficient way is to use iFractals and loop through it only when a new bar forms. Something like this struct Fractal{double price; datetime time;}; //+------------------------------------------------------------------+ void OnTick() { static datetime last_bar=0; static Fractal last_upper = {0}; static Fractal last_lower = {0}; datetime current_bar = (datetime)SeriesInfoInteger(_Symbol,_Period,SERIES_LASTBAR_DATE); if(last_bar != current_bar) { if(!LatestFractal(MODE_UPPER, last_upper) || !LatestFractal(MODE_LOWER, last_lower)) printf("%s::...

Hi!

Thanks for the reply.
I'm attaching my own code, tested on XAUUSD with 5 points(?) Renko bars, it doesn't catch the fractals at all.
On a slower currency such as EURUSD it has no problem.

I'm not sure how to exit the loop when both fractals have been found.

Inserted Code
void IsNewFractal() {
  for (int i = 3; i <= BarsToScan; i++)
  {
    UpperFractal = iFractals(NULL,0,MODE_UPPER,i);
    LowerFractal = iFractals(NULL,0,MODE_LOWER,i);
    if ((UpperFractal > 0) && (!UpFractal))
    {
      UpperFractalHigh = High[i];
      UpperFractalLow = Low[i];
      UpFractal = true;
      break;
    }
    if ((LowerFractal > 0) && (!LowFractal))
    {
      LowerFractalHigh = High[i];
      LowerFractalLow = Low[i];
      LowFractal = true;
      break;
    }
  }
}
  • #4
  • Edited 2:31pm Feb 2, 2018 2:14pm | Edited 2:31pm
Quoting Reamasesa
{quote} Hi! Thanks for the reply. I'm attaching my own code, tested on XAUUSD with 5 points(?) Renko bars, it doesn't catch the fractals at all. On a slower currency such as EURUSD it has no problem. I'm not sure how to exit the loop when both fractals have been found. void IsNewFractal() { for (int i = 3; i <= BarsToScan; i++) { UpperFractal = iFractals(NULL,0,MODE_UPPER,i); LowerFractal = iFractals(NULL,0,MODE_LOWER,i); if ((UpperFractal > 0) && (!UpFractal)) { UpperFractalHigh = High; UpperFractalLow = Low; UpFractal = true; break;...
It might serve you well to study some design patterns and code etiquette outside of the MQL community... I can see from your snippet that all of your variables are global, and as a developer, you should be striving for clean encapsulated functions/classes without the over-use of global variables. Here are some additional things that can be improved with your code snippet:

  1. iFractals will only work with standard charts / timeframes.
  2. Don't assume MQL functions will always resolve NULL and 0 into the symbol and period you want to work with. Always complete your function calls with the _Symbol and _Period not NULL and 0.
  3. You should be starting your search from the second index which is [1] - not [3]
  4. Your code will break when you have a bar that is both upper and lower fractal. Make a function you can call with each mode separately. See my example.
  5. Using global variables when it's not absolutely necessary is lazy practice which not only ruins code re-usability but also makes your program more difficult to debug.

  • #5
  • Feb 2, 2018 5:21pm Feb 2, 2018 5:21pm
Quoting Nicholishen
{quote} It might serve you well to study some design patterns and code etiquette outside of the MQL community... I can see from your snippet that all of your variables are global, and as a developer, you should be striving for clean encapsulated functions/classes without the over-use of global variables. Here are some additional things that can be improved with your code snippet: iFractals will only work with standard charts / timeframes. Don't assume MQL functions will always resolve NULL and 0 into the symbol and period you want to work with....
I get what your saying but I don't know how to code. Other than Bash scripts I haven't written anything in my life and now I'm learning MQL4.
All my variables are global because I don't know how to return values from a function that should return both Boolean and integers/doubles, it's also part of the examples in formal MQL4 documentation.

 

  1. iFractals work on Renko, at least with my Renko generator, so iFractals should work too
  2. Thanks, I'll look it up and change my code accordingly
  3. Well, if a fractal is located nearer than three bars back, it's not a @proper@ fractal, I think, or am I mistaken here?
  4. It also doesn't return the last fractal properly, funny enough, it was suggested over at MQL5 as the better choice of code out of several. I actually had it written into two separated functions and combined it after reading that post
  5. Point noted, I'll try to better myself (still need to read that online course link you gave me earlier, real life is getting in the way)

  • #6
  • Feb 3, 2018 1:28pm Feb 3, 2018 1:28pm
Quoting Reamasesa
{quote} I get what your saying but I don't know how to code. Other than Bash scripts I haven't written anything in my life and now I'm learning MQL4. All my variables are global because I don't know how to return values from a function that should return both Boolean and integers/doubles, it's also part of the examples in formal MQL4 documentation. iFractals work on Renko, at least with my Renko generator, so iFractals should work too Thanks, I'll look it up and change my code accordingly Well, if a fractal is located nearer than three bars back,...
Hi Remasesa,

Congratulations on taking the step to learn how to code. I also learned on MQL, and in the beginning I learned from other MQL examples and picked up some really bad habits, which I assume is generally the case since MQL is not a mainstream language and the draw to MQL is from traders wanting to create simple bots. The problems I ran into early on was my programs weren't reusable (I couldn't call my functions from different scenarios) and my programs were hitting a ceiling in terms of complexity. It wasn't until I studied other languages and design patterns that I was able to overcome these obstacles.

In order to pass a variable into a function, perform some action, and return the boolean result - you need to pass the variable as a reference and return type bool. Here's an example of a divide by zero function.
Inserted Code
bool Divide(double num1, double num2, double &result)
{
   result = 0.0;
   if(num2 == 0.0)
      return false; //cannot divide by zero - error
   result = num1 / num2;
   return true;
}

  1. Things can get wonkey with offline charts. If you're working offline I would avoid the use of built-in indicators for debugging purposes. Fractals are easy to program so just make your own function.
    Inserted Code
    bool LatestFractal(const int mode,Fractal &result)
{
   if(mode == MODE_UPPER)
   {
      for(int i=2;i<Bars-2;i++)
      {
         if(High[i+2] < High[i]   && High[i+1] < High[i] 
         && High[i]   > High[i-1] && High[i]   > High[i-2])
         {
            result.price = High[i];
            result.time  = Time[i];
            return true;
         }
      }
   }
   else 
   if(mode == MODE_LOWER)
   {
      for(int i=2;i<Bars-2;i++)
      {
         if(Low[i+2] > Low[i]   && Low[i+1] > Low[i] 
         && Low[i]   < Low[i-1] && Low[i]   < Low[i-2])
         {
            result.price = Low[i];
            result.time  = Time[i];
            return true;
         }
      }
   }
   return false;
}
  2. -
  3. We both were wrong, the correct starting index is 2 (third bar)
  4. Most of the active users in the MQL5 help forums are old-school... they practice religious-like "beliefs" (without evidence or reason) and/or have massive conflicts of interest because they make a living off of freelance services and will intentionally confuse matters in order to steer you to freelance. You have to be careful who you chose to take advise from over there.
  5. You don't have to learn all the libraries and nuances, but at minimum you should have a working understanding of OOP and how to make good functions.

  • #7
  • Feb 4, 2018 4:39am Feb 4, 2018 4:39am
Quoting Nicholishen
{quote} Hi Remasesa.....
Sorry for deleting your reply but it's easier for me to reply like this.

Thanks for the code snippets.
In your second example, when you call the function twice, once for upper and once for lower, result.price (and result.time, I think, as well) get's over-written, no? How can you use result.price if it's a local variable outside of the function? So many things to learn and lacking of information.

As for the Fractal, I think it is 3 three bars back because the traditional way of determining a fractal, is using 5 bars so you need to look at bar[3] if you are at bar[0], I think.
In Renko in most cases it is safe to assume a Fractal is at bar[2] because of how the Renko bars are constructed. I think.

Not sure why you have the "&" sign there, I guess it's part of the language and I'll have to look it up.
What I did find are some examples of how to manipulate arrays so I'm thinking that maybe I can have an UpperFractalArray and a LowerFractalArray and have my functions work on private variables but change the global arrays as a result (return value, maybe? Still new to this concept so I'll have to read up on this).

As for MQL5, I got some EAs coded by a very nice guy over there and I learned a lot reading his code and since one of my terms for the job(s) was that the code would be simple so I may read and learn from it, he skipped out on the more complex stuff which I, now, will have to catch up on.

Thank you very much for your help and if it's possible, I would like to PM you from time to time (or keep it as a public thread as I hope others might learn from it).
  • #8
  • Feb 4, 2018 7:05am Feb 4, 2018 7:05am
Quoting Reamasesa
{quote} Sorry for deleting your reply but it's easier for me to reply like this. Thanks for the code snippets. In your second example, when you call the function twice, once for upper and once for lower, result.price (and result.time, I think, as well) get's over-written, no? How can you use result.price if it's a local variable outside of the function? So many things to learn and lacking of information. As for the Fractal, I think it is 3 three bars back because the traditional way of determining a fractal, is using 5 bars so you need to look at...
Here is a website you really should check out. The lessons in chapter 7 will teach you everything you need to know in order to understand functions, but it'd be best for you to start at the beginning so you're not missing out on the basic fundamentals.
  • #9
  • Last Post: Feb 4, 2018 12:38pm Feb 4, 2018 12:38pm
Also this http://www.learncpp.com/cpp-tutorial...bles-are-evil/
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