Types of MM code? | Forex Factory

Options

Permalinks
Print Thread

Similar Threads

Six Types Of Traders-which Group Are You? 13 replies

two types of Forex traders 2 replies

Help with chart types 3 replies

Looking for all types of Moving Avg 2 replies

the different types of forex intraday markets 4 replies

Types of MM code?

  • #1
  • First Post: Sep 4, 2009 9:28pm Sep 4, 2009 9:28pm
I'm exploring various types of MM to use in EAs. One such type is sizing the lot based entirely on how much the trade will lose if it hits the initial stoploss.

What I'm trying to figure out is how to get metatrader to calculate this all on its own. MarketInfo(Symbol(), MODE_TICKVALUE) doesn't always seem to give a reliable metric. '


Thoughts?
  • #2
  • Sep 4, 2009 9:44pm Sep 4, 2009 9:44pm
Quoting Ronald Raygun
I'm exploring various types of MM to use in EAs. One such type is sizing the lot based entirely on how much the trade will lose if it hits the initial stoploss.

What I'm trying to figure out is how to get metatrader to calculate this all on its own. MarketInfo(Symbol(), MODE_TICKVALUE) doesn't always seem to give a reliable metric. '


Thoughts?
I am not sure if I understand your question, but I have always used

Lots = NormalizeDouble( AccountBalance()*Risk/StopLoss/(MarketInfo(Symbol(), MODE_TICKVALUE)),2);

Then I just have an input for the Risk and the stoploss can be computed dynamically or as an input. I have never had a reliablity problem with MODE_TICKVALUE. maybe you can explain further what you mean.
  • #3
  • Sep 4, 2009 10:20pm Sep 4, 2009 10:20pm
Perhaps I don't understand MODE_TICKVALE properly.

My understanding is that MODE_TICKVALUE gives you the number of base currency units (let's say dollars) for one pip of movement. But what lot size is that value against? Is it MODE_MINLOT? or 1 or something else?
  • #4
  • Edited 11:27pm Sep 4, 2009 10:52pm | Edited 11:27pm
Quoting Ronald Raygun
Perhaps I don't understand MODE_TICKVALE properly.

My understanding is that MODE_TICKVALUE gives you the number of base currency units (let's say dollars) for one pip of movement. But what lot size is that value against? Is it MODE_MINLOT? or 1 or something else?
Well in my formula, the idea of mini lot or standard lot is meaningless, because if it is a mini account, the tick value for say EU would be $1.00 if it is a standard account, the tick value for one lot would be $10.00 so, the lot size will automatically adjust for either.

so if you have a 2 % risk and a 20 pip stop, and a $10000 account, it would look like this

Standard account
lots = 1 = $10000 * 0.02 / 20 / 10.00

or

mini account
lots = 10 = $10000 * 0.02 / 20 / 1.00

and

Broker with pipetts
lots = 10 = $10000 * 0.02 / 200 / 0.10

notice that the pipette broker calls a tickvalue at $0.10 for each pipette so you need 20*10 pipetts or 200 pipetts.

You course can write into your code a simple check for a pipette broker and make a multiple adjustment like

next to the extern variables
int mult = 1;

inthe init

if ( Digits == 3 || Digits == 5 )
mult = 10;

in the start or the init

stoploss = stoploss * mult;
  • #5
  • Sep 5, 2009 7:31am Sep 5, 2009 7:31am
TickValue gives you what the minimum change in the base currency is worth in dollar, and the tickvalue is what the minimum change in the currencypair value is worth when you are trading 1 standard lot.
For EURGBP it's calculated like this:
Base currency is GBP, and the value of GBPUSD is 1.64000. Since USD is the base currency then in GBPUSD, then the tickvalue of EURGBP is $1.64 for each standard lot.
For GBPCHF it's:
Base currency is CHF, and the value of USDCHF is 1.06000. Here the CHF is the base currency so the tickvalue is 1/1.06000 = $0.94 for each standard lot.
This is of course for 5-digit brokers. For 4-digit brokers, the tickvalue is 10*times bigger. But this is nothing to think about when looking at the code here below, since for a 5-digit broker my stopLoss will be 10*times the stopLoss of a 4-digit broker. I also have code for any open positions to account for.

My MM looks like this, lots returned is given in standard lots:

double lots(double stopLossl){ //stopLoss in pips
double profit = 0, risk = 0.05;
int total = OrdersTotal();
for(int i=total-1;i>=0;i--)
{
OrderSelect(i, SELECT_BY_POS);
int type = OrderType();
if(type == OP_BUY){
profit = profit + MarketInfo(OrderSymbol(),MODE_TICKVALUE)*OrderLots()*((OrderStopLoss() - OrderOpenPrice())/MarketInfo(OrderSymbol(),MODE_POINT));
}
if(type == OP_SELL){
profit = profit + MarketInfo(OrderSymbol(),MODE_TICKVALUE)*OrderLots()*((OrderOpenPrice() - OrderStopLoss())/MarketInfo(OrderSymbol(),MODE_POINT));
}
}
double lots = NormalizeDouble((AccountBalance()+profit)*risk/(MarketInfo(Symbol(),MODE_TICKVALUE)*sl),2);
return(lots);
}
  • #6
  • Sep 9, 2009 2:17pm Sep 9, 2009 2:17pm
MODE_TICKVALUE is not reliable - it should return always the same value no? Make a simple test like this

start(){

if (MarketInfo(Symbol(),MODE_TICKVALUE) != a){
Alert("shit");
}
a = MarketInfo(Symbol(),MODE_TICKVALUE);

}

Anyways what i want to say is that at some brokers, sometimes tickvalue changes and shows different results. Another weird result is with BID,ASK and MarketInfo(Symbol(),MODE_BID),/ MODE_ASK. They should be the same no? They are not....
If anyone knows why, please also let me know.

Victor
  • #7
  • Sep 20, 2009 4:28pm Sep 20, 2009 4:28pm
Quoting Zmax
MODE_TICKVALUE is not reliable - it should return always the same value no? Make a simple test like this

start(){

if (MarketInfo(Symbol(),MODE_TICKVALUE) != a){
Alert("shit");
}
a = MarketInfo(Symbol(),MODE_TICKVALUE);

}

Anyways what i want to say is that at some brokers, sometimes tickvalue changes and shows different results. Another weird result is with BID,ASK and MarketInfo(Symbol(),MODE_BID),/ MODE_ASK. They should be the same no? They are not....
If anyone knows why, please also let me know.

Victor
You need to use MODE_TICKVALUE along with MODE_TICKSIZE. The tick size is not always 1.

To determine the value of a pip use:

MarketInfo(Symbol(),MODE_TICKVALUE) / MarketInfo(Symbol(),MODE_TICKSIZE)

I'm not sure about the Bid/Ask issue. It could be that the MarketInfo function automatically calls RefreshRates() behind the scenes. I'll have to look into that.
  • #8
  • Sep 20, 2009 5:38pm Sep 20, 2009 5:38pm
hey ronald, heres my m m code

this formula works with any type of broker, well all that iv tested, it compensates for everything, including leverage

Inserted Code
(AccountFreeMargin()/MarketInfo(Symbol(),MODE_MARGINREQUIRED)/AccountLeverage())*risk/(risk_pips*0.0001)/(0.01/0.0001);

should also work on yen pairs
  • #9
  • Sep 20, 2009 5:47pm Sep 20, 2009 5:47pm
Thanks for the input everyone!

Here is the function I hacked together a little haphazardly.

Inserted Code
double LotSize(double CurrentPrice, double StopLossUsed)
   {
   //Determine micro/mini/standard broker
   double MiniLot = MarketInfo(Symbol(), MODE_MINLOT);
   int PowersCount = 0;
   while (MiniLot != 1)
      {
      MiniLot = MiniLot * MathPow(10, PowersCount);
      PowersCount++; 
      }
   
   
   double  LotValue = 0;
   double StopDistance = 0;
   double DollarsPerPip = MarketInfo(Symbol(), MODE_TICKVALUE);
   if(CurrentPrice > StopLossUsed && MoneyManagement && StopLossUsed != 0)
      {
      StopDistance = CurrentPrice - StopLossUsed;
      LotValue = NormalizeDouble(((AccountBalance() * Risk / 100) / (MarketInfo(Symbol(), MODE_TICKVALUE) * StopDistance / Point * MarketInfo(Symbol(), MODE_MINLOT)) * MarketInfo(Symbol(), MODE_MINLOT)),PowersCount - 1);
      Print("Lot Value: "+LotValue+" Risk: "+(AccountBalance() * Risk / 100)+" Dollar Risk: "+(MarketInfo(Symbol(), MODE_TICKVALUE) * MarketInfo(Symbol(), MODE_MINLOT))+" Total Distance: "+StopDistance / Point+" Powers Count: "+(PowersCount - 1));
      return(LotValue);
      }
   if(CurrentPrice < StopLossUsed && MoneyManagement && StopLossUsed != 0)
      {
      StopDistance = StopLossUsed - CurrentPrice;
      LotValue = NormalizeDouble(((AccountBalance() * Risk / 100) / (MarketInfo(Symbol(), MODE_TICKVALUE) * StopDistance / Point * MarketInfo(Symbol(), MODE_MINLOT)) * MarketInfo(Symbol(), MODE_MINLOT)),PowersCount - 1);
      Print("Lot Value: "+LotValue+" Risk: "+(AccountBalance() * Risk / 100)+" Dollar Risk: "+(MarketInfo(Symbol(), MODE_TICKVALUE) * MarketInfo(Symbol(), MODE_MINLOT))+" Total Distance: "+StopDistance / Point+" Powers Count: "+(PowersCount - 1));
      return(LotValue);
      }
   Print("Lot Value: "+Lots);
   return(Lots);         
   }


I know the code is very ugly. I'll eventually get around to refining it.
  • #10
  • Sep 20, 2009 5:51pm Sep 20, 2009 5:51pm
test my single line ronald, i use this in my ea, it works correctly for every1

heres the full code, works on 4 n 5 digits, yen and dollar
any leverage, any account type, any broker

Inserted Code
 if (MarketInfo( Symbol(), MODE_LOTSTEP)==0.001)digits=3;
 if (MarketInfo( Symbol(), MODE_LOTSTEP)==0.01)digits=2;
 if (MarketInfo( Symbol(), MODE_LOTSTEP)==0.1)digits=1;
 if (MarketInfo( Symbol(), MODE_LOTSTEP)==1)digits=0;

 if (Point==0.0001) my_point=0.0001;
 if (Point==0.00001)my_point=0.0001;
 if (Point==0.01)   my_point=0.01;
 if (Point==0.001)  my_point=0.01;
 
 lots=(AccountFreeMargin()/MarketInfo(Symbol(),MODE_MARGINREQUIRED)/AccountLeverage())*risk/(risk_pips*0.0001)/(0.01/0.0001);
 if (lots<MarketInfo( Symbol(), MODE_MINLOT) ){lots=MarketInfo( Symbol(), MODE_MINLOT);}
 if (lots>MarketInfo( Symbol(), MODE_MAXLOT) ){lots=MarketInfo( Symbol(), MODE_MAXLOT);}
 lots=NormalizeDouble(lots,digits);
  • #11
  • Sep 20, 2009 5:53pm Sep 20, 2009 5:53pm
you can edit risk_pips to stop loss, of the int type
  • #12
  • Last Post: Sep 21, 2009 10:56am Sep 21, 2009 10:56am
Quoting LucidObscuri
You need to use MODE_TICKVALUE along with MODE_TICKSIZE. The tick size is not always 1.

To determine the value of a pip use:

MarketInfo(Symbol(),MODE_TICKVALUE) / MarketInfo(Symbol(),MODE_TICKSIZE)

I'm not sure about the Bid/Ask issue. It could be that the MarketInfo function automatically calls RefreshRates() behind the scenes. I'll have to look into that.

Sorry, I forgot to include something. You do have to use ticksize to scale tickvalue properly. Here's what I do.

double getLots(double stop, double risk, string symbol) {
double l,
val = MarketInfo(symbol, MODE_TICKVALUE),
size = MarketInfo(symbol, MODE_TICKSIZE);

int digits = MarketInfo(symbol, MODE_DIGITS);

int mult = MathPow(10,digits),
ecn = 1;
if(digits==3||digits==5) ecn = 10;

l = NormalizeDouble(AccountBalance()*risk/(stop * mult)/((val / size) * (Point * ecn)),2);
return(MathMin(MarketInfo(symbol,MODE_MAXLOT),l));
}

This works as long as you can use 0.01 lots, otherwise you'll have to change to the 2 to match the number of decimal places you can send for lots.
0 traders viewing now