MQL4 -> R-Project - Interface Library

Quoting FXEZ

Disliked

croupier, See the attached file. I simplified it a bit - using the easy(ier) interface rather than the original interface. I try to stay away from RExecuteAsync because you can't guarantee that MT4 will execute as you think it should. As a result I limited updating in the start() function to once per bar to cut down on wasted processing time. All this EA does is print out three numbers, but at least you should be able to get some feedback there. Also see the variable to toggle save / no save for your image file and a file path. Note the structure...

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#property copyright "? Bernd Kreuss"
#include <mt4R.mqh> 
#include <common_functions.mqh>
extern int back = 500;
extern int order = 200;
extern int ahead = 20;
extern string R_command = "C:/R/R-3.0.1/bin/i386/Rterm.exe --no-save";
extern int R_debuglevel = 2;
extern bool saveImage = false;
extern string saveDir = "C:/R/";
extern int delta_L=30; 
extern int delta_S=30; 
extern double TakeProfit = 70;
extern double StopLoss = 35;
extern double Lots = 0.1;
extern double Poin;

//int rhandle = 0;
datetime thistime;
int init() {
   StartR(R_command, R_debuglevel);
   if (Point == 0.00001) Poin = 0.0001; //6 digits Points fix
   else if (Point == 0.001) Poin = 0.01; //3 digits Points fix(for Yen based pairs)
   else Poin = Point; //Normal
   
   // set thistime to an arbitrary init value so the start function will run the first time
   thistime = Time[5]; 
   return(0);
}
int deinit() {
   if (UninitializeReason() != REASON_CHARTCHANGE){
      StopR();
   }
   return(0);
}
int start() {
   if (thistime == Time[0]) return(-1); // only update once per bar
   double hist[];
   double pred[];
   double buf_prediction[];
   int i,ticket;
   
//   if(Volume[0]>1) return; //one bar one order
    if(AccountFreeMargin()<(1000*Lots))
        {
         Print("We have no money. Free Margin = ", AccountFreeMargin());
         return(0);  //money check
          }
   ArrayResize(hist, back);  
   for (i=0; i<back; i++){
      hist = Close;
   }   //fill up the hist array with Close price
   Rv("hist", hist); 
   Rx("hist <- rev(hist)"); //get into the right order in time
   Ri("ord", order);
   Rx("model <- ar(hist, aic=FALSE, order=ord, method='ols')"); //construct the ols model
         
   if (Rgi("as.integer(exists('model'))") == 1){ 
     // if there exists a model (the variable is set).
      Ri("ahead", ahead);
      Rx("pred <- predict(model, n.ahead=ahead)$pred"); // if there is a model, predict a "ahead" value ahead
      ArrayResize(pred, ahead);
      Rgv("rev(pred)", pred);
      
           
// Open Buy_Order
     if((pred[0]-Open[0])>delta_L*Point) //gap bigger than Long threshold
        {
         ticket=OrderSend(Symbol(),OP_BUY,Lots,Ask,3,Ask-StopLoss*Point,Ask+TakeProfit*Point,"busted",0,Green); // execution
               if(ticket>0)
           {
            if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES)) Print("BUY order opened : ",OrderOpenPrice());
           }
         else Print("Error opening BUY order : ",GetLastError()); 
         return(0); // exit
        }

// Open Sell_Order
      if((Open[0]-pred[0])>delta_S*Point)
        {
         ticket=OrderSend(Symbol(),OP_SELL,Lots,Bid,3,Bid+StopLoss*Point,Bid-TakeProfit*Point,"busted",0,Red); // execution
         if(ticket>0)
           {
            if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES)) Print("SELL order opened : ",OrderOpenPrice());
           }
         else Print("Error opening SELL order : ",GetLastError()); 
         return(0); // exit
        }
       
      if (saveImage) Rx("save.image("" + saveDir + "croupier.RData")");
   }
   thistime = Time[0];
   return(0);
}

Quoting Naddmer

Disliked

Hello fellas at first a big thanks to 7bit for sharing his sourcecode of this API. Absolutely helpful in many regards. We all owe him one. I had some needs to have multicommand support in this API and have implemented it here. Now it's possible to send more than one command to R from this API: RExecute(R.ProcHandle, "d <- head(tail(hist_r, sampleCount+pOffs), sampleCount - pOffs + 2)" + LineEnding + "d <- as.xts(d, order.by=as.POSIXct(d[['Timestamp']], origin='1970-01-01 00:00', tz='UTC'))" + LineEnding // + "z <- head(zoo(d[,2:6]), sampleCount)...

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Quoting FXEZ

Disliked

Note that the first line in the start() function has a condition using the thistime variable that exits (return) if Time[0] == thistime. The initialization init() has as its purpose initializing the thistime variable to some value other than Time[0] so that start() can run all the way through without exiting on the first line, on the first load of the EA. I hope that makes sense.

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Quoting croupier

Disliked

{quote} Good work, Naddmer. So can I send multiple R commmands in parallel with your new plugin now? or maybe I can still use 7bit's old version and put a Rx(source("command.R")) for batch mode? Thanks.

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    // That's the command cluster which calculates the predictions
    PREDICTION_COMMAND= 
          "data <- head(tail(hist_r, samples+retro), samples)" + CR
        + "z <- zoo(data[,2:6], order.by=as.POSIXct(data$Timestamp, origin='1970-01-01 00:00', tz='UTC'))" + CR
        + "if (priceModel==PM_OPEN) { hist <- z$Open } " + CR
        + "if (priceModel==PM_HIGH) { hist <- z$High } " + CR
        + "if (priceModel==PM_LOW) { hist <- z$Low } " + CR
        + "if (priceModel==PM_CLOSE) { hist <- z$Close } " + CR
        + "if (priceModel==PM_TYPICAL) { hist <- (z$High + z$Low + z$Close) / 3 } " + CR
        + "if (priceModel==PM_MEDIAN) { hist <- (z$High + z$Low) / 2 } " + CR
        + "if (priceModel==PM_WEIGHTED) { hist <- (z$High + z$Low + 2*z$Close) / 4 } " + CR
        + "h <- as.xts(hist)" + CR
        + "model <- ar(h, aic=FALSE, order=ord, method='" + Rmethod  + "')" + CR
        + "p <- predict(model, n.ahead=ahead)" + CR
        + "pred <- p$pred" + CR
        + "ub <- last(z$Close) + p$se" + CR
        + "lb <- last(z$Close) - p$se";

        int cnt=ArrayCopyRates(hist_r, NULL, 0);
        while (GetLastError()==4066) {
                Print("init: ArrayCopyRates barfed... retrying");
                Sleep(1000);
                cnt=ArrayCopyRates(hist_r, NULL, 0);
        }
        log("doRDraw: Bars=", DoubleToStr( iBars(NULL,0), 0), " vs. cnt=", DoubleToStr(cnt, 0) );
        // Prepare the data for the indicator ...
        RAssignOHLC(R, "hist_r", hist_r,  iBars(NULL,0));
        // Do the calculations ...
        RExecute(R, PREDICTION_COMMAND);
        RGetVector(R, "pred", pred, ahead);
        RGetVector(R, "ub", ub, ahead);
        RGetVector(R, "lb", lb, ahead);

Quoting sanami

Disliked

http://codebase.mql4.com/9226 Name: mt4R for new MQL4 Author: micclly (2014.02.06 15:31) Description: mt4R, originally developed by 7bit and distributed here, does not work correctly with new MQL4. I modiifed the dll and the include file to support new MQL4.

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Quoting Naddmer

Disliked

It makes no test for any MT4 Build currently as there is no native function to query the build number.

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Quoting rockit

Disliked

{quote} Builds 600+ do have such a function: TerminalInfoInteger(TERMINAL_BUILD) Also, regarding the volumes: in forex there is the tick volume, there's no real volume; otoh, on (stock) exchanges there is real volume in a stock. Spread is not related to bid-ask difference.

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//
// Prepare the packages needed and declare
// a function too.
RExecute(R,
"pkgs <- c('quantmod')" + CR
+ "lapply(pkgs, require, character.only=T)" + CR
+ "getHist <- function(z) {" + CR
+ " if (priceModel==PM_OPEN) { h <- z$Open } " + CR
+ " if (priceModel==PM_HIGH) { h <- z$High } " + CR
+ " if (priceModel==PM_LOW) { h <- z$Low } " + CR
+ " if (priceModel==PM_CLOSE) { h <- z$Close } " + CR
+ " if (priceModel==PM_TYPICAL) { h <- (z$High + z$Low + z$Close) / 3 } " + CR
+ " if (priceModel==PM_MEDIAN) { h <- (z$High + z$Low) / 2 } " + CR
+ " if (priceModel==PM_WEIGHTED) { h <- (z$High + z$Low + 2*z$Close) / 4 } " + CR
+ " return(h)" + CR
+ "}"
 
);