Mql Newbie Book Modificado

8/9/2019 Mql Newbie Book Modificado

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X-TRADE BROKERS S.A.

MQL Newbie Book

A Short guide for Automted Trdi!g

Michał Zabielski

2010-04-12


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Table of ContentsTable of Contents .................................................................................................................................... 3

Introduction ............................................................................................................................................ 4

What is automated trading? ............................................................................................................... 4

What is MQL? ............................................................................................................................... ...... 4

How can I recognie MQL !rogram? ............................................................................................... 4

"or what can I use it? .......................................................................................................................... 4

T#!es of MQL !rograms .......................................................................................................................... $

%&!ert 'd(isors ................................................................................................................................... $

Indicators ............................................................................................................................................ $

)cri!ts ................................................................................................................................................. $

Installation .............................................................................................................................................. *

Co!#ing to folder ................................................................................................................................ *

I am +ista,Win- user and I ha(e a !roblem. What can I do? .......................................................... *

Installer based method of installation ................................................................................................ *

unning .................................................................................................................................................. -

/re!arations ....................................................................................................................................... -

Caution notice .................................................................................................................................... -

)etting !ro!erties of !rogram ............................................................................................................ -

)tarting the !rogram .......................................................................................................................... -

%&!ert 'd(isors ............................................................................................................................... -

Indicators ........................................................................................................................................ 0

)cri!ts ............................................................................................................................................. 0

)to!!ing the !rogram ......................................................................................................................... 0

Testing the !rogram .............................................................................................................................. 12

Testing %&!ert 'd(isor ...................................................................................................................... 12

eall# im!ortant ........................................................................................................................... 12

actest testing ............................................................................................................................ 12

5emo account testing ................................................................................................................... 11

eal account testing ...................................................................................................................... 11

Testing )cri!ts ................................................................................................................................... 11


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Introduction

What is automated trading?

'utomated trading is a set of methods which allow com!uter aided trading. That not meanse&ecuting orders b# com!uter and internet connection6 but rather enhancements that mae trading

easier6 more accurate or com!letel# automatic. In 'utomated Trading com!uter can !lace the orders

in manner #ou want6 in e&act maret conditions #ou ha(e chosen. There is no need to sta# and wait6

looing on chart for !ro!er trading condition. Thans to 'utomated Trading com!uter can trade

without human !resence. 7f course if #ou want be in charge all the time6 then com!uter ma# onl#

alert #ou6 when the certain condition has occurred.

Tired waiting for crossing two mo(ing a(erages? 8se 'utomated Trading.

ut that9s not all. With 'utomated Trading solutions #ou can ha(e com!letel# new technical anal#sisindicators. If #ou s!end hours to calculate #our own technical indicator6 wh# not use com!uter? Wh#

not let the com!uter draw the indicator directl# on chart? emember6 when #ou sa(e time6 #ou also

sa(e mone#.

What is MQL?

MQL is a !rogramming language which e&tends the ca!abilities of the :;Trader /latform. The

language s#ntacticall# is (er# similar to widel# used languages such lie C and descendants. This

feature of the MQL maes eas# to learn and use for !rofessional and amateur !rogrammers. With

!ro!er !re!arations one can learn how to !rogram in MQL within the wees6 not months. It 9s e(en

!ossible to write sim!le %&!ert 'd(isor on first da# of learning MQL. Isn9t it im!ressi(e?

7f course more so!histicated %&!ert 'd(isors needs more nowledge6 but there is nothing for free6

right?

How can I recognize MQL program?

The MQL files ha(e two !ossible e&tensions

• MQ4 @ for source code

• %:4 @ for com!iled !rograms

There is significant difference between files with these two e&tensions. The first one is the

source file. It can be modified or re(ised b# !erson who nows MQL language. This is the source form

of !rogram. The second one is the com!iled file. In this form the !rogram can used b# the

!latform6 but it cannot be read b# human. Commercial MQL !rograms are distributed in this form.

The !rocess of changing human;readable form of MQ4 file to com!uter;readable %:4 form called

Com!ilation will be described later.


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For what can I use it?

"or trading6 of course= The !rograms written in MQL can enhance trading in man# wa#s. Countless

new technical anal#sis indicators can be written in MQL6 man# automation scri!ts6 which do the most

of the wor6 and last but not least %&!ert 'd(isors6 which can control the !ositions6 o!en new6 and

close !ositions. With 'utomated Trading there is no need to loo on the chart all the time. If #ou wait

for certain condition to !lace #our order #ou can commit it to com!uter or let the com!uter to

inform #ou.


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Tpes of MQL programs

!"pert #d$isors%&!ert 'd(isors are the most interesting MQL scri!ts. The# !ro(ide abilit# to find best maret entr#

!oints . The %&!ert 'd(isors can !lace the order on

behalf of in(estor6 show or send !ro!er information6 or do both. It de!ends on what the in(estor

reall# needs.

The MQL %&!ert 'd(isors bases mostl# on technical anal#sis indicators6 but there is a (ariet# of

strategies which can be im!lemented as 'd(isor and ha(e nothing in common with classical technical

anal#sis.

"or e&am!le %&!ert 'd(isor can calculate correlation between two instruments6 and o!en tradesaccordingl# to changes of correlation in time. MQL gi(es abilit# to write %&!ert 'd(isor that finds

!atterns between man# instruments. It9s e(en !ossible to use neural networs and other

so!histicated methods of data anal#sis.

Indicators

Technical 'nal#sis Indicators are s!ecial scri!ts which draws the indicator obBects directl# on chart. 7f course there is calculation algorithm beneath. The algorithm is res!onsible

for (alues of indicator in each ste! of time. "or e&am!le Mo(ing '(erage algorithm taes !rices for

gi(en time !eriod6 sum the !rices6 and then di(ides b# number of !eriods. "or ne&t !eriod the

algorithm will do the same6 but the data which will be taen for calculations will be mo(ed b# one!eriod. The result is continuous line which re!resents (alues of mo(ing a(erage during the time

!eriod co(ered b# chart.

%cripts

)cri!ts are the !rograms which allow to do sim!le6 re!etiti(e o!erations automaticall#. ormall#6

when user run the scri!t6 the scri!t will do their wor6 and then it will turn off. "or e&am!le6 the

scri!ts can be used for

; Closing all !ositions

; Calculate data

; Write data on chart

; Chec connection6 trading a(ailabilit#6 etc.

; Con(erting and sa(ing data from charts

)cri!ts are es!eciall# good for maintenance o!erations which done manuall# will tae time.


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InstallationMost of scri!ts written in MQL are single files. More so!histicated scri!t can contain more files. This

cha!ter co(ers all methods of installing the scri!ts #ou alread# ha(e on !latform.

In order to start using the MQL !rogram6 no matter if it is scri!t6 indicator or e&!ert ad(isor6 #ou need

to !lace the !rogram files in the !ro!er !latform folder. "or our :;Trader !latform the folder is usuall#

!laced in c:\Program Files folder.

Coping to folder

Co!#ing MQL files to the !ro!er folder is the most crude form of installing. Howe(er it also a!!ears to

be the most comfortable wa# of installing for more e&!erienced in(estors. If #ou are read# to co!#

MQL files of some !rogram which #ou ha(e found on our website or found on one of man# other

internet sites6 then Bust follow the below sim!le ste!s

; Chec in the descri!tion of the MQL !rogram #ou want to install whether it is scri!t6

indicator or e&!ert ad(isor. Dou ma# find useful descri!tion abo(e which highlight the

differences between MQL !rogram t#!es. It9s a (er# im!ortant ste!6 because each

t#!e of scri!t has their own folder inside the !latform folder. /utting the MQL

!rogram into wrong folder will cause inabilit# to run the MQL !rogram.

; )elect the files and select co!# o!eration from right;clic menu.


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; Eo to the folder where the t#!e of MQL !rograms #ou want to install is stored.

o %&!ert 'd(isors #ou ha(e to !aste the MQL /rogram file of this ind into folder

platform_folder\experts\


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o Indicators #ou ha(e to !aste the MQL /rogram file of this ind into folder

platform_folder\experts\indicators . It9s the subfolder for the folder where %&!ert

'd(isors are stored.

o )cri!ts #ou ha(e to !aste the MQL /rogram file of this ind into folder


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platform_folder\experts\scripts . It9s the subfolder for the folder where %&!ert

'd(isors are stored.

I am &ista'Win( user and I ha$e a problem) What can I do?

8nfortunatel# Microsoft Windows +ista has default set of (er# strict rules for changing data in

!rogram files folders . 8nfortunatel# if #ou want use these

method for install the scri!ts6 then #ou ha(e to as #our s#stem administrator to change the

!ermissions for entire !latform folder and the subfolders. Dou ha(e to be allowed to read and write in!latform folder. If #ou are the user of #our own s#stem6 then #ou ha(e to change these !ermissions.

Installer based method of installation

The sim!lest wa# to install the MQL !rogram is to use dedicated installer. :;Trade roers !ro(ide

installers for all MQL !rograms !ublished on their websites. 8ser ha(e to run the installer and follow

the instructions on the screen. If the !latform has been installed in non;standard folder6 then

choosing destination folder needs additional care.


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*unning

+reparationsThe (er# first !lace where e(er#thing need to be !ro!erl# set in order to use MQL /rograms is )etting

Menu. The menu is a(ailable under CtrlF7 combination of e#s. Choose %&!ert 'd(isors tab. If an#

settings has not been changed in !latform since installation then the window with settings set lie

below should a!!ear


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In order to use MQL /rograms in comfortable wa#6 it is needed to change settings. The changed

settings are in red rectangles.

'fter !ressing the 7G button6 setting should be !reser(ed.

Caution notice

Wh# #ou should be e&tra cautious when running !rogram from unnown source. Wh# it is better to

use scri!ts from trusted sources.

%etting properties of program

Most of the MQL /rograms ha(e !ro!erties which can be set before starting the !rogram. It9s

e&tremel# im!ortant to chec and understand these !ro!erties. )ome !ro!erties can change totall#

!rogram beha(ior. It 9s !ossible6 for e&am!le6 that the e&!ert ad(isor will enter the !osition when

com!letel# o!!osite maret conditions will a!!ear.

%tarting the program

%(er# !rogram in MQL is attached to the chart on which is started. This means that some !ro!erties

are taen directl# from the chart to which is attached. It also means that user can6 and ha(e to

choose the chart on which the MQL /rogram will be e&ecuted. I need to note here two im!ortant

things. Changing the chart will cause the restart of the MQL

/rogram. This is imminent and cannot be !re(ented. There are some scri!ts that ha(e Instrument and

timeframe hardcoded. This means that no matter on what chart such !rogram will be e&ecuted. It will

do e&actl# the same wor. .


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!"pert #d$isors

%&!ert 'd(isor can be run b# double clicing selected %&!ert 'd(isor in a(igator window in %&!ert

'd(isors subtree.

Then the !ro!erties window will a!!ear


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The window has got two tabs Common tab and In!uts tab. Let9s focus on Common tab. The

most im!ortant !ro!erties which ha(e to be set are maret b# the red rectangles. 8ser can choose

how inde!endent the %&!ert 'd(isor is. To! left red rectangle shows o!tion there can be chosen

whether the %&!ert 'd(isor is able to o!en Long /ositions6 )hort /ositions or both. It is useful if user

want to limit the %&!ert 'd(isor to onl# one t#!e of trade. 'llow li(e trading is the most im!ortant

setting for %&!ert 'd(isors. When this o!tion is set6 then the %&!ert 'd(isor is able to mani!ulate

orders . 's manual confirmation o!tion is

additional to the o!tion abo(e. )etting this o!tion forces manual confirmation of the user for each

action regarding orders started b# %&!ert 'd(isor. The !rogram wors in ad(ise onl# mode. Most

users turns this o!tion off.

The last o!tion6 which is (er# im!ortant for users of commercial %&!ert 'd(isors is 'llow 5LL

im!orts o!tion. )etting this o!tion allows %&!ert 'd(isor using e&ternal libraries named 5LL files.


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When e(er#thing is set and read# to run6 then clic 7G. If e(er#thing is in order6 then name of the

%&!ert 'd(isor and smiled face should a!!ear in to!;right corner of the chart. If instead of smiled

face6 sad face is !resent6 then %&!ert 'd(isor is woring but from some reason it cannot trade. The

reason could be unset !ro!ert# 'llow li(e trading or closed maret for the instrument on chart. If

instead of smiles crossed lines has a!!eared in to!;left corner of the chart6 then it means that it is

needed to turn on %&!ert 'd(isors in 7!tion window described earlier.

Indicators

Indicator can be run b# double clicing selected Indicator in a(igator window in Custom Indicatorssubtree. The following window should a!!ear

If Indicator uses e&ternal 5LL files6 then o!tion 'llow 5LL im!orts H'+% T7 be turned on.


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In!uts tab shows !arameters that can be set for chosen indicator. The number of settings and the

meaning of each one de!ends on !rogrammer who coded the indicator. "or e&am!le the indicator

which is shown on window abo(e ha(e onl# one settings @ !eriod for which each calculation of

indicator is made. The rest of tabs are res!onsible for (isual !ro!erties of indicator and therefore will

be omitted.

/ress 7G for starting the indicator. The indicator should be now !laced on chart.

%cripts

Indicator can be run b# double clicing selected )cri!t in a(igator window in )cri!ts subtree.

%topping the program

%ach t#!e of !rogram ha(e their own wa# of sto!!ing e&ecution. The scri!ts should end their wor

without user inter(ention. In case this not ha!!ens the scri!t can be sto!!ed b# right;clicing the

chart to which the scri!t is attached and clicing emo(e )cri!t o!tion.


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In order to remo(e indicator from the chart user need remo(e the indicator from the Indicators List

of the chart. To achie(e that right;clic on the chart6 choose Indicators List o!tion. In window which

has been shown choose the indicator #ou want to delete6 and clic the emo(e button. Close the

window. The indicator should disa!!ear.


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In order to sto! %&!ert 'd(isor user ha(e two !ossibilities

; 8se !anic button which turns off all %&!ert 'd(isors on the !latform

; Turn off one %&!ert 'd(isor b# ight;clic on chart to which %&!ert 'd(isor is attached

and choose emo(e from %&!ert 'd(isors submenu


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Testing the program

Testing !"pert #d$isor

*eall important

What is reall# im!ortant during testing the strateg#? Wh# the strateg# testing is im!ortant? The

answer is sim!le. Testing !ro(ides the !ossibilit# to chec if all assum!tions included into strateg# are

right6 if the code of the strateg# does e&actl# what was meant b# maer and if there are no

!otentiall# dangerous errors.

In :T;Trader !latform three le(els of testing %&!ert 'd(isors can be a!!lied

; actesting @ testing on historical data6 some assum!tions described below are taen

; 5emo account testing @ testing on demo account with (irtual mone#

; eal account testing @ testing on real account6 with real mone#6 but under user

ad(isor#

"irst test should be made on actesting6 because it could be done in minutes. The second is running

strateg# on demo6 which s!ends more time. )ometimes it taes a wee of woring for %&!ert 'd(isor

on demo account. If e(er#thing is woring as it was in assum!tions6 then there is time for real

account tests6 where the %&!ert 'd(isor will be tested on battlefield. 'fter that we could be sure

that our %&!ert 'd(isor %&!ert ad(isor @ for choosing e&!ert ad(isor to be tested.


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J> )#mbol @ instrument on which %&!ert 'd(isor will be tested.

3> Model @ t#!e of data modeling used for testing the %&!ert 'd(isor. It9s (er# im!ortant

to understand each method of modeling and their im!act to testing results. 'll three

methods of modeling will be described later.

4> 8se data @ allows to choose time !eriod for which the %&!ert will be used.

$> +isual mode @ allows to chec on chart how the %&!ert 'd(isor beha(es during

!re(iousl# set !eriod of time.

*> /eriod @ allows to choose on which chart !eriod the %&!ert 'd(isor will be ran

-> %&!ert !ro!erties @ this button o!ens the window where (arious !arameters can be

changed. This window will be described later.

0> )#mbol !ro!erties @ this button shows window with current !ro!erties of chosens#mbol.

K> )tart @ this button starts the testing

.emo account testing

Testing on demo account is Bust running the %&!ert 'd(isor on account with (irtual mone#. The

%&!ert 'd(isor ha(e to be left woring for some time. There is no difference between real account

testing and demo testing in the functional matters. The onl# difference is that there is no ris for real

mone#. If something is going wrong6 Bust turn off %&!ert 'd(isor and chec the ournal Tab in

Terminal subwindow

'n# error which were caused b# %&!ert 'd(isor will be noticed here.

*eal account testing

Testing on real account needs far more caution than actesting or demo account testing. The reason

is ob(ious @ real mone# is in(ol(ed. 7f course6 after bactesting and demo account testing we can be

almost one hundred !ercent sure6 that the %&!ert 'd(isor is woring fine. Howe(er6 the res!onsible

in(estor should chec on their own if %&!ert 'd(isor is not doing what he doesn9t su!!ose to do on

real account.


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The !rocedure is sim!le run %&!ert 'd(isor and watch if all mo(es done b# %&!ert 'd(isor are done

right. If something is going wrong6 do the same as for demo account testing !rocedure.

Testing %cripts

How to test scri!t is doing what it should do? The rule of the thumb for scri!ts sa#s if the scri!t

wors as it should and ends in less than minute6 then we could assume that is woring fine. 7f

course6 first test of the scri!t should be made on demo account. This is es!eciall# (er# im!ortant for

the scri!ts which o!erate on orders.

Documents

Mql Newbie Book Modificado