MQL's OOP notes: Converting MetaTrader 4 indicators to MetaTrader 5

The process implies that there should be a header file (.mqh) with all required stuff, which could be sufficient to include into a mq4-file, and after changing its extension to .mq5 compilation should produce a ready-made indicator for MetaTrader 5.

Of course, the mqh-file should contain some non-OOP defines and functions. For example, here is a part of them:

#define StrToDouble StringToDouble
#define DoubleToStr DoubleToString
#define TimeToStr TimeToString
#define Ask SymbolInfoDouble(_Symbol, SYMBOL_ASK)
#define Bid SymbolInfoDouble(_Symbol, SYMBOL_BID)

#define Digits _Digits
#define Point _Point

#define extern input

...

int ObjectsTotal()
{
  return ObjectsTotal(0);
}

bool ObjectCreate(const string name, const ENUM_OBJECT type, const int subwindow, const datetime time1, const double price1)
{
  return ObjectCreate(0, name, type, subwindow, time1, price1);
};

...

bool ObjectSetText(const string name, const string text, const int fontsize = 0)
{
  bool b = ObjectSetString(0, name, OBJPROP_TEXT, text);
  if(fontsize != 0) ObjectSetInteger(0, name, OBJPROP_FONTSIZE, fontsize);
  return b;
}

...

int iBarShift(string symbol, ENUM_TIMEFRAMES timeframe, datetime time, bool Exact = true)
{
  datetime lastBar;
  SeriesInfoInteger(symbol, timeframe, SERIES_LASTBAR_DATE, lastBar);
  return(Bars(symbol, timeframe, time, lastBar) - 1);
}

...

long iVolume(string symbol, ENUM_TIMEFRAMES tf, int b)
{
  long result[1];
  return CopyTickVolume(symbol, tf, b, 1, result) > 0 ? result[0] : 0;
}

...

bool _SetIndexBuffer(const int index, double &buffer[], const ENUM_INDEXBUFFER_TYPE type = INDICATOR_DATA)
{
  bool b = ::SetIndexBuffer(index, buffer, type);
  ArraySetAsSeries(buffer, true);
  ArrayInitialize(buffer, EMPTY_VALUE); // default filling
  return b;
}

#define SetIndexBuffer _SetIndexBuffer

void SetIndexStyle(const int index, const int type, const int style = EMPTY, const int width = EMPTY, const color clr = clrNONE)
{
  PlotIndexSetInteger(index, PLOT_DRAW_TYPE, type);
  if(style != EMPTY) PlotIndexSetInteger(index, PLOT_LINE_STYLE, style);
  if(width != EMPTY) PlotIndexSetInteger(index, PLOT_LINE_WIDTH, width);
  if(clr != clrNONE) PlotIndexSetInteger(index, PLOT_LINE_COLOR, clr);
}

All of these is obvious. You'll find complete code in the attachment.

First, remember MT4 accessors for timeseries - Open[], High[], Low[], Close[], etc. We can mimic this by objects with overloaded operator[]. For example, for volume data we can use the class:

class VolumeBroker
{
  public:
    long operator[](int b)
    {
      return iVolume(_Symbol, _Period, b);
    }
};

VolumeBroker Volume;

Actually, as all these classes are very similar to each other, one can generate them by preprocessor using one define:

#define DefineBroker(NAME,TYPE) \
class NAME##Broker \
{ \
  public: \
    TYPE operator[](int b) \
    { \
      return i##NAME(_Symbol, _Period, b); \
    } \
}; \
NAME##Broker NAME;

DefineBroker(Time, datetime);
DefineBroker(Open, double);
DefineBroker(High, double);
DefineBroker(Low, double);
DefineBroker(Close, double);
DefineBroker(Volume, long);

Second, remember that object property setter function ObjectSet has changed in MT5 to a set of functions ObjectSetInteger, ObjectSetDouble, etc, accepting different number of parameters. For example, mql4-code:

ObjectSet(name, OBJPROP_TIME1, Time[0]);
ObjectSet(name, OBJPROP_PRICE1, price);

should be somehow translated into mql5:

ObjectSetInteger(0, name, OBJPROP_TIME, 0, Time[0]);
ObjectSetDouble(0, name, OBJPROP_PRICE, 0, price);

It's important that there are no constants such as OBJPROP_TIME1 and OBJPROP_PRICE1 in mql5, and instead of OBJPROP_TIME1, OBJPROP_TIME2, OBJPROP_TIME3 one need to use the single constant OBJPROP_TIME and additional index. Price-related constants changed in the same way. How to emulate this? Well, by objects. Let's define 2 classes for properties of integer and double types (other types you can add yourself).

class OBJPROP_INTEGER_BROKER
{
  public:
    ENUM_OBJECT_PROPERTY_INTEGER p;
    int i;
    
    OBJPROP_INTEGER_BROKER(const ENUM_OBJECT_PROPERTY_INTEGER property, const int modifier)
    {
      p = property;
      i = modifier;
    }
};

class OBJPROP_DOUBLE_BROKER
{
  public:
    ENUM_OBJECT_PROPERTY_DOUBLE p;
    int i;
    
    OBJPROP_DOUBLE_BROKER(const ENUM_OBJECT_PROPERTY_DOUBLE property, const int modifier)
    {
      p = property;
      i = modifier;
    }
};

OBJPROP_INTEGER_BROKER OBJPROP_TIME1(OBJPROP_TIME, 0);
OBJPROP_DOUBLE_BROKER OBJPROP_PRICE1(OBJPROP_PRICE, 0);
OBJPROP_INTEGER_BROKER OBJPROP_TIME2(OBJPROP_TIME, 1);
OBJPROP_DOUBLE_BROKER OBJPROP_PRICE2(OBJPROP_PRICE, 1);
OBJPROP_INTEGER_BROKER OBJPROP_TIME3(OBJPROP_TIME, 2);
OBJPROP_DOUBLE_BROKER OBJPROP_PRICE3(OBJPROP_PRICE, 2);

Look how constants OBJPROP_TIMEn/OBJPROP_PRICEn "became" the objects storing corresponding index inside. Now we can implement new ObjectSet functions, and pass broker objects as parameters:

bool ObjectSet(const string name, const OBJPROP_INTEGER_BROKER &property, const long value)
{
  return ObjectSetInteger(0, name, property.p, property.i, value);
}

bool ObjectSet(const string name, const OBJPROP_DOUBLE_BROKER &property, const double value)
{
  return ObjectSetDouble(0, name, property.p, property.i, value);
}

Voila!

ObjectSet(name, OBJPROP_TIME1, Time[0]);
ObjectSet(name, OBJPROP_PRICE1, price);

works again in MetaTrader 5. 

Let us consider a process of convertion of several indicators.

Let's take standard ZigZag.mq4 from MetaQuotes (specifically, dated 2014). You should add indicator_plots directive and change indicator_buffers number:

#property indicator_plots 1   // added
#property indicator_buffers 3 // was 1

because this is how MetaTrader 5 adds auxiliary buffers, and IndicatorBuffers is not supported anymore (it should be deleted in the source code). Also lines:

SetIndexBuffer(1, ExtHighBuffer);
SetIndexBuffer(2, ExtLowBuffer);

should be edited as follows:

SetIndexBuffer(1, ExtHighBuffer, INDICATOR_CALCULATIONS);
SetIndexBuffer(2, ExtLowBuffer, INDICATOR_CALCULATIONS);

As the indicator uses new style of event handlers (OnInit, OnCalculate) add MT4_NEW_EVENT_HANDLERS define before include: 

#define MT4_NEW_EVENT_HANDLERS
#include <ind4to5.mqh>

That's it - the indicator is ready to compile (3 lines added, 1 removed, 2 changed).

#property indicator_plots 1

and

#include <ind4to5.mqh> 

Stay tuned.

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