How to relieve the direct invocation of trade operations from OnBook - Trading stocks, futures, options and other exchange instruments

prostotrader 2020.02.04 09:48 #141

Yuriy Zaytsev:

But I look at the log, and the log shows the same tick with a difference of 4 seconds.

p.s.

I hate the phrase "it can't be", I've gotten used to the idea that anything can happen.

By the way, perhaps it is far from the subject, but once on the claim that the earth is round also said something like this - "it can not be.

In general I am always in doubt until I check then double-check, and preferably someone else double-checks a few times.

Are you sure you don't screw up the code that generates the log and processes the data? It's a 4 second difference.

Ticks are already in the terminal, i.e. they have already been sent over the network.

Put the code in the public domain

if(SymbolInfoTick(Symbol(), s_tick) == true)
  {
    Print("SymbolInfoTick: ",GetTickDescription(s_tick));
  }

And see for yourself.

Yuriy Zaytsev 2020.02.04 09:50 #142

prostotrader:

The tics are already in the terminal, i.e. they have already been transmitted over the network.

Put the open access code in it

And see for yourself.

Thanks, I'll give it a try, I've been following the topic for a long time, I'm more interested as a researcher.

this code lagged for 4 seconds ?

//+------------------------------------------------------------------+
//|                                                   Ticks_test.mq5 |
//|                                      Copyright 2019 prostotrader |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2019 prostotrader"
#property link      "https://www.mql5.com"
#property version   "1.00"
//---
bool is_book;
MqlTick ticks[], s_tick;
ulong last_time, mem_cnt, tot_cnt;
bool is_first;
int t_cnt, result;
//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit()
{
  tot_cnt = 0;
  is_book = MarketBookAdd(Symbol());
  result = CopyTicks(Symbol(), ticks, COPY_TICKS_ALL, 0, 1);
  if(result > 0)
  {
    last_time = ulong(ticks[0].time_msc); //запоминаем время последнего известного тика
    is_first = true;
  }
  else
  {
    is_first = false;
    Alert("No start time!");
    return(INIT_FAILED);
  } 
  ArraySetAsSeries(ticks, true);  
  return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+ 
//| возвращает строковое описание тика                               | 
//+------------------------------------------------------------------+ 
string GetTickDescription(MqlTick &tick) 
  { 
   string res = string(tick.time) + "." +  string(tick.time_msc%1000); 
// 
   bool buy_tick = ((tick.flags&TICK_FLAG_BUY)==TICK_FLAG_BUY); 
   bool sell_tick = ((tick.flags&TICK_FLAG_SELL)==TICK_FLAG_SELL); 
   bool ask_tick = ((tick.flags&TICK_FLAG_ASK)==TICK_FLAG_ASK); 
   bool bid_tick = ((tick.flags&TICK_FLAG_BID)==TICK_FLAG_BID); 
   bool last_tick = ((tick.flags&TICK_FLAG_LAST)==TICK_FLAG_LAST); 
   bool volume_tick = ((tick.flags&TICK_FLAG_VOLUME)==TICK_FLAG_VOLUME); 
// 
   if((buy_tick== true) || (sell_tick == true)) 
   { 
     res = res + (buy_tick?StringFormat(" Buy Tick: Last=%G Volume=%d ",tick.last,tick.volume):""); 
     res = res + (sell_tick?StringFormat(" Sell Tick: Last=%G Volume=%d ",tick.last,tick.volume):""); 
     res = res + (ask_tick?StringFormat(" Ask=%G ",tick.ask):""); 
     res = res + (bid_tick?StringFormat(" Bid=%G ",tick.bid):""); 
   } 
   else 
   { 
     res = res + (ask_tick?StringFormat(" Ask=%G ",tick.ask):""); 
     res = res + (bid_tick?StringFormat(" Bid=%G ",tick.bid):""); 
     res = res + (last_tick?StringFormat(" Last=%G ",tick.last):""); 
     res = res + (volume_tick?StringFormat(" Volume=%d ",tick.volume):""); 
   } 
   return res; 
  } 
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
  if(is_book == true) MarketBookRelease(Symbol());
}
//+------------------------------------------------------------------+
//| BookEvent function                                               |
//+------------------------------------------------------------------+
void OnBookEvent(const string &symbol)
{
  if(symbol != Symbol()) return;
  tot_cnt++;
  if(SymbolInfoTick(Symbol(), s_tick) == true)
  {
    Print("SymbolInfoTick: ",GetTickDescription(s_tick));
  }
  if(is_first == true)
  {
    result = CopyTicks(Symbol(), ticks, COPY_TICKS_ALL, last_time, 0); //копируем все вновь пришедшие тики от последнего известного времени
    if(result > 0)
    {
      t_cnt = 0;
      for(int i= 0; i<result; i++)
      {
        if(ticks[i].time_msc == ticks[0].time_msc) t_cnt++;             //Считаем кол-во тиков с одинаковым временем
        Print(__FUNCTION__, ": ",GetTickDescription(ticks[i]));
      }
    //  l_tick = ticks[0];
      is_first = false;
      last_time = ulong(ticks[0].time_msc);                             //Запоминаем время последнего тика
    } 
  }
  else
  {
    if(SymbolInfoTick(Symbol(), s_tick) == true)
    {
      Print("SymbolInfoTick: ",GetTickDescription(s_tick));
    }
    result = CopyTicks(Symbol(), ticks, COPY_TICKS_ALL, last_time, 0); //забираем тики из последнего (посчитанного пакета тикив и считываем тики из нового пакета)
    if(result > 0)
    {
     // l_tick = ticks[0];
      if(result > t_cnt)
      {
        mem_cnt = t_cnt;
        t_cnt = 0;
        for(int i= 0; i<(result - int(mem_cnt)); i++)
        {
          if(ticks[i].time_msc == ticks[0].time_msc) t_cnt++;           //Считаем кол-во тиков с одинаковым временем
          Print(__FUNCTION__, ": ",GetTickDescription(ticks[i]));
        } 
        if(last_time == ulong(ticks[0].time_msc))
        {
          t_cnt += int(mem_cnt);
        }
        else last_time = ulong(ticks[0].time_msc);
      }
      else
      {
        Print(__FUNCTION__, ": Pending order!");                          //Изменения стакана (добавлен/удален отложенный ордер)
      }
    }
    else
    {
      Print(__FUNCTION__, ": Pending order!");                          //Изменения стакана (добавлен/удален отложенный ордер)
    }
  }
}
//+------------------------------------------------------------------+

Yuriy Zaytsev 2020.02.04 09:57 #143

It doesn't seem to be this one.

don't see OnTick in the code

Yuriy Zaytsev 2020.02.04 10:01 #144

Apparently this was the code in question

//+------------------------------------------------------------------+
//|                                                   Ticks_test.mq5 |
//|                                      Copyright 2019 prostotrader |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2019 prostotrader"
#property link      "https://www.mql5.com"
#property version   "1.00"
//---
bool is_book;
MqlTick ticks[];
ulong last_time, mem_cnt, tot_cnt;
bool is_first;
int t_cnt, result;
enum ENUM_BOOK_OR_TICK
{
        USE_BOOK,       // Use OnBookEvent
        USE_TICK        // Use OnTick
};

input ENUM_BOOK_OR_TICK Mode = USE_BOOK;
//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit()
{
  tot_cnt = 0;
  if(Mode == USE_BOOK) is_book = MarketBookAdd(Symbol());
  result = CopyTicks(Symbol(), ticks, COPY_TICKS_ALL, 0, 1);
  if(result > 0)
  {
    last_time = ulong(ticks[0].time_msc); //запоминаем время последнего известного тика
    is_first = true;
  }
  else
  {
    is_first = false;
    Alert("No start time!");
    return(INIT_FAILED);
  } 
  ArraySetAsSeries(ticks, true);  
  return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+ 
//| возвращает строковое описание тика                               | 
//+------------------------------------------------------------------+ 
string GetTickDescription(MqlTick &tick) 
  { 
   string res = string(tick.time) + "." +  string(tick.time_msc%1000); 
// 
   bool buy_tick = ((tick.flags&TICK_FLAG_BUY)==TICK_FLAG_BUY); 
   bool sell_tick = ((tick.flags&TICK_FLAG_SELL)==TICK_FLAG_SELL); 
   bool ask_tick = ((tick.flags&TICK_FLAG_ASK)==TICK_FLAG_ASK); 
   bool bid_tick = ((tick.flags&TICK_FLAG_BID)==TICK_FLAG_BID); 
   bool last_tick = ((tick.flags&TICK_FLAG_LAST)==TICK_FLAG_LAST); 
   bool volume_tick = ((tick.flags&TICK_FLAG_VOLUME)==TICK_FLAG_VOLUME); 
// 
   if((buy_tick== true) || (sell_tick == true)) 
   { 
     res = res + (buy_tick?StringFormat(" Buy Tick: Last=%G Volume=%d ",tick.last,tick.volume):""); 
     res = res + (sell_tick?StringFormat(" Sell Tick: Last=%G Volume=%d ",tick.last,tick.volume):""); 
     res = res + (ask_tick?StringFormat(" Ask=%G ",tick.ask):""); 
     res = res + (bid_tick?StringFormat(" Bid=%G ",tick.bid):""); 
   } 
   else 
   { 
     res = res + (ask_tick?StringFormat(" Ask=%G ",tick.ask):""); 
     res = res + (bid_tick?StringFormat(" Bid=%G ",tick.bid):""); 
     res = res + (last_tick?StringFormat(" Last=%G ",tick.last):""); 
     res = res + (volume_tick?StringFormat(" Volume=%d ",tick.volume):""); 
   } 
   return res; 
  } 
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
  if(Mode == USE_BOOK)
  {
    Print("USE_BOOK ticks received: ", tot_cnt);
    if(is_book == true) MarketBookRelease(Symbol());
  }
  else
  {
    Print("USE_TICK ticks received: ", tot_cnt);
  }  
}
//+------------------------------------------------------------------+
//| BookEvent function                                               |
//+------------------------------------------------------------------+
void OnBookEvent(const string &symbol)
{
  if ( Mode != USE_BOOK || symbol != Symbol() ) return;
  tot_cnt++;
  if(is_first == true)
  {
    result = CopyTicks(Symbol(), ticks, COPY_TICKS_ALL, last_time, 0); //копируем все вновь пришедшие тики от последнего известного времени
    if(result > 0)
    {
      t_cnt = 0;
      for(int i= 0; i<result; i++)
      {
        if(ticks[i].time_msc == ticks[0].time_msc) t_cnt++;             //Считаем кол-во тиков с одинаковым временем
        Print(__FUNCTION__, ": ",GetTickDescription(ticks[i]));
      }
      is_first = false;
      last_time = ulong(ticks[0].time_msc);                             //Запоминаем время последнего тика
    } 
  }
  else
  {
    result = CopyTicks(Symbol(), ticks, COPY_TICKS_ALL, last_time, 0); //забираем тики из последнего (посчитанного пакета тикив и считываем тики из нового пакета)
    if(result > 0)
    {
      if(result > t_cnt)
      {
        mem_cnt = t_cnt;
        t_cnt = 0;
        for(int i= 0; i<(result - int(mem_cnt)); i++)
        {
          if(ticks[i].time_msc == ticks[0].time_msc) t_cnt++;           //Считаем кол-во тиков с одинаковым временем
          Print(__FUNCTION__, ": ",GetTickDescription(ticks[i]));
        } 
        if(last_time == ulong(ticks[0].time_msc))
        {
          t_cnt += int(mem_cnt);
        }
        else last_time = ulong(ticks[0].time_msc);
      }
      else
      {
        Print(__FUNCTION__, ": Pending order!");                          //Изменения стакана (добавлен/удален отложенный ордер)
      }
    }
    else
    {
      Print(__FUNCTION__, ": Pending order!");                            //Изменения стакана (добавлен/удален отложенный ордер)
    }
  }
}
//+------------------------------------------------------------------+
//| OnTick function                                                  |
//+------------------------------------------------------------------+
void OnTick()
{
  if ( Mode != USE_TICK ) return;
  tot_cnt++;
  if(is_first == true)
  {
    result = CopyTicks(Symbol(), ticks, COPY_TICKS_ALL, last_time, 0); //копируем все вновь пришедшие тики от последнего известного времени
    if(result > 0)
    {
      t_cnt = 0;
      for(int i= 0; i<result; i++)
      {
        if(ticks[i].time_msc == ticks[0].time_msc) t_cnt++;             //Считаем кол-во тиков с одинаковым временем
        Print(__FUNCTION__, ": ",GetTickDescription(ticks[i]));
      }
      is_first = false;
      last_time = ulong(ticks[0].time_msc);                             //Запоминаем время последнего тика
    } 
  }
  else
  {
    result = CopyTicks(Symbol(), ticks, COPY_TICKS_ALL, last_time, 0); //забираем тики из последнего (посчитанного пакета тикив и считываем тики из нового пакета)
    if(result > 0)
    {
      if(result > t_cnt)
      {
        mem_cnt = t_cnt;
        t_cnt = 0;
        for(int i= 0; i<(result - int(mem_cnt)); i++)
        {
          if(ticks[i].time_msc == ticks[0].time_msc) t_cnt++;           //Считаем кол-во тиков с одинаковым временем
          Print(__FUNCTION__, ": ",GetTickDescription(ticks[i]));
        } 
        if(last_time == ulong(ticks[0].time_msc))
        {
          t_cnt += int(mem_cnt);
        }
        else last_time = ulong(ticks[0].time_msc);
      }
      else
      {
        Print(__FUNCTION__, ": Pending order!");                          //Изменения стакана (добавлен/удален отложенный ордер)
      }
    }
    else
    {
      Print(__FUNCTION__, ": Pending order!");                          //Изменения стакана (добавлен/удален отложенный ордер)
    }
  }
}
//+------------------------------------------------------------------+

prostotrader 2020.02.04 10:19 #145

Added my time to the code.

I remember the time when OnTick() was triggered(t_time = GetMicrosecondCount();)

Then I take time, when each function is executed

   t_time = GetMicrosecondCount();
//  if(symbol != Symbol()) return;
  //tot_cnt++;
  if(SymbolInfoTick(Symbol(), s_tick) == true)
  {
    func_time = GetMicrosecondCount();
    Print("SymbolInfoTick: time = ", string(func_time - t_time), " mcs ", GetTickDescription(s_tick));
  }
  double a_ask, a_bid, a_last;
  if (SymbolInfoDouble(Symbol(), SYMBOL_ASK, a_ask) == true)
  {
    func_time = GetMicrosecondCount();
    Print("SymbolInfoDouble: time = ", string(func_time - t_time), " mcs ", "ask = ", a_ask);
  }
  if (SymbolInfoDouble(Symbol(), SYMBOL_BID, a_bid) == true)
  {
    func_time = GetMicrosecondCount();
    Print("SymbolInfoDouble: time = ", string(func_time - t_time), " mcs ", "bid = ", a_bid);
  }
  if (SymbolInfoDouble(Symbol(), SYMBOL_LAST, a_last) == true)
  {
    func_time = GetMicrosecondCount();
    Print("SymbolInfoDouble: time = ", string(func_time - t_time), " mcs ", "last = ", a_last);
  }
  if(is_first == true)
  {
    result = CopyTicks(Symbol(), ticks, COPY_TICKS_ALL, last_time, 0); //копируем все вновь пришедшие тики от последнего известного времени
    if(result > 0)
    {
      func_time = GetMicrosecondCount();
      t_cnt = 0;
      for(int i= 0; i<result; i++)
      {
        if(ticks[i].time_msc == ticks[0].time_msc) t_cnt++;             //Считаем кол-во тиков с одинаковым временем
        Print(__FUNCTION__, ": time = ", string(func_time - t_time), " mcs ", GetTickDescription(ticks[i]));

The result is

2020.02.04 13:09:13.101 Ticks_test (GOLD-3.20,M1)       SymbolInfoTick: time = 2 mcs 2020.02.04 13:09:10.720 Bid=1573.1 
2020.02.04 13:09:13.101 Ticks_test (GOLD-3.20,M1)       SymbolInfoDouble: time = 28 mcs ask = 1573.3
2020.02.04 13:09:13.101 Ticks_test (GOLD-3.20,M1)       SymbolInfoDouble: time = 33 mcs bid = 1573.1
2020.02.04 13:09:13.101 Ticks_test (GOLD-3.20,M1)       SymbolInfoDouble: time = 36 mcs last = 1573.4
2020.02.04 13:09:13.101 Ticks_test (GOLD-3.20,M1)       OnTick: time = 41 mcs 2020.02.04 13:09:10.720 Bid=1573.1 
2020.02.04 13:09:13.101 Ticks_test (GOLD-3.20,M1)       OnTick: time = 41 mcs 2020.02.04 13:09:00.328 Ask=1573.3

I.e. running time of each function is less than 50 microseconds!

Where can 4 seconds come from?

I think two EAs were running in one terminal and the terminal simply does not have time to

It simply has no time to "merge" all the information into one log so it sets the local time as it considers necessary.

close and restart Metatrader [ARCHIVE] Any rookie question, MT4 not properly exiting.

Yuriy Zaytsev 2020.02.04 10:24 #146

prostotrader:

In trading, personally, I use asynchronous orders.

The thing is (if you trade seriously on the Exchange), you need all the changes in the stock market,

and the sooner this event comes - the better.

I, for myself, see no alternative to OnBook

In principle, it is possible to relieve the direct invocation of trade operations from OnBook. All you need to do in OnBook is to form a flag to execute the operation and process the flag itself elsewhere. That is, the operation itself should be started in another procedure by the flag formed, which will create an event, but after leaving the procedure HeBook, and then the code OnBook itself will be free of heavy operations. However, if the orders are opened asynchronously, and there is no insanely large processing of conditions, it is unlikely to cause significant delays.

Typical mistakes and how Errors, bugs, questions Any questions from newcomers

Yuriy Zaytsev 2020.02.04 10:37 #147

prostotrader:

Added my time to the code.

I remember the time when OnTick() was triggered(t_time = GetMicrosecondCount();)

Then I take time, when each function is executed

The result is

I.e. running time of each function is less than 50 microseconds!

Where can 4 seconds come from?

I think two EAs were running in one terminal and the terminal simply does not have time to

The terminal simply has no time to "dump" all the information into one log file and that's why it sets local time as it thinks necessary.

I guess it's true, such a wild lag is not realistic.

1 - FLUSH has worked when MQ decided it himself!

2 - Technical delay in writing to disk due to intensive work on the hard disk

It is possible that there is already a write queue on your local machine - which is quite real, I had the experience of several terabytes of backup being poured onto the disk

I can only assume the following:

I've had several terabytes of backup fetched to the disk, e.g. if I ran Microsoft office, updated my Windows and recorded movies from the Internet, or if I worked with MS SQL on the local machine at the same time,

do a couple of backups, have a dozen 4 torrents and two or three dozen programs intensely write to disk.

i.e. i mean that if there was intensive work with the disk - it is possible and there was a delay in writing the log to disk.

Public discussion of the Need Help Metatrader Crashed what does 5 Activations

Aleksey Mavrin 2020.02.04 10:41 #148

Yuriy Zaytsev:

Probably true, not realistic with such a wild delay.

1 - FLUSH worked when MQ decided this on its own!

2 - Technical delay in writing to disk caused by intensive work on the hard disk.

It is possible that some queue is already on your local machine for logging - which is quite real, I had the experience of several terabytes of backup being poured onto the disk

I can only assume the following:

I've had several terabytes of backup fetched to the disk, e.g. if I ran Mac irosoft office, updated my Windows and recorded movies from the Internet, or if I worked with MS SQL on the local machine at the same time,

do a couple of backups, have a dozen 4 torrents and two or three dozen programs intensively writing to disk.

I mean if there was intensive work with the disk - it is possible that there was a delay in logging to disk.

Hardly disk related, MT puts the time already when writing the log to its cache. That's what I thought the terminal in general for 4 sec may be related to general system load, more likely RAM and CPU.

[Archive!] Any rookie question, Errors, bugs, questions Yellow SL MT4 but

Yuriy Zaytsev 2020.02.04 10:43 #149

prostotrader:

Added my time to the code.

I remember the time when OnTick() was triggered(t_time = GetMicrosecondCount();)

Then I take time, when each function is executed

The result is

I.e. running time of each function is less than 50 microseconds!

Where can 4 seconds come from?

I think two EAs were running in one terminal and the terminal simply does not have time to

"Therefore, it sets the local time as it considers necessary.

By the way - so that you don't get caught up in the logging time - you can add the local time to the array - which you form in the code - below

Then there will be a clear difference in the log between the time when the terminal reset the log to disk and the time when OnBook's tick or event arrived locally.

And this will be more correct from the research point of view.

//+------------------------------------------------------------------+ 
//| возвращает строковое описание тика                               | 
//+------------------------------------------------------------------+ 
string GetTickDescription(MqlTick &tick) 
  { 
   string res = string(tick.time) + "." +  string(tick.time_msc%1000); 
// 
   bool buy_tick = ((tick.flags&TICK_FLAG_BUY)==TICK_FLAG_BUY); 
   bool sell_tick = ((tick.flags&TICK_FLAG_SELL)==TICK_FLAG_SELL); 
   bool ask_tick = ((tick.flags&TICK_FLAG_ASK)==TICK_FLAG_ASK); 
   bool bid_tick = ((tick.flags&TICK_FLAG_BID)==TICK_FLAG_BID); 
   bool last_tick = ((tick.flags&TICK_FLAG_LAST)==TICK_FLAG_LAST); 
   bool volume_tick = ((tick.flags&TICK_FLAG_VOLUME)==TICK_FLAG_VOLUME); 
// 
   if((buy_tick== true) || (sell_tick == true)) 
   { 
     res = res + (buy_tick?StringFormat(" Buy Tick: Last=%G Volume=%d ",tick.last,tick.volume):""); 
     res = res + (sell_tick?StringFormat(" Sell Tick: Last=%G Volume=%d ",tick.last,tick.volume):""); 
     res = res + (ask_tick?StringFormat(" Ask=%G ",tick.ask):""); 
     res = res + (bid_tick?StringFormat(" Bid=%G ",tick.bid):""); 
   } 
   else 
   { 
     res = res + (ask_tick?StringFormat(" Ask=%G ",tick.ask):""); 
     res = res + (bid_tick?StringFormat(" Bid=%G ",tick.bid):""); 
     res = res + (last_tick?StringFormat(" Last=%G ",tick.last):""); 
     res = res + (volume_tick?StringFormat(" Volume=%d ",tick.volume):""); 
   } 
   return res; 
  }

Copy trading within same Service 'Abnormal termination' graceful Errors, bugs, questions

Yuriy Zaytsev 2020.02.04 10:53 #150

Aleksey Mavrin:
Hardly connected with the disk, MT sets the time already when writing the log to its cache. That's what I thought the terminal in general for 4 seconds may be related to the overall system load, rather RAM and CPU.

ARE YOU SURE ABOUT THIS?

4 seconds ????, no way! Do you really think the processor froze for 4 seconds or memory was freed for 4 seconds?

It's more likely that it's the write queue on the disk.

The disk is slower than memory and the processor.

The flush() command is a C command, you probably know it and it is executed when it feels comfortable and can be delayed more often due to disk booting.

That's what they call it when you want to dump the buffers to disk.

When does MT4 refresh Any questions from a Can MetaTrader be installed

Tiki in real time - page 15