AIS5 Trade Machine


Modification: 50003
Release Date: 2010.03.31


Instructions


Content

1. Introduction
2. Properties
3. Installation, Part 1
4. Installation, Part 2
5. Preparations
6. Control
7. Conclusion


1. Introduction

1.1. AIS5 Trade Machine is an MQL4 program for MetaTrader 4 client terminal.
1.2. Basic properties AIS5 Trade Machine:
     1.2.1. plotting on the chart "market profiles" of tick volumes;
     1.2.2. real-time processing of incoming tick packets.
1.3. The main goals of AIS5 Trade Machine are:
     1.3.1. identification of "strong" and "weak" price levels;
     1.3.2. identification of entry points.
1.4. Basic assumptions:
     1.4.1. price levels with the large ticks volumes are "strong" levels;
     1.4.2. price levels with the small ticks volumes are "weak" levels;
     1.4.3. "strong" levels are more stable, "weak" levels are less stable;
     1.4.4. large packets of incoming ticks may reflect the large amounts of current transactions and may indicate the entry points.
1.5. Correct work of AIS5 Trade Machine in the general case is achieved in the following conditions:
     1.5.1. in the terminal works only one instance of AIS5 Trade Machine;
     1.5.2. all other programs must work correctly with global variables;
     1.5.3. all indicators on the chart must work correctly with graphical objects.
1.6. AIS5 Trade Machine is made from AIS4 Trade Machine.
1.7. AIS5 Trade Machine has the following common with AIS4 Trade Machine properties:
     1.7.1. built-in trading functions with automatic risk management;
     1.7.2. the first monitoring panel, located in the left side of the chart.
1.8. All these properties are described in the Instructions to AIS4 Trade Machine.
1.9. AIS5 Trade Machine has the following differences from AIS4 Trade Machine:
     1.9.1. additional data processing unit;
     1.9.2. market profiles plotter;
     1.9.3. second monitoring panel, located on the right side of the chart;
     1.9.4. AIS5 Trade Machine uses an external file, prepared in advance by the separate program;
     1.9.5. work in the strategy tester is limited.
1.10. The following describes the properties of only AIS5 Trade Machine.


2. Properties

2.1. Designations and agreements:
     2.1.1. "M1" = frames of minute period PERIOD_M1;
     2.1.2. "frame", "frame data" = bar;
     2.1.3. zero frame = frame number "0", the current forming frame;
     2.1.4. "frame number 1" = the latest complete frame;
     2.1.5. "volume" = tick volume;
     2.1.6. "profile" = distribution of tick volume for the full range of prices for a given interval of time;
     2.1.7. in general, indicators are listed from left to right and top to bottom.
2.2. Additional data processing unit works only with frames M1, so the "frame" means the M1 frame.
2.3. Additional data processing unit:
     2.3.1. when restarting, reads data prepared by the program A Tool: Market Profile Generator;
     2.3.2. calculates 3 market profiles P1, P2, P3 in 3 different time intervals:
            2.3.2.1. P1 is calculated once from the oldest frame to the date of A Tool: Market Profile Generator;
            2.3.2.2. P2 is calculated once from the date of A Tool: Market Profile Generator to frame number 1;
            2.3.2.3. P3 recalculated from the date zero-frame when restarting the program to the current time;
     2.3.3. splits market profiles with the step "ZoneStepPoints" and the initial shift "ZoneBasePoints";
     2.3.4. computes 2 zone arrays Z1 and Z0, are displayed by plotter in the chart;
     2.3.5. calculates the volumes of the current zone, and 4 zones top and 4 zones down from the current;
     2.3.6. calculates data on the last 9 received tick packets;
     2.3.7. calculates the distribution of volume of all incoming packets ticks by the size of these packages.
2.4. Zone array Z1 is divided into uniform pricing intervals sum of profiles P1 and P2.
2.5. Zone array Z1 represented on the chart by left histogram.
2.6. Zone array Z0 is divided into the same uniform price intervals profile P2.
2.7. Zone array Z0 represented on the chart by right histogram.
2.8. Current profile P3 can be included in the profile P2 by the command "ProfileReset".
2.9. In this case profile P2 will be recalculated, and the frame number 1 will be the ending frame of profile P2.
2.10. Profile P3 will be reset, and the frame number 0 will be the beginning frame of profile P3.
2.11. Profile P1 remains unchanged.
2.12. Zone arrays Z1 and Z0, exactly their step and shift, can be simultaneously changed by the command "ZoneReset".
2.13. Profiles P1, P2, P3 in this case remain unchanged.
2.14. The second monitoring panel displays on the chart the data of additional data processing unit.
2.15. The second monitoring panel consists of the following:
      2.15.1. header;
      2.15.2. 4 data clusters:
              2.15.2.1. cluster of market profiles registers;
              2.15.2.2. cluster of streaming lines;
              2.15.2.3. cluster of tick volume distribution of profile P3 by sizes of tick packets;
              2.15.2.4. cluster of tick volume distribution of zone arrays Z1 and Z0 by nearest price zones.
2.16. The header contains two components:
      2.16.1. runtime of additional data processing unit, in milliseconds;
      2.16.2. runtime of monitoring module, that is the sum of runtime for the following units, in milliseconds:
              2.16.2.1. market profiles plotter;
              2.16.2.2. first monitoring panel;
              2.16.2.3. second monitoring panel.
2.17. Cluster of market profiles registers consists of 4 parts:
      2.17.1. register of profile P1 with the following 4 components:
              2.17.1.1. number of frames used to compute the profile P1;
              2.17.1.2. total tick volume of profile P1;
              2.17.1.3. opening time of the beginning frame of profile P1;
              2.17.1.4. opening time of the ending frame of profile P1;
      2.17.2. register of profile P2 with the following 4 components:
              2.17.2.1. number of frames used to compute the profile P2;
              2.17.2.2. total tick volume of profile P2;
              2.17.2.3. opening time of the beginning frame of profile P2;
              2.17.2.4. opening time of the ending frame of profile P2;
      2.17.3. register of profile P3 with the following 7 components, from top to bottom:
              2.17.3.1. in the left - number of frames used to compute the profile P3;
              2.17.3.2. in the left - total tick volume of profile P3;
              2.17.3.3. opening time of the beginning frame of profile P3;
              2.17.3.4. opening time of the ending frame of profile P3;
              2.17.3.5. in the right - check for number of frames of profile P3;
              2.17.3.6. in the right - check for total tick volume of profile P3;
              2.17.3.7. in the center - number of nearest frame totally below "+" / above "-" of the current price.
      2.17.4. summary profiles metric of the 3 components and zero frame metrics of the 3 components:
              2.17.4.1. highest price of profiles in points;
              2.17.4.2. price range of profiles in points;
              2.17.4.3. lowest price of profiles in points;
              2.17.4.4. lenght of zero frame in seconds;
              2.17.4.5. lenght of M1 frame in second, always 60;
              2.17.4.6. lenght of zero frame as a percentage of lenght of M1 frame.
2.18. Cluster of streaming lines consists of 2 parts:
      2.18.1. 2 monitoring lines of the zero frame:
              2.18.1.1. the first line contains 4 groups of 3 volatility measures in points per frame:
                        2.18.1.1.1. first number in each group is a price range of zero frame;
                        2.18.1.1.2. second - highest price range of frame in profiles P1, P2, P3, and in frame number 1;
                        2.18.1.1.3. third - ratio of the first number to the second in percents;
              2.18.1.2. the second line contains 4 groups of 3 volume measures in ticks per frame:
                        2.18.1.2.1. first number in each group is a tick volume of zero frame;
                        2.18.1.2.2. second - largest tick volume of frame in profiles P1, P2, P3, and in frame number 1;
                        2.18.1.2.3. third - the ratio of the first number to the second in percents;
      2.18.2. 6 running lines of 9 columns, each column contains the measures of the single tick packet:
              2.18.2.1. first line - volume of the packet in ticks;
              2.18.2.2. second - time interval between packets in seconds;
              2.18.2.3. third - price fluctuation of "Bid" price in points;
              2.18.2.4. fourth - the same as the third, on an accrual basis;
              2.18.2.5. fifth - the same as the second, on an accrual basis;
              2.18.2.6. sixth - the same as the first, an accrual basis.
2.19. Cluster of tick volume distribution of profile P3 by sizes of tick packets consists of 2 parts:
      2.19.1. header of 5 components:
              2.19.1.1. total tick volume of profile P3 plus volume of zero frame;
              2.19.1.2. tick volume of packets with positive fluctuation of "Bid" price;
              2.19.1.3. tick volume of packets with negative fluctuation of "Bid" price;
              2.19.1.4. tick volume of packets with zero fluctuation of "Bid" price;
              2.19.1.5. tick volume of "lost" packets;
      2.19.2. table of 11 rows by 5 columns:
              2.19.2.1. first column indicates tick volume of packet;
              2.19.2.2. second - total tick volume of packets with this volume in P3;
              2.19.2.3. third - latency of last packet of this volume in seconds;
              2.19.2.4. fourth - time interval between arrival of last packet with this volume and current time;
              2.19.2.5. fifth - time of arrival of last packet with this volume.
2.20. cluster of tick volume distribution of zone arrays Z1 and Z0 by nearest price zones consist of 2 parts:
      2.20.1. header of 5 components:
              2.20.1.1. largest volume of zone in array Z1;
              2.20.1.2. average volume of zone in array Z1;
              2.20.1.3. total volume of array Z1;
              2.20.1.4. average volume of zone in visible part of array Z0;
              2.20.1.5. total volume of array Z0;
      2.20.2. table of 9 rows and 7 columns:
              2.20.2.1. first column indicates the zone number from zero zone, that contains current "Bid" price;
              2.20.2.2. second -  nearest bound of zone, nearest to the zero zone;
              2.20.2.3. third - zone volume of array Z1 as a percentage of the largest volume of zone in the array Z1;
              2.20.2.4. fourth - zone volume of array Z1 in ticks;
              2.20.2.5. fifth - the same with cumulative sum of volumes from zero zone of array Z1;
              2.20.2.6. sixth - zone volume of array Z0 in ticks;
              2.20.2.7. seventh - the same with cumulative sum of volumes from zero zone of array Z0.
2.21. Zero zone of fifth column contains difference between sum of volumes 4 top and 4 bottom zones of array Z1.
2.22. Zero zone of seventh column contains difference between sum of volumes 4 top and 4 bottom zones of array Z0.
2.23. The vertical solid line on the chart between the histograms is the line of zero volume for both histograms.
2.24. Farthest from the zero line dotted lines are the lines of largest zone volume of arrays Z1 and Z0.
2.25. Dotted lines between zero line and lines of the largest volumes are the lines of average zone volumes.


3. Installation, Part 1

3.1. AIS5 Trade Machine is:
     3.1.1. "AIS5TM.MQ4" file with MQL4 source code;
     3.1.2. "AIS5TM.EX4" executable file.
3.2. Download the file "AIS5TM.MQ4".
3.3. Find location of MetaTrader 4 terminal, hereinafter referred to as "%MT4%".
3.4. In most cases, MetaTrader 4 is located in the folder "C:/Program Files/MetaTrader 4".
3.5. Move the file "AIS5TM.MQ4" in the folder "%MT4%/experts".
3.6. Run MetaTrader 4, hereinafter referred to as "MetaTrader".
3.7. Press <F4> to run MetaEditor.
3.8. Press <Ctrl-O> to open the window "Open".
3.9. Open the file "AIS5TM.MQ4" in the folder "%MT4%/experts".
3.10. Check the modification in line 7.
3.11. Check the release date in line 8.
3.12. Check the working symbol "EURUSD" in line 106 and if necessary, change it.
3.13. Press <F5> to compile the program.
3.14. Press <F4> to return to MetaTrader.
3.15. In MetaTrader press <Ctrl-O> to call the dialog box "Options".
3.16. In the tab "Options/Expert Advisors":
      3.16.1. check "Enable Expert Advisors "="+";
      3.16.2. leave unchanged "Disable experts when the account has been changed";
      3.16.3. leave unchanged "Disable experts when the profile has been changed";
      3.16.4. check "Allow live trading "="+";
      3.16.5. uncheck "Ask manual confirmation";
      3.16.6. leave the other settings unchanged.
3.17. Push the button [OK] to accept changes.
3.18. Press <Ctrl-N> to open the "Navigator" window.
3.19. Go to the tab "Common" of window "Navigator".
3.20. Open the list "Expert Advisors".
3.21. Find "AIS5TM".
3.22. "AIS5TM" is the abbreviated name of the executable file "AIS5TM.EX4".
3.23. The first part of the installation completed.


4. Installation, Part 2

4.1. Before run AIS5 Trade Machine is required to prepare an auxiliary file containing the profile P1.
4.2. This file will be created by the script "A Tool: Market Profile Generator".
4.3. "A Tool: Market Profile Generator" is:
     4.3.1. "AT5.MQ4" file with MQL4 source code;
     4.3.2. "AT5.EX4" the executable file.
4.4. Download the file "AT5.MQ4".
4.5. Move the file "AT5.MQ4" in the folder "%MT4%/experts/scripts".
4.6. Press <F4> to run MetaEditor.
4.7. Press <Ctrl-O> to open the window "Open".
4.8. Open the file "AT5.MQ4" in the folder "%MT4%/experts/scripts".
4.9. Check the modification in line 7.
4.10. Check the release date in line 8.
4.11. Press <F5> to compile the program.
4.12. Press <F4> to return to MetaTrader.
4.13. Press <Ctrl-N> to open the window "Navigator".
4.14. Go to the tab "Common" of the window "Navigator".
4.15. Open the list "Scripts".
4.16. Find "AT5".
4.17. "AT5" is the abbreviated name of the executable file "AT5.EX4".
4.18. The second part of the installation completed.


5. Preparations

5.1. In the "Tools/Options/Charts":
     5.1.1. set value "Max bars in history" greater the maximal expected size of the profile P1, for example, 10000000;
     5.1.2. set the same value in "Max bars in chart".
5.2. Close and restart the terminal.
5.3. Download the history of the desired commercial character through the menu "Tools / Quotes archive.
5.4. Open the schedule with the required trading symbol.
5.5. Open the file "AT5.MQ4" in the folder "% MT4% / experts / scripts".
5.6. In line 37, set the ending time of compressed history, for example "# define aci.DateEnd D'2010 .01.01 00:00 '.
5.7. Nearest frame with the opening time before this time will be the ending frame of the profile P1.
5.8. Nearest frame with the opening time immediately after this time will be the beginning frame of the profile P2.
5.9. Press <F5> to compile the program.
5.10. Press <F4> to return to MetaTrader.
5.11. Run the script "AT5.MQ4".
5.12. AT5 will create an auxiliary file "XXXXXX.CSV", where "XXXXXX" is the name of the trading symbol.
5.13. This file will contain the profile P1  and will be located in the folder "%MT4%/experts/files".
5.14. In the "Tools/Options/Charts":
      5.14.1. set value "Max bars in history" greater the maximal expected size of the profile P2, for example, 500000;
      5.14.2. set the same value in "Max bars in chart".
5.15. Close and restart the terminal.
5.16. Put the "AIS5TM" on the chart.
5.17. Will appear the window "AIS5TM" with the tabs "Common" and "Inputs".
5.18. In the tab "Common" of the window "AIS5TM":
      5.18.1. under the heading "Common":
              5.18.1.1. select "position" = "Long & Short",
              5.18.1.1. leave all other settings unchanged;
      5.18.2. under the heading "Live trading":
              5.18.2.1. check "Allow live trading" = "+",
              5.18.2.2. uncheck "Ask manual confirmation";
      5.18.3. under the heading "Safety" leave everything unchanged.
5.19. In the tab "Inputs" of the window "AIS5TM":
      5.19.1. check that the variable "aes.Symbol" coincides with the symbol of the chart;
      5.19.2. check the values of other variables.
5.20. Push the button [OK] of the window "AIS5TM".
5.21. In the upper right corner of the chart will appear the smiling icon "AIS5TM".
5.22. AIS5 Trade Machine is working now.
5.23. To view the profiles of the market, in the window "Properties" of the chart set "Chart shift = On".
5.24. The visible width of market profiles depends on the size of the shift.
5.25. Preparations completed.


6. Control

6.1. Press <F3> to open window "Global Variables".
6.2. In the window there will be lot of controls with the prefix "AIS50003.Setup.".
6.3. Values "AIS50003.Setup.5.3.PlotTimeBorders" = "+1 / -1" allow / prohibit the plotting of time borders of profiles.
6.4. Values "AIS50003.Setup.5.4.PlotZoneLevels" = "+1 / -1" allow / prohibit the plotting of borders of zones.
6.5. Values "AIS50003.Setup.5.5.PlotProfiles" = "+1 / -1" allow / prohibit the plotting of market profiles.
6.6. To reset the market profiles, set "AIS50003.Setup.6.1.ProfileReset" = "1".
6.7. To change the shift from zero and step of  zone:
     6.7.1. set the desired value of "AIS50003.Setup.7.1.ZoneBasePoints", in points, to change the initial shift of zones;
     6.7.2. set the desired value of "AIS50003.Setup.7.2.ZoneStepPoints", in points, to change the step of zone.
     6.7.3. set the value "AIS50003.Setup.6.2.ZoneReset" = "1" to accept changes.


7. Conclusion

7.1. Always check that you are using the latest modification of AIS5 Trade Machine.
7.2. The latest modification is stored in http://codebase.mql4.com/6161.