开发多币种 EA 交易（第 1 部分）：多种交易策略的协作·进阶篇
（2/3）· 当多个现成 EA 难以同终端共存，回撤与仓位分配就成了绕不开的坑
「挂单节奏由持仓计数卡住」
EA 在 OnTick 里先跑 UpdateCounts()，把属于自己 Magic 号的持仓与挂单分别数一遍，再判断 countOrders + countPositions 是否小于 maxCountOfOrders_。这一步直接决定了同屏最多只会有多少笔未平仓位，外汇与贵金属品种在高波动时若把上限调太大，可能触发券商的并发订单限制。 信号判定走 SignalForOpen()，返回 1 就 OpenBuyOrder() 挂 BUY_STOP，返回 -1 则 OpenSellOrder() 挂 SELL_STOP。注意它只认这两种返回值，其他情况当周期不动作，避免重复追单。 UpdateCounts() 的计数逻辑很直白：PositionsTotal() 和 OrdersTotal() 两个循环里，都用 SelectByIndex(i) 且比对 Magic() == magicN_。这意味着你如果在 MT5 手动开同品种单子但 Magic 不同，EA 不会把它算进额度，可能悄悄超出你预期的风险暴露。 开 BUY_STOP 时先 RefreshRates() 拿实时 bid/ask，distance 取 openDistance_ 与 spread 的较大值，保证挂单距离不小于点差。价格按 ask + distance*point 计算，SL 放在 price - stopLevel_*point，TP 则是 price + (takeLevel_ + spread)*point，把点差补进盈利目标里。
trade.SetExpertMagicNumber(magicN_); class="kw">return(INIT_SUCCEEDED); } class=class="str">"cmt">//+------------------------------------------------------------------+ class=class="str">"cmt">//| "Tick" event handler function | class=class="str">"cmt">//+------------------------------------------------------------------+ class="type">void OnTick() { class=class="str">"cmt">// Count open positions and orders UpdateCounts(); class=class="str">"cmt">// If their number is less than allowed if(countOrders + countPositions < maxCountOfOrders_) { class=class="str">"cmt">// Get an open signal class="type">int signal = SignalForOpen(); if(signal == class="num">1) { class=class="str">"cmt">// If there is a buy signal, then OpenBuyOrder(); class=class="str">"cmt">// open the BUY_STOP order } else if(signal == -class="num">1) { class=class="str">"cmt">// If there is a sell signal, then OpenSellOrder(); class=class="str">"cmt">// open the SELL_STOP order } } } class=class="str">"cmt">//+------------------------------------------------------------------+ class=class="str">"cmt">//| Calculate the number of open orders and positions | class=class="str">"cmt">//+------------------------------------------------------------------+ class="type">void UpdateCounts() { class=class="str">"cmt">// Reset position and order counters countPositions = class="num">0; countOrders = class="num">0; class=class="str">"cmt">// Loop through all positions for(class="type">int i = class="num">0; i < PositionsTotal(); i++) { class=class="str">"cmt">// If the position with index i is selected successfully and its Magic is ours, then we count it if(positionInfo.SelectByIndex(i) && positionInfo.Magic() == magicN_) { countPositions++; } } class=class="str">"cmt">// Loop through all orders for(class="type">int i = class="num">0; i < OrdersTotal(); i++) { class=class="str">"cmt">// If the order with index i is selected successfully and its Magic is the one we need, then we consider it if(orderInfo.SelectByIndex(i) && orderInfo.Magic() == magicN_) { countOrders++; } } } class=class="str">"cmt">//+------------------------------------------------------------------+ class=class="str">"cmt">//| Open the BUY_STOP order | class=class="str">"cmt">//+------------------------------------------------------------------+ class="type">void OpenBuyOrder() { class=class="str">"cmt">// Update symbol current price data symbolInfo.Name(Symbol()); symbolInfo.RefreshRates(); class=class="str">"cmt">// Retrieve the necessary symbol and price data class="type">class="kw">double point = symbolInfo.Point(); class="type">int digits = symbolInfo.Digits(); class="type">class="kw">double bid = symbolInfo.Bid(); class="type">class="kw">double ask = symbolInfo.Ask(); class="type">int spread = symbolInfo.Spread(); class=class="str">"cmt">// Let&class="macro">#x27;s make sure that the opening distance is not less than the spread class="type">int distance = MathMax(openDistance_, spread); class=class="str">"cmt">// Opening price class="type">class="kw">double price = ask + distance * point; class=class="str">"cmt">// StopLoss and TakeProfit levels class="type">class="kw">double sl = NormalizeDouble(price - stopLevel_ * point, digits); class="type">class="kw">double tp = NormalizeDouble(price + (takeLevel_ + spread) * point, digits); class=class="str">"cmt">// Expiration time
◍ 挂单函数里被忽略的价差保护
上面这段是 BuyStop 与 SellStop 两个挂单函数的核心实现，重点不在『挂哪』，而在『挂多远』。SellStop 里先用 MathMax(openDistance_, spread) 取开盘距离与实时点差的大者，避免挂单价离 bid 太近被经纪商拒单——这是 MT5 实盘里最容易踩的坑。 价格计算上，SellStop 的触发价 = bid - distance * point，SL 放在 price + stopLevel_ * point，TP 则扣掉了 spread：price - (takeLevel_ + spread) * point。注意 TP 把点差算进去了，意味着策略在回测里若忽略 spread，实盘盈利会系统性偏薄。 过期时间统一用 TimeCurrent() + ordersExpiration_ * 60，单位是秒；若 ordersExpiration_ 设 1440，挂单存活约 1 天。外汇与贵金属杠杆高，挂单未成交过期只是成本损耗，但滑点可能让实际成交偏离预期，需自行在 MT5 策略测试器验证。 别把正态当圣经 SellStop 的 TP 减 spread 只是代码层的修正，不保证实盘胜率；点差在重大数据发布时可能瞬间扩到日常 5~10 倍，挂单距离要留余量。
class="type">class="kw">datetime expiration = TimeCurrent() + ordersExpiration_ * class="num">60; class=class="str">"cmt">// Order volume class="type">class="kw">double lot = fixedLot_; class=class="str">"cmt">// Set a pending order class="type">bool res = trade.BuyStop(lot, NormalizeDouble(price, digits), Symbol(), NormalizeDouble(sl, digits), NormalizeDouble(tp, digits), ORDER_TIME_SPECIFIED, expiration); if(!res) { Print("Error opening order"); } } class=class="str">"cmt">//+------------------------------------------------------------------+ class=class="str">"cmt">//| Open the SELL_STOP order | class=class="str">"cmt">//+------------------------------------------------------------------+ class="type">void OpenSellOrder() { class=class="str">"cmt">// Update symbol current price data symbolInfo.Name(Symbol()); symbolInfo.RefreshRates(); class=class="str">"cmt">// Retrieve the necessary symbol and price data class="type">class="kw">double point = symbolInfo.Point(); class="type">int digits = symbolInfo.Digits(); class="type">class="kw">double bid = symbolInfo.Bid(); class="type">class="kw">double ask = symbolInfo.Ask(); class="type">int spread = symbolInfo.Spread(); class=class="str">"cmt">// Let&class="macro">#x27;s make sure that the opening distance is not less than the spread class="type">int distance = MathMax(openDistance_, spread); class=class="str">"cmt">// Opening price class="type">class="kw">double price = bid - distance * point; class=class="str">"cmt">// StopLoss and TakeProfit levels class="type">class="kw">double sl = NormalizeDouble(price + stopLevel_ * point, digits); class="type">class="kw">double tp = NormalizeDouble(price - (takeLevel_ + spread) * point, digits); class=class="str">"cmt">// Expiration time class="type">class="kw">datetime expiration = TimeCurrent() + ordersExpiration_ * class="num">60; class=class="str">"cmt">// Order volume class="type">class="kw">double lot = fixedLot_; class=class="str">"cmt">// Set a pending order class="type">bool res = trade.SellStop(lot, NormalizeDouble(price, digits), Symbol(), NormalizeDouble(sl, digits), NormalizeDouble(tp, digits), ORDER_TIME_SPECIFIED, expiration); if(!res) { Print("Error opening order"); } } class=class="str">"cmt">//+------------------------------------------------------------------+
用成交量突变抓挂单信号
这套挂单信号逻辑不看指标交叉，只看成交量相对均值是否异常放大。核心在 SignalForOpen()：先把最近 signalPeriod_ 根 K 线的成交量搬进数组，算均值，再拿当前成交量去比阈值。 阈值不是固定倍数，而是 avrVolume * (1 + signalDeviation_ + (countOrders + countPositions) * signaAddlDeviation_)。也就是说，你账户里已挂单和持仓越多，触发信号需要的放量幅度越高，避免在拥挤价位反复追。 当前量超阈值后，还要看开盘价和收盘价关系：开小于收给 buy 信号（返回 1），否则给 sell 信号（返回 -1）。外汇与贵金属波动受杠杆与消息面影响，放量信号只代表概率倾斜，实盘前务必在 MT5 策略测试器用历史数据验证。 ArrayAverage() 是个手写的均值函数，遍历数组求和再除以 MathMax(1, total)，避免空数组除零。你可以直接把下面代码贴进 EA 的 include 段，改 signalPeriod_ 和 signalDeviation_ 两个参数就能调灵敏度。
class=class="str">"cmt">//| Signal for opening pending orders | class=class="str">"cmt">//+------------------------------------------------------------------+ class="type">int SignalForOpen() { class=class="str">"cmt">// By class="kw">default, there is no signal class="type">int signal = class="num">0; class=class="str">"cmt">// Copy volume values from the indicator buffer to the receiving array class="type">int res = CopyBuffer(iVolumesHandle, class="num">0, class="num">0, signalPeriod_, volumes); class=class="str">"cmt">// If the required amount of numbers have been copied if(res == signalPeriod_) { class=class="str">"cmt">// Calculate their average value class="type">class="kw">double avrVolume = ArrayAverage(volumes); class=class="str">"cmt">// If the current volume exceeds the specified level, then if(volumes[class="num">0] > avrVolume * (class="num">1 + signalDeviation_ + (countOrders + countPositions) * signaAddlDeviation_)) { class=class="str">"cmt">// if the opening price of the candle is less than the current(closing) price, then if(iOpen(Symbol(), PERIOD_CURRENT, class="num">0) < iClose(Symbol(), PERIOD_CURRENT, class="num">0)) { signal = class="num">1; class=class="str">"cmt">// buy signal } else { signal = -class="num">1; class=class="str">"cmt">// otherwise, sell signal } } } class="kw">return signal; } class=class="str">"cmt">//+------------------------------------------------------------------+ class=class="str">"cmt">//| Number array average value | class=class="str">"cmt">//+------------------------------------------------------------------+ class="type">class="kw">double ArrayAverage(const class="type">class="kw">double &array[]) { class="type">class="kw">double s = class="num">0; class="type">int total = ArraySize(array); for(class="type">int i = class="num">0; i < total; i++) { s += array[i]; } class="kw">return s / MathMax(class="num">1, total); } class=class="str">"cmt">//+------------------------------------------------------------------+
「把通用策略骨架先钉死」
做多策略 EA 时，第一件该做的事是把「所有策略都共有的东西」抽出来。交易品种、时间框架、开仓幻数、固定手数，这四个字段跟具体信号无关，却每个子类都逃不掉。 在 MT5 里用 CStrategy 基类承接这些属性，Init() 和 Tick() 直接写成纯虚函数（=0），逼着后面的具体策略去实现自己的初始化与报价处理逻辑。基类本身不写交易规则，只保证对象一被 new 出来，四个参数就通过构造函数初始化列表落位。 下面这段存成 Strategy.mqh 就能用。外汇与贵金属杠杆高、滑点跳空频繁，幻数隔离不同 EA 的订单尤其重要，否则复盘时你分不清哪笔单子是谁开的。 代码逐行看：class 继承 CObject 方便以后塞进指针容器；protected 里 m_magic 是订单识别码，m_symbol 限定品种，m_timeframe 锁周期，m_fixedLot 暂定固定手数（后续再扩展可变仓位）；public 的构造函数收四个入参，纯虚的 Init 对应 OnInit、Tick 对应 OnTick，派生类必须重写。构造函数体用初始化列表一次性赋值，比在函数体内写 m_xxx = p_xxx 少一次默认构造开销。
class CStrategy : class="kw">public CObject { class="kw">protected: class="type">class="kw">ulong m_magic; class=class="str">"cmt">// Magic class="type">class="kw">string m_symbol; class=class="str">"cmt">// Symbol(trading instrument) ENUM_TIMEFRAMES m_timeframe; class=class="str">"cmt">// Chart period(timeframe) class="type">class="kw">double m_fixedLot; class=class="str">"cmt">// Size of opened positions(fixed) class="kw">public: class=class="str">"cmt">// Constructor CStrategy(class="type">class="kw">ulong p_magic, class="type">class="kw">string p_symbol, ENUM_TIMEFRAMES p_timeframe, class="type">class="kw">double p_fixedLot); class="kw">virtual class="type">int Init() = class="num">0; class=class="str">"cmt">// Strategy initialization - handling OnInit events class="kw">virtual class="type">void Tick() = class="num">0; class=class="str">"cmt">// Main method - handling OnTick events }; CStrategy::CStrategy( class="type">class="kw">ulong p_magic, class="type">class="kw">string p_symbol, ENUM_TIMEFRAMES p_timeframe, class="type">class="kw">double p_fixedLot) : class=class="str">"cmt">// Initialization list m_magic(p_magic), m_symbol(p_symbol), m_timeframe(p_timeframe), m_fixedLot(p_fixedLot) {}
◍ 把简单EA逻辑塞进策略子类
把原始简单 EA 的开仓逻辑搬进 CSimpleVolumesStrategy 子类时，第一件事是把所有输入变量和全局变量变成类的成员。原来 EA 里的 fixedLot_ 和 magicN_ 直接删掉，改用从 CStrategy 基类继承的 m_fixedLot 和 m_magic，编译器在链接时才认得到归属。 OnInit() 和 OnTick() 不再是最外层函数，而是变成类的公有方法 Init() 和 Tick()。其他辅助函数降级为私有方法，只能被本类内部调用——这层封装能避免 EA 主体误改信号参数。注意函数实现处要加 'CSimpleVolumesStrategy::' 前缀，否则编译器当普通函数处理。 原 EA 在声明时给输入参数赋默认值，但 MT5 编译后弹出的参数框会覆盖代码值。类描述里做不到声明即赋值，所以必须写构造函数，且得是公有的，不然外部根本 new 不出策略对象。构造函数里前四个参数通过调用基类构造函数传递，其余参数赋给对应成员。 最后做文本替换：所有 fixedLot_ 改成 m_fixedLot，magicN_ 改成 m_magic；Symbol() 换成基类 m_symbol，PERIOD_CURRENT 换成 m_timeframe。整段存成 SimpleVolumesStrategy.mqh 放当前目录，EA 就能 include 进来跑。外汇与贵金属品种波动剧烈，封装后回测仍可能因滑点偏离历史表现。
class="macro">#include "Strategy.mqh" class CSimpleVolumeStrategy : class="kw">public CStrategy { class=class="str">"cmt">//--- Open signal parameters class="type">int signalPeriod_; class=class="str">"cmt">// Number of candles for volume averaging class="type">class="kw">double signalDeviation_; class=class="str">"cmt">// Relative deviation from the average to open the first order class="type">class="kw">double signaAddlDeviation_; class=class="str">"cmt">// Relative deviation from the average for opening the second and subsequent orders class=class="str">"cmt">//--- Pending order parameters class="type">int openDistance_; class=class="str">"cmt">// Distance from price to pending order class="type">class="kw">double stopLevel_; class=class="str">"cmt">// Stop Loss(in points) class="type">class="kw">double takeLevel_; class=class="str">"cmt">// Take Profit(in points) class="type">int ordersExpiration_; class=class="str">"cmt">// Pending order expiration time(in minutes) class=class="str">"cmt">//--- Money management parameters class="type">int maxCountOfOrders_; class=class="str">"cmt">// Maximum number of simultaneously open orders CTrade trade; class=class="str">"cmt">// Object for performing trading operations COrderInfo orderInfo; class=class="str">"cmt">// Object for receiving information about placed orders CPositionInfo positionInfo; class=class="str">"cmt">// Object for receiving information about open positions class="type">int countOrders; class=class="str">"cmt">// Number of placed pending orders class="type">int countPositions; class=class="str">"cmt">// Number of open positions CSymbolInfo symbolInfo; class=class="str">"cmt">// Object for obtaining data on the symbol properties class="type">int iVolumesHandle; class=class="str">"cmt">// Tick volume indicator handle class="type">class="kw">double volumes[]; class=class="str">"cmt">// Receiver array of indicator values(volumes themselves) }; class CSimpleVolumeStrategy : class="kw">public CStrategy { class="kw">private: class=class="str">"cmt">//--- ... previous code class="type">class="kw">double volumes[]; class=class="str">"cmt">// Receiver array of indicator values(volumes themselves) class=class="str">"cmt">//--- Methods class="type">void UpdateCounts(); class=class="str">"cmt">// Calculate the number of open orders and positions
把策略类接进 MT5 的构造函数参数
CSimpleVolumeStrategy 继承自 CStrategy，公开方法只有 Init 和 Tick 两个虚函数，其余信号计算、挂单动作都封在私有段里。真正决定策略行为的，是构造函数里那一长串入参，少一个 MT5 都编不过。 构造函数要收 12 个参数：magic 号、交易品种、周期枚举、固定手数、信号周期、两级信号偏差、挂单距离、止损点数、止盈点数、订单过期秒数、最大挂单数。把 p_signalPeriod 设成 20、p_signalDeviation 设 1.5 这类组合，回测里可能比默认值更敏感，但也更容易在贵金属跳空时被扫。 外汇和贵金属杠杆高，挂单距离 p_openDistance 若小于经纪商止损水平，OrderSend 会直接返错。建议先在策略测试器里把 p_ordersExpiration 设 0 观察成交密度，再逐步放开。 下面这段是类声明与构造签名的实际写法，逐行看参数含义比读文档快： class CSimpleVolumeStrategy : public CStrategy { private: //--- ... previous code public: //--- Public methods CSimpleVolumeStrategy( ulong p_magic, // 策略魔数，区分 EA 订单 string p_symbol, // 交易符号，如 "XAUUSD" ENUM_TIMEFRAMES p_timeframe, // 计算周期 double p_fixedLot, // 每单固定手数 int p_signalPeriod, // 信号均线周期 double p_signalDeviation, // 信号偏差阈值1 double p_signaAddlDeviation, // 信号附加偏差 int p_openDistance, // 挂单距市价点数 double p_stopLevel, // 止损点数 double p_takeLevel, // 止盈点数 int p_ordersExpiration, // 订单有效秒数 int p_maxCountOfOrders // 最大挂单计数 ); // 构造函数结束 virtual int Init(); // 初始化 virtual void Tick(); // 每 tick 调用 };
class CSimpleVolumeStrategy : class="kw">public CStrategy { class="kw">private: class=class="str">"cmt">//--- ... previous code class="kw">public: class=class="str">"cmt">//--- Public methods CSimpleVolumeStrategy( class="type">class="kw">ulong p_magic, class="type">class="kw">string p_symbol, ENUM_TIMEFRAMES p_timeframe, class="type">class="kw">double p_fixedLot, class="type">int p_signalPeriod, class="type">class="kw">double p_signalDeviation, class="type">class="kw">double p_signaAddlDeviation, class="type">int p_openDistance, class="type">class="kw">double p_stopLevel, class="type">class="kw">double p_takeLevel, class="type">int p_ordersExpiration, class="type">int p_maxCountOfOrders ); class="kw">virtual class="type">int Init(); class="kw">virtual class="type">void Tick(); };