市场及其全局模式中的物理学（基础篇）

enum CLOSE_MODEclass=class="str">"cmt">// how to close orders
  {
  CLOSE_FAST,class=class="str">"cmt">// fast
  CLOSE_QUALITYclass=class="str">"cmt">// wait for an opposite signal
  };
enum WORK_MODEclass=class="str">"cmt">// operation mode
  {
  MODE_SIMPLE,class=class="str">"cmt">// slow mode
  MODE_FASTclass=class="str">"cmt">// fast mode
  };
enum ENUM_GRID_WEIGHTclass=class="str">"cmt">//weight fill type for limit and stop orders
  {
  WEIGHT_DECREASE,class=class="str">"cmt">// with attenuation if moving from the price
  WEIGHT_SAMEclass=class="str">"cmt">// the same for the entire grid
  };
enum ENUM_STATUS_ORDERclass=class="str">"cmt">// statuses of orders or positions
  {
  STATUS_VIRTUAL,class=class="str">"cmt">// stop or limit order
  STATUS_MARKET,class=class="str">"cmt">// market order
  STATUS_ABORTEDclass=class="str">"cmt">// canceled stop or limit order
  };
class="kw">struct Orderclass=class="str">"cmt">// structure symbolizing a player&class="macro">#x27;s order
  {
  class="kw">public:
  class="type">class="kw">double WantedPrice;class=class="str">"cmt">// desired open price
  class="type">int BarsExpirationOpen;class=class="str">"cmt">// If the order remains for certain number of bars, the player can&class="macro">#x27;t wait any more and cancels the order
  class="type">int BarsExpirationClose;class=class="str">"cmt">//If this is a market order and the player does not want to wait, he closes the position
  class="type">class="kw">double UpPriceToClose;class=class="str">"cmt">//The total upward price movement at which the player closes the order(points)
  class="type">class="kw">double LowPriceToClose;class=class="str">"cmt">//The total downward price movement at which the player closes the order 
  class="type">class="kw">double VolumeAlpha;class=class="str">"cmt">// current volume equivalent [class="num">0...class="num">1]
  class="type">class="kw">double VolumeStart;class=class="str">"cmt">// starting volume equivalent [class="num">0...class="num">1]
  class="type">int IndexMarket;class=class="str">"cmt">// the index of the bar on which the class="kw">virtual market turned into market
  ENUM_STATUS_ORDER Status;class=class="str">"cmt">// order status
  Order(ENUM_STATUS_ORDER S)class=class="str">"cmt">// constructor that creates a certain order
    {
    Status=S;
    }
  };
class OrderBoxclass=class="str">"cmt">// Order box of a specific bar
  {
  class="kw">public:
  Order BuyStopOrders[];
  Order BuyLimitOrders[];
  Order BuyMarketOrders[];
  Order SellStopOrders[];
  Order SellLimitOrders[];
  Order SellMarketOrders[];

  OrderBox(class="type">int OrdersToOneBar)
    {
    ArrayResize(BuyStopOrders,OrdersToOneBar);
    ArrayResize(BuyLimitOrders,OrdersToOneBar);
    ArrayResize(BuyMarketOrders,OrdersToOneBar);

ArrayResize(SellStopOrders,OrdersToOneBar);
ArrayResize(SellLimitOrders,OrdersToOneBar);
ArrayResize(SellMarketOrders,OrdersToOneBar);
for ( class="type">int i=class="num">0; i<ArraySize(BuyStopOrders); i++ )class=class="str">"cmt">// Set types for all orders
  {
  BuyStopOrders[i]=Order(STATUS_VIRTUAL);
  BuyLimitOrders[i]=Order(STATUS_VIRTUAL);
  BuyMarketOrders[i]=Order(STATUS_MARKET);
  SellStopOrders[i]=Order(STATUS_VIRTUAL);
  SellLimitOrders[i]=Order(STATUS_VIRTUAL);
  SellMarketOrders[i]=Order(STATUS_MARKET);
  }
};
class BarBoxclass=class="str">"cmt">// Storage for all orders
  {
  class="kw">protected:
  OrderBox BarOrders[];

  BarBox(class="type">int OrdersToOneBar,class="type">int BarsTotal)
    {
    ArrayResize(BarOrders,BarsTotal);
    for ( class="type">int i=class="num">0; i<ArraySize(BarOrders); i++ )class=class="str">"cmt">// Set types for all orders
      {
      BarOrders[i]=OrderBox(OrdersToOneBar);
      }
    }
  };
class PositionGenerator:class="kw">public BarBoxclass=class="str">"cmt">// Inherit class from the box to avoid the need to include it as an internal member and to avoid multiple references
  {
  class="kw">protected:
  class="type">class="kw">double VolumeAlphaStop;class=class="str">"cmt">// importance of volumes of STOP orders
  class="type">class="kw">double VolumeAlphaLimit;class=class="str">"cmt">// importance of volumes of LIMIT orders
  class="type">class="kw">double VolumeAlphaMarket;class=class="str">"cmt">// importance of volumes of MARKET orders
  class="type">class="kw">double HalfCorridorLimitStop;class=class="str">"cmt">// step of the corridor of Limit and Stop orders in points
  class="type">int ExpirationOpenLimit;class=class="str">"cmt">// after how many bars the volumes of the grid of limit orders for opening will completely attenuate
  class="type">int ExpirationOpenStop;class=class="str">"cmt">// after how many bars the volumes of the grid of stop orders for opening will completely attenuate
  class="type">int ExpirationClose;class=class="str">"cmt">// after how many bars the volumes of orders for closing will completely attenuate
  class="type">int ProfitPointsCorridorPart;class=class="str">"cmt">// half corridor size for the profit of all orders
  class="type">int LossPointsCorridorPart;class=class="str">"cmt">// half corridor size for the loss of all orders
  class="type">int OrdersToOneBar;class=class="str">"cmt">// orders of one type per class="num">1 bar
  ENUM_GRID_WEIGHT WeightStopLimitFillingType;

  PositionGenerator( ENUM_GRID_WEIGHT WeightStopLimitFillingType0
                    ,class="type">int HalfCorridorLimitStop0,class="type">int OrdersToOneBar0,class="type">int BarsTotal0
                    ,class="type">int ExpirationOpenLimit0,class="type">int ExpirationOpenStop0
                    ,class="type">int ExpirationClose0
                    ,class="type">int ProfitPointsCorridorPart0,class="type">int LossPointsCorridorPart0
                    ,class="type">class="kw">double VolumeAlphaStop0,class="type">class="kw">double VolumeAlphaLimit0,class="type">class="kw">double VolumeAlphaMarket0)
                    : BarBox(OrdersToOneBar0,BarsTotal0)
    {
    VolumeAlphaStop=VolumeAlphaStop0;
    VolumeAlphaLimit=VolumeAlphaLimit0;
    VolumeAlphaMarket=VolumeAlphaMarket0;
    OrdersToOneBar=OrdersToOneBar0;