afcarl / roffildlibrary

Library for MQL5 (MetaTrader) with Python, Java, Apache Spark, AWS

Roffild's Library

I am known to the MQL5 community by the name of Roffild and this is my open source library for MQL5. An attempt to implement the features on MQL5, which have long become the standard for popular programming languages. Each file has one idea. The library is replenished as needed for new capabilities.

Few people tried to put the project in Github. There is no single standard. MetaQuotes does not use version control systems when creating a project. For some reason, programmers from MetaQuotes believe that the project should be of the same type. For small projects that are published in CodeBase on the MQL5.com site, this division is justified. For medium and large projects, it is not possible to select one type of project.

I experimented with different structure of the project. To use Git, I had to take the files out of the standard folder structure that MetaQuotes adopted. Create a link to the staging folder (in this library, the folder "Roffild") - the best option.

MetaEditor can save code in UTF-16, but encoding UTF-8 with BOM is also supported. To convert a file with the source code, you need to use a third-party editor (I recommend Notepad++).

This library can be divided into interests:

• common tasks (ArrayList, Log4MQL, ToIndicator, etc.);
• experiments with AlgLib in machine learning;
• using Apache Spark with Amazon Web Services (EC2 and EMR), when the capabilities of AlgLib ceased to be enough;
• using TensorFlow or PyTorch via PythonDLL.

MQL5 is part of the trading platform MetaTrader 5 (MT5) for Forex, CFD and Futures. The version of MetaTrader 4 (MT4) with MQL4 is still used, but after the latest updates it is compatible with the MQL5 syntax. Officially, the version of MetaTrader 4 (MT4) is no longer supported, but for compatibility you can use #property strict at the beginning of the file.

Documentation

MQL5
Java

Links

Roffild.com
Github
GitLab
BitBucket
MQL5.com: topic for discussion in English
MQL5.com: тема для обсуждения на Русском

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• Experts/Roffild/
  • AmazonUtils - Can be used as an example of developing a project in Java.
  • Alglib_MultilayerPerceptron.mq5 - Create a neural network (Multilayer Perceptron) with two hidden layers.
  • Alglib_RandomForest.mq5 - Create a random forest.
  • Examples/
    • PythonDLL_Example.mq5 and PythonDLL_Example.py - The example of using PythonDLL.
    • ToIndicator_Example.mq5
• Include/Roffild/
  • MLPDataFile.mqh - Data format for Alglib_MultilayerPerceptron and Alglib_RandomForest. MLPDataFile = CSV in a binary format.
  • ArrayList_macros.mqh - This variant is still used because of poor template support by the code editor.
  • ArrayList.mqh - ArrayList from Java.
  • ArrayListClass.mqh - ArrayList from Java for Class only.
  • ForestSerializer.mqh - Save and load data for the class CDecisionForest (Alglib).
  • Log4MQL.mqh and Log4MQL_tofile.mqh + module (download) for LogMX - Logger for MQL5 (Log4MQL).
  • OrderData.mqh - Simulation of orders with attached data for research.
    • OrderSql.mqh - Record data of simulated orders (COrderData) in a file format MySQL.
  • SqlFile.mqh - Write data to a file format MySQL.
    • CsvFile.mqh - Write data to a file format CSV.
  • Statistic.mqh - Counting data and printing out the accumulated information.
  • TesterSql.mqh - Record optimization results in SQL and CSV format files.
  • ToIndicator.mqh - Displaying data from Expert or Script using functions for indicators.
  • UnitTest.mqh - Base class for UnitTest.
  • Serialization.mqh
  • RoffildJava/
    • AmazonUtils
    • RoffildLibrary
    • Spark - Reading from MLPDataFile.
    • aws_ubuntu_user_data.sh - Working script for raising test agents on Ubuntu in AWS. The documentation is here.
  • PythonDLL.mqh - Class for PythonDLL.
  • RoffildPython/
• Indicators/Roffild/
  • ToIndicator.mqh
  • ToIndicator.mq5
  • ToIndicator_window.mq5
• Libraries/Roffild/
  • PythonDLL/ - PythonDLL.
• Scripts/Roffild/
  • MLPDataFileSparkTest - Example project for Spark and MLPDataFile test.
  • UnitTests
• buildall_and_tests.py - The script builds all components of the library and run tests.

Installation

(Optionally)

mklink /j link where - does not require administrator rights.

It makes sense to move the %APPDATA%\MetaQuotes folder to the root of the partition or to a larger partition. Windows has a limit of 255 characters to the file path. The full path to the MQL5 folder I have is 88 characters. When testing, the terminal copies history by the number of local agents that increases the size of this folder by several gigabytes.

1. Move the %APPDATA%\MetaQuotes to D:\MQLProjects
2. mklink /j "%APPDATA%\MetaQuotes" "D:\MQLProjects"
3. mklink /j "D:\MQLProjects\MQL5" "D:\MQLProjects\Terminal\D0E8209F77C8CF37AD8BF550E51FF075\MQL5"

(Important)

Run the create_links.bat from the MQL5\MyProjects\RoffildLibrary folder after cloning the project.

Code style

Google Java Style

Tab = 3 spaces

Column limit = 110

License

Apache License 2.0