mql-developer（MQL 开发人员）

MQL Developer

Guide for professional MQL4/MQL5 development on MetaTrader platforms.

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mql4-reference.md: Data Types, Variables, Operators, Arrays, Strings, Program Types, Predefined Variables, Technical Indicator Functions, Order Management, Market Information, Account Functions, Preprocessor, Error Handling, Common Gotchas, File Operations, WebRequest, Utility Functions, Global Terminal Variables

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MQL4 vs MQL5 Key Differences

Core Workflow

Creating an Expert Advisor

1. Define strategy signal logic (entry/exit conditions)
2. Choose architecture: simple (single-file) or modular (Signal + Trade + Risk + Filter)
3. Implement order/position management with proper error handling and retries
4. Add risk management (position sizing, drawdown control)
5. Add filters (time, spread, volatility)
6. Backtest with Strategy Tester (Open Prices first, then Every Tick)
7. Walk-forward validate and Monte Carlo test

Creating a Custom Indicator

1. Choose window: indicator_chart_window or indicator_separate_window
2. Define buffers and plots (indicator_buffers, indicator_plots in MQL5)
3. Implement OnCalculate() with efficient recalculation using prev_calculated
4. Set draw styles, colors, labels
5. Handle multi-timeframe data if needed

Communicating with External APIs

1. Whitelist URL in Tools > Options > Expert Advisors
2. Use WebRequest() for REST calls (POST/GET)
3. Build JSON manually (MQL has no native JSON)
4. Parse response with string functions
5. Use EventSetTimer() for polling patterns
6. Handle network errors with retries

Critical Gotchas

• Double comparison: Never use == with doubles. Use NormalizeDouble() or tolerance
• 4-digit vs 5-digit brokers: 1 pip = 1 point (4-digit) or 10 points (5-digit). Always detect
• Reverse loop for closing: Iterate OrdersTotal()-1 down to 0 when closing orders (MQL4)
• ECN brokers: Some require two-step: OrderSend() without SL/TP, then OrderModify()
• Filling policy (MQL5): Always detect via SYMBOL_FILLING_MODE, never hardcode FOK
• WebRequest limitations: Synchronous/blocking, not available in indicators or Strategy Tester
• Trade context busy (MQL4): Only one EA can trade at a time per terminal
• Array indexing: Series arrays index 0 = newest bar. Use ArraySetAsSeries() to control

Project Structure (Recommended)

MQL5/                          (or MQL4/)
├── Experts/
│   └── MyEA/
│       └── MyEA.mq5           // EA entry point
├── Indicators/
│   └── MyIndicator.mq5
├── Scripts/
│   └── MyScript.mq5
├── Include/
│   ├── Core/
│   │   ├── CTradeManager.mqh  // Order execution + retries
│   │   ├── CRiskManager.mqh   // Position sizing + drawdown
│   │   └── CSignalBase.mqh    // Signal interface
│   ├── Communication/
│   │   ├── CHttpClient.mqh    // WebRequest wrapper
│   │   └── CJsonHelper.mqh    // JSON build/parse
│   ├── UI/
│   │   └── CPanel.mqh         // Trading panel
│   └── Utils/
│       ├── CTimeFilter.mqh    // Session/time filters
│       └── CSymbolHelper.mqh  // Multi-market helpers
└── Libraries/

For simpler projects, a single-file EA with inline functions is acceptable.

Code Style Conventions

• Prefix member variables with m_ (e.g., m_magicNumber)
• Prefix global variables with g_ (e.g., g_isInitialized)
• Use input for user parameters, not extern
• Always use #property strict in MQL4
• Normalize all prices before sending to server: NormalizeDouble(price, Digits)
• Always check return values of OrderSelect(), OrderSend(), trade operations
• Comment magic numbers and explain non-obvious trading logic

Official Documentation

• MQL4: https://docs.mql4.com/
• MQL5: https://www.mql5.com/en/docs
• MQL5 Articles: https://www.mql5.com/en/articles
• MQL5 Code Base: https://www.mql5.com/en/code