Converting MQL4 to C++?

Question

I would like to convert a bunch of stock/forex indicators written in MQL4 (.mq4 files) to C++. Previously, I had only been programming in Python and had very little exposure to both MQL4 and C++. Furthermore, I am not at all aware of the ways to go about such a problem, and whether it is even feasible. (Although, worst case scenario, manually recoding them all should definitely be feasible.)

I took a simple indicator, the Simple Moving Average, as an example and started tinkering with it and running it using a C++ compiler. Knowing that the syntax of the two languages is highly similar, I thought this could be a relatively easy process, and even automable to some degree.

Here is the Simple Moving Average script extracted from the .mq4 file available at this link:

MA_Period=5;
void sma()
  {
   double sum=0;
   int    i,pos=Bars-ExtCountedBars-1;
//---- initial accumulation
   if(pos<MA_Period) pos=MA_Period;
   for(i=1;i<MA_Period;i++,pos--)
      sum+=Close[pos];
//---- main calculation loop
   while(pos>=0)
     {
      sum+=Close[pos];
      ExtMapBuffer[pos]=sum/MA_Period;
       sum-=Close[pos+MA_Period-1];
       pos--;
     }
//---- zero initial bars
   if(ExtCountedBars<1)
      for(i=1;i<MA_Period;i++) ExtMapBuffer[Bars-i]=0;
  }

And here is my C++ implementation, at the moment testing it on a short array arr[] representing the Close array in MQL4. Furthermore, I dropped MQL4's Bars and ExtCountedBars variables (as I want to run the indicator on static, historical data), and replaced ExtMapBuffer with an array called output[], with equal length as the "price" array arr[].

#include <iostream>
using namespace std;

int main()
{
    int MA_Period=5;
    int arr[20] = {1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20};
    double sum=0;
    int    i, pos=0;
    int output[20];
    
    cout << "Pos: " << pos << endl;
    
    //---- initial accumulation
    if(pos<MA_Period) pos=MA_Period;
    for(i=1;i<MA_Period;i++,pos--)
        sum+=arr[pos];
    
    cout << "Sum of past " << MA_Period << " prices : " << sum << endl;
    cout << "Pos = " << pos << endl;
    //---- main calculation loop
    while(pos>=0)
    {
       sum+=arr[pos];
       output[pos]=sum/MA_Period;
       sum-=arr[pos+MA_Period-1];
       pos--;
    }

    for(int j=0;j<sizeof(output)/sizeof(output[0]);j++){
        cout << "output[" << j << "] = " << output[j] << endl;
    }
    return 0;
}

The console output I'm gettign for the output array values are:

output[0] = 3                                                                                                                                   
output[1] = 4                                                                                                                                   
output[2] = 65535                                                                                                                               
output[3] = 1                                                                                                                                   
output[4] = 1706671568                                                                                                                          
output[5] = 32766                                                                                                                               
output[6] = 4197523                                                                                                                             
output[7] = 0                                                                                                                                   
output[8] = 2                                                                                                                                   
output[9] = 0                                                                                                                                   
output[10] = 4197613                                                                                                                            
output[11] = 0                                                                                                                                  
output[12] = 124                                                                                                                                
output[13] = 0                                                                                                                                  
output[14] = 0                                                                                                                                  
output[15] = 0                                                                                                                                  
output[16] = 4197536                                                                                                                            
output[17] = 0                                                                                                                                  
output[18] = 4196352                                                                                                                            
output[19] = 0

which is clearly not correct. I tried retaining as much from the original MQL4 code when converting to C++ but now hit a roadblock as to why the output is massively different from the expected:

output[0] = nan                                                                                                                                   
output[1] = nan                                                                                                                                 
output[2] = nan                                                                                                                               
output[3] = nan                                                                                                                                   
output[4] = 3
output[5] = 4
output[6] = 5
output[7] = 6                                                                                                                                   
output[8] = 7                                                                                                                                   
output[9] = 8                                                                                                                                   
output[10] = 9
output[11] = 10                                                                                                                                  
output[12] = 11                                                                                                                               
output[13] = 12                                                                                                                                 
output[14] = 13                                                                                                                                 
output[15] = 14                                                                                                                                 
output[16] = 15                                                                                                                            
output[17] = 16                                                                                                                                 
output[18] = 17
output[19] = 18

What am I missing / misunderstanding in the process of converting my MQL4 code to C++?

Answer 1

There are several problems with this code. The main issue is your use of indices i and pos. In particular, after the initial accumulation, pos is equal to 1, so the main calculation loop will only run one iteration before it is done. So only output[1] gets written to, the rest of the array is uninitialized, and may contain any value.

Also note that array indices in C start at zero. Your initial accumulation loop starts at 1, which is not what you want.

I would avoid having two variables for indices, and only use one. To initialize sum, write:

for (int i = 0; i < MA_Period; ++i) {
    sum += arr[i];
    output[i] = -1;
}

Then to do the remainder write:

for (int i = MA_Period; i < sizeof(output) / sizeof(output[0]); ++i) {
    sum += arr[i];
    sum -= arr[i - MA_Period];
    output[i] = sum / MA_Period;
}

This will give you the expected output. Note that there is no way to get nan for the first 5 values, as an int can never be nan. If you make output an array of double it is possible though, for example using this line in the initial loop:

output[i] = 0.0 / 0.0;

As for why the original MQL4 code worked: it initializes pos to Bars - ExtCountedBars - 1, whereas you initialized it to 0 in your C++ version.