MT4.0和3.x相比，編程語言迥然不同，基本上是C語言的翻版，所以有一些C語言基礎是很容易學會MT編程的。www.emoneybtc.com

MT4.0可以編寫的程序有好幾類，主要是自動交易程序和指標，估計大家都是為了給自己的投資策略，由於我的精力有限，所以接下來只介紹自動交易程序。

1. MT程序的語法
MT程序既然是C語言的翻版，語法和C語言當然很接近了，用有限的篇幅來說明其語法似乎是一個不能完成的任務，我這裡只能告訴大家如何去學習。
語法說明可以在Meta Editor的幫助中找到，在工具欄上點MQL Navigator，就會彈出MT編程的導航，其中Dictionary就是語言和函數庫的幫助。
在這個樹狀幫助目錄下，語法的說明在Basic下，主要包括Syntax, Data type, Operations & Expressions, Operators, Functions, Variables, Preprocessor
如果會C的話，粗略看一下即可，如果不會，結合例程學習一遍吧。

由於幫助基本是英文的，所以剛開始學還是有難度的，不過沒有辦法，我也幫不上忙，大家有問題就提吧，我盡量回答。啥時候能出個中文版的就好了。
學習的時候，從網上搜一些現成的程序進行學習和修改是加快學習的一個辦法，上一次我貼的Grid的交易程序就是一個很好的學習的例子。

2. 函數庫
MT的函數庫幫助進行了分類，看起來還是比較方便的。這裡也沒有辦法詳細介紹，做一個扼要介紹。
還是在幫助的Dictionary下，看這些幫助要考驗一下大家的英文，特別要涉及到金融和計算機專業英語。
包括以下幾類：

(1) Stardard constants
也就是系統定義的標准常量，主要是一些枚舉類型和窗口常量等，一般先不用管它，在別的地方會鏈接過來。

(2) Predifined variables
一些系統常量，包括買入價，賣出價，最高、最低價等，還是很有用的，不過不太多，挨個兒看一下吧。

(3) Account Information
賬戶有關的函數

(4) Array functions
數組處理函數。

(5) Common functions
常用處理函數。

(6) Conversion functions
轉換函數，主要是字符串和主要類型之間的轉換函數。

(7) Custom Indicators
編寫自定義指標用到的函數，如果不編寫自定義指標的話，可以不管它。

(8) Date&Time functions
時間日期有關的函數

(9) File functions
文件處理函數

(10) Globle variables
全局變量有關的處理函數。

(11) Math & Trig
數學計算函數

(12)Object functions
對象處理函數，主要是在圖表中處理對象的函數，對象是指直線、文本等。

(13) String functions
字符串處理函數。

(14) Technical indicators
技術指標函數，相信大家一定會經常用到的。大家通過指標的英文，應該比較容易看出來誰是誰。

(15) Trading functions
交易函數。這一類對自動交易系統是很重要的。

(16) Window functions
窗口處理函數，基本不需要用到。

3. 創建程序
在MT的程序組中，有一個Meta Editor，這就是MT的編譯器，還是很容易上手的。用過Visual Studio C++的人一看，有點熟，對吧？
首先，點擊菜單File->New，彈出對話框，程序類型選擇Expert Advisor，後面按導航操作輸入名稱即可。
這樣一個簡單的MT空白交易程序就創建了，點按鈕Compile或直接按快捷鍵F5就可以編譯通過了。因為是空白的，這時候它什麼也不能干。
注意：自動交易程序一定要存放在安裝目錄下的Experts子目錄。

4. 修改
(1)全局變量
在程序的開頭，可以定義一下全局變量。前面加extern的全局變量的值，在自動交易程序啟動的時候可以直接在MT改，不需要重新編譯。

(2)入口函數
MT程序的調用入口是start()函數，和C程序的main()函數是一樣的，一般就在這裡寫處理過程即可。

(3) 子函數
比較復雜的過程，可以寫子函數，在start()函數裡調用子函數。

5. 例程：以下是在MT官方網站的論壇下hdb寫的Grid自動交易程序，供參考。

#property copyright "外匯聯盟 www.FXunion.com QQ群144033"

#property link      ""

//#property version      "1.8"
// DISCLAIMER ***** IMPORTANT NOTE ***** READ BEFORE USING *****
// This expert advisor can open and close real positions and hence do real trades and lose real money.
// This is not a 'trading system' but a simple robot that places trades according to fixed rules.
// The author has no pretentions as to the profitability of this system and does not suggest the use
// of this EA other than for testing purposes in demo accounts.
// Use of this system is free - but u may not resell it - and is without any garantee as to its
// suitability for any purpose.
// By using this program you implicitly acknowledge that you understand what it does and agree that
// the author bears no responsibility for any losses.
// Before using, please also check with your broker that his systems are adapted for the frequest trades
// associated with this expert.
// 1.8 changes
// made wantLongs and wantShorts into localvariables. Previously, if u set UseMACD to true,
//       it did longs and shorts and simply ignored the wantLongs and wantShorts flags.
//       Now, these flags are not ignored.
// added a loop to check if there are 'illicit' open orders above or below the EMA when the limitEMA34
//       flag is used. These accumulate over time and are never removed and is due to the EMA moving.
// removed the switch instruction as they dont seem to work - replaced with if statements
// made the EMA period variable
//
//
// modified by cori. Using OrderMagicNumber to identify the trades of the grid
extern int    uniqueGridMagic = 11111;   // Magic number of the trades. must be unique to identify
                                         // the trades of one grid   
extern double Lots = 0.1;              //
extern double GridSize = 6;            // pips between orders - grid or mesh size
extern double GridSteps = 12;          // total number of orders to place
extern double TakeProfit = 12 ;        // number of ticks to take profit. normally is = grid size but u can override
extern double StopLoss = 0;            // if u want to add a stop loss. normal grids dont use stop losses
extern double UpdateInterval = 1;      // update orders every x minutes
extern bool   wantLongs = true;        // do we want long positions
extern bool   wantShorts = true;       // do we want short positions
extern bool   wantBreakout = true;     // do we want longs above price, shorts below price
extern bool   wantCounter = true;      // do we want longs below price, shorts above price
extern bool   limitEMA = false;         // do we want longs above ema only, shorts below ema only
extern int    EMAperiod = 34;          // the length of the EMA.. was previously fixed at 34
extern double GridMaxOpen = 0;         // maximum number of open positions : not yet implemented..
extern bool   UseMACD = false;          // if true, will use macd >0 for longs only, macd >0 for shorts only
                                       // on crossover, will cancel all pending orders. This will override any
                                       // wantLongs and wantShort settings - at least for now.
extern bool CloseOpenPositions = false;// if UseMACD, do we also close open positions with a loss?
extern bool doHouseKeeping = true;     // just a test

// modified by cori. internal variables only
string GridName = "Grid";       // identifies the grid. allows for several co-existing grids
double LastUpdate = 0;          // counter used to note time of last update

#property copyright "外匯聯盟 www.FXunion.com QQ群144033"

#property link      ""

int init()
  {
//----
#property show_inputs                  // shows the parameters - thanks Slawa...   
//----
// added my corri and removed by hdb!! lol.. just to stay compatible with open grids...
//   GridName = StringConcatenate( "Grid", Symbol() );
   return(0);
  }
//+------------------------------------------------------------------------+
//| tests if there is an open position or order in the region of atRate    |
//|     will check for longs if checkLongs is true, else will check        |
//|     for shorts                                                         |
//+------------------------------------------------------------------------+

bool IsPosition(double atRate, double inRange, bool checkLongs )
  {
     int totalorders = OrdersTotal();
     for(int j=0;j      {
        OrderSelect(j, SELECT_BY_POS);
// modified by cori. Using OrderMagicNumber to identify the trades of the grid // hdb added or gridname for compatibility
        if ( OrderSymbol()==Symbol() && ( (OrderMagicNumber() == uniqueGridMagic) || (OrderComment() == GridName)) )  // only look if mygrid and symbol...
         {  int type = OrderType();
            if (MathAbs( OrderOpenPrice() - atRate ) < (inRange*0.9)) // dont look for exact price but price proximity (less than gridsize) - added 0.9 because of floating point errors
              { if ( ( checkLongs && ( type == OP_BUY || type == OP_BUYLIMIT  || type == OP_BUYSTOP ) )  || (!checkLongs && ( type == OP_SELL || type == OP_SELLLIMIT  || type == OP_SELLSTOP ) ) )
                 {
                    return(true);
                 }
              }
         }
      }
   return(false);
  }

//+------------------------------------------------------------------------+
//| cancells all pending orders                                      |
//+------------------------------------------------------------------------+

void CloseAllPendingOrders( )
  {
     int totalorders = OrdersTotal();
&bsp;    for(int j=totalorders-1;j>=0;j--)                                // scan all orders and positions...
      {
        OrderSelect(j, SELECT_BY_POS);
// modified as per cori. Using OrderMagicNumber to identify the trades of the grid // hdb added or gridname for compatibility
        if ( OrderSymbol()==Symbol() && ( (OrderMagicNumber() == uniqueGridMagic) || (OrderComment() == GridName)) )  // only look if mygrid and symbol...
         { 
          int type = OrderType();
          if ( type > 1 ) bool result = OrderDelete( OrderTicket() );
         }
      }
   return;
  }
//+------------------------------------------------------------------------+
//| cancells all pending orders    and closes open positions               |
//+------------------------------------------------------------------------+

void CloseOpenOrders()
{
  int total = OrdersTotal();
  for(int i=total-1;i>=0;i--)
{
    OrderSelect(i, SELECT_BY_POS);
    int type    = OrderType();
    bool result = false;
// modified by cori. Using OrderMagicNumber to identify the trades of the grid // hdb added or gridname for compatibility
    if ( OrderSymbol()==Symbol() && ( (OrderMagicNumber() == uniqueGridMagic) || (OrderComment() == GridName)) )  // only look if mygrid and symbol...
     {
           //Close opened long positions
           if ( type == OP_BUY )  result = OrderClose( OrderTicket(), OrderLots(), 騙子Info(OrderSymbol(), MODE_BID), 5, Red );
           //Close opened short positions
           if ( type == OP_SELL )  result = OrderClose( OrderTicket(), OrderLots(), 騙子Info(OrderSymbol(), MODE_ASK), 5, Red );
           //Close pending orders
           if ( type > 1 ) result = OrderDelete( OrderTicket() );
      }
  }
  return;
}

//+------------------------------------------------------------------------+
//| cancells all open orders which fall on the wrong side of the EMA                                     |
//+------------------------------------------------------------------------+

void CloseOrdersfromEMA( double theEMAValue )
  {
     int totalorders = OrdersTotal();
     for(int j=totalorders-1;j>=0;j--)                                // scan all orders and positions...
      {
        OrderSelect(j, SELECT_BY_POS);
        if ( OrderSymbol()==Symbol() && ( (OrderMagicNumber() == uniqueGridMagic) || (OrderComment() == GridName)) )  // only look if mygrid and symbol...
         { 
          int type = OrderType();
          bool result = false;
//if (type > 1) Print(type,"  ",theEMAValue,"  ",OrderOpenPrice());
          if ( type == OP_BUYLIMIT && OrderOpenPrice() <= theEMAValue ) result = OrderDelete( OrderTicket() );
          if ( type == OP_BUYSTOP && OrderOpenPrice() <= theEMAValue ) result = OrderDelete( OrderTicket() );
          if ( type == OP_SELLLIMIT && OrderOpenPrice() >= theEMAValue ) result = OrderDelete( OrderTicket() );
          if ( type == OP_SELLSTOP && OrderOpenPrice() >= theEMAValue ) result = OrderDelete( OrderTicket() );
         }
      }
   return;
  }
//+------------------------------------------------------------------+
//| script program start function                                    |
//+------------------------------------------------------------------+
int start()
  {
//----
   int    i, j,k, ticket, entermode, totalorders;
   bool   doit;
   double point, startrate, traderate;
//---- setup parameters

if ( TakeProfit <= 0 )                 //
   { TakeProfit = GridSize; }

bool myWantLongs = wantLongs;
bool myWantShorts = wantShorts;

//----

  if (MathAbs(CurTime()-LastUpdate)> UpdateInterval*60)           // we update the first time it is called and every UpdateInterval minutes
   {
   LastUpdate = CurTime();
   point = 騙子Info(Symbol(),MODE_POINT);
   startrate = ( Ask + point*GridSize/2 ) / point / GridSize;    // round to a number of ticks pisible by GridSize
   k = startrate ;
   k = k * GridSize ;
   startrate = k * point - GridSize*GridSteps/2*point ;          // calculate the lowest entry point
   double myEMA=iMA(NULL,0,EMAperiod,0,MODE_EMA,PRICE_CLOSE,0);
  
   if (limitEMA)
     {
    if (doHouseKeeping) CloseOrdersfromEMA(myEMA);
     }
   if ( UseMACD ) 
     {
      double Macd0=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,0);
      double Macd1=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,1);
      double Macd2=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,2);
       if( Macd0>0 && Macd1>0  &&  Macd2<0)     // cross up
        {
         CloseAllPendingOrders();
         if ( CloseOpenPositions == true ) { CloseOpenOrders(); }
        }
       if( Macd0<0 && Macd1<0  &&  Macd2>0)     // cross down
   &nbp;    {
         CloseAllPendingOrders();
         if ( CloseOpenPositions == true ) { CloseOpenOrders(); }
        }
       myWantLongs = false;
       myWantShorts = false;
       if( Macd0>0 && Macd1>0  &&  Macd2>0 && wantLongs )     // is well above zero
        {
         myWantLongs = true;
        }
       if( Macd0<0 && Macd1<0  &&  Macd2<0 && wantShorts )     // is well below zero
        {
         myWantShorts = true;
        }
   }
   for( i=0;i   {
     traderate = startrate + i*point*GridSize;
     if ( myWantLongs && (!limitEMA || traderate > myEMA))
       {
         if ( IsPosition(traderate,point*GridSize,true) == false )           // test if i have no open orders close to my price: if so, put one on
          {
            double myStopLoss = 0;
             if ( StopLoss > 0 )
               { myStopLoss = traderate-point*StopLoss ; }
             if ( traderate > Ask )
              { entermode = OP_BUYSTOP; }
              else
              { entermode = OP_BUYLIMIT ; }
              if ( ((traderate > Ask ) && (wantBreakout)) || ((traderate <= Ask ) && (wantCounter)) )
              {
                  // modified by cori. Using OrderMagicNumber to identify the trades of the grid
                ticket=OrderSend(Symbol(),entermode,Lots,traderate,0,myStopLoss,traderate+point*TakeProfit,GridName,uniqueGridMagic,0,Green);
             }
          }
       }
     if ( myWantShorts && (!limitEMA || traderate < myEMA))
       {
         if (IsPosition(traderate,point*GridSize,false)== false )           // test if i have no open orders close to my price: if so, put one on
          {
             myStopLoss = 0;
             if ( StopLoss > 0 )
               { myStopLoss = traderate+point*StopLoss ; }
             if ( traderate > Bid )
              { entermode = OP_SELLLIMIT; }
              else
              { entermode = OP_SELLSTOP ; }
             
              if ( ((traderate < Bid ) && (wantBreakout)) || ((traderate >= Bid ) && (wantCounter)) )
                {
                   // modified by cori. Using OrderMagicNumber to identify the trades of the grid
                   ticket=OrderSend(Symbol(),entermode,Lots,traderate,0,myStopLoss,traderate-point*TakeProfit,GridName,uniqueGridMagic,0,Red);
                }
          }
       }
    }
   }
   return(0);
  }
//+------------------------------------------------------------------+

自動交易系統的測試
很多人都想用歷史數據測試自己的自動交易系統結果怎麼樣。
在MT的View菜單下，有一個Strategy tester。
選定自己的交易系統，設定好幣種，歷史數據的時間周期，交易系統的屬性，勾上Recalculate，設定時間范圍，點Start按鈕即開始測試。
特別強調的是，由於歷史數據不能反映內部的波動情況，測試中可以選擇三種插值方式，但是因為要使用插值，測試結果可能是不准確的，尤其是在以下兩種情況下：
(1) 有止損的策略
(2) 使用的TimeFrame比較大
找了一個根據均線交易的例子，我自己擇主要的加了一些中文注釋，看看有沒有幫助。
//+------------------------------------------------------------------+
//|                                               Moving Average.mq4 |
//|                      Copyright ?2005, MetaQuotes Software Corp. |
//|                                   http://fxunion.com                |
//+------------------------------------------------------------------+
#define MAGICMA  20050610

// extern的全局變量，編譯後可以直接在MT中修改
extern double Lots               = 0.1;
extern double MaximumRisk        = 0.02;
extern double DecreaseFactor     = 3;
extern double MovingPeriod       = 12;
extern double MovingShift        = 6;

//+------------------------------------------------------------------+
//| 入口函數，程序從這裡開始運行                                                  |
//+------------------------------------------------------------------+
void start()  {
//----
   if(Bars<100 //如果歷史數據不足100根K線
         || IsTradeAllowed()==false) // 或者系統目前不允許交易
      return;  // 退出

//----
   if(CalculateCurrentOrders(Symbol())==0)// 調用子函數CalculateCurrentOrders檢查現有倉位，是否需要建倉
      CheckForOpen();                     // 調用子函數CheckForOpen開始建立倉位
   else                                   
      CheckForClose();                    // 否則檢查是否需要平倉
//----
}

//+------------------------------------------------------------------+
//| 檢查現有倉位|
//+------------------------------------------------------------------+
int CalculateCurrentOrders(string symbol)
  {
   int buys=0,sells=0;
//----
   for(int i=0;i     {
      if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) // 如果獲取Order失敗，則退出
         break;
      if(OrderSymbol()==Symbol() && OrderMagicNumber()==MAGICMA) // 獲取倉位成功
        {
         if(OrderType()==OP_BUY)  buys++;    // 如果是買單，買單計數器加一
         if(OrderType()==OP_SELL) sells++;   // 如果是賣單，賣單計數器加一
        }
     }
//---- return orders volume
   if(buys>0) return(buys);   // 有至少一張買單，返回買單數量
   else       return(-sells); // 否則，返回賣單數量的負值
  }
 
//+------------------------------------------------------------------+
//| 計算最優倉位
//+http://blog.sina.com.cn/zhouxiaoyin18---------------------+
double LotsOptimized()
  {
   double lot=Lots;
   int    orders=HistoryTotal();     // history orders total
   int    losses=0;                  // number of losses orders without a break
//---- select lot size
   lot=NormalizeDouble(AccountFreeMargin()*MaximumRisk/1000.0,1);
//---- calcuulate number of losses orders without a break
   if(DecreaseFactor>0)
     {
      for(int i=orders-1;i>=0;i--)
        {
         if(OrderSelect(i,SELECT_BY_POS,MODE_HISTORY)==false) { Print("Error in history!"); break; }
         if(OrderSymbol()!=Symbol() || OrderType()>OP_SELL) continue;
         //----
         if(OrderProfit()>0) break;
         if(OrderProfit()<0) losses++;
        }
      if(losses>1) lot=NormalizeDouble(lot-lot*losses/DecreaseFactor,1);
     }
//---- return lot size
   if(lot<0.1) lot=0.1;
   return(lot);
  }
 
//+------------------------------------------------------------------+
//| 檢查是否建倉                                  |
//+------------------------------------------------------------------+
void CheckForOpen()
  {
   double ma;
   int    res;
//---- go trading only for first tiks of new bar
   if(Volume[0]>1) return;
//---- 指標調用，iMA就是均線（Moving Average）
   ma=iMA(NULL,0,MovingPeriod,MovingShift,MODE_SMA,PRICE_CLOSE,0);
//---- sell conditions
   if(Open[1]>ma && Close[1]     {
     // 建立倉位
      res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,0,"",MAGICMA,0,Red);
      return;
     }
//---- buy conditions
   if(Open[1]ma)  
     {
      res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,0,"",MAGICMA,0,Blue);
      return;
     }
//----
  }
 
//+------------------------------------------------------------------+
//| 檢查是否平倉                                 |
//+------------------------------------------------------------------+
void CheckForClose()
  {
   double ma;
//---- go trading only for first tiks of new bar
   if(Volume[0]>1) return;
//---- get Moving Average
   ma=iMA(NULL,0,MovingPeriod,MovingShift,MODE_SMA,PRICE_CLOSE,0);
//----
   for(int i=0;i     {
      if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false)        break;
      if(OrderMagicNumber()!=MAGICMA || OrderSymbol()!=Symbol()) continue;
      //---- check order type
      if(OrderType()==OP_BUY)
        {
         if(Open[1]>ma && Close[1]         break;
        }
      if(OrderType()==OP_SELL)
        {
         if(Open[1]ma) OrderClose(OrderTicket(),OrderLots(),Ask,3,White);
         break;
        }
     }
//----
  }