| //+------------------------------------------------------------------+
|
| //| Trajectory.mqh |
|
| //| Copyright DNG® |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright DNG®"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #include "..\RL\FQF.mqh"
|
| //---
|
| #define HistoryBars 20 //Depth of history
|
| #define BarDescr 9 //Elements for 1 bar description
|
| #define AccountDescr 12 //Account description
|
| #define NActions 6 //Number of possible Actions
|
| #define Buffer_Size 6500
|
| #define DiscFactor 0.99f
|
| #define FileName "BAC"
|
| #define LatentLayer 6
|
| #define LatentCount 256
|
| #define MaxSL 1000
|
| #define MaxTP 1000
|
| #define PoliticAdjust 1.0e-1f
|
| #define MaxReplayBuffer 500
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| struct SState
|
| {
|
| float state[HistoryBars * BarDescr];
|
| float account[AccountDescr - 4];
|
| float action[NActions];
|
| //---
|
| SState(void);
|
| //---
|
| bool Save(int file_handle);
|
| bool Load(int file_handle);
|
| //--- overloading
|
| void operator=(const SState &obj)
|
| {
|
| ArrayCopy(state, obj.state);
|
| ArrayCopy(account, obj.account);
|
| ArrayCopy(action, obj.action);
|
| }
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Implements SState. |
|
| //+------------------------------------------------------------------+
|
| SState::SState(void)
|
| {
|
| ArrayInitialize(state, 0);
|
| ArrayInitialize(account, 0);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Saves . |
|
| //+------------------------------------------------------------------+
|
| bool SState::Save(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| int total = ArraySize(state);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
|
| return false;
|
| //---
|
| total = ArraySize(account);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
|
| return false;
|
| //---
|
| total = ArraySize(action);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Loads . |
|
| //+------------------------------------------------------------------+
|
| bool SState::Load(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| //---
|
| int total = FileReadInteger(file_handle);
|
| if(total != ArraySize(state))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| state[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| total = FileReadInteger(file_handle);
|
| if(total != ArraySize(account))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| account[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| total = FileReadInteger(file_handle);
|
| if(total != ArraySize(action))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| action[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| struct STrajectory
|
| {
|
| SState States[Buffer_Size];
|
| float Revards[Buffer_Size];
|
| int Total;
|
| float DiscountFactor;
|
| bool CumCounted;
|
| //---
|
| STrajectory(void);
|
| //---
|
| bool Add(SState &state, float reward);
|
| void CumRevards(void);
|
| //---
|
| bool Save(int file_handle);
|
| bool Load(int file_handle);
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Implements STrajectory. |
|
| //+------------------------------------------------------------------+
|
| STrajectory::STrajectory(void) : Total(0),
|
| // Implements DiscountFactor.
|
| DiscountFactor(DiscFactor),
|
| // Creates and manages object lifecycle for CumCounted.
|
| CumCounted(false)
|
| {
|
| ArrayInitialize(Revards, 0);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Saves . |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Save(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| if(!CumCounted)
|
| CumRevards();
|
| if(FileWriteInteger(file_handle, Total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < Total; i++)
|
| {
|
| if(!States[i].Save(file_handle))
|
| return false;
|
| if(FileWriteFloat(file_handle, Revards[i]) < sizeof(float))
|
| return false;
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Loads . |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Load(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| Total = FileReadInteger(file_handle);
|
| if(Total >= ArraySize(Revards))
|
| return false;
|
| CumCounted = true;
|
| //---
|
| for(int i = 0; i < Total; i++)
|
| {
|
| if(!States[i].Load(file_handle))
|
| return false;
|
| Revards[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Creates and manages object lifecycle for CumRevards. |
|
| //+------------------------------------------------------------------+
|
| void STrajectory::CumRevards(void)
|
| {
|
| if(CumCounted)
|
| return;
|
| //---
|
| for(int i = Total - 2; i >= 0; i--)
|
| Revards[i] += Revards[i + 1] * DiscountFactor;
|
| CumCounted = true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Implements Add. |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Add(SState &state, float reward)
|
| {
|
| if(Total + 1 >= ArraySize(Revards))
|
| return false;
|
| States[Total] = state;
|
| if(Total > 0)
|
| Revards[Total - 1] = reward;
|
| Total++;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Saves TotalBase. |
|
| //+------------------------------------------------------------------+
|
| bool SaveTotalBase(void)
|
| {
|
| int total = ArraySize(Buffer);
|
| if(total < 0)
|
| return true;
|
| int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
|
| if(handle < 0)
|
| return false;
|
| int start = MathMax(total - MaxReplayBuffer, 0);
|
| if(FileWriteInteger(handle, total - start) < INT_VALUE)
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| for(int i = start; i < total; i++)
|
| if(!Buffer[i].Save(handle))
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| FileFlush(handle);
|
| FileClose(handle);
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Loads TotalBase. |
|
| //+------------------------------------------------------------------+
|
| bool LoadTotalBase(void)
|
| {
|
| int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
|
| if(handle < 0)
|
| return false;
|
| int total = FileReadInteger(handle);
|
| if(total <= 0)
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| if(ArrayResize(Buffer, total) < total)
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| for(int i = 0; i < total; i++)
|
| if(!Buffer[i].Load(handle))
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| FileClose(handle);
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Creates or initializes Descriptions. |
|
| //+------------------------------------------------------------------+
|
| bool CreateDescriptions(CArrayObj *actor, CArrayObj *critic, CArrayObj *autoencoder)
|
| {
|
| //---
|
| CLayerDescription *descr;
|
| //---
|
| if(!actor)
|
| {
|
| actor = new CArrayObj();
|
| if(!actor)
|
| return false;
|
| }
|
| if(!critic)
|
| {
|
| critic = new CArrayObj();
|
| if(!critic)
|
| return false;
|
| }
|
| if(!autoencoder)
|
| {
|
| autoencoder = new CArrayObj();
|
| if(!autoencoder)
|
| return false;
|
| }
|
| //--- Actor
|
| actor.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| uint prev_count = descr.count = (HistoryBars * BarDescr);
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = prev_count;
|
| descr.batch = 1000;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| prev_count = descr.count = prev_count - 1;
|
| descr.window = 2;
|
| descr.step = 1;
|
| descr.window_out = 8;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| prev_count = descr.count = prev_count;
|
| descr.window = 8;
|
| descr.step = 8;
|
| descr.window_out = 8;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = 128;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConcatenate;
|
| descr.count = LatentCount;
|
| descr.window = prev_count;
|
| descr.step = AccountDescr;
|
| descr.optimization = ADAM;
|
| descr.activation = SIGMOID;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 7
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 8
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 9
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 2*NActions;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 10
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronVAEOCL;
|
| descr.count = NActions;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- Critic
|
| critic.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = LatentCount;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConcatenate;
|
| descr.count = LatentCount;
|
| descr.window = prev_count;
|
| descr.step = NActions;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = LatentCount;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = LatentCount;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 1;
|
| descr.optimization = ADAM;
|
| descr.activation = None;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- Autoencoder
|
| autoencoder.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = LatentCount;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!autoencoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = prev_count / 2;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!autoencoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = prev_count / 2;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!autoencoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = 20;
|
| descr.count = LatentCount;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!autoencoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| if(!(descr.Copy(autoencoder.At(2))))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| if(!autoencoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| if(!(descr.Copy(autoencoder.At(1))))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| if(!autoencoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| if(!(descr.Copy(autoencoder.At(0))))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| if(!autoencoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //---
|
| return true;
|
| }
|
| #ifndef Study
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Checks NewBar. |
|
| //+------------------------------------------------------------------+
|
| bool IsNewBar(void)
|
| {
|
| static datetime last_bar = 0;
|
| if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
|
| return false;
|
| //---
|
| last_bar = iTime(Symb.Name(), TimeFrame, 0);
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Creates and manages object lifecycle for CloseByDirection. |
|
| //+------------------------------------------------------------------+
|
| bool CloseByDirection(ENUM_POSITION_TYPE type)
|
| {
|
| int total = PositionsTotal();
|
| bool result = true;
|
| for(int i = total - 1; i >= 0; i--)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| if(PositionGetInteger(POSITION_TYPE) != type)
|
| continue;
|
| result = (Trade.PositionClose(PositionGetInteger(POSITION_TICKET)) && result);
|
| }
|
| //---
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Implements TrailPosition. |
|
| //+------------------------------------------------------------------+
|
| bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
|
| {
|
| int total = PositionsTotal();
|
| bool result = true;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| if(PositionGetInteger(POSITION_TYPE) != type)
|
| continue;
|
| bool modify = false;
|
| double psl = PositionGetDouble(POSITION_SL);
|
| double ptp = PositionGetDouble(POSITION_TP);
|
| switch(type)
|
| {
|
| case POSITION_TYPE_BUY:
|
| if((sl - psl) >= Symb.Point())
|
| {
|
| psl = sl;
|
| modify = true;
|
| }
|
| if(MathAbs(tp - ptp) >= Symb.Point())
|
| {
|
| ptp = tp;
|
| modify = true;
|
| }
|
| break;
|
| case POSITION_TYPE_SELL:
|
| if((psl - sl) >= Symb.Point())
|
| {
|
| psl = sl;
|
| modify = true;
|
| }
|
| if(MathAbs(tp - ptp) >= Symb.Point())
|
| {
|
| ptp = tp;
|
| modify = true;
|
| }
|
| break;
|
| }
|
| if(modify)
|
| result = (Trade.PositionModify(PositionGetInteger(POSITION_TICKET), psl, ptp) && result);
|
| }
|
| //---
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Creates and manages object lifecycle for ClosePartial. |
|
| //+------------------------------------------------------------------+
|
| bool ClosePartial(ENUM_POSITION_TYPE type, double value)
|
| {
|
| if(value <= 0)
|
| return true;
|
| //---
|
| for(int i = 0; (i < PositionsTotal() && value > 0); i++)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| if(PositionGetInteger(POSITION_TYPE) != type)
|
| continue;
|
| double pvalue = PositionGetDouble(POSITION_VOLUME);
|
| if(pvalue <= value)
|
| {
|
| if(Trade.PositionClose(PositionGetInteger(POSITION_TICKET)))
|
| {
|
| value -= pvalue;
|
| i--;
|
| }
|
| }
|
| else
|
| {
|
| if(Trade.PositionClosePartial(PositionGetInteger(POSITION_TICKET), value))
|
| value = 0;
|
| }
|
| }
|
| //---
|
| return (value <= 0);
|
| }
|
| #endif
|
| //+------------------------------------------------------------------+
|
|
|
