| //+------------------------------------------------------------------+
|
| //| 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"
|
| //+------------------------------------------------------------------+
|
| //| Rewards structure |
|
| //| 0 - Delta Balance |
|
| //| 1 - Delta Equity ( "-" Drawdown / "+" Profit) |
|
| //| 2 - Penalty for no open positions |
|
| //+------------------------------------------------------------------+
|
| #include "..\NeuroNet_DNG\NeuroNet.mqh"
|
| int iLatentLayer = -1;
|
| //---
|
| #define HistoryBars 5
|
| #define LongPeriod 7 //must be HistoryBars % Segments == 0
|
| #define ShortPeriod 24 //must be HistoryBars % Segments == 0
|
| #define BarDescr 9 //Elements for 1 bar description
|
| #define AccountDescr 13 //Account description
|
| #define NActions 6 //Number of possible Actions
|
| #define NRewards 1 //Number of rewards
|
| #define NForecast 24 //Number of forecast
|
| #define EtalonBalance 1e3
|
| #define BatchSize 1e+4
|
| #define NSkills 64
|
| #define NScenarios 10
|
| #define EmbeddingSize 32
|
| #define Buffer_Size 31000
|
| #define DiscFactor 0.5f
|
| #define FileName "ESTMFlow"
|
| #define SignalFile(agent) StringFormat("Signals\\Signal%d.csv",agent)
|
| #define AttentionLayers 7
|
| #define LatentCount 256
|
| #define LatentLayer iLatentLayer
|
| #define MaxSL 1000
|
| #define MaxTP 1000
|
| #define MaxReplayBuffer 500
|
| #define StartTargetIteration 200000
|
| #define STE_Multiplier 1.0f/2
|
| #define ActorUpdate 10
|
| #define TragetUpdate 60*24
|
| #define tau 0.9f
|
| #define NExperts 15
|
| #define TopK 2
|
| #define NHeads 4
|
| #define StackSize 24*5
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| struct SState
|
| {
|
| float state[HistoryBars * BarDescr];
|
| float account[AccountDescr - 4];
|
| float action[NActions];
|
| float rewards[NRewards];
|
| //---
|
| 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);
|
| ArrayCopy(rewards, obj.rewards);
|
| }
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| SState::SState(void)
|
| {
|
| ArrayInitialize(state, 0);
|
| ArrayInitialize(account, 0);
|
| ArrayInitialize(action, 0);
|
| ArrayInitialize(rewards, 0);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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;
|
| total = ArraySize(rewards);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, rewards[i]) < sizeof(float))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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] = MathMin(MathMax(FileReadFloat(file_handle), 0), 1);
|
| }
|
| //---
|
| total = FileReadInteger(file_handle);
|
| if(total != ArraySize(rewards))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| rewards[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| struct STrajectory
|
| {
|
| SState States[Buffer_Size];
|
| int Total;
|
| float DiscountFactor;
|
| bool CumCounted;
|
| //---
|
| STrajectory(void);
|
| //---
|
| bool Add(SState &state);
|
| void CumRevards(void);
|
| //---
|
| bool Save(int file_handle);
|
| bool Load(int file_handle);
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| STrajectory::STrajectory(void) : Total(0),
|
| DiscountFactor(DiscFactor),
|
| CumCounted(false)
|
| {
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Save(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| if(Total <= 0)
|
| return true;
|
| //---
|
| if(!CumCounted)
|
| CumRevards();
|
| Total = MathMin((int)States.Size(), Total);
|
| if(FileWriteInteger(file_handle, Total) < sizeof(int))
|
| return false;
|
| if(FileWriteFloat(file_handle, DiscountFactor) < sizeof(float))
|
| return false;
|
| for(int i = 0; i < Total; i++)
|
| if(!States[i].Save(file_handle))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Load(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| Total = FileReadInteger(file_handle);
|
| if(FileIsEnding(file_handle) || Total >= ArraySize(States))
|
| return false;
|
| DiscountFactor = FileReadFloat(file_handle);
|
| CumCounted = true;
|
| //---
|
| for(int i = 0; i < Total; i++)
|
| if(!States[i].Load(file_handle))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| void STrajectory::CumRevards(void)
|
| {
|
| if(CumCounted)
|
| return;
|
| //---
|
| for(int i = Total - 2; i >= 0; i--)
|
| for(int r = 0; r < NRewards; r++)
|
| States[i].rewards[r] += States[i + 1].rewards[r] * DiscountFactor;
|
| CumCounted = true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Add(SState &state)
|
| {
|
| if(Total + 1 >= ArraySize(States))
|
| return false;
|
| States[Total] = state;
|
| Total++;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #ifndef StudyOnline
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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;
|
| }
|
| int load_false = 0;
|
| for(int i = 0; i < total; i++)
|
| if(!Buffer[i].Load(handle))
|
| {
|
| total = i;
|
| break;
|
| }
|
| FileClose(handle);
|
| //---
|
| if(ArrayResize(Buffer, total) < total)
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| //---
|
| return total > 0;
|
| }
|
| #endif
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool CreateDescriptions(CArrayObj *&encoder,
|
| CArrayObj *&stfs,
|
| CArrayObj *&actor,
|
| CArrayObj *&critic
|
| )
|
| {
|
| //---
|
| CLayerDescription *descr;
|
| //---
|
| if(!encoder)
|
| {
|
| encoder = new CArrayObj();
|
| if(!encoder)
|
| return false;
|
| }
|
| if(!stfs)
|
| {
|
| stfs = new CArrayObj();
|
| if(!stfs)
|
| return false;
|
| }
|
| if(!actor)
|
| {
|
| actor = new CArrayObj();
|
| if(!actor)
|
| return false;
|
| }
|
| if(!critic)
|
| {
|
| critic = new CArrayObj();
|
| if(!critic)
|
| return false;
|
| }
|
| //--- Encoder
|
| encoder.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(!encoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| iLatentLayer = 0;
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormWithNoise;
|
| descr.count = prev_count;
|
| descr.batch = BatchSize;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!encoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| iLatentLayer++;
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConcatDiff;
|
| prev_count = descr.count = HistoryBars;
|
| descr.layers = BarDescr;
|
| descr.step = 1;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| descr.activation = None;
|
| if(!encoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| iLatentLayer++;
|
| uint prev_out = descr.layers * 2 ;
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defMamba4CastEmbeding;
|
| prev_count = descr.count = HistoryBars;
|
| descr.window = prev_out;
|
| prev_out = descr.window_out = NSkills;
|
| {
|
| uint temp[] = {PeriodSeconds(PERIOD_D1), PeriodSeconds(PERIOD_MN1)};
|
| if(ArrayCopy(descr.windows, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| descr.activation = None;
|
| if(!encoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| iLatentLayer++;
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronESTMEncoder;
|
| {
|
| uint temp[] = {prev_out, // Chanels In
|
| 16,
|
| 32,
|
| 64,
|
| 64 // Chanels Out
|
| };
|
| if(ArrayCopy(descr.windows, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| {
|
| uint temp[] = {prev_count, // Units In
|
| 12,
|
| 24,
|
| 12,
|
| 12 // Units Out
|
| };
|
| if(ArrayCopy(descr.units, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| { // Stack size
|
| uint temp[] = {48,
|
| 24,
|
| 12,
|
| 4
|
| };
|
| if(ArrayCopy(descr.heads, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| descr.window=16;
|
| descr.window_out=64;
|
| descr.optimization = ADAM;
|
| descr.batch = BatchSize;
|
| if(!encoder.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| iLatentLayer++;
|
| //---
|
| uint window = descr.windows[descr.windows.Size()-1];
|
| uint count = descr.units[descr.units.Size()-1];
|
| //--- STFS
|
| stfs.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = (window * count);
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!stfs.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSTFS;
|
| {
|
| uint temp[] = {window, // Chanels In
|
| BarDescr // Chanels Out
|
| };
|
| if(ArrayCopy(descr.windows, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| {
|
| uint temp[] = {count, // Units In
|
| NForecast // Units Out
|
| };
|
| if(ArrayCopy(descr.units, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| descr.activation = TANH;
|
| descr.optimization = ADAM;
|
| if(!stfs.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = NForecast * BarDescr;
|
| descr.batch = BatchSize;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!stfs.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- Actor
|
| actor.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = AccountDescr;
|
| 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 = AccountDescr;
|
| descr.batch = BatchSize;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronCrossDMHAttention;
|
| {
|
| uint temp[] = {AccountDescr, // Inputs window
|
| window // Cross window
|
| };
|
| if(ArrayCopy(descr.windows, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| {
|
| uint temp[] = {1, // Inputs units
|
| count // Cross units
|
| };
|
| if(ArrayCopy(descr.units, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| descr.step = NHeads; // Heads
|
| descr.window_out = 32;
|
| descr.batch = 1e4;
|
| descr.layers = AttentionLayers;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSpikeConv;
|
| descr.count = 1;
|
| descr.window = AccountDescr;
|
| descr.step = AccountDescr;
|
| descr.window_out = EmbeddingSize;
|
| descr.variables = 1;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSpikeConv;
|
| descr.count = 1;
|
| descr.window = EmbeddingSize;
|
| descr.step = EmbeddingSize;
|
| descr.window_out = LatentCount;
|
| descr.variables = 1;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 2 * NActions;
|
| descr.activation = SIGMOID;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronVAEOCL;
|
| descr.count = NActions;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 7
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| descr.count = NActions / 3;
|
| descr.window = 3;
|
| descr.step = 3;
|
| descr.window_out = 3;
|
| descr.activation = SIGMOID;
|
| 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;
|
| descr.count = NActions;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = NActions;
|
| descr.batch = BatchSize;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronCrossDMHAttention;
|
| {
|
| uint temp[] = {3, // Inputs window
|
| window // Cross window
|
| };
|
| if(ArrayCopy(descr.windows, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| {
|
| uint temp[] = {NActions / 3, // Inputs units
|
| count // Cross units
|
| };
|
| if(ArrayCopy(descr.units, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| descr.step = NHeads; // Heads
|
| descr.window_out = 32;
|
| descr.batch = 1e4;
|
| descr.layers = AttentionLayers;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSpikeConv;
|
| descr.count = NActions / 3;
|
| descr.window = 3;
|
| descr.step = 3;
|
| descr.window_out = EmbeddingSize;
|
| descr.variables = 1;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSpikeConv;
|
| descr.count = NActions / 3;
|
| descr.window = EmbeddingSize;
|
| descr.step = EmbeddingSize;
|
| descr.window_out = LatentCount / descr.count;
|
| descr.variables = 1;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = NRewards;
|
| descr.activation = None;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //---
|
| return true;
|
| }
|
| #ifndef Study
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
|
| {
|
| int total = PositionsTotal();
|
| bool result = true;
|
| datetime time = TimeCurrent() - 5 * PeriodSeconds(TimeFrame);
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| if(PositionGetInteger(POSITION_TYPE) != type)
|
| continue;
|
| if(PositionGetInteger(POSITION_TIME_UPDATE) > time)
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| vector<float> GetProbTrajectories(STrajectory &buffer[], double lambda)
|
| {
|
| ulong total = buffer.Size();
|
| vector<float> result = vector<float>::Zeros(total);
|
| vector<float> temp;
|
| for(ulong i = 0; i < total; i++)
|
| {
|
| temp.Assign(buffer[i].States[0].rewards);
|
| result[i] = temp.Sum();
|
| if(!MathIsValidNumber(result[i]))
|
| result[i] = -FLT_MAX;
|
| }
|
| float max_reward = result.Max();
|
| //---
|
| vector<float> sorted = result;
|
| bool sort = true;
|
| int iter = 0;
|
| while(sort)
|
| {
|
| sort = false;
|
| for(ulong i = 0; i < sorted.Size() - 1; i++)
|
| if(sorted[i] > sorted[i + 1])
|
| {
|
| float temp = sorted[i];
|
| sorted[i] = sorted[i + 1];
|
| sorted[i + 1] = temp;
|
| sort = true;
|
| }
|
| iter++;
|
| }
|
| //---
|
| float min = result.Min() - 0.1f * MathAbs(max_reward);
|
| if(max_reward > min)
|
| {
|
| float k = sorted.Percentile(80) - max_reward;
|
| vector<float> multipl = MathExp(MathAbs(result - max_reward) / (k == 0 ? -1 : k));
|
| result = (result - min) / (max_reward - min);
|
| result = result / (result + lambda) * multipl;
|
| result.ReplaceNan(0);
|
| }
|
| else
|
| result.Fill(1);
|
| result = result / result.Sum();
|
| result = result.CumSum();
|
| //---
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| int SampleTrajectory(vector<float> &probability)
|
| {
|
| //--- check
|
| ulong total = probability.Size();
|
| if(total <= 0)
|
| return -1;
|
| //--- randomize
|
| float rnd = float(MathRand() / 32767.0);
|
| //--- search
|
| if(rnd <= probability[0] || total == 1)
|
| return 0;
|
| if(rnd > probability[total - 2])
|
| return int(total - 1);
|
| int result = int(rnd * total);
|
| if(probability[result] < rnd)
|
| while(probability[result] < rnd)
|
| result++;
|
| else
|
| {
|
| if(result <= 0)
|
| Sleep(0);
|
| while(probability[result - 1] >= rnd)
|
| result--;
|
| }
|
| //--- return result
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| class CDeal : public CObject
|
| {
|
| public:
|
| datetime OpenTime;
|
| datetime CloseTime;
|
| ENUM_POSITION_TYPE Type;
|
| double Volume;
|
| double OpenPrice;
|
| double StopLos;
|
| double TakeProfit;
|
| double point;
|
| //---
|
| CDeal(void);
|
| ~CDeal(void) {};
|
| //---
|
| vector<float> Action(datetime current, double ask, double bid, int period_seconds);
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| void CDeal::CDeal(void) : OpenTime(0),
|
| CloseTime(0),
|
| Type(POSITION_TYPE_BUY),
|
| Volume(0),
|
| OpenPrice(0),
|
| StopLos(0),
|
| TakeProfit(0),
|
| point(1e-5)
|
| {
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| vector<float> CDeal::Action(datetime current, double ask, double bid, int period_seconds)
|
| {
|
| vector<float> result = vector<float>::Zeros(NActions);
|
| if((OpenTime - period_seconds) > current || CloseTime <= current)
|
| return result;
|
| //---
|
| switch(Type)
|
| {
|
| case POSITION_TYPE_BUY:
|
| result[0] = float(Volume);
|
| if(TakeProfit > 0)
|
| result[1] = float((TakeProfit - ask) / (MaxTP * point));
|
| if(StopLos > 0)
|
| result[2] = float((ask - StopLos) / (MaxSL * point));
|
| break;
|
| case POSITION_TYPE_SELL:
|
| result[3] = float(Volume);
|
| if(TakeProfit > 0)
|
| result[4] = float((bid - TakeProfit) / (MaxTP * point));
|
| if(StopLos > 0)
|
| result[5] = float((StopLos - bid) / (MaxSL * point));
|
| break;
|
| }
|
| //---
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| class CDeals
|
| {
|
| protected:
|
| CArrayObj Deals;
|
| public:
|
| CDeals(void) { Deals.Clear(); }
|
| ~CDeals(void) { Deals.Clear(); }
|
| //---
|
| bool LoadDeals(string file_name, string symbol, double point);
|
| vector<float> Action(datetime current, double ask, double bid, int period_seconds);
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool CDeals::LoadDeals(string file_name, string symbol, double point)
|
| {
|
| if(file_name == NULL || !FileIsExist(file_name, FILE_COMMON))
|
| {
|
| PrintFormat("File %s not exist", file_name);
|
| return false;
|
| }
|
| if(symbol == NULL)
|
| {
|
| symbol = _Symbol;
|
| point = _Point;
|
| }
|
| //---
|
| ResetLastError();
|
| int handle = FileOpen(file_name, FILE_READ | FILE_ANSI | FILE_CSV | FILE_COMMON, short(';'), CP_ACP);
|
| if(handle == INVALID_HANDLE)
|
| {
|
| PrintFormat("Error of open file %s: %d", file_name, GetLastError());
|
| return false;
|
| }
|
| FileSeek(handle, 0, SEEK_SET);
|
| while(!FileIsEnding(handle))
|
| {
|
| string s = FileReadString(handle);
|
| datetime open_time = StringToTime(s);
|
| string type = FileReadString(handle);
|
| double volume = StringToDouble(FileReadString(handle));
|
| string deal_symbol = FileReadString(handle);
|
| double open_price = StringToDouble(FileReadString(handle));
|
| volume = MathMin(volume, StringToDouble(FileReadString(handle)));
|
| datetime close_time = StringToTime(FileReadString(handle));
|
| double close_price = StringToDouble(FileReadString(handle));
|
| s = FileReadString(handle);
|
| s = FileReadString(handle);
|
| s = FileReadString(handle);
|
| if(StringFind(deal_symbol, symbol, 0) < 0)
|
| continue;
|
| //---
|
| ResetLastError();
|
| CDeal *deal = new CDeal();
|
| if(!deal)
|
| {
|
| PrintFormat("Error of create new deal object: %d", GetLastError());
|
| return false;
|
| }
|
| deal.OpenTime = open_time;
|
| deal.CloseTime = close_time;
|
| deal.OpenPrice = open_price;
|
| deal.Volume = volume;
|
| deal.point = point;
|
| if(type == "Sell")
|
| {
|
| deal.Type = POSITION_TYPE_SELL;
|
| if(close_price < open_price)
|
| {
|
| deal.TakeProfit = close_price;
|
| deal.StopLos = 0;
|
| }
|
| else
|
| {
|
| deal.TakeProfit = 0;
|
| deal.StopLos = close_price;
|
| }
|
| }
|
| else
|
| {
|
| deal.Type = POSITION_TYPE_BUY;
|
| if(close_price > open_price)
|
| {
|
| deal.TakeProfit = close_price;
|
| deal.StopLos = 0;
|
| }
|
| else
|
| {
|
| deal.TakeProfit = 0;
|
| deal.StopLos = close_price;
|
| }
|
| }
|
| //---
|
| ResetLastError();
|
| if(!Deals.Add(deal))
|
| {
|
| PrintFormat("Error of add new deal: %d", GetLastError());
|
| return false;
|
| }
|
| }
|
| //---
|
| FileClose(handle);
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| vector<float> CDeals::Action(datetime current, double ask, double bid, int period_seconds)
|
| {
|
| vector<float> result = vector<float>::Zeros(NActions);
|
| for(int i = 0; i < Deals.Total(); i++)
|
| {
|
| CDeal *deal = Deals.At(i);
|
| if(!deal)
|
| continue;
|
| vector<float> action = deal.Action(current, ask, bid, period_seconds);
|
| result[0] += action[0];
|
| result[3] += action[3];
|
| result[1] = MathMax(result[1], action[1]);
|
| result[2] = MathMax(result[2], action[2]);
|
| result[4] = MathMax(result[4], action[4]);
|
| result[5] = MathMax(result[5], action[5]);
|
| }
|
| //---
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
