| //+------------------------------------------------------------------+
|
| //| Study.mq5 |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright DNG®"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| #define Study
|
| #define StudyOnline
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input datetime Start = D'2024.01.01';
|
| input datetime End = D'2026.01.01';
|
| input int Epochs = 100;
|
| input double MinBalance = 50;
|
| input double MaxBalance = 150;
|
| input bool LoadBaseMemorySnapshot = true;
|
| input string BaseMemorySnapshotPath = "VLADriverBaseMemory.snapshot";
|
| #include "Trajectory.mqh"
|
| CNet cActor;
|
| CNet cCritic;
|
| CNet cStateEncoder;
|
|
|
| datetime dtStudied;
|
| CBufferFloat bState;
|
| CBufferFloat bContext;
|
| CBufferFloat bTime;
|
| CBufferFloat bGradient;
|
| CBufferFloat *Result;
|
| CBufferFloat *Action;
|
|
|
| // The library owns snapshot, records, consolidation and GPU retrieval.
|
| CNeuronRAGMemory RAGMemory;
|
| bool OfflineHasLastStoredAction = false;
|
| float OfflineLastStoredAction[NActions];
|
| const float OfflineActionChangeThreshold = 0.01f;
|
| const float OfflineActionNonZeroThreshold = 0.001f;
|
| ulong OfflineCollectionChecks = 0;
|
| ulong OfflineTerminalFailures = 0;
|
| ulong OfflineRawLotRejections = 0;
|
| ulong OfflineScenarioAcquireFailures = 0;
|
| ulong OfflineScenarioShapeFailures = 0;
|
| ulong OfflineScenarioReadFailures = 0;
|
| ulong OfflineScenarioReplacedValues = 0;
|
| ulong OfflineNormalizationFailures = 0;
|
| ulong OfflineNormalizationInputFailures = 0;
|
| ulong OfflineNormalizationMarketFailures = 0;
|
| ulong OfflineNormalizationVolatilityFailures = 0;
|
| ulong OfflineNormalizationDescriptorFailures = 0;
|
| ulong OfflineNormalizationZeroFailures = 0;
|
| ulong OfflineDedupeRejections = 0;
|
| ulong OfflineRecordFailures = 0;
|
| ulong OfflineAcceptedRecords = 0;
|
| ulong OfflinePublishAttempts = 0;
|
| ulong OfflinePublishFailures = 0;
|
| ulong OfflinePublishSuccesses = 0;
|
| bool OfflineFirstRejectionCaptured = false;
|
| bool OfflineDiagnosticsPrinted = false;
|
| string OfflineFirstRejectionReason = "";
|
| double OfflineFirstRejectedAction0 = 0;
|
| double OfflineFirstRejectedAction3 = 0;
|
| double OfflineFirstRejectedATR = 0;
|
| //+------------------------------------------------------------------+
|
| //| Reset per-run offline RAG collection diagnostics. |
|
| //+------------------------------------------------------------------+
|
| void ResetOfflineRAGDiagnostics(void)
|
| {
|
| OfflineCollectionChecks = 0;
|
| OfflineTerminalFailures = 0;
|
| OfflineRawLotRejections = 0;
|
| OfflineScenarioAcquireFailures = 0;
|
| OfflineScenarioShapeFailures = 0;
|
| OfflineScenarioReadFailures = 0;
|
| OfflineScenarioReplacedValues = 0;
|
| OfflineNormalizationFailures = 0;
|
| OfflineNormalizationInputFailures = 0;
|
| OfflineNormalizationMarketFailures = 0;
|
| OfflineNormalizationVolatilityFailures = 0;
|
| OfflineNormalizationDescriptorFailures = 0;
|
| OfflineNormalizationZeroFailures = 0;
|
| OfflineDedupeRejections = 0;
|
| OfflineRecordFailures = 0;
|
| OfflineAcceptedRecords = 0;
|
| OfflinePublishAttempts = 0;
|
| OfflinePublishFailures = 0;
|
| OfflinePublishSuccesses = 0;
|
| OfflineFirstRejectionCaptured = false;
|
| OfflineDiagnosticsPrinted = false;
|
| OfflineFirstRejectionReason = "";
|
| OfflineFirstRejectedAction0 = 0;
|
| OfflineFirstRejectedAction3 = 0;
|
| OfflineFirstRejectedATR = 0;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Retain one compact sample without changing collection decisions. |
|
| //+------------------------------------------------------------------+
|
| void CaptureOfflineRAGRejection(const string reason, const uint position)
|
| {
|
| if(OfflineFirstRejectionCaptured)
|
| return;
|
| OfflineFirstRejectionCaptured = true;
|
| OfflineFirstRejectionReason = reason;
|
| if(Action != NULL && Action.Total() > 3)
|
| {
|
| OfflineFirstRejectedAction0 = Action[0];
|
| OfflineFirstRejectedAction3 = Action[3];
|
| }
|
| if(position < Rates.Size())
|
| OfflineFirstRejectedATR = ATR.Main(position);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Print one final concise collection summary. |
|
| //+------------------------------------------------------------------+
|
| void PrintOfflineRAGDiagnostics(void)
|
| {
|
| if(OfflineDiagnosticsPrinted || (OfflineCollectionChecks == 0 && OfflinePublishAttempts == 0))
|
| return;
|
| OfflineDiagnosticsPrinted = true;
|
| PrintFormat("Offline RAG collection: checked=%I64u accepted=%I64u terminal=%I64u lot=%I64u acquire=%I64u shape=%I64u read=%I64u replaced=%I64u normalize=%I64u dedupe=%I64u add=%I64u",
|
| OfflineCollectionChecks, OfflineAcceptedRecords, OfflineTerminalFailures, OfflineRawLotRejections,
|
| OfflineScenarioAcquireFailures, OfflineScenarioShapeFailures, OfflineScenarioReadFailures,
|
| OfflineScenarioReplacedValues, OfflineNormalizationFailures, OfflineDedupeRejections,
|
| OfflineRecordFailures);
|
| PrintFormat("Offline RAG normalization: input=%I64u market=%I64u volatility=%I64u descriptor=%I64u zero=%I64u",
|
| OfflineNormalizationInputFailures, OfflineNormalizationMarketFailures,
|
| OfflineNormalizationVolatilityFailures, OfflineNormalizationDescriptorFailures,
|
| OfflineNormalizationZeroFailures);
|
| PrintFormat("Offline RAG publication: attempts=%I64u success=%I64u failures=%I64u scenarios=%u pending=%u",
|
| OfflinePublishAttempts, OfflinePublishSuccesses, OfflinePublishFailures,
|
| RAGMemory.ScenarioCount(), RAGMemory.PendingRecordCount());
|
| if(OfflineFirstRejectionCaptured)
|
| PrintFormat("Offline RAG first rejection: reason=%s action0=%.8f action3=%.8f atr=%.8f",
|
| OfflineFirstRejectionReason, OfflineFirstRejectedAction0,
|
| OfflineFirstRejectedAction3, OfflineFirstRejectedATR);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Persist the immutable library-owned Base Memory snapshot. |
|
| //+------------------------------------------------------------------+
|
| bool SaveOfflineBaseMemory(void)
|
| {
|
| // Do not replace a previously published image with an empty run.
|
| if(RAGMemory.ScenarioCount() == 0)
|
| return true;
|
| return RAGMemory.SavePublishedSnapshot(BaseMemorySnapshotPath);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Rebind the Actor immediately after COW snapshot publication. |
|
| //+------------------------------------------------------------------+
|
| bool RebindOfflineRAGMemory(void)
|
| {
|
| if(cActor.BindRAGMemory(2, GetPointer(RAGMemory)))
|
| return true;
|
| PrintFormat("%s -> %d offline RAG Actor rebind failed", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| ReturnFalse;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Detach before the layer destroys an old COW inference buffer. |
|
| //+------------------------------------------------------------------+
|
| bool DetachOfflineRAGMemory(void)
|
| {
|
| if(cActor.UnbindRAGMemory(2))
|
| return true;
|
| PrintFormat("%s -> %d offline RAG Actor detach failed", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| ReturnFalse;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Publish only records that were consumed into an immutable |
|
| //| snapshot |
|
| //+------------------------------------------------------------------+
|
| bool PublishOfflineMemory(const bool episode_closed = false)
|
| {
|
| const uint pending = RAGMemory.PendingRecordCount();
|
| if(pending == 0)
|
| return true;
|
| if(!episode_closed && pending < OnlineMemorySize)
|
| return true;
|
| OfflinePublishAttempts++;
|
| if(!DetachOfflineRAGMemory())
|
| {
|
| OfflinePublishFailures++;
|
| ReturnFalse;
|
| }
|
| if(!RAGMemory.Publish(episode_closed))
|
| {
|
| if(!RebindOfflineRAGMemory())
|
| {
|
| OfflinePublishFailures++;
|
| ReturnFalse;
|
| }
|
| OfflinePublishFailures++;
|
| ReturnFalse;
|
| }
|
| if(!RebindOfflineRAGMemory())
|
| {
|
| OfflinePublishFailures++;
|
| ReturnFalse;
|
| }
|
| if(!SaveOfflineBaseMemory())
|
| {
|
| OfflinePublishFailures++;
|
| ReturnFalse;
|
| }
|
| OfflinePublishSuccesses++;
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| ResetLastError();
|
| // Load Models.
|
| float temp;
|
| if(!cStateEncoder.Load(FileName + "StEnc.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| PrintFormat("Error of load StateEncoder: %d", GetLastError());
|
| return INIT_FAILED;
|
| }
|
| CArrayObj *actor = new CArrayObj();
|
| CArrayObj *critic = new CArrayObj();
|
| if(!CreateDescriptions(actor, critic))
|
| {
|
| DeleteObj(actor)
|
| DeleteObj(critic)
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| return INIT_FAILED;
|
| }
|
| if(!cActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| Print("Create new Actor");
|
| if(!cActor.Create(actor))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| DeleteObj(actor)
|
| DeleteObj(critic)
|
| return INIT_FAILED;
|
| }
|
| }
|
| if(!cCritic.Load(FileName + CriticCheckpointFile, temp, temp, temp, dtStudied, true))
|
| {
|
| Print("Create new Critic");
|
| if(!cCritic.Create(critic))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| DeleteObj(actor)
|
| DeleteObj(critic)
|
| return INIT_FAILED;
|
| }
|
| }
|
| DeleteObj(actor)
|
| DeleteObj(critic)
|
| cActor.TrainMode(true);
|
| cCritic.TrainMode(true);
|
| cStateEncoder.TrainMode(false);
|
| COpenCL *opencl = cActor.GetOpenCL();
|
| cCritic.SetOpenCL(opencl);
|
| cStateEncoder.SetOpenCL(opencl);
|
| CLayerDescription memory_description;
|
| if(!CreateRAGMemoryDescription(memory_description) ||
|
| !RAGMemory.Init(0, 0, opencl, memory_description) ||
|
| !RAGMemory.SetOnlineMemorySize(OnlineMemorySize))
|
| return INIT_FAILED;
|
| const bool snapshot_loaded = (LoadBaseMemorySnapshot &&
|
| RAGMemory.LoadPublishedSnapshot(BaseMemorySnapshotPath));
|
| if(!snapshot_loaded && !RAGMemory.BindNullInference())
|
| return INIT_FAILED;
|
| if(!RebindOfflineRAGMemory())
|
| return INIT_FAILED;
|
| if(!bGradient.BufferInit(EmbeddingSize, 0.0f) ||
|
| !bGradient.BufferCreate(opencl))
|
| return INIT_FAILED;
|
| if(!Symb.Name(_Symbol) || !Symb.Refresh())
|
| return INIT_FAILED;
|
| if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
|
| return INIT_FAILED;
|
| if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
|
| return INIT_FAILED;
|
| if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
|
| return INIT_FAILED;
|
| if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
|
| return INIT_FAILED;
|
| cActor.GetLayerOutput(0, Result);
|
| if(Result.Total() != AccountDescr)
|
| {
|
| PrintFormat("Input size of Actor doesn't match context description (%d <> %d)", Result.Total(), AccountDescr);
|
| return INIT_FAILED;
|
| }
|
| cStateEncoder.GetLayerOutput(0, Result);
|
| if(Result.Total() != (HistoryBars * BarDescr))
|
| {
|
| PrintFormat("Input size of StateEncoder doesn't match market state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
|
| return INIT_FAILED;
|
| }
|
| cStateEncoder.GetLayerOutput(StateTokenLayer, Result);
|
| if(Result.Total() != (BarDescr * EmbeddingSize))
|
| {
|
| PrintFormat("StateEncoder RankTCM layer doesn't match Critic context (%d <> %d)", Result.Total(), (BarDescr * EmbeddingSize));
|
| return INIT_FAILED;
|
| }
|
| cStateEncoder.GetLayerOutput(StateScenarioLayer, Result);
|
| if(Result.Total() != EmbeddingSize)
|
| {
|
| PrintFormat("StateEncoder token layer doesn't match pooled scenario embedding (%d <> %d)", Result.Total(), EmbeddingSize);
|
| return INIT_FAILED;
|
| }
|
| if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
|
| {
|
| PrintFormat("Error of create study event: %d", GetLastError());
|
| return INIT_FAILED;
|
| }
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| if(reason != REASON_INITFAILED && !PublishOfflineMemory(true))
|
| Print("Error of publish Base Memory snapshot");
|
| PrintOfflineRAGDiagnostics();
|
| if(!(reason == REASON_INITFAILED || reason == REASON_RECOMPILE))
|
| {
|
| if(!cActor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true))
|
| PrintFormat("Error of save model: %s", "Actor");
|
| if(!cCritic.Save(FileName + CriticCheckpointFile, 0, 0, 0, TimeCurrent(), true))
|
| PrintFormat("Error of save model: %s", "Critic");
|
| }
|
| delete Result;
|
| delete Action;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| ChartEvent function |
|
| //+------------------------------------------------------------------+
|
| void OnChartEvent(const int id,
|
| const long &lparam,
|
| const double &dparam,
|
| const string &sparam)
|
| {
|
| switch(id)
|
| {
|
| case 1001:
|
| Train();
|
| break;
|
| case 1007:
|
| Print("Event 1007");
|
| if(!EventChartCustom(ChartID(), 1, 0, 0, "ChartEvent"))
|
| {
|
| PrintFormat("Error of create study event: %d", GetLastError());
|
| ExpertRemove();
|
| }
|
| break;
|
| }
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Train function |
|
| //+------------------------------------------------------------------+
|
| void Train(void)
|
| {
|
| ResetOfflineRAGDiagnostics();
|
| int start = iBarShift(Symb.Name(), TimeFrame, Start);
|
| int end = iBarShift(Symb.Name(), TimeFrame, End);
|
| int bars = CopyRates(Symb.Name(), TimeFrame, 0, start, Rates);
|
| if(bars < 0)
|
| {
|
| PrintFormat("%s -> %d CopyRates failed (%d)", __FUNCTION__, __LINE__, GetLastError());
|
| ExpertRemove();
|
| return;
|
| }
|
| if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
|
| !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| int count = -1;
|
| bool calculated = false;
|
| do
|
| {
|
| calculated = (RSI.BarsCalculated() >= bars &&
|
| CCI.BarsCalculated() >= bars &&
|
| ATR.BarsCalculated() >= bars &&
|
| MACD.BarsCalculated() >= bars
|
| );
|
| Sleep(100);
|
| count++;
|
| }
|
| while(!calculated && count < 100);
|
| if(!calculated)
|
| {
|
| PrintFormat("%s -> %d The training data has not been loaded", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| RSI.Refresh();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| if(!ArraySetAsSeries(Rates, true))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| bars -= end + HistoryBars + NForecast;
|
| if(bars < 0)
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| vector<float> result, target, neg_target;
|
| bool Stop = false;
|
| uint ticks = GetTickCount();
|
| for(int epoch = 0; (epoch < Epochs && !IsStopped() && !Stop); epoch ++)
|
| {
|
| if(!cActor.Clear() ||
|
| !cCritic.Clear() ||
|
| !cStateEncoder.Clear())
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| for(int posit = start - HistoryBars - NForecast - 1; posit >= end; posit--)
|
| {
|
| if(!CreateBuffers(posit, GetPointer(bState), GetPointer(bTime), Result))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| const vector<float> account = SampleAccount(GetPointer(bState), datetime(bTime[0]), MaxBalance, MinBalance);
|
| const vector<float> target_action = OraculAction(account, Result);
|
| if(!bContext.AssignArray(account))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| // Feed Forward.
|
| if(!cStateEncoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!RAGMemory.Retrieve(GetPointer(cStateEncoder), StateScenarioLayer))
|
| {
|
| PrintFormat("%s -> %d RAG retrieval failed", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cActor.feedForward((CBufferFloat*)GetPointer(bContext), 1, false,
|
| GetPointer(cStateEncoder), StateScenarioLayer))
|
| {
|
| PrintFormat("%s -> %d Actor forward failed", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| #ifdef _DEBUG
|
| vector<float> res;
|
| cActor.getResults(res);
|
| #endif
|
| if(!cCritic.feedForward(GetPointer(cActor), -1, GetPointer(cStateEncoder), StateTokenLayer))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| #ifdef _DEBUG
|
| cCritic.getResults(res);
|
| #endif
|
| // Study.
|
| cActor.getResults(Action);
|
| double balance = account[0] * EtalonBalance;
|
| const uint terminal_position = uint(posit - NForecast + 1);
|
| SRAGTerminalOutcome terminal;
|
| OfflineCollectionChecks++;
|
| bool terminal_evaluated = EvaluateTerminalOutcome(RAGMemory, Action, balance, terminal_position, terminal);
|
| double reward = terminal.reward * balance / EtalonBalance;
|
| if(!terminal_evaluated)
|
| {
|
| OfflineTerminalFailures++;
|
| CaptureOfflineRAGRejection("terminal", terminal_position);
|
| }
|
| else
|
| if(MathAbs(Action[0] - Action[3]) < OfflineActionNonZeroThreshold)
|
| {
|
| OfflineRawLotRejections++;
|
| CaptureOfflineRAGRejection("lot", terminal_position);
|
| }
|
| else
|
| {
|
| CBufferFloat *scenario_embedding = NULL;
|
| if(!cStateEncoder.GetLayerOutputDevice(StateScenarioLayer, scenario_embedding))
|
| {
|
| OfflineScenarioAcquireFailures++;
|
| CaptureOfflineRAGRejection("scenario_acquire", terminal_position);
|
| }
|
| else
|
| if(scenario_embedding.Total() != EmbeddingSize)
|
| {
|
| OfflineScenarioShapeFailures++;
|
| CaptureOfflineRAGRejection("scenario_shape", terminal_position);
|
| }
|
| else
|
| {
|
| float normalized_action[NActions];
|
| ENUM_MEMORY_ACTION_NORMALIZATION_STAGE normalization_stage;
|
| if(NormalizeMemoryAction(RAGMemory, Action, terminal_position, balance, normalized_action,
|
| normalization_stage))
|
| {
|
| bool materially_changed = !OfflineHasLastStoredAction;
|
| for(int i = 0; i < NActions && !materially_changed; i++)
|
| materially_changed = (MathAbs(normalized_action[i] - OfflineLastStoredAction[i]) >= OfflineActionChangeThreshold);
|
| if(materially_changed)
|
| {
|
| float scenario_values[];
|
| uint replaced_values = 0;
|
| const bool scenario_read = RAGMemory.ReadScenarioEmbedding(scenario_embedding,
|
| scenario_values, replaced_values);
|
| OfflineScenarioReplacedValues += replaced_values;
|
| if(!scenario_read)
|
| {
|
| OfflineScenarioReadFailures++;
|
| CaptureOfflineRAGRejection("scenario_read", terminal_position);
|
| PrintFormat("%s -> %d scenario anchor read failed", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!RAGMemory.AddCompletedRecord(scenario_values, normalized_action, terminal))
|
| {
|
| OfflineRecordFailures++;
|
| CaptureOfflineRAGRejection("add_record", terminal_position);
|
| PrintFormat("%s -> %d offline RAG record rejected", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| OfflineAcceptedRecords++;
|
| ArrayCopy(OfflineLastStoredAction, normalized_action);
|
| OfflineHasLastStoredAction = true;
|
| }
|
| else
|
| {
|
| OfflineDedupeRejections++;
|
| CaptureOfflineRAGRejection("dedupe", terminal_position);
|
| }
|
| }
|
| else
|
| {
|
| OfflineNormalizationFailures++;
|
| switch(normalization_stage)
|
| {
|
| case MEMORY_ACTION_NORMALIZATION_INPUT:
|
| OfflineNormalizationInputFailures++;
|
| break;
|
| case MEMORY_ACTION_NORMALIZATION_MARKET:
|
| OfflineNormalizationMarketFailures++;
|
| break;
|
| case MEMORY_ACTION_NORMALIZATION_VOLATILITY:
|
| OfflineNormalizationVolatilityFailures++;
|
| break;
|
| case MEMORY_ACTION_NORMALIZATION_DESCRIPTOR:
|
| OfflineNormalizationDescriptorFailures++;
|
| break;
|
| case MEMORY_ACTION_NORMALIZATION_ZERO:
|
| OfflineNormalizationZeroFailures++;
|
| break;
|
| }
|
| CaptureOfflineRAGRejection("normalize_" + MemoryActionNormalizationStageName(normalization_stage),
|
| terminal_position);
|
| }
|
| }
|
| }
|
| Result.Clear();
|
| if(!Result.Add(float(reward)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cCritic.backProp(Result, GetPointer(cStateEncoder), StateTokenLayer))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| // Oracul.
|
| if(!Action.AssignArray(target_action))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| reward = CheckAction(RAGMemory, Action, balance, posit - NForecast + 1) * balance / EtalonBalance;
|
| CBufferFloat *actor_market_gradient = NULL;
|
| if(!cStateEncoder.GetLayerOutputDevice(StateScenarioLayer, actor_market_gradient))
|
| {
|
| PrintFormat("%s -> %d actor market gradient input failed", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(reward > 0)
|
| if(!cActor.backProp(Action, actor_market_gradient, GetPointer(bGradient)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cCritic.feedForward(Action, 1, false, GetPointer(cStateEncoder), StateTokenLayer))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!Result.Update(0, float(reward)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cCritic.backProp(Result, GetPointer(cStateEncoder), StateTokenLayer))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| cCritic.TrainMode(false);
|
| if(!cActor.feedForward((CBufferFloat*)GetPointer(bContext), 1, false,
|
| GetPointer(cStateEncoder), StateScenarioLayer) ||
|
| !cCritic.feedForward(GetPointer(cActor), -1, GetPointer(cStateEncoder), StateTokenLayer) ||
|
| !cCritic.backProp(Result, GetPointer(cStateEncoder), StateTokenLayer) ||
|
| !cActor.backPropGradient(actor_market_gradient, GetPointer(bGradient), -1, true))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| cCritic.TrainMode(true);
|
| if(RAGMemory.PendingRecordCount() >= OnlineMemorySize && !PublishOfflineMemory(false))
|
| {
|
| PrintFormat("%s -> %d offline memory publication failed", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(GetTickCount() - ticks > 500)
|
| {
|
| double percent = (epoch + 1.0 - double(posit - end) / (start - end - HistoryBars - NForecast)) / Epochs * 100.0;
|
| string str = "";
|
| str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Actor", percent, cActor.getRecentAverageError());
|
| str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Critic", percent, cCritic.getRecentAverageError());
|
| str += StringFormat("RAG scenarios %u, pending %u\n", RAGMemory.ScenarioCount(), RAGMemory.PendingRecordCount());
|
| str += StringFormat("RAG collect accepted %I64u, lot %I64u, normalize %I64u, dedupe %I64u\n",
|
| OfflineAcceptedRecords, OfflineRawLotRejections,
|
| OfflineNormalizationFailures, OfflineDedupeRejections);
|
| Comment(str);
|
| ticks = GetTickCount();
|
| }
|
| }
|
| if(!Stop && !PublishOfflineMemory(true))
|
| PrintFormat("%s -> %d offline memory publication failed", __FUNCTION__, __LINE__);
|
| }
|
| Comment("");
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", cActor.getRecentAverageError());
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Critic", cCritic.getRecentAverageError());
|
| ExpertRemove();
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
