2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Trajectory.mqh |
|
| | | //| Copyright DNG® |
|
| | | //| https://www.mql5.com/ru/users/dng |
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2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | #property copyright "Copyright DNG®"
|
| | | #property link "https://www.mql5.com/ru/users/dng"
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| | | #property version "1.00"
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| |
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2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | #include "..\NeuroNet_DNG\NeuroNet.mqh"
|
| | | #include <Trade\Trade.mqh>
|
| | | #include <Trade\SymbolInfo.mqh>
|
| | | #include <Indicators\Oscilators.mqh>
|
| | | //+------------------------------------------------------------------+
|
| | | //| D2Skill learning lifecycle stage. |
|
| | | //+------------------------------------------------------------------+
|
| | | enum ENUM_D2SKILL_STAGE
|
| | | {
|
| | | D2Skill_D2_STAGE_BASE = 0, //Base model
|
| | | D2Skill_D2_STAGE_FORMATION, //Skill-bank formation
|
| | | D2Skill_D2_STAGE_HINDSIGHT, //Paired hindsight utility
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| | | D2Skill_D2_STAGE_AUGMENTED, //Utility-aware skill augmentation
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| | | D2Skill_D2_STAGE_ONLINE //Online calibration
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
| | | //| D2Skill bank selection. |
|
| | | //+------------------------------------------------------------------+
|
| | | enum ENUM_D2SKILL_BANK_MODE
|
| | | {
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| | | D2Skill_D2_MODE_BASE = 0, //Without D2 banks
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| | | D2Skill_D2_MODE_TASK, //Task skill bank
|
| | | D2Skill_D2_MODE_STEP, //Step skill bank
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| | | D2Skill_D2_MODE_FULL //D2 full mode
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | input group "---- Indicators ----"
|
| | | input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1; //Working timeframe
|
| | | //---
|
| | | input group "---- RSI ----"
|
| | | input int RSIPeriod = 14; //Period
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| | | input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price
|
| | | //---
|
| | | input group "---- CCI ----"
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| | | input int CCIPeriod = 14; //Period
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| | | input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price
|
| | | //---
|
| | | input group "---- ATR ----"
|
| | | input int ATRPeriod = 14; //Period
|
| | | //---
|
| | | input group "---- MACD ----"
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| | | input int FastPeriod = 12; //Fast
|
| | | input int SlowPeriod = 26; //Slow
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| | | input int SignalPeriod = 9; //Signal
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| | | input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
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| | | //---
|
| | | input group "---- D2Skill ----"
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| | | input ENUM_D2SKILL_BANK_MODE InpD2SkillMode = D2Skill_D2_MODE_FULL; //Skill bank mode
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| | | input bool InpD2SkillUtilityAware = true; //Utility-aware retrieval
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| | | input double InpD2SkillMinUtility = -1.0; //Minimum utility
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| | | input double InpD2SkillUtilityScale = 1.0; //Utility scale
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| | | //+------------------------------------------------------------------+
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2026-08-20 19:55:53 +03:00 | | | //| |
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2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
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| | | int iLatentLayer = -1;
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| | | int iStateRawForecastLayer = 5;
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| | | int iStateTokenLayer = 6;
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| | | //---
|
| | | #define HistoryBars 5
|
| | | #define BarDescr 9 //Elements for 1 bar description
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| | | #define AccountDescr 13 //Account description
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| | | #define NActions 6 //Number of possible Actions
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| | | #define NRewards 1 //Number of rewards
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| | | #define NForecast 12 //Number of forecast
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| | | #define EtalonBalance 1e4
|
| | | #define BatchSize 1e+5
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| | | #define EmbeddingSize 16
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| | | #define DiscFactor 0.5f
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| | | #define FileName "D2Skill"
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| | | #define LatentCount 64
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| | | #define LatentLayer iLatentLayer
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| | | #define StateRawForecastLayer iStateRawForecastLayer
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| | | #define StateTokenLayer iStateTokenLayer
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| | | #define ForecastTokenDim (EmbeddingSize + 1)
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| | | #define MaxSL 1000
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| | | #define MaxTP 1000
|
| | | #define ActorUpdate 5
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| | | #define TargetUpdate 24*5
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| | | #define tau 0.9f
|
| | | #define NHeads 4
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| | | #define NExperts 5
|
| | | #define NScenarios 21
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| | | #define TopK 5
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| | | #define Quantiles 8
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| | | #define StackSize 24*21
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| | | #define Blocks 24
|
| | | //+------------------------------------------------------------------+
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2026-08-20 19:55:53 +03:00 | | | //| |
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2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
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| | | CSymbolInfo Symb;
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| | | CTrade Trade;
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| | | MqlRates Rates[];
|
| | | //---
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| | | CiRSI RSI;
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| | | CiCCI CCI;
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| | | CiATR ATR;
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| | | CiMACD MACD;
|
| | | //+------------------------------------------------------------------+
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2026-08-20 19:55:53 +03:00 | | | //| |
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2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | struct SState
|
| | | {
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| | | float state[HistoryBars * BarDescr];
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| | | float account[AccountDescr - 4];
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| | | float action[NActions];
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| | | float rewards[NRewards];
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| | | //---
|
| | | SState(void);
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| | | //---
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| | | bool Save(int file_handle);
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| | | bool Load(int file_handle);
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| | | //--- overloading
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| | | void operator=(const SState &obj)
|
| | | {
|
| | | ArrayCopy(state, obj.state);
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| | | ArrayCopy(account, obj.account);
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| | | ArrayCopy(action, obj.action);
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| | | ArrayCopy(rewards, obj.rewards);
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| | | }
|
| | | };
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2026-08-20 22:59:48 +03:00 | | |
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| | | //+------------------------------------------------------------------+
|
| | | //| Complete outcome of one independently simulated D2Skill episode.|
|
| | | //+------------------------------------------------------------------+
|
| | | struct SD2SkillEpisodeOutcome
|
| | | {
|
| | | private:
|
| | | double dOutcome;
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| | | double dBalance;
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| | | double dEquity;
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| | | double dDrawdown;
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| | | double dCost;
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| | | double dRisk;
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2026-08-21 08:18:10 +03:00 | | | double dPeakEquity;
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2026-08-20 22:59:48 +03:00 | | | uint uDuration;
|
| | |
|
| | | public:
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| | | bool Reset(void)
|
| | | {
|
| | | dOutcome = 0.0;
|
| | | dBalance = 0.0;
|
| | | dEquity = 0.0;
|
| | | dDrawdown = 0.0;
|
| | | dCost = 0.0;
|
| | | dRisk = 0.0;
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2026-08-21 08:18:10 +03:00 | | | dPeakEquity = 0.0;
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2026-08-20 22:59:48 +03:00 | | | uDuration = 0;
|
| | | return(true);
|
| | | }
|
| | | bool Accumulate(const double reward, const double balance,
|
| | | const double equity, const double drawdown,
|
| | | const double cost, const uint duration,
|
| | | const double risk = 0.0)
|
| | | {
|
| | | if(!MathIsValidNumber(reward) || !MathIsValidNumber(balance) ||
|
| | | !MathIsValidNumber(equity) || !MathIsValidNumber(drawdown) ||
|
| | | !MathIsValidNumber(cost) || !MathIsValidNumber(risk))
|
| | | ReturnFalse;
|
| | | dOutcome += reward;
|
| | | dBalance = balance;
|
| | | dEquity = equity;
|
2026-08-21 08:18:10 +03:00 | | | dPeakEquity = MathMax(dPeakEquity, equity);
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| | | const double peak_drawdown = (dPeakEquity > 0.0 ?
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| | | (dPeakEquity - equity) / dPeakEquity : 0.0);
|
| | | dDrawdown = MathMax(dDrawdown, MathMax(MathAbs(drawdown), peak_drawdown));
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2026-08-20 22:59:48 +03:00 | | | dCost += MathAbs(cost);
|
| | | dRisk = MathMax(dRisk, MathAbs(risk));
|
| | | uDuration += duration;
|
| | | return(true);
|
| | | }
|
| | | double Outcome(void) const { return(dOutcome); }
|
| | | double Balance(void) const { return(dBalance); }
|
| | | double Equity(void) const { return(dEquity); }
|
| | | double Drawdown(void) const { return(dDrawdown); }
|
| | | double Cost(void) const { return(dCost); }
|
| | | double Risk(void) const { return(dRisk); }
|
| | | uint Duration(void) const { return(uDuration); }
|
| | | };
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2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
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2026-08-21 08:18:10 +03:00 | | | //| Calculates terminal paired utility from complete episode state. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillComputePairedEpisodeDelta(const SD2SkillEpisodeOutcome &base,
|
| | | const SD2SkillEpisodeOutcome &skill,
|
| | | double &delta_j)
|
| | | {
|
| | | const double base_outcome = base.Outcome();
|
| | | const double skill_outcome = skill.Outcome();
|
| | | if(!MathIsValidNumber(base_outcome) || !MathIsValidNumber(skill_outcome))
|
| | | ReturnFalse;
|
| | | delta_j = skill_outcome - base_outcome;
|
| | | return(MathIsValidNumber(delta_j));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | //| Validates a complete, synchronous paired terminal outcome. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillValidatePairedEpisode(const SD2SkillEpisodeOutcome &base,
|
| | | const SD2SkillEpisodeOutcome &skill)
|
| | | {
|
| | | if(!MathIsValidNumber(base.Outcome()) || !MathIsValidNumber(skill.Outcome()) ||
|
| | | base.Duration() == 0 || skill.Duration() == 0 ||
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| | | base.Duration() != skill.Duration())
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| | | ReturnFalse;
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Returns whether a checkpoint requests a later boundary save. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCheckpointDue(const ulong transitions, const int checkpoint_interval)
|
| | | {
|
| | | return(checkpoint_interval > 0 && transitions > 0 &&
|
| | | transitions % (ulong)checkpoint_interval == 0);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| DeltaJ may close only at a terminal or configured pair horizon. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillOnlinePairBoundary(const bool real_terminal, const bool virtual_terminal,
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| | | const ulong pair_transitions, const int pair_horizon)
|
| | | {
|
| | | if(real_terminal || virtual_terminal)
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| | | return(true);
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| | | return(pair_horizon > 0 && pair_transitions >= (ulong)pair_horizon);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-21 08:18:10 +03:00 | | | //| An independent pair ends as soon as either branch is terminal. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillPairReachedTerminal(const bool base_terminal, const bool skill_terminal)
|
| | | {
|
| | | return(base_terminal || skill_terminal);
|
| | | }
|
| | | //+------------------------------------------------------------------+
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2026-08-20 19:55:53 +03:00 | | | //| Implements SState. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | SState::SState(void)
|
| | | {
|
| | | ArrayInitialize(state, 0);
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| | | ArrayInitialize(account, 0);
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| | | ArrayInitialize(action, 0);
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| | | ArrayInitialize(rewards, 0);
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| | | }
|
| | | //+------------------------------------------------------------------+
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2026-08-20 19:55:53 +03:00 | | | //| Saves |
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2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool SState::Save(int file_handle)
|
| | | {
|
| | | if(file_handle == INVALID_HANDLE)
|
| | | ReturnFalse;
|
| | | //---
|
| | | int total = ArraySize(state);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | ReturnFalse;
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| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
|
| | | ReturnFalse;
|
| | | //---
|
| | | total = ArraySize(account);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | ReturnFalse;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
|
| | | ReturnFalse;
|
| | | //---
|
| | | total = ArraySize(action);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | ReturnFalse;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
|
| | | ReturnFalse;
|
| | | total = ArraySize(rewards);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | ReturnFalse;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, rewards[i]) < sizeof(float))
|
| | | ReturnFalse;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Loads. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool SState::Load(int file_handle)
|
| | | {
|
| | | if(file_handle == INVALID_HANDLE)
|
| | | ReturnFalse;
|
| | | if(FileIsEnding(file_handle))
|
| | | ReturnFalse;
|
| | | //---
|
| | | int total = FileReadInteger(file_handle);
|
| | | if(total != ArraySize(state))
|
| | | ReturnFalse;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | ReturnFalse;
|
| | | state[i] = FileReadFloat(file_handle);
|
| | | }
|
| | | //---
|
| | | total = FileReadInteger(file_handle);
|
| | | if(total != ArraySize(account))
|
| | | ReturnFalse;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | ReturnFalse;
|
| | | account[i] = FileReadFloat(file_handle);
|
| | | }
|
| | | //---
|
| | | total = FileReadInteger(file_handle);
|
| | | if(total != ArraySize(action))
|
| | | ReturnFalse;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | ReturnFalse;
|
| | | action[i] = MathMin(MathMax(FileReadFloat(file_handle), 0), 1);
|
| | | }
|
| | | //---
|
| | | total = FileReadInteger(file_handle);
|
| | | if(total != ArraySize(rewards))
|
| | | ReturnFalse;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | ReturnFalse;
|
| | | rewards[i] = FileReadFloat(file_handle);
|
| | | }
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool CreateStateDescriptions(CArrayObj *&encoder,
|
| | | CArrayObj *&decoder
|
| | | )
|
| | | {
|
| | | //---
|
| | | CLayerDescription *descr;
|
| | | //---
|
| | | if(!encoder)
|
| | | {
|
| | | encoder = new CArrayObj();
|
| | | if(!encoder)
|
| | | ReturnFalse;
|
| | | }
|
| | | if(!decoder)
|
| | | {
|
| | | decoder = new CArrayObj();
|
| | | if(!decoder)
|
| | | ReturnFalse;
|
| | | }
|
| | | //--- State Encoder
|
| | | encoder.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBaseOCL;
|
| | | uint prev_count = descr.count = HistoryBars * BarDescr;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBatchNormOCL;
|
| | | descr.count = prev_count;
|
| | | descr.batch = 1e4;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronDropoutOCL;
|
| | | descr.count = prev_count;
|
| | | descr.probability = 0.1f;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronCogDriverData;
|
| | | descr.window = BarDescr;
|
| | | descr.count = HistoryBars;
|
| | | {
|
| | | uint temp[] = {StackSize, StackSize, Quantiles};
|
| | | if(ArrayCopy(descr.units, temp, 0, 0, temp.Size()) < int(temp.Size()))
|
| | | ReturnFalse;
|
| | | }
|
| | | descr.probability = 1.0f;
|
| | | descr.activation = None;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronCogDriverRankTCM;
|
| | | descr.window = BarDescr * (2 * Quantiles + 1);
|
| | | descr.count = EmbeddingSize;
|
| | | descr.variables = HistoryBars;
|
| | | {
|
| | | uint temp[] = {StackSize, NHeads};
|
| | | if(ArrayCopy(descr.units, temp, 0, 0, temp.Size()) < int(temp.Size()))
|
| | | ReturnFalse;
|
| | | }
|
| | | descr.activation = None;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronCogDriverForecastHead;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.count = NForecast;
|
| | | descr.variables = HistoryBars;
|
| | | {
|
| | | uint temp[] = {Blocks, NHeads};
|
| | | if(ArrayCopy(descr.units, temp, 0, 0, temp.Size()) < int(temp.Size()))
|
| | | ReturnFalse;
|
| | | }
|
| | | descr.activation = None;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | iStateRawForecastLayer = 5;
|
| | | //--- layer 6
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronCogDriverForecastToken;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.count = NForecast;
|
| | | descr.activation = None;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | iStateTokenLayer = 6;
|
| | | //--- Forecast Decoder
|
| | | decoder.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = NForecast * EmbeddingSize;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!decoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = NForecast;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = EmbeddingSize;
|
| | | descr.window_out = 2 * EmbeddingSize;
|
| | | descr.activation = GELU;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!decoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = NForecast;
|
| | | descr.window = 2 * EmbeddingSize;
|
| | | descr.step = 2 * EmbeddingSize;
|
| | | descr.window_out = EmbeddingSize;
|
| | | descr.activation = GELU;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!decoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = NForecast;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = EmbeddingSize;
|
| | | descr.window_out = BarDescr;
|
| | | descr.activation = None;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!decoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBatchNormOCL;
|
| | | descr.count = NForecast * BarDescr;
|
| | | descr.batch = 1e4;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!decoder.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool CreateDescriptions(CArrayObj *&actor,
|
| | | CArrayObj *&critic
|
| | | )
|
| | | {
|
| | | //---
|
| | | CLayerDescription *descr;
|
| | | //---
|
| | | if(!actor)
|
| | | {
|
| | | actor = new CArrayObj();
|
| | | if(!actor)
|
| | | ReturnFalse;
|
| | | }
|
| | | if(!critic)
|
| | | {
|
| | | critic = new CArrayObj();
|
| | | if(!critic)
|
| | | ReturnFalse;
|
| | | }
|
| | | //--- Actor
|
| | | actor.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBaseOCL;
|
| | | uint prev_count = descr.count = AccountDescr;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!actor.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | iLatentLayer = 0;
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = NScenarios * EmbeddingSize;
|
| | | descr.activation = GELU;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!actor.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronMomADMPI;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.count = StackSize;
|
| | | {
|
| | | uint temp[] = {NScenarios, ForecastTokenDim, NForecast};
|
| | | if(ArrayCopy(descr.units, temp, 0, 0, temp.Size()) < int(temp.Size()))
|
| | | ReturnFalse;
|
| | | }
|
| | | descr.probability = TopK;
|
| | | descr.step = NHeads;
|
| | | descr.window_out = EmbeddingSize / NHeads;
|
| | | descr.activation = None;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!actor.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | iLatentLayer = 2;
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronSpikeConvBlock;
|
| | | descr.count = 1;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = EmbeddingSize;
|
| | | descr.window_out = EmbeddingSize;
|
| | | descr.variables = 1;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!actor.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = NActions;
|
| | | descr.optimization = ADAM;
|
| | | if(!actor.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | 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))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- Critic
|
| | | critic.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = NActions;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!critic.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronMHCrossFAT;
|
| | | {
|
| | | uint temp[] = {3, // Inputs window
|
| | | EmbeddingSize, // Key Dimension
|
| | | ForecastTokenDim, // Cross window
|
| | | EmbeddingSize // Embedding size
|
| | | };
|
| | | if(ArrayCopy(descr.windows, temp) < (int)temp.Size())
|
| | | ReturnFalse;
|
| | | }
|
| | | {
|
| | | uint temp[] = {NActions / 3, // Query units
|
| | | NForecast // Cross units
|
| | | };
|
| | | if(ArrayCopy(descr.units, temp) < (int)temp.Size())
|
| | | ReturnFalse;
|
| | | }
|
| | | descr.step = NHeads; // Heads
|
| | | descr.batch = 1e4;
|
| | | descr.layers = NExperts; // Candidates
|
| | | descr.variables = TopK; // Top-K
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!critic.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronSpikeConvBlock;
|
| | | 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))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronSpikeConvBlock;
|
| | | descr.count = NActions / 3;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = EmbeddingSize;
|
| | | descr.window_out = EmbeddingSize;
|
| | | descr.variables = 1;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!critic.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = LatentCount;
|
| | | descr.activation = SIGMOID;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!critic.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //--- layer 6
|
| | | if(!(descr = new CLayerDescription()))
|
| | | DeleteObjAndFalse(descr);
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = NRewards;
|
| | | descr.activation = None;
|
| | | descr.batch = BatchSize;
|
| | | descr.optimization = ADAM;
|
| | | if(!critic.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | #ifndef Study
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Checks NewBar. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool IsNewBar(void)
|
| | | {
|
| | | static datetime last_bar = 0;
|
| | | if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
|
2026-08-26 18:00:29 +03:00 | | | return(false);
|
2026-08-20 19:43:03 +03:00 | | | //---
|
| | | last_bar = iTime(Symb.Name(), TimeFrame, 0);
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Creates and manages object lifecycle for CloseByDirection. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Implements TrailPosition. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Creates and manages object lifecycle for ClosePartial. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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);
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Creates and manages object lifecycle for CDeal. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | void CDeal::CDeal(void) : OpenTime(0),
|
| | | // Creates and manages object lifecycle for CloseTime.
|
| | | CloseTime(0),
|
| | | // Implements Type.
|
| | | Type(POSITION_TYPE_BUY),
|
| | | // Implements Volume.
|
| | | Volume(0),
|
| | | // Implements OpenPrice.
|
| | | OpenPrice(0),
|
| | | // Implements StopLos.
|
| | | StopLos(0),
|
| | | // Implements TakeProfit.
|
| | | TakeProfit(0),
|
| | | // Implements point.
|
| | | point(1e-5)
|
| | | {
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Implements Action. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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);
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Loads Deals. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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);
|
| | | ReturnFalse;
|
| | | }
|
| | | 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());
|
| | | ReturnFalse;
|
| | | }
|
| | | 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());
|
| | | ReturnFalse;
|
| | | }
|
| | | 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());
|
| | | ReturnFalse;
|
| | | }
|
| | | }
|
| | | //---
|
| | | FileClose(handle);
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Implements Action. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Creates or initializes Buffers. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool CreateBuffers(const int start_bar, CBufferFloat* state, CBufferFloat *time, CBufferFloat* forecast)
|
| | | {
|
| | | int total_bars = (start_bar + HistoryBars + (!!forecast ? NForecast : 0));
|
| | | if(!state || !time || start_bar < 0 ||
|
| | | total_bars > int(Rates.Size()))
|
| | | ReturnFalse;
|
| | | //---
|
| | | matrix<float> mState = matrix<float>::Zeros(BarDescr, HistoryBars);
|
| | | vector<float> vForecast = vector<float>::Zeros(NForecast * BarDescr);
|
| | | time.Clear();
|
| | | time.Reserve(HistoryBars);
|
| | | int bar = start_bar + (!!forecast ? NForecast : 0);
|
| | | for(int b = 0; b < (int)HistoryBars; b++)
|
| | | {
|
| | | float open = (float)Rates[b + bar].open;
|
| | | float rsi = (float)RSI.Main(b + bar);
|
| | | float cci = (float)CCI.Main(b + bar);
|
| | | float atr = (float)ATR.Main(b + bar);
|
| | | float macd = (float)MACD.Main(b + bar);
|
| | | float sign = (float)MACD.Signal(b + bar);
|
| | | if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| | | ReturnFalse;
|
| | | //---
|
| | | mState[0, b] = (float)(Rates[b + bar].close - open);
|
| | | mState[1, b] = (float)(Rates[b + bar].high - open);
|
| | | mState[2, b] = (float)(Rates[b + bar].low - open);
|
| | | mState[3, b] = (float)(Rates[b + bar].tick_volume / 1000.0f);
|
| | | mState[4, b] = rsi;
|
| | | mState[5, b] = cci;
|
| | | mState[6, b] = atr;
|
| | | mState[7, b] = macd;
|
| | | mState[8, b] = sign;
|
| | | if(!time.Add(float(Rates[b + bar].time)))
|
| | | ReturnFalse;
|
| | | }
|
| | | if(!state.AssignArray(mState))
|
| | | ReturnFalse;
|
| | | if(time.GetIndex() >= 0)
|
| | | if(!time.BufferWrite())
|
| | | ReturnFalse;
|
| | | if(!forecast)
|
| | | return true;
|
| | | //---
|
| | | for(int b = 1; b <= (int)NForecast; b++)
|
| | | {
|
| | | float open = (float)Rates[bar - b].open;
|
| | | float rsi = (float)RSI.Main(bar - b);
|
| | | float cci = (float)CCI.Main(bar - b);
|
| | | float atr = (float)ATR.Main(bar - b);
|
| | | float macd = (float)MACD.Main(bar - b);
|
| | | float sign = (float)MACD.Signal(bar - b);
|
| | | if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| | | ReturnFalse;
|
| | | //---
|
| | | int shift = (NForecast - b) * BarDescr;
|
| | | vForecast[shift] = (float)(Rates[bar - b].close - open);
|
| | | vForecast[shift + 1] = (float)(Rates[bar - b].high - open);
|
| | | vForecast[shift + 2] = (float)(Rates[bar - b].low - open);
|
| | | vForecast[shift + 3] = (float)(Rates[bar - b].tick_volume / 1000.0f);
|
| | | vForecast[shift + 4] = rsi;
|
| | | vForecast[shift + 5] = cci;
|
| | | vForecast[shift + 6] = atr;
|
| | | vForecast[shift + 7] = macd;
|
| | | vForecast[shift + 8] = sign;
|
| | | }
|
| | | //---
|
| | | if(!forecast.AssignArray(vForecast))
|
| | | ReturnFalse;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Implements SampleAccount. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | const vector<float> SampleAccount(CBufferFloat *state, datetime time, double max_balance, double min_balance = 0)
|
| | | {
|
| | | vector<float> result = vector<float>::Zeros(AccountDescr);
|
| | | if(!state)
|
| | | return result;
|
| | | //---
|
| | | double marg = 0;
|
| | | if(!Symb.RefreshRates() || !OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
|
| | | return result;
|
| | | double buy_lot = 0, sell_lot = 0, profit = 0;
|
| | | double deal = 0;//MathRand() / (32767 * 0.5) - 1;
|
| | | double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
|
| | | //---
|
| | | double balance = (max_balance - min_balance) * MathRand() / 32767.0 + min_balance;
|
| | | double prev_balance = balance;
|
| | | double equity = balance;
|
| | | double prev_equity = balance;
|
| | | double position_discount = 0;
|
| | | //---
|
| | | if(deal > 0)
|
| | | {
|
| | | double lot = balance / (2.0 * marg) * deal;
|
| | | if(lot >= Symb.LotsMin())
|
| | | buy_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
|
| | | }
|
| | | else
|
| | | if(deal < 0)
|
| | | {
|
| | | double lot = MathAbs(balance / (2.0 * marg) * deal);
|
| | | if(lot >= Symb.LotsMin())
|
| | | sell_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
|
| | | }
|
| | | else
|
| | | prev_balance += (MathRand() / (2.0 * 32767.0) - 0.25) * balance;
|
| | | //---
|
| | | if(sell_lot > 0 || buy_lot > 0)
|
| | | {
|
| | | int pos_open = int(MathRand() / 32767.0 * (state.Total() / BarDescr - 1));
|
| | | for(int i = 0; i <= pos_open; i++)
|
| | | {
|
| | | profit += state.At(i * BarDescr) / Symb.TickSize() * Symb.TickValue();
|
| | | if(((buy_lot > 0 && profit < 0) ||
|
| | | (sell_lot > 0 && profit > 0))
|
| | | // Implements MathAbs.
|
| | | && MathAbs(profit * (buy_lot - sell_lot)) > balance / 2)
|
| | | {
|
| | | pos_open = i;
|
| | | break;
|
| | | }
|
| | | }
|
| | | profit *= buy_lot - sell_lot;
|
| | | equity += profit;
|
| | | prev_equity = equity - state.At(0) / Symb.TickSize() * Symb.TickValue() * (buy_lot - sell_lot);
|
| | | position_discount = pos_open * PeriodSeconds(TimeFrame) * multiplyer * MathAbs(profit);
|
| | | }
|
| | | //---
|
| | | result[0] = float(balance / EtalonBalance);
|
| | | result[1] = float((balance - prev_balance) / prev_balance);
|
| | | result[2] = float(equity / prev_balance);
|
| | | result[3] = float((equity - prev_equity) / prev_equity);
|
| | | result[4] = float(buy_lot);
|
| | | result[5] = float(sell_lot);
|
| | | result[6] = float(buy_lot * profit / prev_balance);
|
| | | result[7] = float(sell_lot * profit / prev_balance);
|
| | | result[8] = float(position_discount / prev_balance);
|
| | | double x = time / (double)(D'2024.01.01' - D'2023.01.01');
|
| | | result[9] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
|
| | | x = time / (double)PeriodSeconds(PERIOD_MN1);
|
| | | result[10] = float(MathCos(x != 0 ? 2.0 * M_PI * x : 0));
|
| | | x = time / (double)PeriodSeconds(PERIOD_W1);
|
| | | result[11] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
|
| | | x = time / (double)PeriodSeconds(PERIOD_D1);
|
| | | result[12] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
|
| | | //---
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Creates and manages object lifecycle for CheckAction. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | double CheckAction(CBufferFloat *action, double balance, uint start_position)
|
| | | {
|
| | | if(!action || start_position >= Rates.Size())
|
| | | return 0;
|
| | | //---
|
| | | double buy_lot = MathMax(double(action[0] - action[3]), 0);
|
| | | double sell_lot = MathMax(double(action[3] - action[0]), 0);
|
| | | double marg = 0;
|
| | | if(!OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
|
| | | return 0;
|
| | | double point_cost = Symb.TickValue() / Symb.TickSize();
|
| | | if(MathMax(buy_lot, sell_lot) < Symb.LotsMin())
|
| | | {
|
| | | double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
|
| | | Rates[start_position].open - Rates[start_position].low) *
|
| | | point_cost * balance / (2 * marg);
|
| | | return loss;
|
| | | }
|
| | | if((marg * MathMax(buy_lot, sell_lot)) >= balance)
|
| | | {
|
| | | double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
|
| | | Rates[start_position].open - Rates[start_position].low) *
|
| | | point_cost * MathMax(buy_lot, sell_lot);
|
| | | return loss;
|
| | | }
|
| | | point_cost *= MathAbs(buy_lot - sell_lot);
|
| | | //---
|
| | | double tp = 0, sl = 0, profit = 0, reward = 0;
|
| | | int stops = MathMax(Symb.StopsLevel(), 10);
|
| | | int spread = Symb.Spread();
|
| | | if(buy_lot > 0)
|
| | | {
|
| | | tp = action[1] * MaxTP;
|
| | | sl = action[2] * MaxSL;
|
| | | if(int(tp) < stops || int(sl) < (stops + spread))
|
| | | {
|
| | | double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
|
| | | Rates[start_position].open - Rates[start_position].low) *
|
| | | point_cost * buy_lot;
|
| | | return loss;
|
| | | }
|
| | | tp = (tp + spread) * Symb.Point() + Rates[start_position].open;
|
| | | sl = Rates[start_position].open - (sl + spread) * Symb.Point();
|
| | | reward = profit = -spread * Symb.Point() * point_cost;
|
| | | for(uint i = start_position; i > 0; i--)
|
| | | {
|
| | | if(sl >= Rates[i].low)
|
| | | {
|
| | | double p = (Rates[i].open - sl) * point_cost;
|
| | | profit -= p;
|
| | | reward -= p * MathPow(DiscFactor, float(i - start_position));
|
| | | break;
|
| | | }
|
| | | if(tp <= Rates[i].high)
|
| | | {
|
| | | double p = (tp - Rates[i].open) * point_cost;
|
| | | profit += p;
|
| | | reward += p * MathPow(DiscFactor, float(i - start_position));
|
| | | break;
|
| | | }
|
| | | double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
|
| | | profit += p;
|
| | | reward += p * MathPow(DiscFactor, float(i - start_position));
|
| | | if(-profit >= balance)
|
| | | {
|
| | | reward -= 1000;
|
| | | break;
|
| | | }
|
| | | }
|
| | | }
|
| | | //---
|
| | | if(sell_lot > 0)
|
| | | {
|
| | | tp = action[4] * MaxTP;
|
| | | sl = action[5] * MaxSL;
|
| | | if(int(tp) < stops || int(sl) < (stops + spread))
|
| | | {
|
| | | double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
|
| | | Rates[start_position].open - Rates[start_position].low) *
|
| | | point_cost * sell_lot;
|
| | | return loss;
|
| | | }
|
| | | tp = Rates[start_position].open - (tp + spread) * Symb.Point();
|
| | | sl = Rates[start_position].open + (sl - spread) * Symb.Point();
|
| | | for(uint i = start_position; i > 0; i--)
|
| | | {
|
| | | if(sl <= Rates[i].high)
|
| | | {
|
| | | double p = (sl - Rates[i].open) * point_cost;
|
| | | profit -= p;
|
| | | reward -= p * MathPow(DiscFactor, float(i - start_position));
|
| | | break;
|
| | | }
|
| | | if(tp >= Rates[i].low)
|
| | | {
|
| | | double p = (Rates[i].open - tp) * point_cost;
|
| | | profit += p;
|
| | | reward += p * MathPow(DiscFactor, float(i - start_position));
|
| | | break;
|
| | | }
|
| | | double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
|
| | | profit -= p;
|
| | | reward -= p * MathPow(DiscFactor, float(i - start_position));
|
| | | if(-profit >= balance)
|
| | | {
|
| | | reward -= 1000;
|
| | | break;
|
| | | }
|
| | | }
|
| | | }
|
| | | //---
|
| | | return reward;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| Implements OraculAction. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | vector<float> OraculAction(const vector<float> &account, CBufferFloat *forecat)
|
| | | {
|
| | | //--- Look for target
|
| | | vector<float> result = vector<float>::Zeros(NActions);
|
| | | matrix<float> fstate = matrix<float>::Zeros(NForecast, BarDescr);
|
| | | if(!forecat.GetData(fstate))
|
| | | return result;
|
| | | //---
|
| | | vector<float> target = fstate.Col(0).CumSum();
|
| | | if(account[4] > account[5])
|
| | | {
|
| | | float tp = 0;
|
| | | float sl = 0;
|
| | | float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
|
| | | int pos = 0;
|
| | | for(int j = 0; j < NForecast; j++)
|
| | | {
|
| | | tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
|
| | | pos = j;
|
| | | if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
|
| | | break;
|
| | | sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
|
| | | }
|
| | | if(pos > 0 && tp > 0)
|
| | | {
|
| | | sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
|
| | | tp = float(MathMax(MathMin(tp / (MaxTP * Point()), 1), 0.01));
|
| | | result[0] = MathMax(result[0] - result[3], 0.011f);
|
| | | result[5] = result[1] = tp;
|
| | | result[4] = result[2] = sl;
|
| | | result[3] = 0;
|
| | | }
|
| | | }
|
| | | else
|
| | | {
|
| | | if(account[4] < account[5])
|
| | | {
|
| | | float tp = 0;
|
| | | float sl = 0;
|
| | | float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
|
| | | int pos = 0;
|
| | | for(int j = 0; j < NForecast; j++)
|
| | | {
|
| | | tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
|
| | | pos = j;
|
| | | if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
|
| | | break;
|
| | | sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
|
| | | }
|
| | | if(pos > 0 && tp < 0)
|
| | | {
|
| | | sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
|
| | | tp = float(MathMax(MathMin(-tp / (MaxTP * Point()), 1), 0.01));
|
| | | result[3] = MathMax(result[3] - result[0], 0.011f);
|
| | | result[2] = result[4] = tp;
|
| | | result[1] = result[5] = sl;
|
| | | result[0] = 0;
|
| | | }
|
| | | }
|
| | | else
|
| | | {
|
| | | ulong argmin = target.ArgMin();
|
| | | ulong argmax = target.ArgMax();
|
| | | float max_sl = float(MaxSL * Point());
|
| | | double equity = account[2] * account[0] * EtalonBalance / (1 + account[1]);
|
| | | while(argmax > 0 && argmin > 0)
|
| | | {
|
| | | if(argmax < argmin && target[argmax] / 2 > MathAbs(target[argmin]) && MathAbs(target[argmin]) < max_sl)
|
| | | break;
|
| | | if(argmax > argmin && target[argmax] < MathAbs(target[argmin] / 2) && target[argmax] < max_sl)
|
| | | break;
|
| | | target.Resize(MathMin(argmax, argmin));
|
| | | argmin = target.ArgMin();
|
| | | argmax = target.ArgMax();
|
| | | }
|
| | | if(argmin == 0 || (argmax < argmin && argmax > 0))
|
| | | {
|
| | | float tp = 0;
|
| | | float sl = 0;
|
| | | float cur_sl = - float(MaxSL * Point());
|
| | | ulong pos = 0;
|
| | | for(ulong j = 0; j < argmax; j++)
|
| | | {
|
| | | tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
|
| | | pos = j;
|
| | | if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
|
| | | break;
|
| | | sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
|
| | | }
|
| | | if(pos > 0 && tp > 0)
|
| | | {
|
| | | sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
|
| | | tp = (float)MathMin(tp / (MaxTP * Point()), 1);
|
| | | result[0] = float(MathMax(equity / 100 * 0.01, 0.011));
|
| | | result[5] = result[1] = tp;
|
| | | result[4] = result[2] = sl;
|
| | | result[3] = 0;
|
| | | }
|
| | | }
|
| | | else
|
| | | {
|
| | | if(argmax == 0 || argmax > argmin)
|
| | | {
|
| | | float tp = 0;
|
| | | float sl = 0;
|
| | | float cur_sl = float(MaxSL * Point());
|
| | | ulong pos = 0;
|
| | | for(ulong j = 0; j < argmin; j++)
|
| | | {
|
| | | tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
|
| | | pos = j;
|
| | | if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
|
| | | break;
|
| | | sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
|
| | | }
|
| | | if(pos > 0 && tp < 0)
|
| | | {
|
| | | sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
|
| | | tp = (float)MathMin(-tp / (MaxTP * Point()), 1);
|
| | | result[3] = float(MathMax(equity / 100 * 0.01, 0.011));
|
| | | result[2] = result[4] = tp;
|
| | | result[1] = result[5] = sl;
|
| | | result[0] = 0;
|
| | | }
|
| | | }
|
| | | }
|
| | | }
|
| | | }
|
| | | //---
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| D2Skill ScenarioForecast and Actor/Critic runtime |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillRecoverySmoke = false;
|
| | | uint D2SkillRecoverySmokeBatches = 2000;
|
| | | uint D2SkillRecoverySmokeAge = 512;
|
| | | const uint D2Skill_FORMAT_VERSION = 7;
|
| | | const string D2Skill_MARKET_FILE = "D2SkillMkt.nnw";
|
| | | const string D2Skill_TARGET_FILE = "D2SkillTrg.nnw";
|
| | | const string D2Skill_MANIFEST_FILE = "D2SkillForecast.manifest";
|
| | | const string D2Skill_ACTOR_FILE = "D2SkillActor.nnw";
|
| | | const string D2Skill_Q1_FILE = "D2SkillQ1.nnw";
|
| | | const string D2Skill_Q2_FILE = "D2SkillQ2.nnw";
|
| | | const string D2Skill_AC_MANIFEST_FILE = "D2SkillActorCritic.manifest";
|
2026-08-22 20:08:02 +03:00 | | | const uint D2Skill_AC_FORMAT_VERSION = 13;
|
2026-08-20 19:43:03 +03:00 | | | const string D2Skill_OOS_FILE = "D2SkillOOS.csv";
|
| | | const string D2Skill_OOS_MANIFEST_FILE = "D2SkillOOS.manifest";
|
| | | //--- Utility is defined only by the counterfactual paired terminal outcome.
|
| | | const int D2Skill_D2_UTILITY_PAIRED_HINDSIGHT = 0;
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:55:53 +03:00 | | | //| D2Skill builds transitions directly from historical windows |
|
| | | //| Base CNet already provides Layer(int) and |
|
| | | //| FeedForwardLayer(CNeuronBaseOCL*). |
|
2026-08-20 19:43:03 +03:00 | | | //| A transient, non-owning layer view lets the library transpose |
|
| | | //+------------------------------------------------------------------+
|
| | | class CD2SkillBufferView : public CNeuronBaseOCL
|
| | | {
|
| | | public:
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements Bind. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool Bind(CBufferFloat *source)
|
| | | {
|
| | | if(!source || source.GetIndex() < 0)
|
| | | ReturnFalse;
|
| | | if(Output != source)
|
| | | DeleteObj(Output);
|
| | | Output = source;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements Unbind. |
|
| | | //+------------------------------------------------------------------+
|
| | | void Unbind(void)
|
| | | {
|
| | | Output = NULL;
|
| | | }
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
| | | //| Device-only composition adapter, all operations reuse existing |
|
| | | //+------------------------------------------------------------------+
|
| | | class CD2SkillDeviceOps : public CNeuronBaseOCL
|
| | | {
|
| | | public:
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements Bind. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool Bind(COpenCLMy *open_cl)
|
| | | {
|
| | | OpenCL = open_cl;
|
| | | return (CheckPointer(OpenCL) != POINTER_INVALID);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Creates and manages object lifecycle for Copy. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool Copy(CBufferFloat *source, CBufferFloat *destination, const uint total)
|
| | | {
|
| | | if(!source || !destination || source.Total() != int(total) ||
|
| | | destination.Total() != int(total) || source.GetIndex() < 0 ||
|
| | | destination.GetIndex() < 0 || source.GetOpenCL() != OpenCL ||
|
| | | destination.GetOpenCL() != OpenCL)
|
| | | ReturnFalse;
|
2026-08-20 19:55:53 +03:00 | | | //---
|
2026-08-20 19:43:03 +03:00 | | | return CopyBufferRaw(source, destination, total);
|
| | | }
|
| | | bool Join2(CBufferFloat *first, const uint first_total, CBufferFloat *second,
|
| | | const uint second_total, CBufferFloat *destination)
|
| | | {
|
| | | if(!first || !second || !destination || first.Total() != int(first_total) ||
|
| | | second.Total() != int(second_total) ||
|
| | | destination.Total() != int(first_total + second_total) || first.GetIndex() < 0 ||
|
| | | second.GetIndex() < 0 || destination.GetIndex() < 0)
|
| | | ReturnFalse;
|
| | | return Concat(first, second, destination, first_total, second_total, 1);
|
| | | }
|
| | | bool Join4(CBufferFloat *first, CBufferFloat *second, CBufferFloat *third,
|
| | | CBufferFloat *fourth, CBufferFloat *destination, const uint block)
|
| | | {
|
| | | if(!first || !second || !third || !fourth || !destination ||
|
| | | first.Total() != int(block) || second.Total() != int(block) ||
|
| | | third.Total() != int(block) || fourth.Total() != int(block) ||
|
| | | destination.Total() != int(4 * block) || first.GetIndex() < 0 || second.GetIndex() < 0 ||
|
| | | third.GetIndex() < 0 || fourth.GetIndex() < 0 || destination.GetIndex() < 0)
|
| | | ReturnFalse;
|
| | | return Concat(first, second, third, fourth, destination, block, block, block, block, 1);
|
| | | }
|
| | | bool Subtract(CBufferFloat *first, CBufferFloat *second, CBufferFloat *destination,
|
| | | const uint dimension)
|
| | | {
|
| | | return Different(first, second, destination, dimension);
|
| | | }
|
| | | bool BroadcastSum(CBufferFloat *vector_in, CBufferFloat *matrix_in,
|
| | | CBufferFloat *destination, const uint dimension, const uint variables)
|
| | | {
|
| | | return SumVecMatrix(vector_in, matrix_in, destination, dimension, variables);
|
| | | }
|
| | | bool Add(CBufferFloat *first, CBufferFloat *second, CBufferFloat *destination,
|
| | | const uint dimension)
|
| | | {
|
| | | return SumAndNormalize(first, second, destination, dimension, false, 0, 0, 0, 1.0f);
|
| | | }
|
| | | bool Split2(CBufferFloat *first, CBufferFloat *second, CBufferFloat *source,
|
| | | const uint first_total, const uint second_total)
|
| | | {
|
| | | return DeConcat(first, second, source, first_total, second_total, 1);
|
| | | }
|
| | | };
|
2026-08-20 19:55:53 +03:00 | | | //---
|
2026-08-20 19:43:03 +03:00 | | | CNet D2SkillMarket;
|
| | | CNet D2SkillTarget;
|
| | | CNeuronScenarioForecast *D2SkillForecast = NULL;
|
| | | //---
|
| | | CBufferFloat D2SkillState;
|
| | | CBufferFloat D2SkillTime;
|
| | | CBufferFloat D2SkillFuture;
|
| | | CBufferFloat D2SkillLatentTarget;
|
| | | CBufferFloat D2SkillLatentDelta;
|
| | | CBufferFloat D2SkillProbeState;
|
| | | CBufferFloat D2SkillProbeTime;
|
| | | CD2SkillBufferView D2SkillFutureView;
|
| | | CNeuronTransposeRCDOCL D2SkillFutureTranspose;
|
| | | CBufferFloat D2SkillLatentZero;
|
| | | CBufferFloat D2SkillLatentNegativeMarket;
|
| | | //---
|
| | | ulong D2SkillInvalidBatches = 0;
|
| | | ulong D2SkillBatches = 0;
|
| | | ulong D2SkillResponsibilityMicroseconds = 0;
|
| | | uint D2SkillCompletedEpochs = 0;
|
| | | ulong D2SkillLastSignature = 0;
|
| | | bool D2SkillReady = false;
|
| | | CBufferFloat D2SkillFrozenGeneratorWeights;
|
| | | CBufferFloat D2SkillFrozenRouterWeights;
|
| | | CBufferFloat D2SkillFrozenConfidenceWeights;
|
| | | CBufferFloat D2SkillFrozenPrototypes;
|
| | | CBufferFloat D2SkillFrozenEMASums;
|
| | | CBufferFloat D2SkillFrozenEMACounts;
|
| | | CBufferFloat D2SkillFrozenUsage;
|
| | | CBufferFloat D2SkillFrozenInactive;
|
| | | CBufferFloat D2SkillFrozenInactivityAge;
|
| | | bool D2SkillFrozenBaselineReady = false;
|
| | | CD2SkillDeviceOps D2SkillDevice;
|
| | | ENUM_D2SKILL_STAGE D2SkillD2Stage = D2Skill_D2_STAGE_BASE;
|
| | | ENUM_D2SKILL_BANK_MODE D2SkillD2Mode = D2Skill_D2_MODE_BASE;
|
| | | ENUM_D2SKILL_MODE D2SkillD2ExecutionMode = D2_DISABLED;
|
| | | bool D2SkillD2UtilityAware = false;
|
| | | double D2SkillD2UtilityScale = 1.0;
|
| | | double D2SkillD2MinUtility = -1.0;
|
2026-08-21 08:18:10 +03:00 | | | bool D2SkillD2OnlineDirectionUpdate = false;
|
2026-08-22 20:08:02 +03:00 | | | bool D2SkillD2OnlineCriticUpdate = false;
|
| | | ED2SkillRepresentation D2SkillD2Representation = D2SkillDirectionMagnitude;
|
| | | bool D2SkillD2ResetBanksOnRepresentationMismatch = false;
|
| | | bool D2SkillD2RecreateIncompatibleCheckpoint = false;
|
2026-08-20 19:43:03 +03:00 | | | int D2SkillD2UtilityMode = D2Skill_D2_UTILITY_PAIRED_HINDSIGHT;
|
| | | ulong D2SkillD2PairedUtilityUpdates = 0;
|
| | | //+------------------------------------------------------------------+
|
2026-08-26 21:41:25 +03:00 | | | //| Reports completed terminal utility updates for online calibration. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillOnlineCalibrationHasClosedUtilityUpdates(void)
|
| | | {
|
| | | return(D2SkillD2PairedUtilityUpdates > 0);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-27 11:39:46 +03:00 | | | bool D2SkillRequiresBankGradientBackward(void)
|
| | | {
|
| | | if(D2SkillD2Mode == D2Skill_D2_MODE_BASE)
|
| | | return(false);
|
| | |
|
| | | return(D2SkillD2ExecutionMode == D2_COLLECT ||
|
| | | D2SkillD2ExecutionMode == D2_EVALUATE ||
|
| | | D2SkillD2ExecutionMode == D2_ONLINE_CALIBRATION);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:43:03 +03:00 | | | //| Configures D2Skill execution without preprocessor injection. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillConfigureRuntime(const ENUM_D2SKILL_STAGE stage, const ENUM_D2SKILL_BANK_MODE mode,
|
| | | const ENUM_D2SKILL_MODE execution_mode,
|
2026-08-22 20:08:02 +03:00 | | | const bool utility_aware, const double min_utility,
|
| | | const double utility_scale,
|
| | | const bool online_direction_update = false,
|
| | | const bool online_critic_update = false,
|
| | | const ED2SkillRepresentation representation = D2SkillDirectionMagnitude,
|
| | | const bool reset_banks_on_representation_mismatch = false,
|
| | | const bool recreate_incompatible_checkpoint = false)
|
2026-08-20 19:43:03 +03:00 | | | {
|
| | | if(stage < D2Skill_D2_STAGE_BASE || stage > D2Skill_D2_STAGE_ONLINE ||
|
| | | mode < D2Skill_D2_MODE_BASE || mode > D2Skill_D2_MODE_FULL ||
|
| | | execution_mode < D2_DISABLED || execution_mode > D2_ONLINE_CALIBRATION ||
|
2026-08-22 20:08:02 +03:00 | | | representation < D2SkillFullResidual || representation > D2SkillDirectionMagnitude ||
|
2026-08-20 19:43:03 +03:00 | | | !MathIsValidNumber(min_utility) || !MathIsValidNumber(utility_scale) ||
|
| | | min_utility < -1.0 || min_utility > 1.0 || utility_scale < 0.0)
|
| | | ReturnFalse;
|
| | | D2SkillD2Stage = stage;
|
| | | D2SkillD2Mode = mode;
|
| | | D2SkillD2ExecutionMode = execution_mode;
|
| | | D2SkillD2UtilityAware = utility_aware;
|
| | | D2SkillD2MinUtility = min_utility;
|
| | | D2SkillD2UtilityScale = utility_scale;
|
2026-08-21 08:18:10 +03:00 | | | D2SkillD2OnlineDirectionUpdate = online_direction_update;
|
2026-08-22 20:08:02 +03:00 | | | D2SkillD2OnlineCriticUpdate = online_critic_update;
|
| | | D2SkillD2Representation = representation;
|
| | | D2SkillD2ResetBanksOnRepresentationMismatch = reset_banks_on_representation_mismatch;
|
| | | D2SkillD2RecreateIncompatibleCheckpoint = recreate_incompatible_checkpoint;
|
2026-08-20 19:43:03 +03:00 | | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Configures optional forecast recovery diagnostics. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillConfigureForecastRun(const bool recovery_smoke,
|
| | | const uint recovery_batches, const uint recovery_age)
|
| | | {
|
| | | if(recovery_smoke && (recovery_batches == 0 || recovery_age == 0))
|
| | | ReturnFalse;
|
| | | D2SkillRecoverySmoke = recovery_smoke;
|
| | | D2SkillRecoverySmokeBatches = recovery_batches;
|
| | | D2SkillRecoverySmokeAge = recovery_age;
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-21 08:18:10 +03:00 | | | //| Device-resident snapshot data for one Actor trajectory branch. |
|
| | | //+------------------------------------------------------------------+
|
| | | struct SD2SkillActorForwardState
|
| | | {
|
| | | CNeuronScenarioCrossAttention *cross;
|
| | | CD2SkillDeviceOps device;
|
| | | CBufferFloat cross_output;
|
| | | CBufferFloat history;
|
| | | CBufferFloat batch_first;
|
| | | CBufferFloat batch_second;
|
| | | CBufferFloat spike_first_output;
|
| | | CBufferFloat spike_first_previous;
|
| | | CBufferFloat spike_second_output;
|
| | | CBufferFloat spike_second_previous;
|
| | | int batch_first_count;
|
| | | int batch_second_count;
|
| | | bool first_has_options;
|
| | | bool second_has_options;
|
| | | bool ready;
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
| | | //| Creates a device buffer owned by local trajectory state. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
2026-08-21 08:18:10 +03:00 | | | bool D2SkillPrepareForwardStateBuffer(CBufferFloat *source, CBufferFloat &snapshot,
|
| | | COpenCLMy *open_cl)
|
2026-08-20 19:43:03 +03:00 | | | {
|
2026-08-21 08:18:10 +03:00 | | | if(!source || !open_cl || source.Total() <= 0 || source.GetIndex() < 0 ||
|
| | | source.GetOpenCL() != open_cl)
|
| | | ReturnFalse;
|
| | | snapshot.BufferFree();
|
| | | if(!snapshot.BufferInit((uint)source.Total(), 0.0f) || !snapshot.BufferCreate(open_cl))
|
| | | ReturnFalse;
|
| | | return(snapshot.Total() == source.Total() && snapshot.GetIndex() >= 0 &&
|
| | | snapshot.GetOpenCL() == open_cl);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Copies an optional forward buffer without host readback. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCopyOptionalForwardState(CD2SkillDeviceOps &device, CBufferFloat *source,
|
| | | CBufferFloat &snapshot)
|
| | | {
|
| | | if(!source)
|
| | | return(true);
|
| | | return(device.Copy(source, GetPointer(snapshot), (uint)source.Total()));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Initializes the local device state for one Actor trajectory. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillInitActorForwardState(SD2SkillActorForwardState &state,
|
| | | CNeuronScenarioCrossAttention *cross,
|
| | | COpenCLMy *open_cl)
|
| | | {
|
| | | state.ready = false;
|
| | | state.cross = cross;
|
| | | if(!state.cross || !open_cl || state.cross.IsCritic() || !state.cross.HasHistory() ||
|
| | | state.cross.ForwardStateBatchBlocks() != 2 || !state.device.Bind(open_cl))
|
| | | ReturnFalse;
|
| | | CNeuronAddToStack *history = state.cross.GetHistoryStack();
|
| | | CBufferFloat *first = state.cross.GetForwardStateBatchOptions(0);
|
| | | CBufferFloat *second = state.cross.GetForwardStateBatchOptions(1);
|
| | | CBufferFloat *spike_first = state.cross.GetForwardStateSpikeOutput(0);
|
| | | CBufferFloat *spike_first_previous = state.cross.GetForwardStateSpikePrevOutput(0);
|
| | | CBufferFloat *spike_second = state.cross.GetForwardStateSpikeOutput(1);
|
| | | CBufferFloat *spike_second_previous = state.cross.GetForwardStateSpikePrevOutput(1);
|
| | | if(!history || !D2SkillPrepareForwardStateBuffer(state.cross.getOutput(), state.cross_output, open_cl) ||
|
| | | !D2SkillPrepareForwardStateBuffer(history.getOutput(), state.history, open_cl) ||
|
| | | !D2SkillPrepareForwardStateBuffer(spike_first, state.spike_first_output, open_cl) ||
|
| | | !D2SkillPrepareForwardStateBuffer(spike_first_previous, state.spike_first_previous, open_cl) ||
|
| | | !D2SkillPrepareForwardStateBuffer(spike_second, state.spike_second_output, open_cl) ||
|
| | | !D2SkillPrepareForwardStateBuffer(spike_second_previous, state.spike_second_previous, open_cl))
|
| | | ReturnFalse;
|
| | | state.first_has_options = (first != NULL);
|
| | | state.second_has_options = (second != NULL);
|
| | | if((state.first_has_options &&
|
| | | !D2SkillPrepareForwardStateBuffer(first, state.batch_first, open_cl)) ||
|
| | | (state.second_has_options &&
|
| | | !D2SkillPrepareForwardStateBuffer(second, state.batch_second, open_cl)))
|
| | | ReturnFalse;
|
| | | state.batch_first_count = state.cross.GetForwardStateBatchCount(0);
|
| | | state.batch_second_count = state.cross.GetForwardStateBatchCount(1);
|
| | | if(state.batch_first_count < 1 || state.batch_second_count < 1)
|
| | | ReturnFalse;
|
| | | state.ready = true;
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Initializes local trajectory state from the D2 Actor topology. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillInitActorForwardState(SD2SkillActorForwardState &state, CNet &actor)
|
| | | {
|
| | | CNeuronBaseOCL *layer = actor.Layer(1);
|
| | | if(!layer || (layer.Type() != defNeuronD2Skill &&
|
| | | layer.Type() != defNeuronScenarioCrossAttention))
|
| | | ReturnFalse;
|
| | | return(D2SkillInitActorForwardState(state, (CNeuronScenarioCrossAttention*)layer,
|
| | | actor.GetOpenCL()));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Captures forward state into a local trajectory branch. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCaptureActorForwardState(SD2SkillActorForwardState &state)
|
| | | {
|
| | | if(!state.ready || !state.cross)
|
| | | ReturnFalse;
|
| | | CNeuronAddToStack *history = state.cross.GetHistoryStack();
|
| | | CBufferFloat *first = state.cross.GetForwardStateBatchOptions(0);
|
| | | CBufferFloat *second = state.cross.GetForwardStateBatchOptions(1);
|
| | | CBufferFloat *spike_first = state.cross.GetForwardStateSpikeOutput(0);
|
| | | CBufferFloat *spike_first_previous = state.cross.GetForwardStateSpikePrevOutput(0);
|
| | | CBufferFloat *spike_second = state.cross.GetForwardStateSpikeOutput(1);
|
| | | CBufferFloat *spike_second_previous = state.cross.GetForwardStateSpikePrevOutput(1);
|
| | | if(!history || (state.first_has_options != (first != NULL)) ||
|
| | | (state.second_has_options != (second != NULL)) || !spike_first ||
|
| | | !spike_first_previous || !spike_second || !spike_second_previous)
|
| | | ReturnFalse;
|
| | | state.batch_first_count = state.cross.GetForwardStateBatchCount(0);
|
| | | state.batch_second_count = state.cross.GetForwardStateBatchCount(1);
|
| | | if(state.batch_first_count < 1 || state.batch_second_count < 1 ||
|
| | | !state.device.Copy(state.cross.getOutput(), GetPointer(state.cross_output),
|
| | | (uint)state.cross_output.Total()) ||
|
| | | !state.device.Copy(history.getOutput(), GetPointer(state.history),
|
| | | (uint)state.history.Total()) ||
|
| | | !state.device.Copy(spike_first, GetPointer(state.spike_first_output),
|
| | | (uint)state.spike_first_output.Total()) ||
|
| | | !state.device.Copy(spike_first_previous, GetPointer(state.spike_first_previous),
|
| | | (uint)state.spike_first_previous.Total()) ||
|
| | | !state.device.Copy(spike_second, GetPointer(state.spike_second_output),
|
| | | (uint)state.spike_second_output.Total()) ||
|
| | | !state.device.Copy(spike_second_previous, GetPointer(state.spike_second_previous),
|
| | | (uint)state.spike_second_previous.Total()) ||
|
| | | !D2SkillCopyOptionalForwardState(state.device, first, state.batch_first) ||
|
| | | !D2SkillCopyOptionalForwardState(state.device, second, state.batch_second))
|
| | | ReturnFalse;
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Restores one local trajectory branch without host readback. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillRestoreActorForwardState(SD2SkillActorForwardState &state)
|
| | | {
|
| | | if(!state.ready || !state.cross)
|
| | | ReturnFalse;
|
| | | CNeuronAddToStack *history = state.cross.GetHistoryStack();
|
| | | CBufferFloat *first = state.cross.GetForwardStateBatchOptions(0);
|
| | | CBufferFloat *second = state.cross.GetForwardStateBatchOptions(1);
|
| | | CBufferFloat *spike_first = state.cross.GetForwardStateSpikeOutput(0);
|
| | | CBufferFloat *spike_first_previous = state.cross.GetForwardStateSpikePrevOutput(0);
|
| | | CBufferFloat *spike_second = state.cross.GetForwardStateSpikeOutput(1);
|
| | | CBufferFloat *spike_second_previous = state.cross.GetForwardStateSpikePrevOutput(1);
|
| | | if(!history || (state.first_has_options != (first != NULL)) ||
|
| | | (state.second_has_options != (second != NULL)) || !spike_first ||
|
| | | !spike_first_previous || !spike_second || !spike_second_previous ||
|
| | | !state.device.Copy(GetPointer(state.cross_output), state.cross.getOutput(),
|
| | | (uint)state.cross_output.Total()) ||
|
| | | !state.device.Copy(GetPointer(state.history), history.getOutput(),
|
| | | (uint)state.history.Total()) ||
|
| | | !state.device.Copy(GetPointer(state.spike_first_output), spike_first,
|
| | | (uint)state.spike_first_output.Total()) ||
|
| | | !state.device.Copy(GetPointer(state.spike_first_previous), spike_first_previous,
|
| | | (uint)state.spike_first_previous.Total()) ||
|
| | | !state.device.Copy(GetPointer(state.spike_second_output), spike_second,
|
| | | (uint)state.spike_second_output.Total()) ||
|
| | | !state.device.Copy(GetPointer(state.spike_second_previous), spike_second_previous,
|
| | | (uint)state.spike_second_previous.Total()) ||
|
| | | (first && !state.device.Copy(GetPointer(state.batch_first), first,
|
| | | (uint)state.batch_first.Total())) ||
|
| | | (second && !state.device.Copy(GetPointer(state.batch_second), second,
|
| | | (uint)state.batch_second.Total())) ||
|
| | | !state.cross.SetForwardStateBatchCount(0, state.batch_first_count) ||
|
| | | !state.cross.SetForwardStateBatchCount(1, state.batch_second_count))
|
| | | ReturnFalse;
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Confirms that a local trajectory branch was initialized. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillActorForwardStateReady(const SD2SkillActorForwardState &state)
|
| | | {
|
| | | return(state.ready);
|
| | | }
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
| | | //| Returns whether this exact Actor state is eligible for pairing. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillUsePairedHindsight(CD2Skill *skill,
|
2026-08-21 08:18:10 +03:00 | | | SD2SkillActorForwardState &state)
|
2026-08-20 19:43:03 +03:00 | | | {
|
2026-08-20 22:59:48 +03:00 | | | return((D2SkillD2ExecutionMode == D2_EVALUATE ||
|
| | | D2SkillD2ExecutionMode == D2_ONLINE_CALIBRATION) &&
|
2026-08-20 19:43:03 +03:00 | | | D2SkillD2Mode != D2Skill_D2_MODE_BASE && skill != NULL &&
|
2026-08-21 08:18:10 +03:00 | | | skill.Ready() && D2SkillActorForwardStateReady(state));
|
2026-08-20 19:43:03 +03:00 | | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Restores an Actor pair capture and its exact configured D2 mode. |
|
| | | //+------------------------------------------------------------------+
|
2026-08-21 08:18:10 +03:00 | | | bool D2SkillRestorePairedActorState(SD2SkillActorForwardState &state,
|
2026-08-20 19:43:03 +03:00 | | | CD2Skill *skill,
|
| | | const bool task_enabled,
|
| | | const bool step_enabled,
|
| | | const string stage)
|
| | | {
|
2026-08-21 08:18:10 +03:00 | | | const bool state_restored = D2SkillRestoreActorForwardState(state);
|
2026-08-20 19:43:03 +03:00 | | | const bool mode_restored = (skill != NULL &&
|
| | | skill.Enable(task_enabled, step_enabled));
|
| | | if(!state_restored || !mode_restored)
|
| | | PrintFormat("D2Skill paired cleanup stage=%s state=%s mode=%s",
|
| | | stage, (state_restored ? "restored" : "failed"),
|
| | | (mode_restored ? "restored" : "failed"));
|
| | | return(state_restored && mode_restored);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements ForecastRecoveryAge. |
|
| | | //+------------------------------------------------------------------+
|
| | | uint ForecastRecoveryAge(void)
|
| | | {
|
| | | if(D2SkillRecoverySmoke)
|
| | | return MathMax(1, int(D2SkillRecoverySmokeAge));
|
| | | const int seconds = PeriodSeconds(TimeFrame);
|
| | | if(seconds <= 0)
|
| | | return 6240;
|
| | | //--- 52 five-day trading weeks: one calendar-equivalent year on H1.
|
| | | return (uint)MathMax(1.0, MathRound(6240.0 * PeriodSeconds(PERIOD_H1) / seconds));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Creates and manages object lifecycle for ConfigureForecastRec... |
|
| | | //+------------------------------------------------------------------+
|
| | | bool ConfigureForecastRecoveryAge(void)
|
| | | {
|
| | | if(!D2SkillForecast || !D2SkillForecast.SetRecoveryAge(ForecastRecoveryAge()))
|
| | | ReturnFalse;
|
| | | PrintFormat("D2Skill %s recovery_age=%u bars", (D2SkillRecoverySmoke ? "smoke" : "forecast"),
|
| | | D2SkillForecast.RecoveryAge());
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillInitTrainingBuffers. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillInitTrainingBuffers(void)
|
| | | {
|
| | | COpenCLMy *open_cl = D2SkillMarket.GetOpenCL();
|
| | | if(!open_cl || !D2SkillDevice.Bind(open_cl))
|
| | | ReturnFalse;
|
| | | if(!D2SkillFutureTranspose.Init(0, 0, open_cl, NForecast, BarDescr, 1, ADAM, BatchSize) ||
|
| | | !D2SkillFuture.BufferInit((NForecast * BarDescr), 0) ||
|
| | | !D2SkillFuture.BufferCreate(open_cl) ||
|
| | | !D2SkillLatentZero.BufferInit((BarDescr * EmbeddingSize), 0) ||
|
| | | !D2SkillLatentZero.BufferCreate(open_cl) ||
|
| | | !D2SkillLatentNegativeMarket.BufferInit((BarDescr * EmbeddingSize), 0) ||
|
| | | !D2SkillLatentNegativeMarket.BufferCreate(open_cl) ||
|
| | | !D2SkillLatentTarget.BufferInit((BarDescr * NForecast * EmbeddingSize), 0) ||
|
| | | !D2SkillLatentTarget.BufferCreate(open_cl) ||
|
| | | !D2SkillLatentDelta.BufferInit((BarDescr * NForecast * EmbeddingSize), 0) ||
|
| | | !D2SkillLatentDelta.BufferCreate(open_cl))
|
| | | ReturnFalse;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillAddBase. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillAddBase(CArrayObj *description, const uint count)
|
| | | {
|
| | | if(!description)
|
| | | ReturnFalse;
|
| | | CLayerDescription *descr = new CLayerDescription();
|
| | | if(!descr)
|
| | | ReturnFalse;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = count;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(description.Add(descr))
|
| | | return true;
|
| | | DeleteObjAndFalse(descr);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillNormalizeDescriptionBatch. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillNormalizeDescriptionBatch(CArrayObj *description)
|
| | | {
|
| | | if(!description)
|
| | | ReturnFalse;
|
| | | for(int i = 0; i < description.Total(); i++)
|
| | | {
|
| | | CLayerDescription *layer = (CLayerDescription*)description.At(i);
|
| | | if(!layer)
|
| | | ReturnFalse;
|
| | | layer.batch = BatchSize;
|
| | | }
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillCreateDescriptions. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCreateDescriptions(CArrayObj *&market, CArrayObj *&target)
|
| | | {
|
| | | CArrayObj *legacy_decoder = NULL;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!CreateStateDescriptions(market, legacy_decoder))
|
| | | {
|
| | | DeleteObj(legacy_decoder);
|
| | | ReturnFalse;
|
| | | }
|
| | | DeleteObj(legacy_decoder);
|
| | | //--- Keep exactly CogDriver layers 0..4 (RankTCM is the boundary).
|
| | | int layer = market.Total() - 1;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function while. |
|
| | | //+------------------------------------------------------------------+
|
| | | while(layer >= 0)
|
| | | {
|
| | | CLayerDescription* descr = market.At(layer);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!descr || descr.type != defNeuronCogDriverRankTCM)
|
| | | {
|
| | | if(!market.Delete(layer))
|
| | | ReturnFalse;
|
| | | layer--;
|
| | | }
|
| | | else
|
| | | break;
|
| | | }
|
| | | if(market.Total() <= 0)
|
| | | ReturnFalse;
|
| | | if(!D2SkillNormalizeDescriptionBatch(market))
|
| | | ReturnFalse;
|
| | | //--- CreateBuffers already stores state feature-major as
|
| | | //--- [BarDescr,HistoryBars], which is CogDriverData's required input layout.
|
| | | if(!market.Delete(layer) || !market.Delete(layer - 1))
|
| | | ReturnFalse;
|
| | | CLayerDescription *descr = new CLayerDescription();
|
| | | if(!descr)
|
| | | ReturnFalse;
|
| | | descr.type = defNeuronCogDriverData;
|
| | | descr.window = HistoryBars;
|
| | | descr.count = BarDescr;
|
| | | {
|
| | | uint units[] = {StackSize, StackSize, Quantiles};
|
| | | if(ArrayCopy(descr.units, units, 0, 0, units.Size()) < int(units.Size()))
|
| | | DeleteObjAndFalse(descr);
|
| | | }
|
| | | descr.probability = 1.0f;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(!market.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | descr = new CLayerDescription();
|
| | | if(!descr)
|
| | | ReturnFalse;
|
| | | descr.type = defNeuronCogDriverRankTCM;
|
| | | descr.window = HistoryBars * (2 * Quantiles + 1);
|
| | | descr.count = EmbeddingSize;
|
| | | descr.variables = BarDescr;
|
| | | {
|
| | | uint units[] = {StackSize, NHeads};
|
| | | if(ArrayCopy(descr.units, units, 0, 0, units.Size()) < int(units.Size()))
|
| | | DeleteObjAndFalse(descr);
|
| | | }
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(!market.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | descr = new CLayerDescription();
|
| | | if(!descr)
|
| | | ReturnFalse;
|
| | | descr.type = defNeuronScenarioForecast;
|
| | | descr.count = NScenarios;
|
| | | descr.variables = TopK;
|
| | | descr.window_out = NForecast;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.layers = BarDescr;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(!market.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | if(!target)
|
| | | target = new CArrayObj();
|
| | | else
|
| | | target.Clear();
|
| | | if(!target)
|
| | | ReturnFalse;
|
| | | target.FreeMode(true);
|
| | | //--- Detached Target Encoder: one normalized future trajectory per BarDescr
|
| | | //--- variable. ConvOCL zero-fills the unavailable edge of each window, so
|
| | | //--- window=3 preserves NForecast positions without an auxiliary pad buffer.
|
| | | if(!D2SkillAddBase(target, (BarDescr * NForecast)))
|
| | | ReturnFalse;
|
| | | descr = new CLayerDescription();
|
| | | if(!descr)
|
| | | ReturnFalse;
|
| | | descr.type = defNeuronPeriodNorm;
|
| | | descr.count = 1;
|
| | | descr.window = NForecast;
|
| | | descr.variables = BarDescr;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(!target.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | descr = new CLayerDescription();
|
| | | if(!descr)
|
| | | ReturnFalse;
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = NForecast;
|
| | | descr.window = 3;
|
| | | descr.step = 1;
|
| | | descr.window_out = EmbeddingSize;
|
| | | descr.layers = BarDescr;
|
| | | descr.activation = GELU;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(!target.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | descr = new CLayerDescription();
|
| | | if(!descr)
|
| | | ReturnFalse;
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = NForecast;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = EmbeddingSize;
|
| | | descr.window_out = 2 * EmbeddingSize;
|
| | | descr.layers = BarDescr;
|
| | | descr.activation = GELU;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(!target.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | descr = new CLayerDescription();
|
| | | if(!descr)
|
| | | ReturnFalse;
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = NForecast;
|
| | | descr.window = 2 * EmbeddingSize;
|
| | | descr.step = 2 * EmbeddingSize;
|
| | | descr.window_out = EmbeddingSize;
|
| | | descr.layers = BarDescr;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(!target.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | descr = new CLayerDescription();
|
| | | if(!descr)
|
| | | ReturnFalse;
|
| | | descr.type = defNeuronPeriodNorm;
|
| | | descr.count = NForecast;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.variables = BarDescr;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(!target.Add(descr))
|
| | | DeleteObjAndFalse(descr);
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillCreateNetworks. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCreateNetworks(void)
|
| | | {
|
| | | CArrayObj *market = NULL, *target = NULL;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillCreateDescriptions(market, target))
|
| | | {
|
| | | DeleteObj(market);
|
| | | DeleteObj(target);
|
| | | ReturnFalse;
|
| | | }
|
| | | const bool market_created = D2SkillMarket.Create(market);
|
| | | PrintFormat("D2Skill Create market=%s batch=%u", (market_created ? "OK" : "FAIL"), uint(BatchSize));
|
| | | const bool target_created = (market_created && D2SkillTarget.Create(target));
|
| | | PrintFormat("D2Skill Create target=%s", (target_created ? "OK" : "FAIL"));
|
| | | const bool created = (market_created && target_created);
|
| | | DeleteObj(market);
|
| | | DeleteObj(target);
|
| | | if(!created)
|
| | | ReturnFalse;
|
| | | //--- CNet::Create initializes its OpenCL program. Build each network first,
|
| | | //--- then move its device buffers to the Market context; otherwise a later
|
| | | //--- Create invalidates buffers belonging to an earlier network.
|
| | | D2SkillTarget.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillInitTrainingBuffers())
|
| | | {
|
| | | Print("D2Skill init: training buffers=FAIL");
|
| | | ReturnFalse;
|
| | | }
|
| | | D2SkillForecast = (CNeuronScenarioForecast*)D2SkillMarket.Layer(-1);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillForecast || D2SkillForecast.Type() != defNeuronScenarioForecast)
|
| | | {
|
| | | Print("D2Skill init: forecast layer=FAIL");
|
| | | ReturnFalse;
|
| | | }
|
| | | if(!ConfigureForecastRecoveryAge())
|
| | | ReturnFalse;
|
| | | D2SkillTarget.TrainMode(false);
|
| | | D2SkillMarket.TrainMode(true);
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillValidateShapes. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillValidateShapes(const bool training = true)
|
| | | {
|
| | | CNeuronBaseOCL *layer = D2SkillMarket.Layer(0);
|
| | | CBufferFloat *buffer = (layer ? layer.getOutput() : NULL);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != HistoryBars * BarDescr)
|
| | | {
|
| | | PrintFormat("D2Skill shape: market input expected=%d actual=%d", HistoryBars * BarDescr,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | layer = D2SkillMarket.Layer(4);
|
| | | buffer = (layer ? layer.getOutput() : NULL);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != (BarDescr * EmbeddingSize))
|
| | | {
|
| | | PrintFormat("D2Skill shape: market RankTCM expected=%d actual=%d", BarDescr * EmbeddingSize,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(training)
|
| | | {
|
| | | layer = D2SkillTarget.Layer(0);
|
| | | buffer = (layer ? layer.getOutput() : NULL);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != (BarDescr * NForecast))
|
| | | {
|
| | | PrintFormat("D2Skill shape: target input expected=%d actual=%d", BarDescr * NForecast,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | layer = D2SkillTarget.Layer(1);
|
| | | buffer = (layer ? layer.getOutput() : NULL);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != (BarDescr * NForecast))
|
| | | {
|
| | | PrintFormat("D2Skill shape: target PeriodNorm expected=%d actual=%d", BarDescr * NForecast,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | layer = D2SkillTarget.Layer(2);
|
| | | buffer = (layer ? layer.getOutput() : NULL);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != (BarDescr * NForecast * EmbeddingSize))
|
| | | {
|
| | | PrintFormat("D2Skill shape: target Conv3 expected=%d actual=%d", BarDescr * NForecast * EmbeddingSize,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | layer = D2SkillTarget.Layer(3);
|
| | | buffer = (layer ? layer.getOutput() : NULL);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != (BarDescr * NForecast * 2 * EmbeddingSize))
|
| | | {
|
| | | PrintFormat("D2Skill shape: target Conv2 expected=%d actual=%d", BarDescr * NForecast * 2 * EmbeddingSize,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | layer = D2SkillTarget.Layer(4);
|
| | | buffer = (layer ? layer.getOutput() : NULL);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != (BarDescr * NForecast * EmbeddingSize))
|
| | | {
|
| | | PrintFormat("D2Skill shape: target final Conv expected=%d actual=%d", BarDescr * NForecast * EmbeddingSize,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | layer = D2SkillTarget.Layer(-1);
|
| | | buffer = (layer ? layer.getOutput() : NULL);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != (BarDescr * NForecast * EmbeddingSize))
|
| | | {
|
| | | PrintFormat("D2Skill shape: target output PeriodNorm expected=%d actual=%d", BarDescr * NForecast * EmbeddingSize,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | buffer = D2SkillFutureTranspose.getOutput();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != (BarDescr * NForecast))
|
| | | {
|
| | | PrintFormat("D2Skill shape: future transpose expected=%d actual=%d", BarDescr * NForecast,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | }
|
| | | layer = D2SkillMarket.Layer(-1);
|
| | | buffer = (layer ? layer.getOutput() : NULL);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != NScenarios * BarDescr * NForecast * EmbeddingSize)
|
| | | {
|
| | | PrintFormat("D2Skill shape: Scenario Z expected=%d actual=%d", NScenarios * BarDescr * NForecast * EmbeddingSize,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | buffer = D2SkillForecast.GetU();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != (NScenarios * BarDescr * NForecast))
|
| | | {
|
| | | PrintFormat("D2Skill shape: Scenario U expected=%d actual=%d", NScenarios * BarDescr * NForecast,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | buffer = D2SkillForecast.GetPi();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!buffer || buffer.Total() != NScenarios)
|
| | | {
|
| | | PrintFormat("D2Skill shape: Scenario Pi expected=%d actual=%d", NScenarios,
|
| | | (buffer ? buffer.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | if(D2SkillForecast.Variables() != BarDescr || D2SkillForecast.Scenarios() != NScenarios ||
|
| | | D2SkillForecast.Horizon() != NForecast || D2SkillForecast.Dimension() != EmbeddingSize ||
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function ActiveTrajectories. |
|
| | | //+------------------------------------------------------------------+
|
| | | D2SkillForecast.ActiveTrajectories() > TopK)
|
| | | {
|
| | | PrintFormat("D2Skill shape: Forecast V=%d/%d K=%d/%d H=%d/%d D=%d/%d active=%d/%d",
|
| | | D2SkillForecast.Variables(), BarDescr, D2SkillForecast.Scenarios(), NScenarios,
|
| | | D2SkillForecast.Horizon(), NForecast, D2SkillForecast.Dimension(), EmbeddingSize,
|
| | | D2SkillForecast.ActiveTrajectories(), TopK);
|
| | | ReturnFalse;
|
| | | }
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillHashUInt. |
|
| | | //+------------------------------------------------------------------+
|
| | | ulong D2SkillHashUInt(ulong hash, const ulong value)
|
| | | {
|
| | | hash ^= value;
|
| | | return hash * ulong(1099511628211);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillHashText. |
|
| | | //+------------------------------------------------------------------+
|
| | | ulong D2SkillHashText(ulong hash, const string text)
|
| | | {
|
| | | for(int i = 0; i < StringLen(text); i++)
|
| | | hash = D2SkillHashUInt(hash, (ulong)StringGetCharacter(text, i));
|
| | | return hash;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillHashFile. |
|
| | | //+------------------------------------------------------------------+
|
| | | ulong D2SkillHashFile(ulong hash, const string file_name)
|
| | | {
|
| | | int handle = FileOpen(file_name, FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
|
| | | if(handle == INVALID_HANDLE)
|
| | | return 0;
|
| | | const ulong length = FileSize(handle);
|
| | | if(length == 0 || length > ulong(INT_MAX))
|
| | | { FileClose(handle); return 0; }
|
| | | uchar bytes[];
|
| | | if(ArrayResize(bytes, (int)length) != (int)length ||
|
| | | // Read file payload as bytes after successful allocation.
|
| | | FileReadArray(handle, bytes, 0, (int)length) != (int)length)
|
| | | { FileClose(handle); return 0; }
|
| | | FileClose(handle);
|
| | | for(int i = 0; i < (int)length; i++)
|
| | | hash = D2SkillHashUInt(hash, (ulong)bytes[i]);
|
| | | return hash;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Exact signature of the unified Market/Scenario inference grap... |
|
| | | //+------------------------------------------------------------------+
|
| | | ulong D2SkillForecastSignature(void)
|
| | | {
|
| | | if(!D2SkillForecast)
|
| | | return 0;
|
| | | ulong hash = ulong(1469598103934665603);
|
| | | hash = D2SkillHashFile(hash, D2Skill_MARKET_FILE);
|
| | | if(hash == 0)
|
| | | return 0;
|
| | | hash = D2SkillHashUInt(hash, D2Skill_FORMAT_VERSION);
|
| | | hash = D2SkillHashUInt(hash, BarDescr);
|
| | | hash = D2SkillHashUInt(hash, NScenarios);
|
| | | hash = D2SkillHashUInt(hash, TopK);
|
| | | hash = D2SkillHashUInt(hash, NForecast);
|
| | | hash = D2SkillHashUInt(hash, EmbeddingSize);
|
| | | hash = D2SkillHashUInt(hash, D2SkillForecast.ContractSignature());
|
| | | hash = D2SkillHashText(hash, "z_layout=K,V,H,D;u_layout=K,V,H;pi_layout=K;codebook_layout=K,V,H,D");
|
| | | hash = D2SkillHashText(hash, "market_layout=RankTCM_then_ScenarioForecast;variable_order=BarDescr_feature_series_0_to_8");
|
| | | hash = D2SkillHashText(hash, "OHLC_deltas_from_open;tick_volume_div_1000;RSI_CCI_ATR_MACD_raw");
|
| | | return hash;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillForecastTrainingSignature. |
|
| | | //+------------------------------------------------------------------+
|
| | | ulong D2SkillForecastTrainingSignature(const ulong forecast_signature)
|
| | | {
|
| | | if(forecast_signature == 0)
|
| | | return 0;
|
| | | return D2SkillHashFile(forecast_signature, D2Skill_TARGET_FILE);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillWriteManifest. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillWriteManifest(const uint completed_epochs)
|
| | | {
|
| | | if(!D2SkillForecast)
|
| | | ReturnFalse;
|
| | | const ulong signature = D2SkillForecastSignature();
|
| | | const ulong target_hash = D2SkillHashFile(ulong(1469598103934665603), D2Skill_TARGET_FILE);
|
| | | const ulong training_signature = D2SkillForecastTrainingSignature(signature);
|
| | | if(signature == 0 || target_hash == 0 || training_signature == 0)
|
| | | ReturnFalse;
|
| | | int handle = FileOpen(D2Skill_MANIFEST_FILE, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
|
| | | if(handle == INVALID_HANDLE)
|
| | | ReturnFalse;
|
| | | FileWrite(handle, "format=D2Skill_FORECAST");
|
| | | FileWrite(handle, StringFormat("version=%u", D2Skill_FORMAT_VERSION));
|
| | | FileWrite(handle, StringFormat("forecast_type=%d", defNeuronScenarioForecast));
|
| | | FileWrite(handle, StringFormat("variables=%u", BarDescr));
|
| | | FileWrite(handle, StringFormat("scenarios=%u", NScenarios));
|
| | | FileWrite(handle, StringFormat("top_k=%u", TopK));
|
| | | FileWrite(handle, StringFormat("horizon=%u", NForecast));
|
| | | FileWrite(handle, StringFormat("latent=%u", EmbeddingSize));
|
| | | FileWrite(handle, "z_layout=K,V,H,D");
|
| | | FileWrite(handle, "u_layout=K,V,H");
|
| | | FileWrite(handle, "pi_layout=K");
|
| | | FileWrite(handle, "codebook_layout=K,V,H,D");
|
| | | FileWrite(handle, "variable_order=BarDescr_feature_series_0_to_8");
|
| | | FileWrite(handle, StringFormat("contract_signature=%I64u", D2SkillForecast.ContractSignature()));
|
| | | FileWrite(handle, StringFormat("forecast_signature=%I64u", signature));
|
| | | FileWrite(handle, StringFormat("target_hash=%I64u", target_hash));
|
| | | FileWrite(handle, StringFormat("training_signature=%I64u", training_signature));
|
| | | FileWrite(handle, StringFormat("completed_epochs=%u", completed_epochs));
|
| | | FileWrite(handle, StringFormat("training_batches=%I64u", D2SkillBatches));
|
| | | FileWrite(handle, StringFormat("invalid_batches=%I64u", D2SkillInvalidBatches));
|
| | | FileWrite(handle, "normalization=OHLC_deltas_from_open;tick_volume_div_1000;RSI_CCI_ATR_MACD_raw");
|
| | | FileClose(handle);
|
| | | D2SkillLastSignature = signature;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillSaveCheckpoint. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillSaveCheckpoint(const uint completed_epochs)
|
| | | {
|
| | | const datetime now = TimeCurrent();
|
| | | if(!D2SkillMarket.Save(D2Skill_MARKET_FILE, 0, 0, 0, now, true) ||
|
| | | !D2SkillTarget.Save(D2Skill_TARGET_FILE, 0, 0, 0, now, true))
|
| | | ReturnFalse;
|
| | | return D2SkillWriteManifest(completed_epochs);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillInitIndicators. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillInitIndicators(void)
|
| | | {
|
| | | return (Symb.Name(_Symbol) && Symb.Refresh() &&
|
| | | RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice) &&
|
| | | CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice) &&
|
| | | ATR.Create(Symb.Name(), TimeFrame, ATRPeriod) &&
|
| | | MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillLoadForecastTraining(void);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Creates or initializes D2SkillForecastStudy. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool CreateD2SkillForecastStudy(void)
|
| | | {
|
| | | ResetLastError();
|
| | | D2SkillCompletedEpochs = 0;
|
| | | D2SkillBatches = 0;
|
| | | D2SkillInvalidBatches = 0;
|
| | | //--- Always prefer an existing compatible checkpoint for continued training.
|
| | | //--- A missing, incomplete or incompatible checkpoint falls back to a clean,
|
| | | //--- independently randomized Forecast graph.
|
| | | bool resumed = D2SkillLoadForecastTraining();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!resumed)
|
| | | {
|
| | | const int load_error = GetLastError();
|
| | | D2SkillForecast = NULL;
|
| | | PrintFormat("D2Skill init: forecast restore=FAIL error=%d; creating new random model", load_error);
|
| | | ResetLastError();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillCreateNetworks())
|
| | | {
|
| | | PrintFormat("D2Skill init: forecast create=FAIL error=%d", GetLastError());
|
| | | ReturnFalse;
|
| | | }
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillValidateShapes())
|
| | | {
|
| | | Print("D2Skill init: shapes=FAIL");
|
| | | ReturnFalse;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillInitIndicators())
|
| | | {
|
| | | PrintFormat("D2Skill init: indicators=FAIL error=%d", GetLastError());
|
| | | ReturnFalse;
|
| | | }
|
| | | PrintFormat("D2Skill init: forecast=%s completed_epochs=%u batches=%I64u invalid=%I64u",
|
| | | (resumed ? "RESUMED" : "NEW"), D2SkillCompletedEpochs, D2SkillBatches, D2SkillInvalidBatches);
|
| | | D2SkillReady = true;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
|
| | | {
|
| | | PrintFormat("D2Skill init: chart event=FAIL error=%d", GetLastError());
|
| | | ReturnFalse;
|
| | | }
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements ReleaseD2SkillForecastStudy. |
|
| | | //+------------------------------------------------------------------+
|
| | | void ReleaseD2SkillForecastStudy(const int reason)
|
| | | {
|
| | | //--- Complete epochs save transactionally in TrainD2SkillForecast(). Never
|
| | | //--- overwrite a valid checkpoint with a fresh, partial or failed run here.
|
| | | D2SkillForecast = NULL;
|
| | | D2SkillReady = false;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillPrepareLatentTarget. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillPrepareLatentTarget(CBufferFloat *market_latent)
|
| | | {
|
| | | if(!market_latent || market_latent.Total() != (BarDescr * EmbeddingSize) || market_latent.GetIndex() < 0 ||
|
| | | D2SkillFuture.Total() != (NForecast * BarDescr) || D2SkillFuture.GetIndex() < 0 ||
|
| | | D2SkillLatentTarget.Total() != (BarDescr * NForecast * EmbeddingSize) || D2SkillLatentTarget.GetIndex() < 0 ||
|
| | | D2SkillLatentDelta.Total() != (BarDescr * NForecast * EmbeddingSize) || D2SkillLatentDelta.GetIndex() < 0)
|
| | | ReturnFalse;
|
| | | //--- D2SkillFuture is decoder-native [H,B]. The existing transpose changes
|
| | | //--- only this device layout to Target-native [B,H]; Market keeps its original
|
| | | //--- [BarDescr,HistoryBars] representation and is never transposed.
|
| | | if(!D2SkillFutureView.Bind(GetPointer(D2SkillFuture)))
|
| | | ReturnFalse;
|
| | | const bool transposed = D2SkillFutureTranspose.FeedForward(D2SkillFutureView.AsObject());
|
| | | D2SkillFutureView.Unbind();
|
| | | if(!transposed)
|
| | | ReturnFalse;
|
| | | CNeuronBaseOCL *target_input = D2SkillTarget.Layer(0);
|
| | | CNeuronBaseOCL *future_latent = D2SkillTarget.Layer(-1);
|
| | | if(!target_input || target_input.getOutput().Total() != (BarDescr * NForecast) ||
|
| | | target_input.getOutputIndex() < 0 ||
|
| | | !D2SkillDevice.Copy(D2SkillFutureTranspose.getOutput(), target_input.getOutput(),
|
| | | BarDescr * NForecast) ||
|
| | | !D2SkillTarget.feedForward(GetPointer(D2SkillTarget), 0, (CBufferFloat*)NULL))
|
| | | ReturnFalse;
|
| | | if(!future_latent || future_latent.getOutput().Total() != (BarDescr * NForecast * EmbeddingSize) ||
|
| | | future_latent.getOutputIndex() < 0)
|
| | | ReturnFalse;
|
| | | //--- Forecast loss compares full future Z against full generator Z. Codebook
|
| | | //--- EMA alone receives the detached delta future-current.
|
| | | if(!D2SkillDevice.Copy(future_latent.getOutput(), GetPointer(D2SkillLatentTarget),
|
| | | BarDescr * NForecast * EmbeddingSize) ||
|
| | | !D2SkillDevice.Subtract(GetPointer(D2SkillLatentZero), market_latent,
|
| | | GetPointer(D2SkillLatentNegativeMarket), EmbeddingSize))
|
| | | ReturnFalse;
|
| | | if(!D2SkillDevice.BroadcastSum(GetPointer(D2SkillLatentNegativeMarket),
|
| | | future_latent.getOutput(), GetPointer(D2SkillLatentDelta),
|
| | | EmbeddingSize, BarDescr))
|
| | | ReturnFalse;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillProbeNet. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillProbeNet(CNet &net, CBufferFloat *probe_state, double &latent[], const bool restore_training)
|
| | | {
|
| | | if(!probe_state || ArrayResize(latent, (BarDescr * EmbeddingSize)) != (BarDescr * EmbeddingSize))
|
| | | ReturnFalse;
|
| | | //--- Measure both epoch boundaries in inference mode from an empty recurrent
|
| | | //--- state. Clear again afterwards so the diagnostic forward cannot seed the
|
| | | //--- first training batch or inherit the final training batch state.
|
| | | if(!net.TrainMode(false))
|
| | | ReturnFalse;
|
| | | bool result = net.Clear();
|
| | | if(result)
|
| | | result = net.feedForward(probe_state, 1, false, (CBufferFloat*)NULL);
|
| | | //--- Get the live OpenCL output owned by RankTCM. GetLayerOutput() copies
|
| | | //--- values into a new host CBufferFloat and therefore cannot be BufferRead().
|
| | | CNeuronBaseOCL *latent_layer = net.Layer(4);
|
| | | CBufferFloat *output = (latent_layer ? latent_layer.getOutput() : NULL);
|
| | | if(result)
|
| | | result = (output != NULL && output.GetIndex() >= 0 &&
|
| | | output.BufferRead() && output.Total() == (BarDescr * EmbeddingSize));
|
| | | for(uint d = 0; result && d < (BarDescr * EmbeddingSize); d++)
|
| | | {
|
| | | latent[d] = double(output[d]);
|
| | | if(!MathIsValidNumber(latent[d]))
|
| | | result = false;
|
| | | }
|
| | | const bool cleared = net.Clear();
|
| | | const bool restored = net.TrainMode(restore_training);
|
| | | return (result && cleared && restored);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillProbeDrift. |
|
| | | //+------------------------------------------------------------------+
|
| | | double D2SkillProbeDrift(const double &before[], const double &after[])
|
| | | {
|
| | | if(ArraySize(before) != (BarDescr * EmbeddingSize) || ArraySize(after) != (BarDescr * EmbeddingSize))
|
| | | return DBL_MAX;
|
| | | double square_sum = 0;
|
| | | for(uint d = 0; d < (BarDescr * EmbeddingSize); d++)
|
| | | {
|
| | | const double delta = after[d] - before[d];
|
| | | square_sum += delta * delta;
|
| | | }
|
| | | return MathSqrt(square_sum / double((BarDescr * EmbeddingSize)));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements FormatScenarioCounts. |
|
| | | //+------------------------------------------------------------------+
|
| | | string FormatScenarioCounts(const uint &counts[])
|
| | | {
|
| | | string result = "[";
|
| | | for(int i = 0; i < ArraySize(counts); i++)
|
| | | result += (i > 0 ? "," : "") + IntegerToString((int)counts[i]);
|
| | | return result + "]";
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Smoke-only responsibility audit; all tensor reads are host-side |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCollectRecoverySmoke(ulong &hits[], double &responsibility_sum[], double &scale_sum[],
|
| | | double &absolute_sum[], double &absolute_over_scale_sum[])
|
| | | {
|
| | | if(!D2SkillForecast || ArraySize(hits) != NScenarios || ArraySize(responsibility_sum) != NScenarios ||
|
| | | ArraySize(scale_sum) != NScenarios || ArraySize(absolute_sum) != NScenarios ||
|
| | | ArraySize(absolute_over_scale_sum) != NScenarios)
|
| | | ReturnFalse;
|
| | | CBufferFloat *responsibilities = D2SkillForecast.GetResponsibilities();
|
| | | CBufferFloat *confidence = D2SkillForecast.GetConfidence();
|
| | | CBufferFloat *target = D2SkillForecast.GetTarget();
|
| | | CBufferFloat *forecast = D2SkillForecast.getOutput();
|
| | | const int target_total = BarDescr * NForecast * EmbeddingSize;
|
| | | const int confidence_total = NScenarios * BarDescr * NForecast;
|
| | | if(!responsibilities || !confidence || !target || !forecast || responsibilities.Total() != NScenarios ||
|
| | | confidence.Total() != confidence_total || target.Total() != target_total ||
|
| | | forecast.Total() != NScenarios * target_total || !responsibilities.BufferRead() || !confidence.BufferRead() ||
|
| | | !target.BufferRead() || !forecast.BufferRead())
|
| | | ReturnFalse;
|
| | | for(uint scenario = 0; scenario < NScenarios; scenario++)
|
| | | {
|
| | | const double responsibility = responsibilities[scenario];
|
| | | if(!MathIsValidNumber(responsibility) || responsibility < 0.0)
|
| | | ReturnFalse;
|
| | | if(responsibility > 0.0)
|
| | | hits[scenario]++;
|
| | | responsibility_sum[scenario] += responsibility;
|
| | | if(responsibility <= 0.0)
|
| | | continue;
|
| | | for(int coordinate = 0; coordinate < target_total; coordinate++)
|
| | | {
|
| | | const int token = coordinate / EmbeddingSize;
|
| | | const double scale = MathMax(0.001, MathMin(10.0, confidence[int(scenario) * BarDescr * NForecast + token]));
|
| | | const double absolute_error = MathAbs(target[coordinate] - forecast[int(scenario) * target_total + coordinate]);
|
| | | if(!MathIsValidNumber(scale) || !MathIsValidNumber(absolute_error))
|
| | | ReturnFalse;
|
| | | scale_sum[scenario] += responsibility * scale;
|
| | | absolute_sum[scenario] += responsibility * absolute_error;
|
| | | absolute_over_scale_sum[scenario] += responsibility * absolute_error / scale;
|
| | | }
|
| | | }
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillLogRecoverySmoke(const ulong &hits[], const double &responsibility_sum[],
|
| | | const double &scale_sum[], const double &absolute_sum[],
|
| | | const double &absolute_over_scale_sum[],
|
| | | const uint &recovered[], const uint &age_zero[])
|
| | | {
|
| | | if(!D2SkillForecast || ArraySize(hits) != NScenarios || ArraySize(responsibility_sum) != NScenarios ||
|
| | | ArraySize(scale_sum) != NScenarios || ArraySize(absolute_sum) != NScenarios ||
|
| | | ArraySize(absolute_over_scale_sum) != NScenarios ||
|
| | | ArraySize(recovered) != NScenarios || ArraySize(age_zero) != NScenarios)
|
| | | ReturnFalse;
|
| | | CScenarioCodebook *codebook = D2SkillForecast.GetCodebook();
|
| | | if(!codebook)
|
| | | ReturnFalse;
|
| | | CBufferFloat *ages = codebook.GetInactivityAge();
|
| | | CBufferFloat *counts = codebook.GetEMACounts();
|
| | | CBufferFloat *usage = codebook.GetUsage();
|
| | | CBufferFloat *inactive = codebook.GetInactive();
|
| | | if(!ages || !counts || !usage || !inactive || ages.Total() != NScenarios || counts.Total() != NScenarios ||
|
| | | usage.Total() != NScenarios || inactive.Total() != NScenarios || !ages.BufferRead() || !counts.BufferRead() ||
|
| | | !usage.BufferRead() || !inactive.BufferRead())
|
| | | ReturnFalse;
|
| | | for(uint scenario = 0; scenario < NScenarios; scenario++)
|
| | | {
|
| | | if(!MathIsValidNumber(ages[scenario]) || !MathIsValidNumber(counts[scenario]) ||
|
| | | !MathIsValidNumber(usage[scenario]) || !MathIsValidNumber(inactive[scenario]))
|
| | | ReturnFalse;
|
| | | const double denominator = responsibility_sum[scenario] * double(BarDescr * NForecast * EmbeddingSize);
|
| | | const double mean_scale = (denominator > 0.0 ? scale_sum[scenario] / denominator : 0.0);
|
| | | const double mean_absolute = (denominator > 0.0 ? absolute_sum[scenario] / denominator : 0.0);
|
| | | const double mean_absolute_over_scale = (denominator > 0.0 ? absolute_over_scale_sum[scenario] / denominator : 0.0);
|
| | | PrintFormat("D2Skill smoke state=%d hits=%I64u age_zero=%u responsibility_sum=%.8f mean_U=%.8f mean_abs_error=%.8f mean_abs_over_U=%.8f final_age=%.0f ema_count=%.8f usage=%.8f inactive=%d recovered=%u",
|
| | | scenario, hits[scenario], age_zero[scenario], responsibility_sum[scenario], mean_scale, mean_absolute,
|
| | | mean_absolute_over_scale, ages[scenario], counts[scenario], usage[scenario],
|
| | | int(MathRound(inactive[scenario])), recovered[scenario]);
|
| | | }
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillTrainBatch. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillTrainBatch(const int position)
|
| | | {
|
| | | //--- Build exactly the same X<=t state as CreateBuffers(position,...,future),
|
| | | //--- but do not touch any future sample until Market and Scenario are complete.
|
| | | if(!CreateBuffers(position + NForecast, GetPointer(D2SkillState), GetPointer(D2SkillTime), NULL))
|
| | | ReturnFalse;
|
| | | if(!D2SkillMarket.feedForward(GetPointer(D2SkillState), 1, false, (CBufferFloat*)NULL))
|
| | | ReturnFalse;
|
| | | //--- -1 is ScenarioForecast; the detached target is measured from the
|
| | | //--- preceding RankTCM latent z_t.
|
| | | CNeuronBaseOCL *market_layer = D2SkillMarket.Layer(-2);
|
| | | CBufferFloat *market_latent = (market_layer ? market_layer.getOutput() : NULL);
|
| | | if(!market_latent ||
|
| | | market_latent.Total() != (BarDescr * EmbeddingSize) || market_latent.GetIndex() < 0)
|
| | | ReturnFalse;
|
| | | //--- Only now is any future window presented to the detached Target Encoder.
|
| | | if(!CreateBuffers(position, GetPointer(D2SkillState), GetPointer(D2SkillTime), GetPointer(D2SkillFuture)))
|
| | | ReturnFalse;
|
| | | if(!D2SkillPrepareLatentTarget(market_latent))
|
| | | ReturnFalse;
|
| | | const ulong responsibility_started = GetMicrosecondCount();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillForecast.BuildResponsibilities(GetPointer(D2SkillLatentTarget), GetPointer(D2SkillLatentDelta)))
|
| | | {
|
| | | //--- Commit only a completed device validation. Infrastructure failures leave
|
| | | //--- the transient control-valid flag false, so stale batch_control is ignored.
|
| | | if(D2SkillForecast.LastBatchControlValid() && !D2SkillForecast.CommitBatchDiagnostics())
|
| | | PrintFormat("%s -> %d invalid diagnostic commit failed", __FUNCTION__, __LINE__);
|
| | | ReturnFalse;
|
| | | }
|
| | | const ulong responsibility_elapsed = GetMicrosecondCount() - responsibility_started;
|
| | | if(!D2SkillForecast.CommitBatchDiagnostics())
|
| | | ReturnFalse;
|
| | | //--- The unified CNet updates ScenarioForecast and all preceding Market layers.
|
| | | if(!D2SkillMarket.backPropGradient((CBufferFloat*)NULL, (CBufferFloat*)NULL, -1, true))
|
| | | ReturnFalse;
|
| | | D2SkillResponsibilityMicroseconds += responsibility_elapsed;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Current-epoch progress uses the existing 12-float device summ... |
|
| | | //+------------------------------------------------------------------+
|
| | | void D2SkillShowForecastProgress(const double percent, const ulong failed_batches)
|
| | | {
|
| | | double lmix, router, trajectory, confidence, latent, observation;
|
| | | double valid, invalid, entropy, distance, inactive, recovered;
|
| | | if(D2SkillForecast && D2SkillForecast.ReadEpochDiagnostics(lmix, router, trajectory, confidence,
|
| | | latent, observation, valid, invalid, entropy, distance, inactive, recovered) && valid > 0.0)
|
| | | {
|
| | | Comment(StringFormat("D2Skill Forecast %6.2f%% L_mix %.8f latent %.8f invalid(current epoch) %I64u",
|
| | | percent, lmix / valid, latent / valid, failed_batches));
|
| | | return;
|
| | | }
|
| | | Comment(StringFormat("D2Skill Forecast %6.2f%% L_mix n/a latent n/a invalid(current epoch) %I64u",
|
| | | percent, failed_batches));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements TrainD2SkillForecast. |
|
| | | //+------------------------------------------------------------------+
|
| | | void TrainD2SkillForecast(void)
|
| | | {
|
| | | if(!D2SkillReady)
|
| | | return;
|
| | | 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 || !RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
|
| | | !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
|
| | | { PrintFormat("%s -> %d", __FUNCTION__, __LINE__); return; }
|
| | | int wait = -1;
|
| | | bool calculated = false;
|
| | | do
|
| | | {
|
| | | calculated = (RSI.BarsCalculated() >= bars && CCI.BarsCalculated() >= bars &&
|
| | | ATR.BarsCalculated() >= bars && MACD.BarsCalculated() >= bars);
|
| | | Sleep(100);
|
| | | wait++;
|
| | | }
|
| | | while(!calculated && wait < 100);
|
| | | if(!calculated)
|
| | | { PrintFormat("%s -> %d data unavailable", __FUNCTION__, __LINE__); return; }
|
| | | RSI.Refresh();
|
| | | CCI.Refresh();
|
| | | ATR.Refresh();
|
| | | MACD.Refresh();
|
| | | if(!ArraySetAsSeries(Rates, true))
|
| | | { PrintFormat("%s -> %d data unavailable", __FUNCTION__, __LINE__); return; }
|
| | | bars -= end + HistoryBars + NForecast;
|
| | | if(bars < 0)
|
| | | { PrintFormat("%s -> %d insufficient history", __FUNCTION__, __LINE__); return; }
|
| | | //--- With a forecast buffer CreateBuffers(position,...) starts Market state at
|
| | | //--- position+H. Reproduce that exact X<=t mapping with NULL, which also keeps
|
| | | //--- every future target out of the diagnostic input.
|
| | | const int probe_position = MathMax(end - 1, 0);
|
| | | if(!CreateBuffers(probe_position + NForecast, GetPointer(D2SkillProbeState),
|
| | | // Gets Pointer.
|
| | | GetPointer(D2SkillProbeTime), NULL))
|
| | | { PrintFormat("%s -> %d fixed probe unavailable", __FUNCTION__, __LINE__); return; }
|
| | | uint ticks = GetTickCount();
|
| | | bool stop = false;
|
| | | const uint passes = (D2SkillRecoverySmoke ? 1 : uint(MathMax(Epochs, 0)));
|
| | | const ulong smoke_limit = (D2SkillRecoverySmoke ? ulong(MathMax(1, int(D2SkillRecoverySmokeBatches))) : 0);
|
| | | for(uint pass = 0; pass < passes && !IsStopped() && !stop; pass++)
|
| | | {
|
| | | const uint epoch = D2SkillCompletedEpochs;
|
| | | ulong epoch_failures = 0;
|
| | | ulong smoke_batches = 0;
|
| | | ulong smoke_hits[];
|
| | | double smoke_responsibility_sum[];
|
| | | double smoke_scale_sum[];
|
| | | double smoke_absolute_sum[];
|
| | | double smoke_absolute_over_scale_sum[];
|
| | | if(D2SkillRecoverySmoke &&
|
| | | (ArrayResize(smoke_hits, NScenarios) != NScenarios || ArrayResize(smoke_responsibility_sum, NScenarios) != NScenarios ||
|
| | | ArrayResize(smoke_scale_sum, NScenarios) != NScenarios || ArrayResize(smoke_absolute_sum, NScenarios) != NScenarios ||
|
| | | // All temporary smoke buffers must resize to NScenarios.
|
| | | ArrayResize(smoke_absolute_over_scale_sum, NScenarios) != NScenarios))
|
| | | { PrintFormat("%s -> %d smoke counter allocation failed", __FUNCTION__, __LINE__); break; }
|
| | | ArrayInitialize(smoke_hits, 0);
|
| | | ArrayInitialize(smoke_responsibility_sum, 0.0);
|
| | | ArrayInitialize(smoke_scale_sum, 0.0);
|
| | | ArrayInitialize(smoke_absolute_sum, 0.0);
|
| | | ArrayInitialize(smoke_absolute_over_scale_sum, 0.0);
|
| | | if(!D2SkillMarket.Clear() || !D2SkillTarget.Clear())
|
| | | { PrintFormat("%s -> %d clear failed", __FUNCTION__, __LINE__); break; }
|
| | | D2SkillTarget.TrainMode(false);
|
| | | double latent_before[], latent_after[];
|
| | | if(!D2SkillProbeNet(D2SkillMarket, GetPointer(D2SkillProbeState), latent_before, true))
|
| | | { PrintFormat("%s -> %d fixed probe forward failed", __FUNCTION__, __LINE__); stop = true; break; }
|
| | | if(!D2SkillForecast.ResetEpochDiagnostics())
|
| | | { PrintFormat("%s -> %d diagnostic reset failed", __FUNCTION__, __LINE__); stop = true; break; }
|
| | | D2SkillResponsibilityMicroseconds = 0;
|
| | | for(int position = start - HistoryBars - NForecast - 1; position >= end && !IsStopped() && !stop; position--)
|
| | | {
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillTrainBatch(position))
|
| | | {
|
| | | epoch_failures++;
|
| | | PrintFormat("D2Skill invalid batch epoch=%d position=%d line=%d", epoch, position, __LINE__);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(GetTickCount() - ticks > 500)
|
| | | {
|
| | | const double percent = (double(pass) + 1.0 - double(position - end) / MathMax(start - end - HistoryBars - NForecast, 1)) * 100.0 / Epochs;
|
| | | D2SkillShowForecastProgress(percent, epoch_failures);
|
| | | ticks = GetTickCount();
|
| | | }
|
| | | continue;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(D2SkillRecoverySmoke)
|
| | | {
|
| | | if(!D2SkillCollectRecoverySmoke(smoke_hits, smoke_responsibility_sum, smoke_scale_sum,
|
| | | smoke_absolute_sum, smoke_absolute_over_scale_sum))
|
| | | { PrintFormat("%s -> %d smoke responsibility read failed", __FUNCTION__, __LINE__); stop = true; break; }
|
| | | smoke_batches++;
|
| | | if(smoke_batches >= smoke_limit)
|
| | | break;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(GetTickCount() - ticks > 500)
|
| | | {
|
| | | const double percent = (double(pass) + 1.0 - double(position - end) / MathMax(start - end - HistoryBars - NForecast, 1)) * 100.0 / Epochs;
|
| | | D2SkillShowForecastProgress(percent, epoch_failures);
|
| | | ticks = GetTickCount();
|
| | | }
|
| | | }
|
| | | double lmix, lrouter, ltrajectory, lconfidence, latent, observation;
|
| | | double valid_value, invalid_value, entropy, distance, inactive_value, recovered_value;
|
| | | if(!D2SkillForecast.BuildEpochCodebookDiagnostics() ||
|
| | | !D2SkillForecast.ReadEpochDiagnostics(lmix, lrouter, ltrajectory, lconfidence, latent, observation,
|
| | | valid_value, invalid_value, entropy, distance, inactive_value, recovered_value))
|
| | | { PrintFormat("%s -> %d diagnostic read failed", __FUNCTION__, __LINE__); stop = true; break; }
|
| | | const ulong valid = (ulong)MathRound(valid_value);
|
| | | const ulong invalid = (ulong)MathRound(invalid_value);
|
| | | const uint inactive = (uint)MathRound(inactive_value);
|
| | | const uint recovered = (uint)MathRound(recovered_value);
|
| | | uint recovered_by_scenario[];
|
| | | uint age_zero_by_scenario[];
|
| | | if(!D2SkillForecast.ReadEpochRecoveryEvents(recovered_by_scenario))
|
| | | { PrintFormat("%s -> %d recovery-event read failed", __FUNCTION__, __LINE__); stop = true; break; }
|
| | | if(!D2SkillForecast.ReadEpochAgeZeroEvents(age_zero_by_scenario))
|
| | | { PrintFormat("%s -> %d age-zero-event read failed", __FUNCTION__, __LINE__); stop = true; break; }
|
| | | ulong recovery_sum = 0;
|
| | | for(int i = 0; i < ArraySize(recovered_by_scenario); i++)
|
| | | recovery_sum += recovered_by_scenario[i];
|
| | | if(recovery_sum != (ulong)recovered)
|
| | | { PrintFormat("%s -> %d recovery-event mismatch total=%I64u diagnostics=%u", __FUNCTION__, __LINE__, recovery_sum, recovered); stop = true; break; }
|
| | | if(D2SkillRecoverySmoke && valid != smoke_batches)
|
| | | { PrintFormat("%s -> %d smoke valid mismatch valid=%I64u collected=%I64u", __FUNCTION__, __LINE__, valid, smoke_batches); stop = true; break; }
|
| | | D2SkillBatches += valid;
|
| | | D2SkillInvalidBatches += invalid;
|
| | | if(valid == 0)
|
| | | { stop = true; break; }
|
| | | //--- Target is an independently initialized inference-only encoder. It is
|
| | | //--- never copied from Market and is absent from every backward/update path.
|
| | | if(!D2SkillProbeNet(D2SkillMarket, GetPointer(D2SkillProbeState), latent_after, true))
|
| | | { PrintFormat("%s -> %d Market epoch probe failed", __FUNCTION__, __LINE__); stop = true; break; }
|
| | | const double latent_drift = D2SkillProbeDrift(latent_before, latent_after);
|
| | | PrintFormat("D2Skill epoch=%d batches=%I64u L_mix=%.8f L_router=%.8f L_trajectory=%.8f L_confidence=%.8f NLL_confidence=%.8f usage_entropy=%.8f pairwise_codebook=%.8f invalid=%I64u latent_drift=%.8f inactive=%u recovered=%u recovered_by_scenario=%s responsibility_ms=%.3f",
|
| | | epoch + 1, valid, lmix / valid, lrouter / valid, ltrajectory / valid, latent / valid,
|
| | | lconfidence / valid, entropy, distance, D2SkillInvalidBatches,
|
| | | latent_drift, inactive, recovered, FormatScenarioCounts(recovered_by_scenario),
|
| | | double(D2SkillResponsibilityMicroseconds) / (1000.0 * double(valid)));
|
| | | if(D2SkillRecoverySmoke && !D2SkillLogRecoverySmoke(smoke_hits, smoke_responsibility_sum, smoke_scale_sum,
|
| | | smoke_absolute_sum, smoke_absolute_over_scale_sum,
|
| | | recovered_by_scenario, age_zero_by_scenario))
|
| | | { PrintFormat("%s -> %d smoke state log failed", __FUNCTION__, __LINE__); stop = true; break; }
|
| | | if(!D2SkillRecoverySmoke && !D2SkillSaveCheckpoint(epoch + 1))
|
| | | { PrintFormat("%s -> %d checkpoint failed", __FUNCTION__, __LINE__); stop = true; break; }
|
| | | if(D2SkillRecoverySmoke)
|
| | | PrintFormat("D2Skill smoke complete valid=%I64u recovery_age=%u checkpoint=SKIPPED", valid,
|
| | | D2SkillForecast.RecoveryAge());
|
| | | D2SkillCompletedEpochs = epoch + 1;
|
| | | }
|
| | | Comment("");
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!stop)
|
| | | {
|
| | | //--- Successful forecast stage is sealed for the later Actor-Critic stage.
|
| | | D2SkillMarket.TrainMode(false);
|
| | | D2SkillTarget.TrainMode(false);
|
| | | D2SkillLastSignature = D2SkillForecastSignature();
|
| | | PrintFormat("D2Skill forecast inference-only signature=%I64u batches=%I64u invalid=%I64u",
|
| | | D2SkillLastSignature, D2SkillBatches, D2SkillInvalidBatches);
|
| | | }
|
| | | ExpertRemove();
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Actor-Critic inference and composition helpers Implements ORI... |
|
| | | //+------------------------------------------------------------------+
|
| | | string D2SkillManifestValue(const string file_name, const string key)
|
| | | {
|
| | | int handle = FileOpen(file_name, FILE_READ | FILE_TXT | FILE_ANSI | FILE_COMMON | FILE_SHARE_READ);
|
| | | if(handle == INVALID_HANDLE)
|
| | | return "";
|
| | | const string prefix = key + "=";
|
| | | string value = "";
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function while. |
|
| | | //+------------------------------------------------------------------+
|
| | | while(!FileIsEnding(handle))
|
| | | {
|
| | | const string line = FileReadString(handle);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(StringFind(line, prefix) == 0)
|
| | | {
|
| | | value = StringSubstr(line, StringLen(prefix));
|
| | | break;
|
| | | }
|
| | | }
|
| | | FileClose(handle);
|
| | | return value;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillValidateForecastManifestHeader. Static checkp... |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillValidateForecastManifestHeader(void)
|
| | | {
|
| | | #define D2Skill_MANIFEST_HEADER_EQ(KEY,VALUE) if(D2SkillManifestValue(D2Skill_MANIFEST_FILE,KEY)!=(VALUE)) ReturnFalse
|
| | | D2Skill_MANIFEST_HEADER_EQ("format", "D2Skill_FORECAST");
|
| | | D2Skill_MANIFEST_HEADER_EQ("version", IntegerToString(D2Skill_FORMAT_VERSION));
|
| | | D2Skill_MANIFEST_HEADER_EQ("forecast_type", IntegerToString(defNeuronScenarioForecast));
|
| | | D2Skill_MANIFEST_HEADER_EQ("variables", IntegerToString(BarDescr));
|
| | | D2Skill_MANIFEST_HEADER_EQ("scenarios", IntegerToString(NScenarios));
|
| | | D2Skill_MANIFEST_HEADER_EQ("top_k", IntegerToString(TopK));
|
| | | D2Skill_MANIFEST_HEADER_EQ("horizon", IntegerToString(NForecast));
|
| | | D2Skill_MANIFEST_HEADER_EQ("latent", IntegerToString(EmbeddingSize));
|
| | | D2Skill_MANIFEST_HEADER_EQ("z_layout", "K,V,H,D");
|
| | | D2Skill_MANIFEST_HEADER_EQ("u_layout", "K,V,H");
|
| | | D2Skill_MANIFEST_HEADER_EQ("pi_layout", "K");
|
| | | D2Skill_MANIFEST_HEADER_EQ("codebook_layout", "K,V,H,D");
|
| | | D2Skill_MANIFEST_HEADER_EQ("variable_order", "BarDescr_feature_series_0_to_8");
|
| | | D2Skill_MANIFEST_HEADER_EQ("normalization", "OHLC_deltas_from_open;tick_volume_div_1000;RSI_CCI_ATR_MACD_raw");
|
| | | #undef D2Skill_MANIFEST_HEADER_EQ
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillValidateForecastManifest. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillValidateForecastManifest(const ulong signature, const bool training = false)
|
| | | {
|
| | | if(signature == 0)
|
| | | ReturnFalse;
|
| | | if(!D2SkillValidateForecastManifestHeader())
|
| | | ReturnFalse;
|
| | | #define D2Skill_MANIFEST_EQ(KEY,VALUE) if(D2SkillManifestValue(D2Skill_MANIFEST_FILE,KEY)!=(VALUE)) ReturnFalse
|
| | | D2Skill_MANIFEST_EQ("contract_signature", StringFormat("%I64u", D2SkillForecast.ContractSignature()));
|
| | | D2Skill_MANIFEST_EQ("forecast_signature", StringFormat("%I64u", signature));
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(training)
|
| | | {
|
| | | const ulong target_hash = D2SkillHashFile(ulong(1469598103934665603), D2Skill_TARGET_FILE);
|
| | | const ulong training_signature = D2SkillForecastTrainingSignature(signature);
|
| | | D2Skill_MANIFEST_EQ("target_hash", StringFormat("%I64u", target_hash));
|
| | | D2Skill_MANIFEST_EQ("training_signature", StringFormat("%I64u", training_signature));
|
| | | if(target_hash == 0 || training_signature == 0 ||
|
| | | D2SkillManifestValue(D2Skill_MANIFEST_FILE, "completed_epochs") == "" ||
|
| | | D2SkillManifestValue(D2Skill_MANIFEST_FILE, "training_batches") == "" ||
|
| | | D2SkillManifestValue(D2Skill_MANIFEST_FILE, "invalid_batches") == "")
|
| | | ReturnFalse;
|
| | | }
|
| | | #undef D2Skill_MANIFEST_EQ
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillCaptureFrozenBuffer. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCaptureFrozenBuffer(CBufferFloat *source, CBufferFloat &baseline)
|
| | | {
|
| | | return (source && source.BufferRead() && source.Total() > 0 && baseline.AssignArray(source));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillFrozenBufferEqual. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillFrozenBufferEqual(CBufferFloat *source, CBufferFloat &baseline)
|
| | | {
|
| | | if(!source || !source.BufferRead() || source.Total() != baseline.Total())
|
| | | ReturnFalse;
|
| | | for(int i = 0; i < source.Total(); i++)
|
| | | if(source[i] != baseline[i])
|
| | | ReturnFalse;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillCaptureFrozenForecastBaseline. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCaptureFrozenForecastBaseline(CNeuronScenarioForecast *forecast = NULL)
|
| | | {
|
| | | CNeuronScenarioForecast *current = (forecast ? forecast : D2SkillForecast);
|
| | | D2SkillFrozenBaselineReady = false;
|
| | | if(!current || !current.GetCodebook())
|
| | | ReturnFalse;
|
| | | CBufferFloat *generator = current.GetGenerator().GetWeightsConv();
|
| | | CBufferFloat *router = current.GetRouter().GetWeightsConv();
|
| | | CBufferFloat *confidence = current.GetConfidenceHead().GetWeightsConv();
|
| | | const int trainable = (generator ? generator.Total() : 0) +
|
| | | (router ? router.Total() : 0) +
|
| | | (confidence ? confidence.Total() : 0);
|
| | | if(trainable <= 0 || trainable != int(current.TrainableWeights()) ||
|
| | | !D2SkillCaptureFrozenBuffer(generator, D2SkillFrozenGeneratorWeights) ||
|
| | | !D2SkillCaptureFrozenBuffer(router, D2SkillFrozenRouterWeights) ||
|
| | | !D2SkillCaptureFrozenBuffer(confidence, D2SkillFrozenConfidenceWeights) ||
|
| | | !D2SkillCaptureFrozenBuffer(current.GetCodebook().GetPrototypes(), D2SkillFrozenPrototypes) ||
|
| | | !D2SkillCaptureFrozenBuffer(current.GetCodebook().GetEMASums(), D2SkillFrozenEMASums) ||
|
| | | !D2SkillCaptureFrozenBuffer(current.GetCodebook().GetEMACounts(), D2SkillFrozenEMACounts) ||
|
| | | !D2SkillCaptureFrozenBuffer(current.GetCodebook().GetUsage(), D2SkillFrozenUsage) ||
|
| | | !D2SkillCaptureFrozenBuffer(current.GetCodebook().GetInactive(), D2SkillFrozenInactive) ||
|
| | | !D2SkillCaptureFrozenBuffer(current.GetCodebook().GetInactivityAge(), D2SkillFrozenInactivityAge))
|
| | | ReturnFalse;
|
| | | D2SkillFrozenBaselineReady = true;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillVerifyFrozenWeightsExact. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillVerifyFrozenWeightsExact(CNeuronScenarioForecast *forecast = NULL)
|
| | | {
|
| | | CNeuronScenarioForecast *current = (forecast ? forecast : D2SkillForecast);
|
| | | if(!D2SkillFrozenBaselineReady || !current)
|
| | | ReturnFalse;
|
| | | CBufferFloat *generator = current.GetGenerator().GetWeightsConv();
|
| | | CBufferFloat *router = current.GetRouter().GetWeightsConv();
|
| | | CBufferFloat *confidence = current.GetConfidenceHead().GetWeightsConv();
|
| | | const int trainable = (generator ? generator.Total() : 0) +
|
| | | (router ? router.Total() : 0) +
|
| | | (confidence ? confidence.Total() : 0);
|
| | | return (trainable > 0 && trainable == int(current.TrainableWeights()) &&
|
| | | D2SkillFrozenBufferEqual(generator, D2SkillFrozenGeneratorWeights) &&
|
| | | D2SkillFrozenBufferEqual(router, D2SkillFrozenRouterWeights) &&
|
| | | D2SkillFrozenBufferEqual(confidence, D2SkillFrozenConfidenceWeights));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillVerifyFrozenCodebookExact. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillVerifyFrozenCodebookExact(CNeuronScenarioForecast *forecast = NULL)
|
| | | {
|
| | | CNeuronScenarioForecast *current = (forecast ? forecast : D2SkillForecast);
|
| | | if(!D2SkillFrozenBaselineReady || !current || !current.GetCodebook())
|
| | | ReturnFalse;
|
| | | return (D2SkillFrozenBufferEqual(current.GetCodebook().GetPrototypes(), D2SkillFrozenPrototypes) &&
|
| | | D2SkillFrozenBufferEqual(current.GetCodebook().GetEMASums(), D2SkillFrozenEMASums) &&
|
| | | D2SkillFrozenBufferEqual(current.GetCodebook().GetEMACounts(), D2SkillFrozenEMACounts) &&
|
| | | D2SkillFrozenBufferEqual(current.GetCodebook().GetUsage(), D2SkillFrozenUsage) &&
|
| | | D2SkillFrozenBufferEqual(current.GetCodebook().GetInactive(), D2SkillFrozenInactive) &&
|
| | | D2SkillFrozenBufferEqual(current.GetCodebook().GetInactivityAge(), D2SkillFrozenInactivityAge));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillVerifyFrozenForecastExact. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillVerifyFrozenForecastExact(CNeuronScenarioForecast *forecast = NULL)
|
| | | {
|
| | | return (D2SkillVerifyFrozenWeightsExact(forecast) && D2SkillVerifyFrozenCodebookExact(forecast));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillLoadForecastInference. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillLoadForecastInference(void)
|
| | | {
|
| | | D2SkillFrozenBaselineReady = false;
|
| | | D2SkillForecast = NULL;
|
| | | float error = 0, undefine = 0, forecast = 0;
|
| | | datetime studied = 0;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillMarket.Load(D2Skill_MARKET_FILE, error, undefine, forecast, studied, true))
|
| | | {
|
| | | Print("D2Skill inference: model load=FAIL");
|
| | | ReturnFalse;
|
| | | }
|
| | | D2SkillForecast = (CNeuronScenarioForecast*)D2SkillMarket.Layer(-1);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillForecast || D2SkillForecast.Type() != defNeuronScenarioForecast)
|
| | | {
|
| | | Print("D2Skill inference: forecast layer=FAIL");
|
| | | ReturnFalse;
|
| | | }
|
| | | if(!ConfigureForecastRecoveryAge())
|
| | | ReturnFalse;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(D2SkillForecast.GetTopK() != TopK)
|
| | | {
|
| | | PrintFormat("D2Skill inference: TopK expected=%d actual=%d", TopK, D2SkillForecast.GetTopK());
|
| | | ReturnFalse;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| only the Market/Forecast path. Target and its future-window b... |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillValidateShapes(false))
|
| | | {
|
| | | Print("D2Skill inference: shape audit=FAIL");
|
| | | ReturnFalse;
|
| | | }
|
| | | D2SkillMarket.TrainMode(false);
|
| | | const ulong signature = D2SkillForecastSignature();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillValidateForecastManifest(signature))
|
| | | {
|
| | | Print("D2Skill inference: manifest=FAIL");
|
| | | ReturnFalse;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillCaptureFrozenForecastBaseline())
|
| | | {
|
| | | Print("D2Skill inference: frozen baseline=FAIL");
|
| | | ReturnFalse;
|
| | | }
|
| | | D2SkillLastSignature = signature;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Full forecast-training restore. Target is required here becau... |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillLoadForecastTraining(void)
|
| | | {
|
| | | if(!FileIsExist(D2Skill_MANIFEST_FILE, FILE_COMMON) ||
|
| | | !FileIsExist(D2Skill_MARKET_FILE, FILE_COMMON) || !FileIsExist(D2Skill_TARGET_FILE, FILE_COMMON))
|
| | | ReturnFalse;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Avoid a partial CNet::Load before the fallback random graph i... |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!D2SkillValidateForecastManifestHeader())
|
| | | {
|
| | | Print("D2Skill restore: manifest static contract=FAIL");
|
| | | ReturnFalse;
|
| | | }
|
| | | float error = 0, undefine = 0, forecast = 0;
|
| | | datetime studied = 0;
|
| | | if(!D2SkillMarket.Load(D2Skill_MARKET_FILE, error, undefine, forecast, studied, true) ||
|
| | | !D2SkillTarget.Load(D2Skill_TARGET_FILE, error, undefine, forecast, studied, true))
|
| | | ReturnFalse;
|
| | | D2SkillTarget.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | D2SkillForecast = (CNeuronScenarioForecast*)D2SkillMarket.Layer(-1);
|
| | | if(!D2SkillForecast || D2SkillForecast.Type() != defNeuronScenarioForecast)
|
| | | ReturnFalse;
|
| | | if(!ConfigureForecastRecoveryAge())
|
| | | ReturnFalse;
|
| | | //--- These are transient training tensors and are intentionally absent from
|
| | | //--- *.nnw. Recreate them before the common shape audit.
|
| | | if(!D2SkillInitTrainingBuffers() || !D2SkillValidateShapes())
|
| | | ReturnFalse;
|
| | | const ulong signature = D2SkillForecastSignature();
|
| | | if(!D2SkillValidateForecastManifest(signature, true))
|
| | | ReturnFalse;
|
| | | const string completed = D2SkillManifestValue(D2Skill_MANIFEST_FILE, "completed_epochs");
|
| | | const string batches = D2SkillManifestValue(D2Skill_MANIFEST_FILE, "training_batches");
|
| | | const string invalid = D2SkillManifestValue(D2Skill_MANIFEST_FILE, "invalid_batches");
|
| | | if(completed == "" || batches == "" || invalid == "")
|
| | | ReturnFalse;
|
| | | D2SkillCompletedEpochs = (uint)StringToInteger(completed);
|
| | | D2SkillBatches = (ulong)StringToInteger(batches);
|
| | | D2SkillInvalidBatches = (ulong)StringToInteger(invalid);
|
| | | D2SkillTarget.TrainMode(false);
|
| | | D2SkillMarket.TrainMode(true);
|
| | | D2SkillLastSignature = signature;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillAddCross. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillAddCross(CArrayObj *description, const bool critic, const bool d2 = false)
|
| | | {
|
| | | CLayerDescription *descr = new CLayerDescription();
|
| | | if(!description || !descr)
|
| | | { DeleteObj(descr); ReturnFalse; }
|
| | | descr.type = (d2 && !critic ? defNeuronD2Skill : defNeuronScenarioCrossAttention);
|
| | | descr.count = NScenarios;
|
| | | descr.variables = (critic ? 5 : 3);
|
| | | descr.window_out = NForecast;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.layers = BarDescr;
|
| | | descr.step = StackSize;
|
| | | descr.probability = TopK;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(description.Add(descr))
|
| | | return true;
|
| | | DeleteObj(descr);
|
| | | ReturnFalse;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillAddConv(CArrayObj *description, const uint count, const uint window, const uint output,
|
| | | const uint variables, const ENUM_ACTIVATION activation)
|
| | | {
|
| | | CLayerDescription *descr = new CLayerDescription();
|
| | | if(!description || !descr)
|
| | | { DeleteObj(descr); ReturnFalse; }
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = count;
|
| | | descr.window = window;
|
| | | descr.step = window;
|
| | | descr.window_out = output;
|
| | | descr.layers = variables;
|
| | | descr.activation = activation;
|
| | | descr.optimization = ADAM;
|
| | | descr.batch = BatchSize;
|
| | | if(description.Add(descr))
|
| | | return true;
|
| | | DeleteObj(descr);
|
| | | ReturnFalse;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Creates or initializes D2SkillActorCriticDescriptions. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool CreateD2SkillActorCriticDescriptions(CArrayObj *&actor, CArrayObj *&critic)
|
| | | {
|
| | | actor = new CArrayObj();
|
| | | critic = new CArrayObj();
|
| | | if(!actor || !critic)
|
| | | {
|
| | | DeleteObj(actor);
|
| | | DeleteObjAndFalse(critic);
|
| | | }
|
| | | actor.FreeMode(true);
|
| | | critic.FreeMode(true);
|
| | | //--- Full K-major scenario tensors enter one learned trunk. There is no Pi sum.
|
| | | if(!D2SkillAddBase(actor, AccountDescr) || !D2SkillAddCross(actor, false, true) ||
|
| | | !D2SkillAddConv(actor, 1, (3 * EmbeddingSize), EmbeddingSize, 1, GELU) ||
|
| | | !D2SkillAddConv(actor, 1, EmbeddingSize, 3, 2, SIGMOID))
|
| | | {
|
| | | DeleteObj(actor);
|
| | | DeleteObjAndFalse(critic);
|
| | | }
|
| | | if(!D2SkillAddBase(critic, AccountDescr + NActions) || !D2SkillAddCross(critic, true) ||
|
| | | !D2SkillAddConv(critic, 1, (5 * EmbeddingSize), EmbeddingSize, 1, GELU) ||
|
| | | !D2SkillAddConv(critic, 1, EmbeddingSize, 1, 1, None))
|
| | | {
|
| | | DeleteObj(actor);
|
| | | DeleteObjAndFalse(critic);
|
| | | }
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillValidatePolicyShape. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillValidatePolicyShape(CNet &net, const bool critic)
|
| | | {
|
| | | CNeuronScenarioCrossAttention *cross = (CNeuronScenarioCrossAttention*)net.Layer(1);
|
| | | const bool type_ok = (cross && (critic ? cross.Type() == defNeuronScenarioCrossAttention
|
| | | : cross.Type() == defNeuronD2Skill));
|
| | | if(!type_ok ||
|
| | | cross.Variables() != BarDescr || cross.Scenarios() != NScenarios ||
|
| | | cross.Horizon() != NForecast || cross.Latent() != EmbeddingSize ||
|
| | | cross.Queries() != (critic ? 5 : 3) || cross.IsCritic() != critic ||
|
| | | cross.HistorySize() != StackSize || cross.HistoryTopK() != TopK)
|
| | | ReturnFalse;
|
| | | CNeuronBaseOCL *output_layer = net.Layer(3);
|
| | | CBufferFloat *buffer = (output_layer ? output_layer.getOutput() : NULL);
|
| | | if(!buffer || buffer.Total() != (critic ? 1 : NActions))
|
| | | ReturnFalse;
|
| | | CNeuronBaseOCL *input_layer = net.Layer(0);
|
| | | buffer = (input_layer ? input_layer.getOutput() : NULL);
|
| | | if(!buffer ||
|
| | | buffer.Total() != int(AccountDescr + (critic ? NActions : 0)))
|
| | | ReturnFalse;
|
| | | CNeuronBaseOCL *cross_layer = net.Layer(1);
|
| | | buffer = (cross_layer ? cross_layer.getOutput() : NULL);
|
| | | if(!buffer ||
|
| | | buffer.Total() != int(critic ? (5 * EmbeddingSize) : (3 * EmbeddingSize)))
|
| | | ReturnFalse;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillForwardForecast. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillForwardForecast(const int position, CBufferFloat *state, CBufferFloat *time)
|
| | | {
|
| | | if(!D2SkillForecast || !CreateBuffers(position, state, time, NULL) ||
|
| | | !D2SkillMarket.feedForward(state, 1, false, (CBufferFloat*)NULL))
|
| | | ReturnFalse;
|
| | | CBufferFloat *z = D2SkillForecast.GetZ(), *u = D2SkillForecast.GetU(), *pi = D2SkillForecast.GetPi();
|
| | | return (z != NULL && u != NULL && pi != NULL && z.Total() == NScenarios * BarDescr * NForecast * EmbeddingSize &&
|
| | | u.Total() == NScenarios * BarDescr * NForecast &&
|
| | | pi.Total() == NScenarios && z.GetIndex() >= 0 && u.GetIndex() >= 0 && pi.GetIndex() >= 0);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Builds CriticInput. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool BuildCriticInput(CBufferFloat *account, CBufferFloat *action, CBufferFloat *combined)
|
| | | {
|
| | | if(!account || !action || !combined || account.Total() != AccountDescr || action.Total() != NActions ||
|
| | | account.GetIndex() < 0 || action.GetIndex() < 0 ||
|
| | | (!combined.BufferInit(AccountDescr + NActions, 0)) ||
|
| | | (combined.GetIndex() < 0 && !combined.BufferCreate(D2SkillMarket.GetOpenCL())))
|
| | | ReturnFalse;
|
| | | if(!D2SkillDevice.Bind(D2SkillMarket.GetOpenCL()))
|
| | | ReturnFalse;
|
| | | return D2SkillDevice.Join2(account, AccountDescr, action, NActions, combined);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements EvaluateAction. lot instead of the former balance-... |
|
| | | //+------------------------------------------------------------------+
|
| | | double EvaluateAction(CBufferFloat *action, const double balance, const uint position)
|
| | | {
|
| | | const double reward = CheckAction(action, balance, position);
|
| | | if(!MathIsValidNumber(reward) || !action || action.Total() != NActions)
|
| | | return reward;
|
| | | const double buy = MathMax(0.0, double(action[0] - action[3]));
|
| | | const double sell = MathMax(0.0, double(action[3] - action[0]));
|
| | | const double min_lot = Symb.LotsMin();
|
| | | if(MathMax(buy, sell) >= min_lot || min_lot <= 0 || balance <= 0)
|
| | | return reward;
|
| | | double margin = 0;
|
| | | if(!OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), margin) || margin <= 0)
|
| | | return reward;
|
| | | const double virtual_lot = balance / (2.0 * margin);
|
| | | if(virtual_lot <= min_lot)
|
| | | return reward;
|
| | | return reward * (min_lot / virtual_lot);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Builds TeacherAction. raw future window here; the live Market... |
|
| | | //+------------------------------------------------------------------+
|
| | | bool BuildTeacherAction(const int position, CBufferFloat *account, CBufferFloat *action, double &reward)
|
| | | {
|
| | | reward = 0;
|
| | | if(!account || !action || position < 0 || position + HistoryBars + NForecast > int(Rates.Size()) ||
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function Total. |
|
| | | //+------------------------------------------------------------------+
|
| | | account.Total() != AccountDescr)
|
| | | {
|
| | | PrintFormat("BuildTeacherAction input position=%d rates=%d account=%d action=%d",
|
| | | position, Rates.Size(), (account ? account.Total() : -1), (action ? action.Total() : -1));
|
| | | ReturnFalse;
|
| | | }
|
| | | CBufferFloat teacher_state, teacher_time;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!CreateBuffers(position, GetPointer(teacher_state), GetPointer(teacher_time), GetPointer(D2SkillFuture)))
|
| | | {
|
| | | PrintFormat("BuildTeacherAction CreateBuffers position=%d future=%d index=%d",
|
| | | position, D2SkillFuture.Total(), D2SkillFuture.GetIndex());
|
| | | ReturnFalse;
|
| | | }
|
| | | vector<float> account_values;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(account.GetData(account_values) != AccountDescr)
|
| | | {
|
| | | PrintFormat("BuildTeacherAction account data total=%d index=%d", account.Total(), account.GetIndex());
|
| | | ReturnFalse;
|
| | | }
|
| | | const vector<float> teacher = OraculAction(account_values, GetPointer(D2SkillFuture));
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(teacher.Size() != NActions)
|
| | | {
|
| | | PrintFormat("BuildTeacherAction oracle size=%d expected=%d", teacher.Size(), NActions);
|
| | | ReturnFalse;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!action.AssignArray(teacher))
|
| | | {
|
| | | Print("BuildTeacherAction action AssignArray");
|
| | | ReturnFalse;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(action.GetIndex() < 0 && !action.BufferCreate(D2SkillMarket.GetOpenCL()))
|
| | | {
|
| | | PrintFormat("BuildTeacherAction action BufferCreate total=%d index=%d", action.Total(), action.GetIndex());
|
| | | ReturnFalse;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(action.GetIndex() >= 0 && !action.BufferWrite())
|
| | | {
|
| | | PrintFormat("BuildTeacherAction action BufferWrite total=%d index=%d", action.Total(), action.GetIndex());
|
| | | ReturnFalse;
|
| | | }
|
| | | reward = EvaluateAction(action, MathMax(0.0, double(account_values[0]) * EtalonBalance), (uint)position);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!MathIsValidNumber(reward))
|
| | | {
|
| | | PrintFormat("BuildTeacherAction reward invalid %.8f", reward);
|
| | | ReturnFalse;
|
| | | }
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| A valid random policy action expands Critic coverage only. Bu... |
|
| | | //+------------------------------------------------------------------+
|
| | | bool BuildRandomAction(const int position, CBufferFloat *account, CBufferFloat *action, double &reward)
|
| | | {
|
| | | reward = 0;
|
| | | if(!account || !action || position < 0 || position >= int(Rates.Size()) ||
|
| | | account.Total() != AccountDescr)
|
| | | ReturnFalse;
|
| | | vector<float> account_values;
|
| | | if(account.GetData(account_values) != AccountDescr)
|
| | | ReturnFalse;
|
| | | const double balance = MathMax(0.0, double(account_values[0]) * EtalonBalance);
|
| | | double margin = 0;
|
| | | if(balance <= 0 || !OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Rates[position].open, margin) || margin <= 0)
|
| | | ReturnFalse;
|
| | | const double min_lot = Symb.LotsMin();
|
| | | const double max_lot = MathMin(Symb.LotsMax(), balance / (2.0 * margin));
|
| | | if(min_lot <= 0 || max_lot < min_lot)
|
| | | ReturnFalse;
|
| | | const double stop_points = MathMax(Symb.StopsLevel(), 10);
|
| | | const double min_tp = stop_points / MathMax(MaxTP, 1);
|
| | | const double min_sl = (stop_points + Symb.Spread()) / MathMax(MaxSL, 1);
|
| | | if(min_tp >= 1.0 || min_sl >= 1.0)
|
| | | ReturnFalse;
|
| | | const double uniform = MathRand() / 32767.0;
|
| | | const double lot = MathMin(max_lot, NormalizeLot(min_lot + (max_lot - min_lot) * uniform));
|
| | | const double tp = min_tp + (1.0 - min_tp) * (MathRand() / 32767.0);
|
| | | const double sl = min_sl + (1.0 - min_sl) * (MathRand() / 32767.0);
|
| | | vector<float> values = vector<float>::Zeros(NActions);
|
| | | if((MathRand() & 1) != 0)
|
| | | values[0] = float(lot);
|
| | | else
|
| | | values[3] = float(lot);
|
| | | values[1] = values[4] = float(tp);
|
| | | values[2] = values[5] = float(sl);
|
| | | if(!action.AssignArray(values))
|
| | | ReturnFalse;
|
| | | if(action.GetIndex() < 0 && !action.BufferCreate(D2SkillMarket.GetOpenCL()))
|
| | | ReturnFalse;
|
| | | if(action.GetIndex() >= 0 && !action.BufferWrite())
|
| | | ReturnFalse;
|
| | | reward = EvaluateAction(action, balance, (uint)position);
|
| | | return MathIsValidNumber(reward);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillClampAction. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillClampAction(CBufferFloat *source, CBufferFloat *target)
|
| | | {
|
| | | if(!source || !target || !source.BufferRead() || source.Total() != NActions ||
|
| | | !target.BufferInit(NActions, 0))
|
| | | ReturnFalse;
|
| | | for(uint i = 0; i < NActions; i++)
|
| | | {
|
| | | if(!MathIsValidNumber(source[i]) || !target.Update(i, float(MathMax(0.0, MathMin(1.0, double(source[i]))))))
|
| | | ReturnFalse;
|
| | | }
|
| | | return (target.GetIndex() < 0 || target.BufferWrite());
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillWriteACManifest. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillWriteACManifest(const ulong forecast_signature)
|
| | | {
|
| | | if(forecast_signature == 0 || forecast_signature != D2SkillLastSignature)
|
| | | ReturnFalse;
|
| | | const ulong actor_hash = D2SkillHashFile(ulong(1469598103934665603), D2Skill_ACTOR_FILE);
|
| | | const ulong q1_hash = D2SkillHashFile(ulong(1469598103934665603), D2Skill_Q1_FILE);
|
| | | const ulong q2_hash = D2SkillHashFile(ulong(1469598103934665603), D2Skill_Q2_FILE);
|
| | | if(actor_hash == 0 || q1_hash == 0 || q2_hash == 0)
|
| | | ReturnFalse;
|
| | | int handle = FileOpen(D2Skill_AC_MANIFEST_FILE, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
|
| | | if(handle == INVALID_HANDLE)
|
| | | ReturnFalse;
|
| | | FileWrite(handle, "format=D2Skill_ACTOR_CRITIC");
|
| | | FileWrite(handle, StringFormat("version=%u", D2Skill_AC_FORMAT_VERSION));
|
2026-08-22 20:08:02 +03:00 | | | FileWrite(handle, StringFormat("d2_representation=%u", D2SkillD2Representation));
|
2026-08-20 19:43:03 +03:00 | | | FileWrite(handle, StringFormat("forecast_signature=%I64u", forecast_signature));
|
| | | FileWrite(handle, StringFormat("actor_context=%u", (3 * EmbeddingSize)));
|
| | | FileWrite(handle, StringFormat("critic_context=%u", (5 * EmbeddingSize)));
|
| | | FileWrite(handle, "action_order=BuyLot,BuyTP,BuySL,SellLot,SellTP,SellSL");
|
| | | FileWrite(handle, "scenario_policy=preserve_KV_no_probability_aggregation");
|
| | | FileWrite(handle, "teacher_policy=realized_future_oracul_positive_actor_all_critic");
|
| | | FileWrite(handle, "no_trade_penalty=min_executable_lot");
|
| | | FileWrite(handle, "account_execution=target_position_tp_sl_bar_lifecycle");
|
| | | FileWrite(handle, "critic_target=direct_episode_return");
|
| | | FileWrite(handle, "actor_policy_gradient=executable_action_only");
|
| | | FileWrite(handle, "critic_coverage=policy_teacher_all_random_executable");
|
| | | FileWrite(handle, "actor_supervision=positive_teacher_and_random");
|
| | | FileWrite(handle, StringFormat("actor_hash=%I64u", actor_hash));
|
| | | FileWrite(handle, StringFormat("q1_hash=%I64u", q1_hash));
|
| | | FileWrite(handle, StringFormat("q2_hash=%I64u", q2_hash));
|
| | | FileWrite(handle, StringFormat("generation=%I64u", (ulong)TimeCurrent()));
|
| | | FileClose(handle);
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillValidateACManifest. |
|
| | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | bool D2SkillValidateManifestRepresentation(const string manifest_file,
|
| | | const bool allow_bank_reset,
|
| | | bool &mismatch)
|
2026-08-20 19:43:03 +03:00 | | | {
|
2026-08-22 20:08:02 +03:00 | | | mismatch = false;
|
| | | const string actual = D2SkillManifestValue(manifest_file, "d2_representation");
|
| | | const string expected = IntegerToString(D2SkillD2Representation);
|
| | | if(actual != IntegerToString(D2SkillFullResidual) &&
|
| | | actual != IntegerToString(D2SkillDirectionMagnitude))
|
| | | {
|
| | | PrintFormat("D2Skill policy manifest: invalid d2_representation=%s", actual);
|
| | | ReturnFalse;
|
| | | }
|
| | | mismatch = (actual != expected);
|
| | | if(mismatch && !allow_bank_reset)
|
| | | {
|
| | | PrintFormat("D2Skill policy manifest: d2_representation expected=%s actual=%s", expected, actual);
|
| | | ReturnFalse;
|
| | | }
|
| | | if(mismatch)
|
| | | PrintFormat("D2Skill policy manifest: d2_representation expected=%s actual=%s; bank reset requested",
|
| | | expected, actual);
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillValidateACManifestFile(const bool required, const string manifest_file,
|
| | | const bool allow_bank_reset)
|
| | | {
|
| | | if(D2SkillManifestValue(manifest_file, "format") == "")
|
2026-08-20 19:43:03 +03:00 | | | return !required;
|
| | | #define D2Skill_AC_MANIFEST_EQ(KEY,VALUE) \
|
2026-08-22 20:08:02 +03:00 | | | { const string actual=D2SkillManifestValue(manifest_file,KEY); const string expected=(VALUE); \
|
2026-08-20 19:43:03 +03:00 | | | if(actual!=expected) { PrintFormat("D2Skill policy manifest: %s expected=%s actual=%s",KEY,expected,actual); ReturnFalse; } }
|
| | | D2Skill_AC_MANIFEST_EQ("format", "D2Skill_ACTOR_CRITIC");
|
| | | D2Skill_AC_MANIFEST_EQ("version", IntegerToString(D2Skill_AC_FORMAT_VERSION));
|
2026-08-22 20:08:02 +03:00 | | | bool representation_mismatch = false;
|
| | | if(!D2SkillValidateManifestRepresentation(manifest_file, allow_bank_reset,
|
| | | representation_mismatch))
|
| | | ReturnFalse;
|
2026-08-20 19:43:03 +03:00 | | | D2Skill_AC_MANIFEST_EQ("forecast_signature", StringFormat("%I64u", D2SkillLastSignature));
|
| | | D2Skill_AC_MANIFEST_EQ("actor_context", IntegerToString((3 * EmbeddingSize)));
|
| | | D2Skill_AC_MANIFEST_EQ("critic_context", IntegerToString((5 * EmbeddingSize)));
|
| | | D2Skill_AC_MANIFEST_EQ("action_order", "BuyLot,BuyTP,BuySL,SellLot,SellTP,SellSL");
|
| | | D2Skill_AC_MANIFEST_EQ("scenario_policy", "preserve_KV_no_probability_aggregation");
|
| | | D2Skill_AC_MANIFEST_EQ("teacher_policy", "realized_future_oracul_positive_actor_all_critic");
|
| | | D2Skill_AC_MANIFEST_EQ("no_trade_penalty", "min_executable_lot");
|
| | | D2Skill_AC_MANIFEST_EQ("account_execution", "target_position_tp_sl_bar_lifecycle");
|
| | | D2Skill_AC_MANIFEST_EQ("critic_target", "direct_episode_return");
|
| | | D2Skill_AC_MANIFEST_EQ("actor_policy_gradient", "executable_action_only");
|
| | | D2Skill_AC_MANIFEST_EQ("critic_coverage", "policy_teacher_all_random_executable");
|
| | | D2Skill_AC_MANIFEST_EQ("actor_supervision", "positive_teacher_and_random");
|
| | | D2Skill_AC_MANIFEST_EQ("actor_hash", StringFormat("%I64u", D2SkillHashFile(ulong(1469598103934665603), D2Skill_ACTOR_FILE)));
|
| | | D2Skill_AC_MANIFEST_EQ("q1_hash", StringFormat("%I64u", D2SkillHashFile(ulong(1469598103934665603), D2Skill_Q1_FILE)));
|
| | | D2Skill_AC_MANIFEST_EQ("q2_hash", StringFormat("%I64u", D2SkillHashFile(ulong(1469598103934665603), D2Skill_Q2_FILE)));
|
| | | #undef D2Skill_AC_MANIFEST_EQ
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | if(D2SkillManifestValue(manifest_file, "generation") == "")
|
2026-08-20 19:43:03 +03:00 | | | {
|
| | | Print("D2Skill policy manifest: generation is absent");
|
| | | ReturnFalse;
|
| | | }
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | bool D2SkillValidateACManifest(const bool required)
|
| | | {
|
| | | return(D2SkillValidateACManifestFile(required, D2Skill_AC_MANIFEST_FILE, false));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:43:03 +03:00 | | | //| Implements D2SkillLoadPolicyNet. Shared Actor-Critic lifecycle ... |
|
| | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | bool D2SkillConfigureBankRepresentation(CD2SkillBank *task, CD2SkillBank *step)
|
| | | {
|
| | | if(!task || !step)
|
| | | ReturnFalse;
|
| | | const bool task_mismatch = (task.Representation() != D2SkillD2Representation);
|
| | | const bool step_mismatch = (step.Representation() != D2SkillD2Representation);
|
| | | if((task_mismatch || step_mismatch) && !D2SkillD2ResetBanksOnRepresentationMismatch)
|
| | | {
|
| | | PrintFormat("D2Skill representation mismatch expected=%d task=%d step=%d",
|
| | | D2SkillD2Representation, task.Representation(), step.Representation());
|
| | | ReturnFalse;
|
| | | }
|
| | | if((task_mismatch && !task.ResetDurableState()) ||
|
| | | (step_mismatch && !step.ResetDurableState()))
|
| | | ReturnFalse;
|
| | | task.SetRepresentation(D2SkillD2Representation);
|
| | | step.SetRepresentation(D2SkillD2Representation);
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| A newly created policy has no durable checkpoint state to keep. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillSetNewBankRepresentation(CD2SkillBank *task, CD2SkillBank *step)
|
| | | {
|
| | | if(!task || !step)
|
| | | ReturnFalse;
|
| | | task.SetRepresentation(D2SkillD2Representation);
|
| | | step.SetRepresentation(D2SkillD2Representation);
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillSetNewPolicyRepresentation(CNet &net)
|
| | | {
|
| | | CNeuronBaseOCL *layer = net.Layer(1);
|
| | | if(!layer || layer.Type() != defNeuronD2Skill)
|
| | | ReturnFalse;
|
| | | CD2Skill *skill = (CD2Skill*)layer;
|
| | | if(!skill || !skill.Ready() || !skill.TaskBank() || !skill.StepBank())
|
| | | ReturnFalse;
|
| | | return(D2SkillSetNewBankRepresentation(skill.TaskBank(), skill.StepBank()));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:43:03 +03:00 | | | bool D2SkillLoadPolicyNet(CNet &net, const string file_name)
|
| | | {
|
| | | float error = 0, undefine = 0, forecast = 0;
|
| | | datetime studied = 0;
|
2026-08-22 20:08:02 +03:00 | | | return(net.Load(file_name, error, undefine, forecast, studied, true));
|
2026-08-20 19:43:03 +03:00 | | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillCreatePolicySet. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCreatePolicySet(CNet &actor, CNet &q1, CNet &q2)
|
| | | {
|
| | | CArrayObj *actor_descr = NULL, *critic_descr = NULL;
|
| | | if(!CreateD2SkillActorCriticDescriptions(actor_descr, critic_descr))
|
| | | { DeleteObj(actor_descr); DeleteObj(critic_descr); ReturnFalse; }
|
| | | bool result = actor.Create(actor_descr);
|
| | | if(result)
|
| | | actor.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | if(result)
|
| | | result = q1.Create(critic_descr);
|
| | | if(result)
|
| | | q1.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | if(result)
|
| | | result = q2.Create(critic_descr);
|
| | | if(result)
|
| | | q2.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | DeleteObj(actor_descr);
|
| | | DeleteObj(critic_descr);
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(result)
|
| | | {
|
| | | //--- A CNet temporary OpenCL context must be released before creating the
|
| | | //--- next policy net. Otherwise nested MSRes buffers can retain stale
|
| | | //--- device handles from the preceding Create call.
|
| | | actor.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | q1.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | q2.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | }
|
2026-08-22 20:08:02 +03:00 | | | return(result && D2SkillSetNewPolicyRepresentation(actor));
|
2026-08-20 19:43:03 +03:00 | | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | void D2SkillD2BankFlags(bool &task_enabled, bool &step_enabled)
|
| | | {
|
| | | const bool execution_enabled = (D2SkillD2ExecutionMode != D2_DISABLED);
|
| | | task_enabled = (execution_enabled &&
|
| | | (D2SkillD2Mode == D2Skill_D2_MODE_TASK ||
|
| | | D2SkillD2Mode == D2Skill_D2_MODE_FULL));
|
| | | step_enabled = (execution_enabled &&
|
| | | (D2SkillD2Mode == D2Skill_D2_MODE_STEP ||
|
| | | D2SkillD2Mode == D2Skill_D2_MODE_FULL));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Selects the only utility interpretation accepted by this run. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillConfigureD2UtilityMode(const int utility_mode)
|
| | | {
|
| | | if(utility_mode != D2Skill_D2_UTILITY_PAIRED_HINDSIGHT)
|
| | | ReturnFalse;
|
| | | D2SkillD2UtilityMode = utility_mode;
|
| | | D2SkillD2PairedUtilityUpdates = 0;
|
| | | Print("D2Skill D2 utility_source=paired_terminal");
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillEnableD2Banks(CNet &actor)
|
| | | {
|
| | | CNeuronBaseOCL *layer = actor.Layer(1);
|
| | | if(!layer || layer.Type() != defNeuronD2Skill)
|
| | | ReturnFalse;
|
| | | CD2Skill *skill = (CD2Skill*)layer;
|
| | | if(!skill || !skill.Ready())
|
| | | ReturnFalse;
|
| | | bool task_enabled = false;
|
| | | bool step_enabled = false;
|
| | | D2SkillD2BankFlags(task_enabled, step_enabled);
|
2026-08-21 08:18:10 +03:00 | | | if(!skill.SetMode(D2SkillD2ExecutionMode) ||
|
| | | !skill.SetOnlineDirectionUpdate(D2SkillD2OnlineDirectionUpdate) ||
|
| | | !skill.Enable(task_enabled, step_enabled))
|
2026-08-20 19:43:03 +03:00 | | | ReturnFalse;
|
| | | CD2SkillBank *task = skill.TaskBank();
|
| | | CD2SkillBank *step = skill.StepBank();
|
| | | if(!task || !step)
|
| | | ReturnFalse;
|
2026-08-22 20:08:02 +03:00 | | | if(!D2SkillConfigureBankRepresentation(task, step) ||
|
| | | !task.SetThresholds(0.65f, 0.0f) || !step.SetThresholds(0.65f, 0.0f) ||
|
2026-08-20 19:43:03 +03:00 | | | !task.SetLifecycle(3, 32, 256) || !step.SetLifecycle(3, 32, 256) ||
|
| | | !task.SetMaxCorrection(10.0f) || !step.SetMaxCorrection(10.0f) ||
|
| | | !task.SetAlpha(1.0f) || !step.SetAlpha(1.0f) ||
|
| | | !task.SetUtilityPolicy(D2SkillD2UtilityAware,
|
| | | (float)MathMin(1.0, MathMax(-1.0, D2SkillD2MinUtility))) ||
|
| | | !step.SetUtilityPolicy(D2SkillD2UtilityAware,
|
| | | (float)MathMin(1.0, MathMax(-1.0, D2SkillD2MinUtility))))
|
| | | ReturnFalse;
|
2026-08-21 08:18:10 +03:00 | | | PrintFormat("D2Skill D2 stage=%d mode=%d execution=%d task=%s step=%s utility=%s scale=%.3f direction_ema=%s",
|
2026-08-20 19:43:03 +03:00 | | | D2SkillD2Stage, D2SkillD2Mode, D2SkillD2ExecutionMode, (task_enabled ? "on" : "off"),
|
| | | (step_enabled ? "on" : "off"),
|
2026-08-21 08:18:10 +03:00 | | | (D2SkillD2UtilityAware ? "aware" : "similarity"), D2SkillD2UtilityScale,
|
| | | (D2SkillD2OnlineDirectionUpdate ? "on" : "off"));
|
2026-08-20 19:43:03 +03:00 | | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Applies one normalized utility observation to selected banks. |
|
| | | //+------------------------------------------------------------------+
|
2026-08-27 11:39:46 +03:00 | | | bool D2SkillApplyD2Utility(CNet &actor, const double value, bool &applied)
|
2026-08-20 19:43:03 +03:00 | | | {
|
2026-08-27 11:39:46 +03:00 | | | applied = false;
|
2026-08-20 22:59:48 +03:00 | | | if((D2SkillD2ExecutionMode != D2_EVALUATE &&
|
| | | D2SkillD2ExecutionMode != D2_ONLINE_CALIBRATION) ||
|
| | | !MathIsValidNumber(value))
|
2026-08-20 19:43:03 +03:00 | | | ReturnFalse;
|
| | | CNeuronBaseOCL *layer = actor.Layer(1);
|
| | | if(!layer || layer.Type() != defNeuronD2Skill)
|
| | | ReturnFalse;
|
| | | CD2Skill *skill = (CD2Skill*)layer;
|
| | | if(!skill || !skill.Ready())
|
| | | ReturnFalse;
|
| | | const double normalized = MathMax(-1.0, MathMin(1.0,
|
| | | value * D2SkillD2UtilityScale / MathMax(EtalonBalance, 1.0)));
|
| | | if(!MathIsValidNumber(normalized))
|
| | | ReturnFalse;
|
| | | bool task_enabled = false;
|
| | | bool step_enabled = false;
|
2026-08-27 11:39:46 +03:00 | | | bool task_applied = false;
|
| | | bool step_applied = false;
|
2026-08-20 19:43:03 +03:00 | | | D2SkillD2BankFlags(task_enabled, step_enabled);
|
| | | if(task_enabled)
|
2026-08-27 11:39:46 +03:00 | | | if(!skill.TaskUtility((float)normalized, task_applied))
|
2026-08-20 19:43:03 +03:00 | | | ReturnFalse;
|
| | | if(step_enabled)
|
2026-08-27 11:39:46 +03:00 | | | if(!skill.StepUtility((float)normalized, step_applied))
|
2026-08-20 19:43:03 +03:00 | | | ReturnFalse;
|
2026-08-27 11:39:46 +03:00 | | | applied = (task_applied || step_applied);
|
2026-08-20 19:43:03 +03:00 | | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Applies paired hindsight delta JSkill-JBase to selected skills. |
|
| | | //| Utility is separate from Actor gradients and pseudo-residuals. |
|
| | | //+------------------------------------------------------------------+
|
2026-08-27 11:39:46 +03:00 | | | bool D2SkillUpdateD2UtilityDelta(CNet &actor, const double delta_j, bool &applied)
|
2026-08-20 19:43:03 +03:00 | | | {
|
2026-08-27 11:39:46 +03:00 | | | applied = false;
|
2026-08-20 22:59:48 +03:00 | | | if((D2SkillD2ExecutionMode != D2_EVALUATE &&
|
| | | D2SkillD2ExecutionMode != D2_ONLINE_CALIBRATION) ||
|
2026-08-20 19:43:03 +03:00 | | | D2SkillD2Mode == D2Skill_D2_MODE_BASE)
|
| | | return(true);
|
| | | if(D2SkillD2UtilityMode != D2Skill_D2_UTILITY_PAIRED_HINDSIGHT ||
|
| | | !MathIsValidNumber(delta_j))
|
| | | ReturnFalse;
|
2026-08-27 11:39:46 +03:00 | | | if(!D2SkillApplyD2Utility(actor, delta_j, applied))
|
2026-08-20 19:43:03 +03:00 | | | ReturnFalse;
|
2026-08-27 11:39:46 +03:00 | | | if(applied)
|
| | | D2SkillD2PairedUtilityUpdates++;
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillUpdateD2UtilityDelta(CNet &actor, const double delta_j)
|
| | | {
|
| | | bool applied = false;
|
| | | return(D2SkillUpdateD2UtilityDelta(actor, delta_j, applied));
|
2026-08-20 19:43:03 +03:00 | | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | //| Resets only the selected D2Skill episode influence state. |
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | bool D2SkillResetEpisodeInfluence(CNet &actor)
|
2026-08-20 19:43:03 +03:00 | | | {
|
2026-08-22 20:08:02 +03:00 | | | CNeuronBaseOCL *layer = actor.Layer(1);
|
| | | if(!layer || layer.Type() != defNeuronD2Skill)
|
| | | ReturnFalse;
|
| | | CD2Skill *skill = (CD2Skill*)layer;
|
| | | if(!skill.Ready() || !skill.ResetEpisodeInfluence())
|
| | | ReturnFalse;
|
| | | return(true);
|
| | | }
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | //| Closes the offline episode through paired utility then reset. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCloseOfflineEpisode(CNet &actor, const bool paired_active,
|
| | | const bool pair_terminal, const bool episode_limit,
|
| | | const SD2SkillEpisodeOutcome &base,
|
| | | const SD2SkillEpisodeOutcome &skill,
|
| | | double &terminal_delta, bool &utility_applied,
|
| | | bool &influence_reset, bool &episode_closed)
|
| | | {
|
| | | terminal_delta = 0.0;
|
| | | utility_applied = false;
|
| | | influence_reset = false;
|
| | | episode_closed = (pair_terminal || episode_limit);
|
| | | if(!episode_closed)
|
| | | return(true);
|
| | | if(paired_active)
|
| | | {
|
| | | if(!D2SkillValidatePairedEpisode(base, skill) ||
|
| | | !D2SkillComputePairedEpisodeDelta(base, skill, terminal_delta) ||
|
2026-08-27 11:39:46 +03:00 | | | !D2SkillUpdateD2UtilityDelta(actor, terminal_delta, utility_applied))
|
2026-08-22 20:08:02 +03:00 | | | ReturnFalse;
|
| | | }
|
| | | if(!D2SkillResetEpisodeInfluence(actor))
|
| | | ReturnFalse;
|
| | | influence_reset = true;
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillCanCreatePolicyCheckpoint(const bool manifest_exists, const bool allow_create)
|
| | | {
|
| | | if(!manifest_exists)
|
| | | return(allow_create);
|
| | | return(D2SkillD2RecreateIncompatibleCheckpoint);
|
| | | }
|
2026-08-20 19:43:03 +03:00 | | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | bool D2SkillLoadOrCreatePolicySetFile(CNet &actor, CNet &q1, CNet &q2,
|
| | | const bool allow_create, const string manifest_file)
|
| | | {
|
| | | const bool manifest_exists = FileIsExist(manifest_file, FILE_COMMON);
|
| | | bool loaded = false;
|
| | | if(manifest_exists)
|
| | | {
|
| | | //--- This persisted metadata preflight runs before CNet::Load can materialize
|
| | | //--- a serialized D2Skill bank. A mismatch loads only on explicit bank reset.
|
| | | loaded = (D2SkillValidateACManifestFile(true, manifest_file,
|
| | | D2SkillD2ResetBanksOnRepresentationMismatch) &&
|
| | | D2SkillLoadPolicyNet(actor, D2Skill_ACTOR_FILE) &&
|
| | | D2SkillLoadPolicyNet(q1, D2Skill_Q1_FILE) &&
|
| | | D2SkillLoadPolicyNet(q2, D2Skill_Q2_FILE));
|
| | | if(!loaded && !D2SkillCanCreatePolicyCheckpoint(true, allow_create))
|
| | | {
|
| | | Print("D2Skill policy restore=FAIL; incompatible checkpoint recreation is disabled");
|
| | | ReturnFalse;
|
| | | }
|
| | | }
|
| | | else
|
| | | if(!D2SkillCanCreatePolicyCheckpoint(false, allow_create))
|
| | | ReturnFalse;
|
2026-08-20 19:43:03 +03:00 | | | if(!loaded)
|
| | | {
|
| | | if(manifest_exists)
|
2026-08-22 20:08:02 +03:00 | | | Print("D2Skill policy restore=FAIL; recreating incompatible policy set by explicit input");
|
| | | if(!D2SkillCreatePolicySet(actor, q1, q2))
|
2026-08-20 19:43:03 +03:00 | | | ReturnFalse;
|
| | | }
|
| | | actor.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | q1.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | q2.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | if(!D2SkillValidatePolicyShape(actor, false) || !D2SkillValidatePolicyShape(q1, true) ||
|
| | | !D2SkillValidatePolicyShape(q2, true))
|
| | | ReturnFalse;
|
| | | if(!D2SkillEnableD2Banks(actor))
|
| | | ReturnFalse;
|
| | | actor.TrainMode(true);
|
| | | q1.TrainMode(true);
|
| | | q2.TrainMode(true);
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-22 20:08:02 +03:00 | | | bool D2SkillLoadOrCreatePolicySet(CNet &actor, CNet &q1, CNet &q2,
|
| | | const bool allow_create)
|
| | | {
|
| | | return(D2SkillLoadOrCreatePolicySetFile(actor, q1, q2, allow_create,
|
| | | D2Skill_AC_MANIFEST_FILE));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-21 08:18:10 +03:00 | | | //| Configures the Actor-Critic write permissions for the D2 mode. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillConfigureActorCriticUpdates(CNet &actor, CNet &q1, CNet &q2)
|
| | | {
|
2026-08-22 20:08:02 +03:00 | | | //--- D2_DISABLED retains its ordinary Actor-Critic baseline. Online
|
| | | //--- calibration freezes Actor by default and permits Critic writes only via
|
| | | //--- the explicit runtime opt-in. Direction EMA remains independently opt-in.
|
2026-08-21 08:18:10 +03:00 | | | bool actor_weights = false;
|
| | | bool critic_weights = false;
|
| | | switch(D2SkillD2ExecutionMode)
|
| | | {
|
| | | case D2_DISABLED:
|
| | | actor_weights = true;
|
| | | critic_weights = true;
|
| | | break;
|
| | | case D2_COLLECT:
|
| | | critic_weights = true;
|
| | | break;
|
| | | case D2_EVALUATE:
|
| | | case D2_INFERENCE:
|
| | | break;
|
2026-08-22 20:08:02 +03:00 | | | case D2_ONLINE_CALIBRATION:
|
| | | critic_weights = D2SkillD2OnlineCriticUpdate;
|
| | | break;
|
2026-08-21 08:18:10 +03:00 | | | default:
|
| | | ReturnFalse;
|
| | | }
|
| | | //--- CNet preserves TrainMode and full gradient routing. Only its explicit
|
| | | //--- bWeightsUpdate gate controls trainable-parameter writes.
|
| | | if(!actor.SetWeightsUpdate(actor_weights) || !q1.SetWeightsUpdate(critic_weights) ||
|
| | | !q2.SetWeightsUpdate(critic_weights) || !D2SkillMarket.SetWeightsUpdate(false) ||
|
| | | !D2SkillMarket.TrainMode(false))
|
| | | ReturnFalse;
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:43:03 +03:00 | | | //| Implements D2SkillSavePolicySet. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillSavePolicySet(CNet &actor, CNet &q1, CNet &q2)
|
| | | {
|
| | | if(!D2SkillVerifyFrozenWeightsExact() || !D2SkillVerifyFrozenCodebookExact() ||
|
| | | D2SkillForecastSignature() != D2SkillLastSignature)
|
| | | ReturnFalse;
|
| | | const datetime now = TimeCurrent();
|
| | | return (actor.Save(D2Skill_ACTOR_FILE, 0, 0, 0, now, true) &&
|
| | | q1.Save(D2Skill_Q1_FILE, q1.getRecentAverageError(), 0, 0, now, true) &&
|
| | | q2.Save(D2Skill_Q2_FILE, q2.getRecentAverageError(), 0, 0, now, true) &&
|
| | | D2SkillWriteACManifest(D2SkillLastSignature));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillLoadInferenceActor. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillLoadInferenceActor(CNet &actor)
|
| | | {
|
2026-08-22 20:08:02 +03:00 | | | if(!D2SkillValidateACManifestFile(true, D2Skill_AC_MANIFEST_FILE,
|
| | | D2SkillD2ResetBanksOnRepresentationMismatch) ||
|
| | | !D2SkillLoadPolicyNet(actor, D2Skill_ACTOR_FILE))
|
2026-08-20 19:43:03 +03:00 | | | ReturnFalse;
|
| | | actor.SetOpenCL(D2SkillMarket.GetOpenCL());
|
| | | if(!D2SkillValidatePolicyShape(actor, false))
|
| | | ReturnFalse;
|
| | | if(!D2SkillEnableD2Banks(actor))
|
| | | ReturnFalse;
|
| | | actor.TrainMode(false);
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements ReadAction. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool ReadAction(CNet &net, CBufferFloat *target)
|
| | | {
|
| | | //--- This is the explicit device-to-CPU boundary for trade execution.
|
| | | //--- The final actor layer is allowed to be host-only, therefore its live
|
| | | //--- output must not be read through CBufferFloat::BufferRead().
|
| | | if(!target)
|
| | | ReturnFalse;
|
| | | //--- CNet::getResults reuses a valid result object. Passing target directly
|
| | | //--- avoids an allocation and the subsequent CPU-to-CPU AssignArray copy.
|
| | | CBufferFloat *output = target;
|
| | | net.getResults(output);
|
| | | return (output == target && target.Total() == NActions);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillAdvanceAccountTime. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillAdvanceAccountTime(CBufferFloat *current, const datetime next_time, CBufferFloat *next)
|
| | | {
|
| | | if(!current || !next || current.Total() != AccountDescr ||
|
| | | (current.GetIndex() >= 0 && !current.BufferRead()) ||
|
| | | !next.BufferInit(AccountDescr, 0))
|
| | | ReturnFalse;
|
| | | for(uint i = 0; i < 9; i++)
|
| | | if(!next.Update(i, current[i]))
|
| | | ReturnFalse;
|
| | | double x = next_time / (double)(D'2024.01.01' - D'2023.01.01');
|
| | | if(!next.Update(9, float(MathSin(x != 0 ? 2.0 * M_PI*x : 0))))
|
| | | ReturnFalse;
|
| | | x = next_time / (double)PeriodSeconds(PERIOD_MN1);
|
| | | if(!next.Update(10, float(MathCos(x != 0 ? 2.0 * M_PI*x : 0))))
|
| | | ReturnFalse;
|
| | | x = next_time / (double)PeriodSeconds(PERIOD_W1);
|
| | | if(!next.Update(11, float(MathSin(x != 0 ? 2.0 * M_PI*x : 0))))
|
| | | ReturnFalse;
|
| | | x = next_time / (double)PeriodSeconds(PERIOD_D1);
|
| | | if(!next.Update(12, float(MathSin(x != 0 ? 2.0 * M_PI*x : 0))))
|
| | | ReturnFalse;
|
| | | return (next.GetIndex() < 0 || next.BufferWrite());
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillForwardForecastState. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillForwardForecastState(CBufferFloat *state)
|
| | | {
|
| | | //--- CNet accepts a host-only input buffer and uploads it through its first
|
| | | //--- layer. Do not require a device allocation from the caller here.
|
| | | if(!D2SkillForecast || !state || state.Total() != HistoryBars * BarDescr)
|
| | | ReturnFalse;
|
| | | if(!D2SkillMarket.feedForward(state, 1, false, (CBufferFloat*)NULL))
|
| | | ReturnFalse;
|
| | | CBufferFloat *z = D2SkillForecast.GetZ(), *u = D2SkillForecast.GetU(), *pi = D2SkillForecast.GetPi();
|
| | | if(!z || !u || !pi || z.Total() != NScenarios * BarDescr * NForecast * EmbeddingSize ||
|
| | | u.Total() != NScenarios * BarDescr * NForecast || pi.Total() != NScenarios ||
|
| | | z.GetIndex() < 0 || u.GetIndex() < 0 || pi.GetIndex() < 0)
|
| | | ReturnFalse;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillBuildLiveAccount(const double previous_balance, const double previous_equity,
|
| | | const datetime state_time, CBufferFloat *account,
|
| | | double &buy_value, double &sell_value)
|
| | | {
|
| | | if(!account || !MathIsValidNumber(previous_balance) ||
|
| | | !MathIsValidNumber(previous_equity) || previous_balance <= 0 || previous_equity <= 0)
|
| | | ReturnFalse;
|
| | | double buy_profit = 0, sell_profit = 0, position_discount = 0;
|
| | | buy_value = 0;
|
| | | sell_value = 0;
|
| | | const datetime current = TimeCurrent();
|
| | | for(int i = 0; i < PositionsTotal(); i++)
|
| | | {
|
| | | if(PositionGetSymbol(i) != Symb.Name())
|
| | | continue;
|
| | | const double profit = PositionGetDouble(POSITION_PROFIT);
|
| | | if((int)PositionGetInteger(POSITION_TYPE) == POSITION_TYPE_BUY)
|
| | | { buy_value += PositionGetDouble(POSITION_VOLUME); buy_profit += profit; }
|
| | | else
|
| | | { sell_value += PositionGetDouble(POSITION_VOLUME); sell_profit += profit; }
|
| | | position_discount += (current - PositionGetInteger(POSITION_TIME)) *
|
| | | (1.0 / (60.0 * 60.0 * 10.0)) * MathAbs(profit);
|
| | | }
|
| | | vector<float> values = vector<float>::Zeros(AccountDescr);
|
| | | const double balance = AccountInfoDouble(ACCOUNT_BALANCE);
|
| | | const double equity = AccountInfoDouble(ACCOUNT_EQUITY);
|
| | | values[0] = float(balance / EtalonBalance);
|
| | | values[1] = float((balance - previous_balance) / previous_balance);
|
| | | values[2] = float(equity / previous_balance);
|
| | | values[3] = float((equity - previous_equity) / previous_equity);
|
| | | values[4] = float(buy_value);
|
| | | values[5] = float(sell_value);
|
| | | values[6] = float(buy_profit / previous_balance);
|
| | | values[7] = float(sell_profit / previous_balance);
|
| | | values[8] = float(position_discount / previous_balance);
|
| | | double x = state_time / (double)(D'2024.01.01' - D'2023.01.01');
|
| | | values[9] = float(MathSin(x != 0 ? 2.0 * M_PI*x : 0));
|
| | | x = state_time / (double)PeriodSeconds(PERIOD_MN1);
|
| | | values[10] = float(MathCos(x != 0 ? 2.0 * M_PI*x : 0));
|
| | | x = state_time / (double)PeriodSeconds(PERIOD_W1);
|
| | | values[11] = float(MathSin(x != 0 ? 2.0 * M_PI*x : 0));
|
| | | x = state_time / (double)PeriodSeconds(PERIOD_D1);
|
| | | values[12] = float(MathSin(x != 0 ? 2.0 * M_PI*x : 0));
|
| | | for(uint i = 0; i < AccountDescr; i++)
|
| | | if(!MathIsValidNumber(values[i]))
|
| | | ReturnFalse;
|
| | | return (account.AssignArray(values) && (account.GetIndex() < 0 || account.BufferWrite()));
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillRefreshLiveMarket. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillRefreshLiveMarket(CBufferFloat *state, CBufferFloat *time_state)
|
| | | {
|
| | | const int requested = StackSize + HistoryBars;
|
| | | //--- A new-bar event is evaluated from the last fully closed bar. The
|
| | | //--- forming bar must not leak unfinished OHLC/indicator values into policy.
|
| | | const int bars = CopyRates(Symb.Name(), TimeFrame, 1, requested, Rates);
|
| | | if(!state || !time_state || bars < HistoryBars || !ArraySetAsSeries(Rates, true) ||
|
| | | !RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
|
| | | !ATR.BufferResize(bars) || !MACD.BufferResize(bars) ||
|
| | | RSI.BarsCalculated() < bars || CCI.BarsCalculated() < bars ||
|
| | | ATR.BarsCalculated() < bars || MACD.BarsCalculated() < bars)
|
| | | ReturnFalse;
|
| | | RSI.Refresh();
|
| | | CCI.Refresh();
|
| | | ATR.Refresh();
|
| | | MACD.Refresh();
|
| | | Symb.Refresh();
|
| | | Symb.RefreshRates();
|
| | | return CreateBuffers(0, state, time_state, (CBufferFloat*)NULL);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Checks ExecutableOrder. One execution contract for historical... |
|
| | | //+------------------------------------------------------------------+
|
| | | bool IsExecutableOrder(const double lot, const double tp_fraction, const double sl_fraction)
|
| | | {
|
| | | const double stops = (MathMax(Symb.StopsLevel(), 1) + Symb.Spread()) * Symb.Point();
|
| | | return (lot >= Symb.LotsMin() && tp_fraction * MaxTP * Symb.Point() > 2.0 * stops &&
|
| | | sl_fraction * MaxSL * Symb.Point() > stops);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements NormalizeLot. |
|
| | | //+------------------------------------------------------------------+
|
| | | double NormalizeLot(const double lot)
|
| | | {
|
| | | const double min_lot = Symb.LotsMin(), step_lot = Symb.LotsStep();
|
| | | return (step_lot > 0 ? min_lot + MathRound((lot - min_lot) / step_lot) * step_lot : lot);
|
| | | }
|
| | | #ifndef Study
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillValidateAction. |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillValidateAction(CBufferFloat *action)
|
| | | {
|
| | | if(!action || action.Total() != NActions ||
|
| | | (action.GetIndex() >= 0 && !action.BufferRead()))
|
| | | ReturnFalse;
|
| | | for(uint i = 0; i < NActions; i++)
|
| | | if(!MathIsValidNumber(action[i]) || action[i] < 0 || action[i] > 1)
|
| | | ReturnFalse;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillExecuteAction(CBufferFloat *action, double buy_value, double sell_value, double &margin_penalty,
|
| | | bool &market_closed)
|
| | | {
|
| | | margin_penalty = 0;
|
| | | market_closed = false;
|
| | | if(!D2SkillValidateAction(action))
|
| | | ReturnFalse;
|
| | | //--- Canonical CogDriver mutual exclusion and broker constraints.
|
| | | if(action[0] >= action[3])
|
| | | { action.Update(0, action[0] - action[3]); action.Update(3, 0); }
|
| | | else
|
| | | { action.Update(3, action[3] - action[0]); action.Update(0, 0); }
|
| | | const double min_lot = Symb.LotsMin();
|
| | | if(!IsExecutableOrder(action[0], action[1], action[2]))
|
| | | { if(buy_value > 0) CloseByDirection(POSITION_TYPE_BUY); }
|
| | | else
|
| | | {
|
| | | const double lot = NormalizeLot(action[0]);
|
| | | const double tp = NormalizeDouble(Symb.Ask() + action[1] * MaxTP * Symb.Point(), Symb.Digits());
|
| | | const double sl = NormalizeDouble(Symb.Ask() - action[2] * MaxSL * Symb.Point(), Symb.Digits());
|
| | | if(buy_value > 0)
|
| | | TrailPosition(POSITION_TYPE_BUY, sl, tp);
|
| | | if((buy_value - lot) >= min_lot)
|
| | | ClosePartial(POSITION_TYPE_BUY, buy_value - lot);
|
| | | else
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if((lot - buy_value) >= min_lot && !Trade.Buy(lot - buy_value, Symb.Name(), Symb.Ask(), sl, tp))
|
| | | {
|
| | | const uint retcode = Trade.ResultRetcode();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(retcode == TRADE_RETCODE_MARKET_CLOSED)
|
| | | {
|
| | | market_closed = true;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(retcode != 10019)
|
| | | {
|
| | | PrintFormat("D2Skill buy execution failed: retcode=%u %s", retcode, Trade.ResultRetcodeDescription());
|
| | | ReturnFalse;
|
| | | }
|
| | | //--- Preserve CogDriver's insufficient-margin feedback, but keep the
|
| | | //--- transition alive: the order was rejected, not the account.
|
| | | margin_penalty -= 100.0 * (lot - buy_value);
|
| | | }
|
| | | }
|
| | | if(!IsExecutableOrder(action[3], action[4], action[5]))
|
| | | { if(sell_value > 0) CloseByDirection(POSITION_TYPE_SELL); }
|
| | | else
|
| | | {
|
| | | const double lot = NormalizeLot(action[3]);
|
| | | const double tp = NormalizeDouble(Symb.Bid() - action[4] * MaxTP * Symb.Point(), Symb.Digits());
|
| | | const double sl = NormalizeDouble(Symb.Bid() + action[5] * MaxSL * Symb.Point(), Symb.Digits());
|
| | | if(sell_value > 0)
|
| | | TrailPosition(POSITION_TYPE_SELL, sl, tp);
|
| | | if((sell_value - lot) >= min_lot)
|
| | | ClosePartial(POSITION_TYPE_SELL, sell_value - lot);
|
| | | else
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if((lot - sell_value) >= min_lot && !Trade.Sell(lot - sell_value, Symb.Name(), Symb.Bid(), sl, tp))
|
| | | {
|
| | | const uint retcode = Trade.ResultRetcode();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(retcode == TRADE_RETCODE_MARKET_CLOSED)
|
| | | {
|
| | | market_closed = true;
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(retcode != 10019)
|
| | | {
|
| | | PrintFormat("D2Skill sell execution failed: retcode=%u %s", retcode, Trade.ResultRetcodeDescription());
|
| | | ReturnFalse;
|
| | | }
|
| | | margin_penalty -= 100.0 * (lot - sell_value);
|
| | | }
|
| | | }
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Implements D2SkillExecuteAction. Inference callers do not train... |
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillExecuteAction(CBufferFloat *action, double buy_value, double sell_value)
|
| | | {
|
| | | double margin_penalty = 0;
|
| | | bool market_closed = false;
|
| | | return D2SkillExecuteAction(action, buy_value, sell_value, margin_penalty, market_closed);
|
| | | }
|
| | | #endif
|
| | | bool PolicyBackward(CNet &actor, CNet &critic, CBufferFloat *actor_target,
|
| | | CNet *scenario_net, const int scenario_layer)
|
| | | {
|
| | | CNeuronBaseOCL *critic_output = critic.Layer(3);
|
| | | CNeuronBaseOCL *critic_base = critic.Layer(0);
|
| | | CNeuronBaseOCL *actor_output = actor.Layer(3);
|
| | | if(!critic_output || !critic_base || !actor_output || !actor_target ||
|
| | | critic_output.getOutput().Total() != 1 || actor_output.getGradient().Total() != NActions ||
|
| | | !actor_target.BufferInit(1, 1.0f) ||
|
| | | (actor_target.GetIndex() < 0 && !actor_target.BufferCreate(D2SkillMarket.GetOpenCL())) ||
|
| | | !D2SkillDevice.Add(critic_output.getOutput(), actor_target, actor_target, 1))
|
| | | ReturnFalse;
|
| | | critic.TrainMode(false);
|
| | | bool result = critic.backProp(actor_target, scenario_net, scenario_layer);
|
| | | CBufferFloat account_gradient;
|
| | | if(!(result && critic_base.getGradient().Total() == AccountDescr + NActions &&
|
| | | account_gradient.BufferInit(AccountDescr, 0) &&
|
| | | (account_gradient.GetIndex() >= 0 || account_gradient.BufferCreate(D2SkillMarket.GetOpenCL())) &&
|
| | | D2SkillDevice.Split2(GetPointer(account_gradient), actor_output.getGradient(), critic_base.getGradient(),
|
| | | AccountDescr, NActions) &&
|
| | | actor.backPropGradient(scenario_net, scenario_layer, -1, true)))
|
| | | result = false;
|
| | | critic.TrainMode(true);
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-25 00:52:25 +03:00 | | | //| Finalizes projected balance before writing terminal account state.|
|
| | | //+------------------------------------------------------------------+
|
| | | bool D2SkillFinalizeAccountBalance(const double balance, const double realized,
|
| | | const double min_balance, double &next_balance,
|
| | | bool &terminal)
|
| | | {
|
| | | if(!MathIsValidNumber(balance) || !MathIsValidNumber(realized) ||
|
| | | !MathIsValidNumber(min_balance) || min_balance < 0.0)
|
| | | ReturnFalse;
|
| | | const double projected_balance = balance + realized;
|
| | | if(!MathIsValidNumber(projected_balance))
|
| | | ReturnFalse;
|
| | | terminal = (projected_balance <= min_balance);
|
| | | next_balance = (terminal ? min_balance : projected_balance);
|
| | | return(true);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-20 19:43:03 +03:00 | | | //| One historical-bar account transition. CheckAction remains the |
|
| | | //+------------------------------------------------------------------+
|
| | | bool AdvanceAccount(CBufferFloat *current, CBufferFloat *action, const int position,
|
| | | const double min_balance, CBufferFloat *next, double &reward, bool &terminal)
|
| | | {
|
| | | terminal = true;
|
| | | reward = 0;
|
| | | if(!current || !action || !next || position <= 0 || position >= int(Rates.Size()) ||
|
| | | current.Total() != AccountDescr || action.Total() != NActions ||
|
| | | (current.GetIndex() >= 0 && !current.BufferRead()) ||
|
| | | (action.GetIndex() >= 0 && !action.BufferRead()))
|
| | | ReturnFalse;
|
| | | const double balance = MathMax(0.0, double(current[0]) * EtalonBalance);
|
| | | reward = EvaluateAction(action, balance, (uint)position);
|
| | | if(!MathIsValidNumber(reward))
|
| | | ReturnFalse;
|
| | | const double buy = MathMax(0.0, double(action[0] - action[3]));
|
| | | const double sell = MathMax(0.0, double(action[3] - action[0]));
|
| | | double margin = 0;
|
| | | if(!OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Rates[position].open, margin))
|
| | | ReturnFalse;
|
| | | const double min_lot = Symb.LotsMin();
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(balance <= min_balance || balance < margin * min_lot)
|
| | | {
|
| | | terminal = true;
|
| | | return D2SkillAdvanceAccountTime(current, Rates[position - 1].time, next);
|
| | | }
|
| | | //--- Action is the target position for the next bar. A valid same-direction
|
| | | //--- action modifies its TP/SL; a valid opposite action closes then reopens;
|
| | | //--- an invalid action closes both positions.
|
| | | const bool open_buy = IsExecutableOrder(buy, action[1], action[2]);
|
| | | const bool open_sell = IsExecutableOrder(sell, action[4], action[5]);
|
| | | const double target_buy = (open_buy ? NormalizeLot(buy) : 0.0);
|
| | | const double target_sell = (open_sell ? NormalizeLot(sell) : 0.0);
|
| | | const double point_cost = Symb.TickValue() / Symb.TickSize();
|
| | | const double entry = Rates[position].open;
|
| | | const double spread = Symb.Spread() * Symb.Point();
|
| | | const double current_buy = MathMax(0.0, double(current[4]));
|
| | | const double current_sell = MathMax(0.0, double(current[5]));
|
| | | double current_buy_profit = double(current[6]) * balance;
|
| | | double current_sell_profit = double(current[7]) * balance;
|
| | | double next_buy = 0, next_sell = 0;
|
| | | double next_buy_profit = 0, next_sell_profit = 0;
|
| | | double realized = 0;
|
| | | //+------------------------------------------------------------------+
|
| | | //| An invalid target liquidates every open position at the curre... |
|
| | | //+------------------------------------------------------------------+
|
| | | if(!open_buy && !open_sell)
|
| | | {
|
| | | realized = current_buy_profit + current_sell_profit;
|
| | | }
|
| | | else
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(open_buy)
|
| | | {
|
| | | //--- A reverse target closes the Sell; a same-side reduction realizes only its
|
| | | //--- proportional carried P/L. The retained Buy keeps its marked-to-market P/L.
|
| | | realized += current_sell_profit;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(current_buy > target_buy && current_buy > 0)
|
| | | {
|
| | | const double closed = current_buy - target_buy;
|
| | | realized += current_buy_profit * closed / current_buy;
|
| | | current_buy_profit -= current_buy_profit * closed / current_buy;
|
| | | }
|
| | | const double added = MathMax(0.0, target_buy - current_buy);
|
| | | current_buy_profit -= spread * point_cost * added;
|
| | | const double tp = entry + (action[1] * MaxTP + Symb.Spread()) * Symb.Point();
|
| | | const double sl = entry - (action[2] * MaxSL + Symb.Spread()) * Symb.Point();
|
| | | const MqlRates bar = Rates[position - 1];
|
| | | if(sl >= bar.low)
|
| | | realized += current_buy_profit + (sl - entry) * point_cost * target_buy;
|
| | | else
|
| | | if(tp <= bar.high)
|
| | | realized += current_buy_profit + (tp - entry) * point_cost * target_buy;
|
| | | else
|
| | | {
|
| | | next_buy = target_buy;
|
| | | next_buy_profit = current_buy_profit + (bar.open - entry) * point_cost * target_buy;
|
| | | }
|
| | | }
|
| | | else
|
| | | {
|
| | | //--- Symmetric Sell lifecycle. The SL-before-TP order matches CheckAction.
|
| | | realized += current_buy_profit;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Function if. |
|
| | | //+------------------------------------------------------------------+
|
| | | if(current_sell > target_sell && current_sell > 0)
|
| | | {
|
| | | const double closed = current_sell - target_sell;
|
| | | realized += current_sell_profit * closed / current_sell;
|
| | | current_sell_profit -= current_sell_profit * closed / current_sell;
|
| | | }
|
| | | const double added = MathMax(0.0, target_sell - current_sell);
|
| | | current_sell_profit -= spread * point_cost * added;
|
| | | const double tp = entry - (action[4] * MaxTP + Symb.Spread()) * Symb.Point();
|
| | | const double sl = entry + (action[5] * MaxSL - Symb.Spread()) * Symb.Point();
|
| | | const MqlRates bar = Rates[position - 1];
|
| | | if(sl <= bar.high)
|
| | | realized += current_sell_profit + (entry - sl) * point_cost * target_sell;
|
| | | else
|
| | | if(tp >= bar.low)
|
| | | realized += current_sell_profit + (entry - tp) * point_cost * target_sell;
|
| | | else
|
| | | {
|
| | | next_sell = target_sell;
|
| | | next_sell_profit = current_sell_profit + (entry - bar.open) * point_cost * target_sell;
|
| | | }
|
| | | }
|
2026-08-25 00:52:25 +03:00 | | | double next_balance = 0.0;
|
| | | bool balance_terminal = false;
|
| | | if(!D2SkillFinalizeAccountBalance(balance, realized, min_balance, next_balance, balance_terminal))
|
| | | ReturnFalse;
|
2026-08-20 19:43:03 +03:00 | | | const double current_equity = balance + double(current[6]) * balance + double(current[7]) * balance;
|
| | | const double next_equity = next_balance + next_buy_profit + next_sell_profit;
|
| | | if(!D2SkillAdvanceAccountTime(current, Rates[position - 1].time, next) ||
|
| | | (next.GetIndex() >= 0 && !next.BufferRead()))
|
| | | ReturnFalse;
|
| | | if(!next.Update(0, float(next_balance / EtalonBalance)) ||
|
| | | !next.Update(1, float((next_balance - balance) / MathMax(balance, 1.0))) ||
|
| | | !next.Update(2, float(next_equity / MathMax(balance, 1.0))) ||
|
| | | !next.Update(3, float((next_equity - current_equity) / MathMax(MathAbs(current_equity), 1.0))) ||
|
| | | !next.Update(4, float(next_buy)) || !next.Update(5, float(next_sell)) ||
|
| | | !next.Update(6, float(next_buy_profit / MathMax(next_balance, 1.0))) ||
|
| | | !next.Update(7, float(next_sell_profit / MathMax(next_balance, 1.0))) ||
|
| | | !next.Update(8, 0.0f))
|
| | | ReturnFalse;
|
2026-08-25 00:52:25 +03:00 | | | terminal = (balance_terminal || next_equity < margin * min_lot);
|
2026-08-20 19:43:03 +03:00 | | | return (next.GetIndex() < 0 || next.BufferWrite());
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | |
|
| | |
|
| | | //+------------------------------------------------------------------+
|
