NN_in_Trading/Experts/RE3/Trajectory.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                   Trajectory.mqh |
//|                                                   Copyright DNG<EFBFBD> |
//|                                https://www.mql5.com/ru/users/dng |
//+------------------------------------------------------------------+
#property copyright "Copyright DNG<00>"
#property link      "https://www.mql5.com/ru/users/dng"
#property version   "1.00"
//+------------------------------------------------------------------+
//| Rewards structure                                                |
//|   0     -  Delta Balance                                         |
//|   1     -  Delta Equity ( "-" Drawdown / "+" Profit)             |
//|   2     -  Penalty for no open positions                         |
//|   3     -  Mean distance                                         |
//+------------------------------------------------------------------+
#include "..\RL\FQF.mqh"
//---
#define                    HistoryBars    20            //Depth of history
#define                    BarDescr        9            //Elements for 1 bar description
#define                    AccountDescr   12            //Account description
#define                    NActions        6            //Number of possible Actions
#define                    NRewards        4            //Number of rewards
#define                    EmbeddingSize   9            
#define                    Buffer_Size    6500
#define                    DiscFactor     0.99f
#define                    FileName       "RE3"
#define                    LatentLayer     6
#define                    LatentCount    256
#define                    MaxSL          1000
#define                    MaxTP          1000
#define                    MaxReplayBuffer 500
#define                    StartTargetIteration 20000
#define                    fCAGrad_C      0.5f
#define                    iCAGrad_Iters  15
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
struct SState
  {
   float             state[HistoryBars * BarDescr];
   float             account[AccountDescr - 4];
   float             action[NActions];
   float             rewards[NRewards];
   //---
                     SState(void);
   //---
   bool              Save(int file_handle);
   bool              Load(int file_handle);
   //--- overloading
   void              operator=(const SState &obj)
     {
      ArrayCopy(state, obj.state);
      ArrayCopy(account, obj.account);
      ArrayCopy(action, obj.action);
      ArrayCopy(rewards, obj.rewards);
     }
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
SState::SState(void)
  {
   ArrayInitialize(state, 0);
   ArrayInitialize(account, 0);
   ArrayInitialize(action, 0);
   ArrayInitialize(rewards, 0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool SState::Save(int file_handle)
  {
   if(file_handle == INVALID_HANDLE)
      return false;
//---
   int total = ArraySize(state);
   if(FileWriteInteger(file_handle, total) < sizeof(int))
      return false;
   for(int i = 0; i < total; i++)
      if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
         return false;
//---
   total = ArraySize(account);
   if(FileWriteInteger(file_handle, total) < sizeof(int))
      return false;
   for(int i = 0; i < total; i++)
      if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
         return false;
//---
   total = ArraySize(action);
   if(FileWriteInteger(file_handle, total) < sizeof(int))
      return false;
   for(int i = 0; i < total; i++)
      if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
         return false;
   total = ArraySize(rewards);
   if(FileWriteInteger(file_handle, total) < sizeof(int))
      return false;
   for(int i = 0; i < total; i++)
      if(FileWriteFloat(file_handle, rewards[i]) < sizeof(float))
         return false;
//---
   return true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool SState::Load(int file_handle)
  {
   if(file_handle == INVALID_HANDLE)
      return false;
   if(FileIsEnding(file_handle))
      return false;
//---
   int total = FileReadInteger(file_handle);
   if(total != ArraySize(state))
      return false;
//---
   for(int i = 0; i < total; i++)
     {
      if(FileIsEnding(file_handle))
         return false;
      state[i] = FileReadFloat(file_handle);
     }
//---
   total = FileReadInteger(file_handle);
   if(total != ArraySize(account))
      return false;
//---
   for(int i = 0; i < total; i++)
     {
      if(FileIsEnding(file_handle))
         return false;
      account[i] = FileReadFloat(file_handle);
     }
//---
   total = FileReadInteger(file_handle);
   if(total != ArraySize(action))
      return false;
//---
   for(int i = 0; i < total; i++)
     {
      if(FileIsEnding(file_handle))
         return false;
      action[i] = FileReadFloat(file_handle);
     }
//---
   total = FileReadInteger(file_handle);
   if(total != ArraySize(rewards))
      return false;
//---
   for(int i = 0; i < total; i++)
     {
      if(FileIsEnding(file_handle))
         return false;
      rewards[i] = FileReadFloat(file_handle);
     }
//---
   return true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
struct STrajectory
  {
   SState            States[Buffer_Size];
   int               Total;
   float             DiscountFactor;
   bool              CumCounted;
   //---
                     STrajectory(void);
   //---
   bool              Add(SState &state);
   void              CumRevards(void);
   //---
   bool              Save(int file_handle);
   bool              Load(int file_handle);
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
STrajectory::STrajectory(void)  :   Total(0),
   DiscountFactor(DiscFactor),
   CumCounted(false)
  {
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool STrajectory::Save(int file_handle)
  {
   if(file_handle == INVALID_HANDLE)
      return false;
//---
   if(!CumCounted)
      CumRevards();
   if(FileWriteInteger(file_handle, Total) < sizeof(int))
      return false;
   if(FileWriteFloat(file_handle, DiscountFactor) < sizeof(float))
      return false;
   for(int i = 0; i < Total; i++)
      if(!States[i].Save(file_handle))
         return false;
//---
   return true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool STrajectory::Load(int file_handle)
  {
   if(file_handle == INVALID_HANDLE)
      return false;
//---
   Total = FileReadInteger(file_handle);
   if(FileIsEnding(file_handle) || Total >= ArraySize(States))
      return false;
   DiscountFactor=FileReadFloat(file_handle);
   CumCounted = true;
//---
   for(int i = 0; i < Total; i++)
      if(!States[i].Load(file_handle))
         return false;
//---
   return true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void STrajectory::CumRevards(void)
  {
   if(CumCounted)
      return;
//---
   for(int i = Total - 2; i >= 0; i--)
      for(int r = 0; r < NRewards; r++)
         States[i].rewards[r] += States[i + 1].rewards[r] * DiscountFactor;
   CumCounted = true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool STrajectory::Add(SState &state)
  {
   if(Total + 1 >= ArraySize(States))
      return false;
   States[Total] = state;
   Total++;
//---
   return true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool SaveTotalBase(void)
  {
   int total = ArraySize(Buffer);
   if(total < 0)
      return true;
   int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
   if(handle < 0)
      return false;
   int start = MathMax(total - MaxReplayBuffer, 0);
   if(FileWriteInteger(handle, total - start) < INT_VALUE)
     {
      FileClose(handle);
      return false;
     }
   for(int i = start; i < total; i++)
      if(!Buffer[i].Save(handle))
        {
         FileClose(handle);
         return false;
        }
   FileFlush(handle);
   FileClose(handle);
//---
   return true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool LoadTotalBase(void)
  {
   int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
   if(handle < 0)
      return false;
   int total = FileReadInteger(handle);
   if(total <= 0)
     {
      FileClose(handle);
      return false;
     }
   if(ArrayResize(Buffer, total) < total)
     {
      FileClose(handle);
      return false;
     }
   for(int i = 0; i < total; i++)
      if(!Buffer[i].Load(handle))
        {
         FileClose(handle);
         return false;
        }
   FileClose(handle);
//---
   return true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool CreateDescriptions(CArrayObj *actor, CArrayObj *critic, CArrayObj *convolution)
  {
//---
   CLayerDescription *descr;
//---
   if(!actor)
     {
      actor = new CArrayObj();
      if(!actor)
         return false;
     }
   if(!critic)
     {
      critic = new CArrayObj();
      if(!critic)
         return false;
     }
   if(!convolution)
     {
      convolution = new CArrayObj();
      if(!convolution)
         return false;
     }
//--- Actor
   actor.Clear();
//--- Input layer
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   uint prev_count = descr.count = (HistoryBars * BarDescr);
   descr.activation = None;
   descr.optimization = ADAM;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 1
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBatchNormOCL;
   descr.count = prev_count;
   descr.batch = 1000;
   descr.activation = None;
   descr.optimization = ADAM;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 2
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronConvOCL;
   prev_count = descr.count = prev_count - 1;
   descr.window = 2;
   descr.step = 1;
   descr.window_out = 8;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 3
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronConvOCL;
   prev_count = descr.count = prev_count;
   descr.window = 8;
   descr.step = 8;
   descr.window_out = 8;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 4
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   descr.count = 256;
   descr.optimization = ADAM;
   descr.activation = LReLU;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 5
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   prev_count = descr.count = 128;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 6
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronConcatenate;
   descr.count = LatentCount;
   descr.window = prev_count;
   descr.step = AccountDescr;
   descr.optimization = ADAM;
   descr.activation = SIGMOID;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 7
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   descr.count = 256;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 8
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   descr.count = 256;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 9
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   descr.count = 2 * NActions;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 10
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronVAEOCL;
   descr.count = NActions;
   descr.optimization = ADAM;
   if(!actor.Add(descr))
     {
      delete descr;
      return false;
     }
//--- Critic
   critic.Clear();
//--- Input layer
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   prev_count = descr.count = LatentCount;
   descr.activation = None;
   descr.optimization = ADAM;
   if(!critic.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 1
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronConcatenate;
   descr.count = LatentCount;
   descr.window = prev_count;
   descr.step = NActions;
   descr.optimization = ADAM;
   descr.activation = LReLU;
   if(!critic.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 2
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   descr.count = LatentCount;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!critic.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 3
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   descr.count = LatentCount;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!critic.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 4
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   descr.count = NRewards;
   descr.optimization = ADAM;
   descr.activation = None;
   if(!critic.Add(descr))
     {
      delete descr;
      return false;
     }
//--- Convolution
   convolution.Clear();
//--- Input layer
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   prev_count = descr.count = (HistoryBars * BarDescr) + AccountDescr + NActions;
   descr.activation = None;
   descr.optimization = ADAM;
   if(!convolution.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 1
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   descr.count = 512;
   descr.window = prev_count;
   descr.step = NActions;
   descr.optimization = ADAM;
   descr.activation = SIGMOID;
   if(!convolution.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 2
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronConvOCL;
   prev_count = descr.count = 512 / 8;
   descr.window = 8;
   descr.step = 8;
   uint prev_wout = descr.window_out = 2;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!convolution.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 3
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronConvOCL;
   prev_count = descr.count = (prev_count * prev_wout) / 4;
   descr.window = 4;
   descr.step = 4;
   prev_wout = descr.window_out = 2;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!convolution.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 4
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronConvOCL;
   prev_count = descr.count = (prev_count * prev_wout) / 4;
   descr.window = 4;
   descr.step = 4;
   prev_wout = descr.window_out = 2;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!convolution.Add(descr))
     {
      delete descr;
      return false;
     }
//--- layer 5
   if(!(descr = new CLayerDescription()))
      return false;
   descr.type = defNeuronBaseOCL;
   descr.count = EmbeddingSize;
   descr.activation = LReLU;
   descr.optimization = ADAM;
   if(!convolution.Add(descr))
     {
      delete descr;
      return false;
     }
//---
   return true;
  }
#ifndef Study
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool IsNewBar(void)
  {
   static datetime last_bar = 0;
   if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
      return false;
//---
   last_bar = iTime(Symb.Name(), TimeFrame, 0);
   return true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool CloseByDirection(ENUM_POSITION_TYPE type)
  {
   int total = PositionsTotal();
   bool result = true;
   for(int i = total - 1; i >= 0; i--)
     {
      if(PositionGetSymbol(i) != Symb.Name())
         continue;
      if(PositionGetInteger(POSITION_TYPE) != type)
         continue;
      result = (Trade.PositionClose(PositionGetInteger(POSITION_TICKET)) && result);
     }
//---
   return result;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
  {
   int total = PositionsTotal();
   bool result = true;
//---
   for(int i = 0; i < total; i++)
     {
      if(PositionGetSymbol(i) != Symb.Name())
         continue;
      if(PositionGetInteger(POSITION_TYPE) != type)
         continue;
      bool modify = false;
      double psl = PositionGetDouble(POSITION_SL);
      double ptp = PositionGetDouble(POSITION_TP);
      switch(type)
        {
         case POSITION_TYPE_BUY:
            if((sl - psl) >= Symb.Point())
              {
               psl = sl;
               modify = true;
              }
            if(MathAbs(tp - ptp) >= Symb.Point())
              {
               ptp = tp;
               modify = true;
              }
            break;
         case POSITION_TYPE_SELL:
            if((psl - sl) >= Symb.Point())
              {
               psl = sl;
               modify = true;
              }
            if(MathAbs(tp - ptp) >= Symb.Point())
              {
               ptp = tp;
               modify = true;
              }
            break;
        }
      if(modify)
         result = (Trade.PositionModify(PositionGetInteger(POSITION_TICKET), psl, ptp) && result);
     }
//---
   return result;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
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
//+------------------------------------------------------------------+