637 lines
30 KiB
MQL5
637 lines
30 KiB
MQL5
//+------------------------------------------------------------------+
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//| StudyOnline.mq5 |
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//+------------------------------------------------------------------+
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#property copyright "Copyright DNG®"
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#property link "https://www.mql5.com/ru/users/dng"
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#property version "1.00"
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#property strict
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#include "Trajectory.mqh"
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//---
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input group "---- D2Skill online ----"
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input ENUM_D2SKILL_STAGE InpD2SkillStage = D2Skill_D2_STAGE_ONLINE; //Lifecycle stage
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input ENUM_D2SKILL_MODE InpD2SkillExecutionMode = D2_ONLINE_CALIBRATION; //Bank execution mode
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input ED2SkillRepresentation InpD2SkillRepresentation = D2SkillDirectionMagnitude; //Bank representation
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input bool InpD2SkillResetBanksOnRepresentationMismatch =
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false; //Reset incompatible banks
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input bool InpD2SkillRecreateIncompatibleCheckpoint =
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false; //Recreate incompatible policy checkpoint
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input bool InpD2SkillOnlineDirectionUpdate = false; //Update direction EMA
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input bool InpD2SkillOnlineCriticUpdate = false; //Update Critic online
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//---
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input group "---- Online learning ----"
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input int UpdatePolicy = ActorUpdate; //Actor update interval
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input int UpdateTargets = TargetUpdate; //Target-network update interval
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input float Tau = tau; //Target-network smoothing
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input int CheckpointTransitions = 256; //Transitions per checkpoint
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input int InpD2SkillPairHorizonTransitions = 0; //Zero: terminal pair only
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input double MinBalance = 50.0; //Minimum account balance
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datetime Start = 0;
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datetime End = 0;
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int Epochs = 0;
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CNet Actor, TargetActor, Q1, Q2, TargetQ1, TargetQ2;
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CBufferFloat State, TimeState, Account, Action, CriticInput, TargetCriticInput, ScalarTarget;
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CBufferFloat PreviousAccount;
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CBufferFloat BaselineVirtualAccount, SkillVirtualAccount;
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CBufferFloat BaselineVirtualNext, SkillVirtualNext;
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CBufferFloat BaselineVirtualAction, SkillVirtualAction;
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SD2SkillActorForwardState ActorForwardState;
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SD2SkillActorForwardState BaselineActorForwardState;
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SD2SkillEpisodeOutcome BaselineEpisodeOutcome, SkillEpisodeOutcome;
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double PreviousBalance = 0, PreviousEquity = 0;
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double PreviousMarginPenalty = 0;
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ulong Transition = 0;
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bool HavePrevious = false;
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bool PolicyCheckpointPending = false;
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bool PolicyCheckpointSafe = true;
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bool D2SkillOnlineInitialized = false;
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bool OnlinePairActive = false;
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bool OnlineVirtualTransitionPending = false;
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bool OnlineBaselineTerminal = false;
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bool OnlineSkillTerminal = false;
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ulong OnlineEpisodeTransitions = 0;
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//+------------------------------------------------------------------+
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//| Resets only D2Skill episode influence, preserving bank params. |
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//+------------------------------------------------------------------+
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bool ResetD2SkillEpisodeInfluence(CNet &actor)
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{
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CNeuronBaseOCL *layer = actor.Layer(1);
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if(!layer || layer.Type() != defNeuronD2Skill)
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ReturnFalse;
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CD2Skill *skill = (CD2Skill*)layer;
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if(!skill.Ready() || !skill.ResetEpisodeInfluence())
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ReturnFalse;
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Accumulates one causal online virtual account outcome. |
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//+------------------------------------------------------------------+
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bool AccumulateOnlineOutcome(SD2SkillEpisodeOutcome &outcome,
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CBufferFloat *account, const double reward)
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{
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if(!account || account.Total() != AccountDescr || !MathIsValidNumber(reward) ||
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(account.GetIndex() >= 0 && !account.BufferRead()))
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ReturnFalse;
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const double balance = MathMax(0.0, double(account[0]) * EtalonBalance);
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const double equity = MathMax(0.0, double(account[2]) * MathMax(balance, 1.0));
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const double drawdown = MathMin(0.0, double(account[1]));
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const double cost = MathMax(0.0, -reward);
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const double risk = MathMax(0.0, double(account[4]) + double(account[5]));
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return(outcome.Accumulate(reward, balance, equity, drawdown, cost, 1, risk));
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}
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//+------------------------------------------------------------------+
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//| Initializes the independent Base and Skill online trajectories. |
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//+------------------------------------------------------------------+
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bool StartOnlinePair(CBufferFloat *account)
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{
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CNeuronBaseOCL *layer = Actor.Layer(1);
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CD2Skill *skill = (layer && layer.Type() == defNeuronD2Skill ? (CD2Skill*)layer : NULL);
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if(!account)
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ReturnFalse;
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if(!skill || !D2SkillUsePairedHindsight(skill, ActorForwardState))
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{
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OnlinePairActive = false;
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OnlineVirtualTransitionPending = false;
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return(true);
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}
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if(!D2SkillActorForwardStateReady(BaselineActorForwardState) ||
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!BaselineVirtualAccount.AssignArray(account) ||
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!SkillVirtualAccount.AssignArray(account) || !BaselineEpisodeOutcome.Reset() ||
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!SkillEpisodeOutcome.Reset() || !D2SkillCaptureActorForwardState(ActorForwardState) ||
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!D2SkillCaptureActorForwardState(BaselineActorForwardState))
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ReturnFalse;
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OnlinePairActive = true;
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OnlineVirtualTransitionPending = false;
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OnlineBaselineTerminal = false;
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OnlineSkillTerminal = false;
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OnlineEpisodeTransitions = 0;
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Advances both virtual trajectories using their previous actions. |
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//+------------------------------------------------------------------+
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bool AdvanceOnlinePair(void)
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{
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if(!OnlinePairActive || !OnlineVirtualTransitionPending)
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return(true);
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OnlineVirtualTransitionPending = false;
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double baseline_reward = 0;
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double skill_reward = 0;
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if(Rates.Size() < 2 || !AdvanceAccount(GetPointer(BaselineVirtualAccount),
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GetPointer(BaselineVirtualAction), 1,
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MinBalance, GetPointer(BaselineVirtualNext),
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baseline_reward,
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OnlineBaselineTerminal))
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ReturnFalse;
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if(!AccumulateOnlineOutcome(BaselineEpisodeOutcome,
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GetPointer(BaselineVirtualNext),
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baseline_reward))
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ReturnFalse;
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if(!AdvanceAccount(GetPointer(SkillVirtualAccount), GetPointer(SkillVirtualAction), 1,
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MinBalance, GetPointer(SkillVirtualNext),
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skill_reward, OnlineSkillTerminal))
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ReturnFalse;
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if(!AccumulateOnlineOutcome(SkillEpisodeOutcome,
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GetPointer(SkillVirtualNext),
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skill_reward))
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ReturnFalse;
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if(!BaselineVirtualAccount.AssignArray(GetPointer(BaselineVirtualNext)) ||
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!SkillVirtualAccount.AssignArray(GetPointer(SkillVirtualNext)))
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ReturnFalse;
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OnlineEpisodeTransitions++;
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Applies terminal paired DeltaJ and clears episode influence. |
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//+------------------------------------------------------------------+
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bool FinishOnlinePair(void)
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{
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if(!OnlinePairActive)
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return(true);
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double delta_j = 0.0;
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bool utility_mutated = false;
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const bool utility_operation_ok =
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(D2SkillValidatePairedEpisode(BaselineEpisodeOutcome, SkillEpisodeOutcome) &&
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D2SkillComputePairedEpisodeDelta(BaselineEpisodeOutcome, SkillEpisodeOutcome, delta_j) &&
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D2SkillUpdateD2UtilityDelta(Actor, delta_j, utility_mutated));
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if(!ResetD2SkillEpisodeInfluence(Actor))
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ReturnFalse;
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OnlinePairActive = false;
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OnlineVirtualTransitionPending = false;
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OnlineBaselineTerminal = false;
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OnlineSkillTerminal = false;
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if(!utility_operation_ok)
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ReturnFalse;
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PrintFormat("D2Skill online paired terminal JBase=%.8f JSkill=%.8f DeltaJ=%.8f "
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"utility_mutated=%s "
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"base_balance=%.2f skill_balance=%.2f base_drawdown=%.2f skill_drawdown=%.2f "
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"base_cost=%.2f skill_cost=%.2f base_risk=%.2f skill_risk=%.2f "
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"base_duration=%u skill_duration=%u transitions=%I64u",
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BaselineEpisodeOutcome.Outcome(), SkillEpisodeOutcome.Outcome(), delta_j,
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(utility_mutated ? "true" : "false"),
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BaselineEpisodeOutcome.Balance(), SkillEpisodeOutcome.Balance(),
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BaselineEpisodeOutcome.Drawdown(), SkillEpisodeOutcome.Drawdown(),
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BaselineEpisodeOutcome.Cost(), SkillEpisodeOutcome.Cost(),
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BaselineEpisodeOutcome.Risk(), SkillEpisodeOutcome.Risk(),
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BaselineEpisodeOutcome.Duration(), SkillEpisodeOutcome.Duration(),
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OnlineEpisodeTransitions);
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Drops an incomplete pair without emitting terminal utility. |
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//+------------------------------------------------------------------+
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bool AbortOnlinePair(void)
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{
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if(!OnlinePairActive)
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return(true);
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if(!ResetD2SkillEpisodeInfluence(Actor))
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ReturnFalse;
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OnlinePairActive = false;
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OnlineVirtualTransitionPending = false;
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OnlineBaselineTerminal = false;
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OnlineSkillTerminal = false;
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Produces a Base action without disturbing the Skill recurrent state. |
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//+------------------------------------------------------------------+
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bool BuildOnlineBaselineAction(void)
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{
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if(!OnlinePairActive)
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return(true);
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CNeuronBaseOCL *layer = Actor.Layer(1);
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CD2Skill *skill = (layer && layer.Type() == defNeuronD2Skill ? (CD2Skill*)layer : NULL);
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if(!skill)
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ReturnFalse;
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bool task_enabled = false;
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bool step_enabled = false;
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D2SkillD2BankFlags(task_enabled, step_enabled);
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if(!D2SkillRestorePairedActorState(BaselineActorForwardState, skill,
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false, false, "online_baseline_start") ||
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!Actor.feedForward(GetPointer(BaselineVirtualAccount), 1, false,
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GetPointer(D2SkillMarket), -1) ||
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!ReadAction(Actor, GetPointer(BaselineVirtualAction)) ||
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!D2SkillValidateAction(GetPointer(BaselineVirtualAction)) ||
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!D2SkillCaptureActorForwardState(BaselineActorForwardState) ||
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!D2SkillRestorePairedActorState(ActorForwardState, skill,
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task_enabled, step_enabled,
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"online_baseline_to_skill"))
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ReturnFalse;
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Creates and manages object lifecycle for ClearPreviousTransit... |
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//+------------------------------------------------------------------+
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bool ClearPreviousTransition(void)
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{
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if(!AbortOnlinePair())
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ReturnFalse;
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HavePrevious = false;
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PreviousAccount.Clear();
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PreviousBalance = AccountInfoDouble(ACCOUNT_BALANCE);
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PreviousEquity = AccountInfoDouble(ACCOUNT_EQUITY);
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PreviousMarginPenalty = 0;
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if(!Actor.Clear() || !ResetD2SkillEpisodeInfluence(Actor) || !D2SkillMarket.Clear())
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ReturnFalse;
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Implements StorePrevious. |
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//+------------------------------------------------------------------+
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bool StorePrevious(void)
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{
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return (PreviousAccount.AssignArray(GetPointer(Account)) &&
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(PreviousAccount.GetIndex() < 0 || PreviousAccount.BufferWrite()));
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}
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//+------------------------------------------------------------------+
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//| Target objects are runtime-only. They start as exact copies o... |
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//+------------------------------------------------------------------+
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bool LoadOnlineTargets(void)
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{
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if(!D2SkillLoadPolicyNet(TargetActor, D2Skill_ACTOR_FILE) ||
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!D2SkillLoadPolicyNet(TargetQ1, D2Skill_Q1_FILE) || !D2SkillLoadPolicyNet(TargetQ2, D2Skill_Q2_FILE))
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ReturnFalse;
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TargetActor.SetOpenCL(D2SkillMarket.GetOpenCL());
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TargetQ1.SetOpenCL(D2SkillMarket.GetOpenCL());
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TargetQ2.SetOpenCL(D2SkillMarket.GetOpenCL());
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if(!D2SkillValidatePolicyShape(TargetActor, false) || !D2SkillValidatePolicyShape(TargetQ1, true) ||
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!D2SkillValidatePolicyShape(TargetQ2, true))
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ReturnFalse;
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TargetActor.TrainMode(false);
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TargetQ1.TrainMode(false);
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TargetQ2.TrainMode(false);
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Implements TrainPreviousTransition. |
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//+------------------------------------------------------------------+
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bool TrainPreviousTransition(const bool terminal)
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{
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//--- The live Forecast is at s_next. Online reward is one step, so TD
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//--- bootstrap uses runtime-only target objects initialized from live files.
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double q1_target = 0, q2_target = 0;
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//+------------------------------------------------------------------+
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//| Function if. |
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//+------------------------------------------------------------------+
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if(!terminal)
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{
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if(!TargetActor.feedForward(GetPointer(Account), 1, false, GetPointer(D2SkillMarket), -1))
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ReturnFalse;
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CNeuronBaseOCL *target_context = TargetActor.Layer(0);
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CNeuronBaseOCL *target_actor_layer = TargetActor.Layer(3);
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if(!target_context || !target_actor_layer ||
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!BuildCriticInput(target_context.getOutput(), target_actor_layer.getOutput(), GetPointer(TargetCriticInput)) ||
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!TargetQ1.feedForward(GetPointer(TargetCriticInput), 1, false, GetPointer(D2SkillMarket), -1) ||
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!TargetQ2.feedForward(GetPointer(TargetCriticInput), 1, false, GetPointer(D2SkillMarket), -1))
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ReturnFalse;
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CNeuronBaseOCL *target_q1_layer = TargetQ1.Layer(3), *target_q2_layer = TargetQ2.Layer(3);
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if(!target_q1_layer || !target_q2_layer)
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ReturnFalse;
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//--- TD target is consumed by CPU scalar arithmetic. getResults is the
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//--- library CPU boundary and also supports a host-only final critic layer.
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CBufferFloat *qt1 = NULL, *qt2 = NULL;
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TargetQ1.getResults(qt1);
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TargetQ2.getResults(qt2);
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//+------------------------------------------------------------------+
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//| Function if. |
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//+------------------------------------------------------------------+
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if(!qt1 || !qt2 || qt1.Total() != 1 || qt2.Total() != 1)
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{
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DeleteObj(qt1);
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DeleteObjAndFalse(qt2);
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}
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q1_target = double(qt1[0]);
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q2_target = double(qt2[0]);
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DeleteObj(qt1);
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DeleteObj(qt2);
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}
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double observed = (AccountInfoDouble(ACCOUNT_EQUITY) - PreviousEquity +
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AccountInfoDouble(ACCOUNT_BALANCE) - PreviousBalance) * PreviousBalance / EtalonBalance +
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PreviousMarginPenalty;
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//+------------------------------------------------------------------+
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//| Match offline D2Skill: missing a move is penalized at one execu... |
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//+------------------------------------------------------------------+
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if(MathMax(double(Account[4]), double(Account[5])) < Symb.LotsMin())
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{
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const double point_cost = Symb.TickValue() / Symb.TickSize();
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if(State.Total() != HistoryBars * BarDescr || Symb.LotsMin() <= 0 ||
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!MathIsValidNumber(point_cost))
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ReturnFalse;
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const double loss = MathAbs(State[0]) * point_cost * Symb.LotsMin();
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observed -= loss * PreviousBalance / EtalonBalance;
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}
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//--- A realized online return has no same-state Base branch and therefore must
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//--- not update D2 utility. Utility is restricted to paired terminal delta J.
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const double target = observed + (terminal ? 0.0 : DiscFactor * MathMin(q1_target, q2_target));
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if(!MathIsValidNumber(target) || !ScalarTarget.BufferInit(1, 0) || !ScalarTarget.Update(0, float(target)))
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ReturnFalse;
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//--- Restore only the ordinary previous state. Forecast scenarios are rerun,
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//--- never cached or serialized.
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if(!CreateBuffers(1, GetPointer(State), GetPointer(TimeState), (CBufferFloat*)NULL) ||
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!D2SkillMarket.Clear() ||
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!D2SkillForwardForecastState(GetPointer(State)))
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ReturnFalse;
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CNeuronBaseOCL *actor_context = Actor.Layer(0);
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CNeuronBaseOCL *actor_layer = Actor.Layer(3);
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if(!actor_context || !actor_layer || !BuildCriticInput(actor_context.getOutput(), actor_layer.getOutput(), GetPointer(CriticInput)) ||
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!Q1.feedForward(GetPointer(CriticInput), 1, false, GetPointer(D2SkillMarket), -1) ||
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!Q2.feedForward(GetPointer(CriticInput), 1, false, GetPointer(D2SkillMarket), -1))
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ReturnFalse;
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const bool bank_gradient_backward = D2SkillRequiresBankGradientBackward();
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const bool actor_backward = (Actor.WeightsUpdateEnabled() || bank_gradient_backward);
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if(actor_backward && UpdatePolicy > 0 && Transition > 0 &&
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Transition % (ulong)UpdatePolicy == 0 &&
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!PolicyBackward(Actor, Q1, GetPointer(ScalarTarget), GetPointer(D2SkillMarket), -1))
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ReturnFalse;
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if(!Q1.backProp(GetPointer(ScalarTarget), GetPointer(D2SkillMarket), -1) ||
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!Q2.backProp(GetPointer(ScalarTarget), GetPointer(D2SkillMarket), -1))
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ReturnFalse;
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PreviousMarginPenalty = 0;
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//--- Per-transition guard reads only the three small trainable weight buffers.
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if(!D2SkillVerifyFrozenWeightsExact())
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ReturnFalse;
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if(UpdateTargets > 0 && Transition > 0 && Transition % (ulong)UpdateTargets == 0)
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if((Actor.WeightsUpdateEnabled() && !TargetActor.WeightsUpdate(GetPointer(Actor), Tau)) ||
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(Q1.WeightsUpdateEnabled() && !TargetQ1.WeightsUpdate(GetPointer(Q1), Tau)) ||
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(Q2.WeightsUpdateEnabled() && !TargetQ2.WeightsUpdate(GetPointer(Q2), Tau)))
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ReturnFalse;
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Function OnInit. |
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//+------------------------------------------------------------------+
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int OnInit(void)
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{
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D2SkillOnlineInitialized = false;
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if(!D2SkillConfigureRuntime(InpD2SkillStage, InpD2SkillMode,
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InpD2SkillExecutionMode, InpD2SkillUtilityAware,
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InpD2SkillMinUtility, InpD2SkillUtilityScale,
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InpD2SkillOnlineDirectionUpdate,
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InpD2SkillOnlineCriticUpdate,
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InpD2SkillRepresentation,
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InpD2SkillResetBanksOnRepresentationMismatch,
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InpD2SkillRecreateIncompatibleCheckpoint))
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{ Print("D2Skill online init: runtime configuration=FAIL"); return INIT_FAILED; }
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if(!D2SkillInitIndicators())
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{ Print("D2Skill online init: indicators=FAIL"); return INIT_FAILED; }
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if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
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{ Print("D2Skill online init: trade filling=FAIL"); return INIT_FAILED; }
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if(!D2SkillLoadForecastInference())
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{ Print("D2Skill online init: forecast=FAIL"); return INIT_FAILED; }
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if(!D2SkillLoadOrCreatePolicySet(Actor, Q1, Q2, false))
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{ Print("D2Skill online init: policy checkpoint=FAIL"); return INIT_FAILED; }
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if(!D2SkillConfigureActorCriticUpdates(Actor, Q1, Q2))
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{ Print("D2Skill online init: update permissions=FAIL"); return INIT_FAILED; }
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if(!LoadOnlineTargets())
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{ Print("D2Skill online init: runtime targets=FAIL"); return INIT_FAILED; }
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if(!D2SkillVerifyFrozenForecastExact())
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{ Print("D2Skill online init: frozen forecast=FAIL"); return INIT_FAILED; }
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if(!D2SkillConfigureD2UtilityMode(D2Skill_D2_UTILITY_PAIRED_HINDSIGHT))
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{ Print("D2Skill online init: utility source=FAIL"); return INIT_FAILED; }
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if(!D2SkillInitActorForwardState(ActorForwardState, Actor) ||
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!D2SkillInitActorForwardState(BaselineActorForwardState, Actor) ||
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!Actor.Clear() || !D2SkillMarket.Clear() || !ResetD2SkillEpisodeInfluence(Actor) ||
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!D2SkillCaptureActorForwardState(ActorForwardState) ||
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!D2SkillCaptureActorForwardState(BaselineActorForwardState))
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{ Print("D2Skill online init: forecast clear=FAIL"); return INIT_FAILED; }
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PreviousBalance = AccountInfoDouble(ACCOUNT_BALANCE);
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PreviousEquity = AccountInfoDouble(ACCOUNT_EQUITY);
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D2SkillOnlineInitialized = true;
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return INIT_SUCCEEDED;
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}
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//+------------------------------------------------------------------+
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//| Function OnDeinit. |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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if(D2SkillOnlineInitialized && !AbortOnlinePair())
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PolicyCheckpointSafe = false;
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PolicyCheckpointPending = false;
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if(D2SkillOnlineInitialized && !ResetD2SkillEpisodeInfluence(Actor))
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{
|
|
PolicyCheckpointSafe = false;
|
|
PrintFormat("%s -> %d episode influence reset failed", __FUNCTION__, __LINE__);
|
|
}
|
|
if(D2SkillD2ExecutionMode == D2_ONLINE_CALIBRATION)
|
|
{
|
|
if(!D2SkillOnlineCalibrationHasClosedUtilityUpdates())
|
|
Print("D2Skill online calibration terminal utility guard: FAIL closed_updates=0");
|
|
else
|
|
PrintFormat("D2Skill online calibration terminal utility guard: PASS closed_updates=%I64u",
|
|
D2SkillD2PairedUtilityUpdates);
|
|
}
|
|
if(D2SkillOnlineInitialized && D2SkillForecast != NULL && !D2SkillVerifyFrozenForecastExact())
|
|
PrintFormat("%s -> %d forecast mutation", __FUNCTION__, __LINE__);
|
|
D2SkillForecast = NULL;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Function OnTick. |
|
|
//+------------------------------------------------------------------+
|
|
void OnTick(void)
|
|
{
|
|
if(!IsNewBar())
|
|
return;
|
|
//+------------------------------------------------------------------+
|
|
//| Function if. |
|
|
//+------------------------------------------------------------------+
|
|
if(!D2SkillRefreshLiveMarket(GetPointer(State), GetPointer(TimeState)))
|
|
{
|
|
PrintFormat("%s -> %d market", __FUNCTION__, __LINE__);
|
|
if(!ClearPreviousTransition())
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| clears/reruns explicit states, so sequence boundaries remain ... |
|
|
//+------------------------------------------------------------------+
|
|
if(!D2SkillForwardForecastState(GetPointer(State)))
|
|
{
|
|
PrintFormat("%s -> %d forecast", __FUNCTION__, __LINE__);
|
|
if(!ClearPreviousTransition())
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
double buy_value = 0, sell_value = 0;
|
|
//+------------------------------------------------------------------+
|
|
//| Function if. |
|
|
//+------------------------------------------------------------------+
|
|
if(!D2SkillBuildLiveAccount(PreviousBalance, PreviousEquity, Rates[0].time, GetPointer(Account), buy_value, sell_value))
|
|
{
|
|
PrintFormat("%s -> %d account", __FUNCTION__, __LINE__);
|
|
if(!ClearPreviousTransition())
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
if(!OnlinePairActive && !StartOnlinePair(GetPointer(Account)))
|
|
{
|
|
PrintFormat("%s -> %d paired trajectory init", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
if(!AdvanceOnlinePair())
|
|
{
|
|
PrintFormat("%s -> %d paired trajectory advance", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
//--- A rejected order is recoverable. Loss of the configured minimum
|
|
//--- deposit is the only financial terminal state for online training.
|
|
const bool terminal = (AccountInfoDouble(ACCOUNT_BALANCE) <= MinBalance);
|
|
bool online_pair_boundary = false;
|
|
//+------------------------------------------------------------------+
|
|
//| Function if. |
|
|
//+------------------------------------------------------------------+
|
|
if(HavePrevious)
|
|
{
|
|
PolicyCheckpointSafe = false;
|
|
//+------------------------------------------------------------------+
|
|
//| Function if. |
|
|
//+------------------------------------------------------------------+
|
|
if(!TrainPreviousTransition(terminal))
|
|
{
|
|
PrintFormat("%s -> %d train: terminal recurrent-state failure", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
PolicyCheckpointSafe = true;
|
|
Transition++;
|
|
if(D2SkillCheckpointDue(Transition, CheckpointTransitions))
|
|
PolicyCheckpointPending = true;
|
|
if(PolicyCheckpointPending && !OnlinePairActive)
|
|
{
|
|
if(!D2SkillSavePolicySet(Actor, Q1, Q2))
|
|
{
|
|
PrintFormat("%s -> %d checkpoint failed", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
PolicyCheckpointPending = false;
|
|
}
|
|
//--- Training ended at previous state. A terminal transition has no next
|
|
//--- action, hence it must not rerun the current policy state.
|
|
if(!terminal && (!CreateBuffers(0, GetPointer(State), GetPointer(TimeState), (CBufferFloat*)NULL) ||
|
|
//+------------------------------------------------------------------+
|
|
//| Function D2SkillForwardForecastState. |
|
|
//+------------------------------------------------------------------+
|
|
!D2SkillForwardForecastState(GetPointer(State))))
|
|
{
|
|
PrintFormat("%s -> %d restore: terminal recurrent-state failure", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
online_pair_boundary =
|
|
(OnlinePairActive && D2SkillOnlinePairBoundary(false,
|
|
D2SkillPairReachedTerminal(OnlineBaselineTerminal, OnlineSkillTerminal),
|
|
OnlineEpisodeTransitions, InpD2SkillPairHorizonTransitions));
|
|
if(!terminal && online_pair_boundary)
|
|
{
|
|
if(!FinishOnlinePair() ||
|
|
(PolicyCheckpointPending && !D2SkillSavePolicySet(Actor, Q1, Q2)))
|
|
{
|
|
PrintFormat("%s -> %d paired virtual terminal", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
PolicyCheckpointPending = false;
|
|
if(!StartOnlinePair(GetPointer(Account)))
|
|
{
|
|
PrintFormat("%s -> %d paired boundary init", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
}
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Function if. |
|
|
//+------------------------------------------------------------------+
|
|
if(terminal)
|
|
{
|
|
PrintFormat("D2Skill online terminal: balance=%.2f "
|
|
"min_balance=%.2f", AccountInfoDouble(ACCOUNT_BALANCE), MinBalance);
|
|
if(!FinishOnlinePair() ||
|
|
(PolicyCheckpointPending && !D2SkillSavePolicySet(Actor, Q1, Q2)))
|
|
PrintFormat("%s -> %d paired terminal utility", __FUNCTION__, __LINE__);
|
|
PolicyCheckpointPending = false;
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
if(OnlinePairActive && !BuildOnlineBaselineAction())
|
|
{
|
|
PrintFormat("%s -> %d paired baseline action", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
if(!Actor.feedForward(GetPointer(Account), 1, false, GetPointer(D2SkillMarket), -1) ||
|
|
//+------------------------------------------------------------------+
|
|
//| Function ReadAction. |
|
|
//+------------------------------------------------------------------+
|
|
!ReadAction(Actor, GetPointer(Action)) || !D2SkillValidateAction(GetPointer(Action)))
|
|
{
|
|
PrintFormat("%s -> %d action", __FUNCTION__, __LINE__);
|
|
if(!ClearPreviousTransition())
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
if(OnlinePairActive && (!SkillVirtualAction.AssignArray(GetPointer(Action)) ||
|
|
(SkillVirtualAction.GetIndex() >= 0 && !SkillVirtualAction.BufferWrite())))
|
|
{
|
|
PrintFormat("%s -> %d paired skill action", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
double margin_penalty = 0;
|
|
bool market_closed = false;
|
|
//+------------------------------------------------------------------+
|
|
//| Function if. |
|
|
//+------------------------------------------------------------------+
|
|
if(!D2SkillExecuteAction(GetPointer(Action), buy_value, sell_value, margin_penalty, market_closed))
|
|
{
|
|
PrintFormat("%s -> %d execute: terminal partial-trade risk", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Function if. |
|
|
//+------------------------------------------------------------------+
|
|
if(market_closed)
|
|
{
|
|
Print("D2Skill online execution deferred: market closed");
|
|
//--- The preceding transition was already trained above. Do not replay it
|
|
//--- on the first tradable bar, but preserve Actor history for this state.
|
|
if(!ClearPreviousTransition())
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
if(margin_penalty < 0)
|
|
PrintFormat("D2Skill online insufficient margin: penalty=%.2f", margin_penalty);
|
|
//+------------------------------------------------------------------+
|
|
//| Function if. |
|
|
//+------------------------------------------------------------------+
|
|
if(!StorePrevious())
|
|
{
|
|
PrintFormat("%s -> %d metadata: terminal post-trade failure", __FUNCTION__, __LINE__);
|
|
ClearPreviousTransition();
|
|
ExpertRemove();
|
|
return;
|
|
}
|
|
PreviousBalance = AccountInfoDouble(ACCOUNT_BALANCE);
|
|
PreviousEquity = AccountInfoDouble(ACCOUNT_EQUITY);
|
|
PreviousMarginPenalty = margin_penalty;
|
|
HavePrevious = true;
|
|
if(OnlinePairActive)
|
|
OnlineVirtualTransitionPending = true;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
|
|
|
|
//+------------------------------------------------------------------+
|