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NN_in_Trading/Experts/OMPB/Trajectory.mqh
DNG 29ef106b9b OMPB
2026-09-14 09:56:18 +03:00

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//+------------------------------------------------------------------+
//| Trajectory.mqh |
//| Copyright DNG® |
//| https://www.mql5.com/ru/users/dng |
//+------------------------------------------------------------------+
#property copyright "Copyright DNG®"
#property link "https://www.mql5.com/ru/users/dng"
#property version "1.00"
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
#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
D2Skill_D2_STAGE_AUGMENTED, //Utility-aware skill augmentation
D2Skill_D2_STAGE_ONLINE //Online calibration
};
//+------------------------------------------------------------------+
//| D2Skill bank selection. |
//+------------------------------------------------------------------+
enum ENUM_D2SKILL_BANK_MODE
{
D2Skill_D2_MODE_BASE = 0, //Without D2 banks
D2Skill_D2_MODE_TASK, //Task skill bank
D2Skill_D2_MODE_STEP, //Step skill bank
D2Skill_D2_MODE_FULL //D2 full mode
};
//+------------------------------------------------------------------+
//| OMPB lifecycle stage. Stage 02 is intentionally a scaffold in |
//| this block; only the MarketEncoder stage is executable here. |
//+------------------------------------------------------------------+
enum ENUM_OMPB_STAGE
{
OMPB_STAGE_MARKET_ENCODER = 1,
OMPB_STAGE_CALIBRATION,
OMPB_STAGE_BASE_POLICY,
OMPB_STAGE_D2SKILL,
OMPB_STAGE_OPTIMIZATION,
OMPB_STAGE_INFERENCE
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
input group "---- Indicators ----"
input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1; //Working timeframe
//---
input group "---- RSI ----"
input int RSIPeriod = 14; //Period
input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price
//---
input group "---- CCI ----"
input int CCIPeriod = 14; //Period
input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price
//---
input group "---- ATR ----"
input int ATRPeriod = 14; //Period
//---
input group "---- MACD ----"
input int FastPeriod = 12; //Fast
input int SlowPeriod = 26; //Slow
input int SignalPeriod = 9; //Signal
input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
//---
#ifdef D2SKILL
input group "---- D2Skill ----"
input ENUM_D2SKILL_BANK_MODE InpD2SkillMode = D2Skill_D2_MODE_FULL; //Skill bank mode
input bool InpD2SkillUtilityAware = true; //Utility-aware retrieval
input double InpD2SkillMinUtility = -1.0; //Minimum utility
input double InpD2SkillUtilityScale = 1.0; //Utility scale
#endif
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int iLatentLayer = -1;
int iStateRawForecastLayer = 5;
int iStateTokenLayer = 6;
//---
#define HistoryBars 5
#define BarDescr 9 //Elements for 1 bar description
#define AccountDescr 13 //Account description
#define NActions 6 //Number of possible Actions
#define NRewards 1 //Number of rewards
#define NForecast 12 //Number of forecast
#define EtalonBalance 1e4
#define BatchSize 1e+5
#define EmbeddingSize 16
#define DiscFactor 0.5f
#define FileName "OMPB"
#define OMPB_LOG_PREFIX "OMPB"
#define LatentCount 64
#define LatentLayer iLatentLayer
#define StateRawForecastLayer iStateRawForecastLayer
#define StateTokenLayer iStateTokenLayer
#define ForecastTokenDim (EmbeddingSize + 1)
#define MaxSL 1000
#define MaxTP 1000
#define ActorUpdate 5
#define TargetUpdate 24*5
#define tau 0.9f
#define NHeads 4
#define NExperts 5
#define NScenarios 21
#define TopK 5
#define OMPBSamples 5
#define OMPBReferenceSize 256
#define OMPBCurrentWindow 64
#define Quantiles 8
#define StackSize 24*21
#define Blocks 24
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
CSymbolInfo Symb;
CTrade Trade;
MqlRates Rates[];
//---
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
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);
}
};
//+------------------------------------------------------------------+
//| Complete outcome of one independently simulated D2Skill episode.|
//+------------------------------------------------------------------+
struct SD2SkillEpisodeOutcome
{
private:
double dOutcome;
double dBalance;
double dEquity;
double dDrawdown;
double dCost;
double dRisk;
double dPeakEquity;
uint uDuration;
public:
bool Reset(void)
{
dOutcome = 0.0;
dBalance = 0.0;
dEquity = 0.0;
dDrawdown = 0.0;
dCost = 0.0;
dRisk = 0.0;
dPeakEquity = 0.0;
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;
dPeakEquity = MathMax(dPeakEquity, equity);
const double peak_drawdown = (dPeakEquity > 0.0 ?
(dPeakEquity - equity) / dPeakEquity : 0.0);
dDrawdown = MathMax(dDrawdown, MathMax(MathAbs(drawdown), peak_drawdown));
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); }
};
//+------------------------------------------------------------------+
//| 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));
}
//+------------------------------------------------------------------+
//| 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 ||
base.Duration() != skill.Duration())
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,
const ulong pair_transitions, const int pair_horizon)
{
if(real_terminal || virtual_terminal)
return(true);
return(pair_horizon > 0 && pair_transitions >= (ulong)pair_horizon);
}
//+------------------------------------------------------------------+
//| 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);
}
//+------------------------------------------------------------------+
//| Implements SState. |
//+------------------------------------------------------------------+
SState::SState(void)
{
ArrayInitialize(state, 0);
ArrayInitialize(account, 0);
ArrayInitialize(action, 0);
ArrayInitialize(rewards, 0);
}
//+------------------------------------------------------------------+
//| Saves |
//+------------------------------------------------------------------+
bool SState::Save(int file_handle)
{
if(file_handle == INVALID_HANDLE)
ReturnFalse;
//---
int total = ArraySize(state);
if(FileWriteInteger(file_handle, total) < sizeof(int))
ReturnFalse;
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);
}
//+------------------------------------------------------------------+
//| Loads. |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
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
//+------------------------------------------------------------------+
//| Checks NewBar. |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| Creates and manages object lifecycle for CloseByDirection. |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| Implements TrailPosition. |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| Creates and manages object lifecycle for ClosePartial. |
//+------------------------------------------------------------------+
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
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
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);
};
//+------------------------------------------------------------------+
//| Creates and manages object lifecycle for CDeal. |
//+------------------------------------------------------------------+
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)
{
}
//+------------------------------------------------------------------+
//| Implements Action. |
//+------------------------------------------------------------------+
vector<float> CDeal::Action(datetime current, double ask, double bid, int period_seconds)
{
vector<float> result = vector<float>::Zeros(NActions);
if((OpenTime - period_seconds) > current || CloseTime <= current)
return(result);
//---
switch(Type)
{
case POSITION_TYPE_BUY:
result[0] = float(Volume);
if(TakeProfit > 0)
result[1] = float((TakeProfit - ask) / (MaxTP * point));
if(StopLos > 0)
result[2] = float((ask - StopLos) / (MaxSL * point));
break;
case POSITION_TYPE_SELL:
result[3] = float(Volume);
if(TakeProfit > 0)
result[4] = float((bid - TakeProfit) / (MaxTP * point));
if(StopLos > 0)
result[5] = float((StopLos - bid) / (MaxSL * point));
break;
}
//---
return(result);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
class CDeals
{
protected:
CArrayObj Deals;
public:
CDeals(void) { Deals.Clear(); }
~CDeals(void) { Deals.Clear(); }
//---
bool LoadDeals(string file_name, string symbol, double point);
vector<float> Action(datetime current, double ask, double bid, int period_seconds);
};
//+------------------------------------------------------------------+
//| Loads Deals. |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| Implements Action. |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| Creates or initializes Buffers. |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| Implements SampleAccount. |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| Creates and manages object lifecycle for CheckAction. |
//+------------------------------------------------------------------+
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);
}
//+------------------------------------------------------------------+
//| Implements OraculAction. |
//+------------------------------------------------------------------+
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 = "OMPBMarket.nnw";
const string D2Skill_TARGET_FILE = "OMPBTarget.nnw";
const string D2Skill_MANIFEST_FILE = "OMPBForecast.manifest";
const string D2Skill_ACTOR_FILE = "OMPBActor.nnw";
const string D2Skill_Q1_FILE = "OMPBQ1.nnw";
const string D2Skill_Q2_FILE = "OMPBQ2.nnw";
const string D2Skill_AC_MANIFEST_FILE = "OMPBActorCritic.manifest";
const uint D2Skill_AC_FORMAT_VERSION = 13;
const string D2Skill_OOS_FILE = "OMPBOOS.csv";
const string D2Skill_OOS_MANIFEST_FILE = "OMPBOOS.manifest";
//--- Stage 02 publishes only the canonical production tuple. A complete
//--- next tuple is validated first; previous is retained only until reload
//--- proof accepts the canonical manifest as the commit point.
const string OMPB_STAGE02_MARKET_NEXT_FILE = "OMPBMarket.next.nnw";
const string OMPB_STAGE02_TARGET_NEXT_FILE = "OMPBTarget.next.nnw";
const string OMPB_STAGE02_MANIFEST_NEXT_FILE = "OMPBForecast.next.manifest";
const string OMPB_STAGE02_MARKET_PREVIOUS_FILE = "OMPBMarket.previous.nnw";
const string OMPB_STAGE02_TARGET_PREVIOUS_FILE = "OMPBTarget.previous.nnw";
const string OMPB_STAGE02_MANIFEST_PREVIOUS_FILE = "OMPBForecast.previous.manifest";
//--- Stage 01 uses an independent transaction namespace. The short names
//--- remain the only normal load contract; manifest is its commit record.
const string OMPB_STAGE01_MARKET_NEXT_FILE = "OMPBMarket.stage01.next.nnw";
const string OMPB_STAGE01_TARGET_NEXT_FILE = "OMPBTarget.stage01.next.nnw";
const string OMPB_STAGE01_MANIFEST_NEXT_FILE = "OMPBForecast.stage01.next.manifest";
const string OMPB_STAGE01_MARKET_PREVIOUS_FILE = "OMPBMarket.stage01.previous.nnw";
const string OMPB_STAGE01_TARGET_PREVIOUS_FILE = "OMPBTarget.stage01.previous.nnw";
const string OMPB_STAGE01_MANIFEST_PREVIOUS_FILE = "OMPBForecast.stage01.previous.manifest";
const string OMPB_STAGE01_TRANSACTION_FILE = "OMPBForecast.stage01.transaction";
const uint OMPB_STAGE01_TRANSACTION_VERSION = 1;
//--- Legacy generation selectors are migration markers only. They are never
//--- resolved by a normal loader, which fails closed until an explicit migration.
const string OMPB_STAGE02_ACTIVE_SELECTOR = "OMPBForecast.stage02.active";
const string OMPB_STAGE02_SELECTOR_NEXT = "OMPBForecast.stage02.active.next";
const string OMPB_STAGE02_SELECTOR_PREVIOUS = "OMPBForecast.stage02.active.previous";
const string OMPB_STAGE02_SELECTOR_RESTORE = "OMPBForecast.stage02.active.restore";
const string OMPB_STAGE02_GENERATION_PREFIX = ".stage02.";
const string OMPB_STAGE02_LEGACY_TRANSACTION_FILE = "OMPBForecast.stage02.transaction";
const string OMPB_STAGE02_LEGACY_TRANSACTION_NEXT_FILE = "OMPBForecast.stage02.transaction.next";
const uint OMPB_STAGE02_SELECTOR_VERSION = 1;
//--- Normal loading always uses these canonical physical production names.
string D2SkillActiveMarketFile = D2Skill_MARKET_FILE;
string D2SkillActiveTargetFile = D2Skill_TARGET_FILE;
string D2SkillActiveManifestFile = D2Skill_MANIFEST_FILE;
//--- Utility is defined only by the counterfactual paired terminal outcome.
const int D2Skill_D2_UTILITY_PAIRED_HINDSIGHT = 0;
//+------------------------------------------------------------------+
//| D2Skill builds transitions directly from historical windows |
//| Base CNet already provides Layer(int) and |
//| FeedForwardLayer(CNeuronBaseOCL*). |
//| 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;
//---
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));
}
};
//---
CNet D2SkillMarket;
CNet D2SkillTarget;
CNeuronScenarioForecast *D2SkillForecast = NULL;
//+------------------------------------------------------------------+
//| Resolves RankTCM at its fixed OMPB graph slot. |
//+------------------------------------------------------------------+
CNeuronBaseOCL *GetRankTCM(void)
{
//--- Resolve RankTCM only when the fixed OMPB graph slot has its declared type.
CNeuronBaseOCL *layer = D2SkillMarket.Layer(4);
//--- Return the typed predecessor or NULL for a stale or incompatible graph.
return(layer && layer.Type() == defNeuronCogDriverRankTCM ? layer : NULL);
}
//+------------------------------------------------------------------+
//| Resolves OMPB at its fixed MarketEncoder graph slot. |
//+------------------------------------------------------------------+
CNeuronOMPBOCL *GetOMPB(void)
{
//--- Resolve OMPB only when the fixed MarketEncoder graph slot has its declared type.
CNeuronBaseOCL *layer = D2SkillMarket.Layer(5);
//--- Return the typed layer or NULL for a stale or incompatible graph.
return(layer && layer.Type() == defNeuronOMPBOCL ? (CNeuronOMPBOCL *)layer : NULL);
}
//+------------------------------------------------------------------+
//| Sets an OMPB runtime mode after clearing source-anchor state. |
//+------------------------------------------------------------------+
bool SetOMPBMode(const ENUM_OMPB_MODE mode)
{
//--- Clear source-anchor state before selecting the requested OMPB runtime mode.
CNeuronOMPBOCL *layer = GetOMPB();
//--- Finalize the mode change only for a validated OMPB layer.
return(layer && layer.SetSourceAnchor(false) && layer.SetMode(mode));
}
//+------------------------------------------------------------------+
//| Configures OMPB mode and BYPASS training safeguards. |
//+------------------------------------------------------------------+
bool ConfigureOMPB(const ENUM_OMPB_MODE mode)
{
//--- Resolve the layer and install the requested OMPB runtime mode.
CNeuronOMPBOCL *layer = GetOMPB();
if(!layer || !SetOMPBMode(mode))
ReturnFalse;
//--- BYPASS must not retain a trainable OMPB layer during MarketEncoder training.
if(mode == OMPB_BYPASS)
layer.TrainMode(false);
//--- Finalize the OMPB configuration after the runtime safeguards are applied.
return(true);
}
//+------------------------------------------------------------------+
//| Resets only the OMPB immutable Reference history. |
//+------------------------------------------------------------------+
bool ResetOMPBReference(void)
{
//--- Resolve OMPB before discarding its immutable Reference history explicitly.
CNeuronOMPBOCL *layer = GetOMPB();
//--- Finalize only when the validated layer reset succeeds.
return(layer && layer.ResetReference());
}
//+------------------------------------------------------------------+
//| Reads OMPB runtime diagnostic counters and regularizer values. |
//+------------------------------------------------------------------+
bool ReadOMPBDiagnostics(uint &reference_count, uint &current_count,
float &disagreement, float &kl, float &alpha_prior,
uint &invalid_fallbacks, uint &kl_rejects)
{
//--- Resolve OMPB before exporting its runtime-only diagnostic counters.
CNeuronOMPBOCL *layer = GetOMPB();
if(!layer)
ReturnFalse;
//--- Read the immutable Reference and rolling Current occupancy counters.
reference_count = layer.ReferenceCount();
current_count = layer.CurrentCount();
//--- Read the latest regularizer values and guarded-inference counters.
disagreement = layer.LastDisagreement();
kl = layer.LastKL();
alpha_prior = layer.LastAlphaPrior();
invalid_fallbacks = layer.InvalidFallbacks();
kl_rejects = layer.KLRejects();
//--- Finalize the diagnostics snapshot after all values have been read.
return(true);
}
//+------------------------------------------------------------------+
//| Checks that BYPASS leaves OMPB diagnostics unchanged. |
//+------------------------------------------------------------------+
bool D2SkillCheckOMPBBypassInvariant(const uint reference_count_before,
const uint current_count_before,
const float disagreement_before,
const float kl_before,
const float alpha_prior_before,
const uint invalid_fallbacks_before,
const uint kl_rejects_before,
const string scope)
{
uint reference_count_after, current_count_after, invalid_fallbacks_after, kl_rejects_after;
float disagreement_after, kl_after, alpha_prior_after;
if(!ReadOMPBDiagnostics(reference_count_after, current_count_after, disagreement_after,
kl_after, alpha_prior_after, invalid_fallbacks_after, kl_rejects_after))
{
PrintFormat("OMPB_STAGE01_BYPASS_DIAGNOSTIC_FAIL scope=%s reason=read_after", scope);
return(false);
}
const bool unchanged = (reference_count_after == reference_count_before &&
current_count_after == current_count_before &&
disagreement_after == disagreement_before &&
kl_after == kl_before &&
alpha_prior_after == alpha_prior_before &&
invalid_fallbacks_after == invalid_fallbacks_before &&
kl_rejects_after == kl_rejects_before);
if(!unchanged)
{
PrintFormat("OMPB_STAGE01_BYPASS_DIAGNOSTIC_FAIL scope=%s " +
"before=(%u,%u,%.9g,%.9g,%.9g,%u,%u) " +
"after=(%u,%u,%.9g,%.9g,%.9g,%u,%u)",
scope, reference_count_before, current_count_before, disagreement_before,
kl_before, alpha_prior_before, invalid_fallbacks_before, kl_rejects_before,
reference_count_after, current_count_after, disagreement_after, kl_after,
alpha_prior_after, invalid_fallbacks_after, kl_rejects_after);
return(false);
}
PrintFormat("OMPB_STAGE01_BYPASS_DIAGNOSTIC_PASS scope=%s state_unchanged=true", scope);
return(true);
}
//---
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;
ulong D2SkillProductionBaseFingerprint = 0;
ulong D2SkillProductionOMPBFingerprint = 0;
bool D2SkillProductionSignatureReady = false;
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;
bool D2SkillD2OnlineDirectionUpdate = false;
bool D2SkillD2OnlineCriticUpdate = false;
ED2SkillRepresentation D2SkillD2Representation = D2SkillDirectionMagnitude;
bool D2SkillD2ResetBanksOnRepresentationMismatch = false;
bool D2SkillD2RecreateIncompatibleCheckpoint = false;
int D2SkillD2UtilityMode = D2Skill_D2_UTILITY_PAIRED_HINDSIGHT;
ulong D2SkillD2PairedUtilityUpdates = 0;
//+------------------------------------------------------------------+
//| Reports completed terminal utility updates for online calibration. |
//+------------------------------------------------------------------+
bool D2SkillOnlineCalibrationHasClosedUtilityUpdates(void)
{
return(D2SkillD2PairedUtilityUpdates > 0);
}
//+------------------------------------------------------------------+
bool D2SkillRequiresBankGradientBackward(void)
{
if(D2SkillD2Mode == D2Skill_D2_MODE_BASE)
return(false);
return(D2SkillD2ExecutionMode == D2_COLLECT ||
D2SkillD2ExecutionMode == D2_EVALUATE ||
D2SkillD2ExecutionMode == D2_ONLINE_CALIBRATION);
}
//+------------------------------------------------------------------+
//| 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,
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)
{
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 ||
representation < D2SkillFullResidual || representation > D2SkillDirectionMagnitude ||
!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;
D2SkillD2OnlineDirectionUpdate = online_direction_update;
D2SkillD2OnlineCriticUpdate = online_critic_update;
D2SkillD2Representation = representation;
D2SkillD2ResetBanksOnRepresentationMismatch = reset_banks_on_representation_mismatch;
D2SkillD2RecreateIncompatibleCheckpoint = recreate_incompatible_checkpoint;
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);
}
//+------------------------------------------------------------------+
//| 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. |
//+------------------------------------------------------------------+
bool D2SkillPrepareForwardStateBuffer(CBufferFloat *source, CBufferFloat &snapshot,
COpenCLMy *open_cl)
{
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);
}
//+------------------------------------------------------------------+
//| Returns whether this exact Actor state is eligible for pairing. |
//+------------------------------------------------------------------+
bool D2SkillUsePairedHindsight(CD2Skill *skill,
SD2SkillActorForwardState &state)
{
return((D2SkillD2ExecutionMode == D2_EVALUATE ||
D2SkillD2ExecutionMode == D2_ONLINE_CALIBRATION) &&
D2SkillD2Mode != D2Skill_D2_MODE_BASE && skill != NULL &&
skill.Ready() && D2SkillActorForwardStateReady(state));
}
//+------------------------------------------------------------------+
//| Restores an Actor pair capture and its exact configured D2 mode. |
//+------------------------------------------------------------------+
bool D2SkillRestorePairedActorState(SD2SkillActorForwardState &state,
CD2Skill *skill,
const bool task_enabled,
const bool step_enabled,
const string stage)
{
const bool state_restored = D2SkillRestoreActorForwardState(state);
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("%s %s recovery_age=%u bars", OMPB_LOG_PREFIX, (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 = defNeuronOMPBOCL;
descr.window = EmbeddingSize;
descr.count = BarDescr;
descr.layers = OMPBSamples;
{
uint units[] = {OMPBReferenceSize, OMPBCurrentWindow};
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("%s Create market=%s batch=%u", OMPB_LOG_PREFIX, (market_created ? "OK" : "FAIL"), uint(BatchSize));
const bool target_created = (market_created && D2SkillTarget.Create(target));
PrintFormat("%s Create target=%s", OMPB_LOG_PREFIX, (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.
if(!D2SkillTarget.SetOpenCLChecked(D2SkillMarket.GetOpenCL()))
ReturnFalseEx("target OpenCL transfer failed");
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!D2SkillInitTrainingBuffers())
{
PrintFormat("%s init: training buffers=FAIL", OMPB_LOG_PREFIX);
ReturnFalse;
}
D2SkillForecast = (CNeuronScenarioForecast*)D2SkillMarket.Layer(-1);
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!D2SkillForecast || D2SkillForecast.Type() != defNeuronScenarioForecast)
{
PrintFormat("%s init: forecast layer=FAIL", OMPB_LOG_PREFIX);
ReturnFalse;
}
if(!ConfigureForecastRecoveryAge())
ReturnFalse;
D2SkillTarget.TrainMode(false);
D2SkillMarket.TrainMode(true);
CNeuronOMPBOCL *ompb = GetOMPB();
if(!ompb || !ConfigureOMPB(OMPB_BYPASS))
ReturnFalse;
ompb.TrainMode(false);
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("%s shape: market input expected=%d actual=%d", OMPB_LOG_PREFIX, 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("%s shape: market RankTCM expected=%d actual=%d", OMPB_LOG_PREFIX, BarDescr * EmbeddingSize,
(buffer ? buffer.Total() : -1));
ReturnFalse;
}
layer = GetOMPB();
buffer = (layer ? layer.getOutput() : NULL);
if(!buffer || buffer.Total() != (BarDescr * EmbeddingSize))
{
PrintFormat("OMPB shape: bridge 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("%s shape: target input expected=%d actual=%d", OMPB_LOG_PREFIX, 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("%s shape: target PeriodNorm expected=%d actual=%d", OMPB_LOG_PREFIX, 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("%s shape: target Conv3 expected=%d actual=%d", OMPB_LOG_PREFIX,
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("%s shape: target Conv2 expected=%d actual=%d", OMPB_LOG_PREFIX,
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("%s shape: target final Conv expected=%d actual=%d", OMPB_LOG_PREFIX,
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("%s shape: target output PeriodNorm expected=%d actual=%d", OMPB_LOG_PREFIX,
BarDescr * NForecast * EmbeddingSize,
(buffer ? buffer.Total() : -1));
ReturnFalse;
}
buffer = D2SkillFutureTranspose.getOutput();
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!buffer || buffer.Total() != (BarDescr * NForecast))
{
PrintFormat("%s shape: future transpose expected=%d actual=%d", OMPB_LOG_PREFIX, 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("%s shape: Scenario Z expected=%d actual=%d", OMPB_LOG_PREFIX,
NScenarios * BarDescr * NForecast * EmbeddingSize,
(buffer ? buffer.Total() : -1));
ReturnFalse;
}
buffer = D2SkillForecast.GetU();
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!buffer || buffer.Total() != (NScenarios * BarDescr * NForecast))
{
PrintFormat("%s shape: Scenario U expected=%d actual=%d", OMPB_LOG_PREFIX, NScenarios * BarDescr * NForecast,
(buffer ? buffer.Total() : -1));
ReturnFalse;
}
buffer = D2SkillForecast.GetPi();
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!buffer || buffer.Total() != NScenarios)
{
PrintFormat("%s shape: Scenario Pi expected=%d actual=%d", OMPB_LOG_PREFIX, 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("%s shape: Forecast V=%d/%d K=%d/%d H=%d/%d D=%d/%d active=%d/%d", OMPB_LOG_PREFIX,
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(const string market_file = "")
{
if(!D2SkillForecast)
return(0);
ulong hash = ulong(1469598103934665603);
const string checkpoint = (market_file == "" ? D2SkillActiveMarketFile : market_file);
hash = D2SkillHashFile(hash, checkpoint);
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_OMPB_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, const string target_file = "")
{
if(forecast_signature == 0)
return(0);
const string checkpoint = (target_file == "" ? D2SkillActiveTargetFile : target_file);
return(D2SkillHashFile(forecast_signature, checkpoint));
}
//+------------------------------------------------------------------+
//| Implements D2SkillWriteManifest. |
//+------------------------------------------------------------------+
bool D2SkillWriteManifest(const uint completed_epochs)
{
if(!D2SkillForecast)
ReturnFalse;
const ulong signature = D2SkillForecastSignature(D2Skill_MARKET_FILE);
const ulong target_hash = D2SkillHashFile(ulong(1469598103934665603), D2Skill_TARGET_FILE);
const ulong training_signature = D2SkillForecastTrainingSignature(signature, D2Skill_TARGET_FILE);
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=OMPB_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);
}
bool D2SkillStage01SaveCheckpoint(const uint completed_epochs);
//+------------------------------------------------------------------+
//| Implements D2SkillSaveCheckpoint. |
//+------------------------------------------------------------------+
bool D2SkillSaveCheckpoint(const uint completed_epochs)
{
return(D2SkillStage01SaveCheckpoint(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);
bool D2SkillCaptureFrozenForecastBaseline(CNeuronScenarioForecast *forecast);
bool D2SkillVerifyFrozenForecastExact(CNeuronScenarioForecast *forecast);
bool D2SkillForwardForecast(const int position, CBufferFloat *state, CBufferFloat *time);
string D2SkillManifestValue(const string file_name, const string key);
bool OMPBStage02ExplicitCheckpointFilesValid(const string market_file, const string target_file,
const string manifest_file);
bool OMPBStage02LoadExplicitCheckpoint(const string market_file, const string target_file,
const string manifest_file);
bool OMPBStage02ReloadProofDeterministic(const string market_file, const string target_file,
const string manifest_file, const int position,
CBufferFloat *state, CBufferFloat *time);
bool OMPBStage02ReloadCheckpointProof(const string market_file, const string target_file,
const string manifest_file, const ulong expected_market,
const ulong expected_target, const ulong expected_posterior);
bool OMPBStage02FinalizeSteadySelector(void);
//+------------------------------------------------------------------+
//| Stage 02 preflight and Reference collection only. This path is |
//| intentionally separate from CreateD2SkillForecastStudy(): Stage |
//| 02 must reject a missing/incompatible Stage 01 checkpoint rather |
//| than creating a new random Market graph. |
//+------------------------------------------------------------------+
datetime OMPBStage02ReferenceStart = 0;
datetime OMPBStage02ReferenceSplit = 0;
datetime OMPBStage02ReferenceEnd = 0;
datetime OMPBStage02CalibrationStart = 0;
datetime OMPBStage02CalibrationSplit = 0;
datetime OMPBStage02CalibrationEnd = 0;
int OMPBStage02ReferenceFirst = -1;
int OMPBStage02ReferenceLast = -1;
int OMPBStage02SourceEvalFirst = -1;
int OMPBStage02SourceEvalLast = -1;
int OMPBStage02TargetCalibrationFirst = -1;
int OMPBStage02TargetCalibrationLast = -1;
int OMPBStage02TargetEvalFirst = -1;
int OMPBStage02TargetEvalLast = -1;
bool OMPBStage02Smoke = false;
uint OMPBStage02SmokeLimit = 0;
uint OMPBStage02SourcePeriod = 0;
uint ExtOMPBCalibrationEpochs = 1;
uint ExtOMPBCalibrationEpoch = 0;
ulong OMPBStage02BaseFingerprint = 0;
ulong OMPBStage02ForecastFingerprint = 0;
ulong OMPBStage02TargetFingerprint = 0;
ulong OMPBStage02PosteriorFingerprint = 0;
//--- The Stage 01 state remains the only production checkpoint until an
//--- accepted Stage 02 transaction has completed its reload smoke.
bool OMPBStage02CheckpointPublished = false;
//+------------------------------------------------------------------+
bool OMPBStage02Finite(const double value)
{
return(MathIsValidNumber(value));
}
//+------------------------------------------------------------------+
bool OMPBStage02Configure(const datetime reference_start, const datetime reference_end,
const datetime calibration_start, const datetime calibration_end,
const uint anchor_period, const float tau_value, const float lambda_dis,
const float lambda_kl, const float lambda_alpha, const float alpha_prior,
const float max_kl, const bool smoke, const uint smoke_limit)
{
if(reference_start >= reference_end || reference_end > calibration_start ||
calibration_start >= calibration_end || tau_value < 0.0f || tau_value > 1.0f ||
lambda_dis < 0.0f || lambda_kl < 0.0f || lambda_alpha < 0.0f ||
max_kl < 0.0f ||
!OMPBStage02Finite(tau_value) || !OMPBStage02Finite(lambda_dis) ||
!OMPBStage02Finite(lambda_kl) || !OMPBStage02Finite(lambda_alpha) ||
!OMPBStage02Finite(alpha_prior) || !OMPBStage02Finite(max_kl))
{
Print("OMPB_STAGE02_PREFLIGHT_FAIL reason=input_contract");
ReturnFalse;
}
const long reference_span = long(reference_end) - long(reference_start);
const long calibration_span = long(calibration_end) - long(calibration_start);
const datetime reference_split = reference_start + int(reference_span * 4 / 5);
const datetime calibration_split = calibration_start + int(calibration_span * 4 / 5);
if(reference_span <= 0 || calibration_span <= 0 || reference_split <= reference_start ||
reference_split >= reference_end || calibration_split <= calibration_start ||
calibration_split >= calibration_end)
{
Print("OMPB_STAGE02_PREFLIGHT_FAIL reason=empty_80_20_partition");
ReturnFalse;
}
CNeuronOMPBOCL *ompb = GetOMPB();
if(!ompb || !ompb.SetTau(tau_value) || !ompb.SetDisagreementMult(lambda_dis) ||
!ompb.SetKLDMult(lambda_kl) || !ompb.SetAlphaMult(lambda_alpha) ||
!ompb.SetAlphaPrior(alpha_prior) || !ompb.SetMaxKL(max_kl) ||
!ConfigureOMPB(OMPB_BYPASS))
{
Print("OMPB_STAGE02_PREFLIGHT_FAIL reason=ompb_configuration");
ReturnFalse;
}
ompb.TrainMode(false);
OMPBStage02ReferenceStart = reference_start;
OMPBStage02ReferenceSplit = reference_split;
OMPBStage02ReferenceEnd = reference_end;
OMPBStage02CalibrationStart = calibration_start;
OMPBStage02CalibrationSplit = calibration_split;
OMPBStage02CalibrationEnd = calibration_end;
OMPBStage02Smoke = smoke;
OMPBStage02SmokeLimit = (smoke ? MathMax(1, int(smoke_limit)) : 0);
OMPBStage02SourcePeriod = anchor_period;
PrintFormat("OMPB_STAGE02_PREFLIGHT_CONFIG reference=%s..%s split=%s calibration=%s..%s",
TimeToString(reference_start, TIME_DATE), TimeToString(reference_end, TIME_DATE),
TimeToString(reference_split, TIME_DATE), TimeToString(calibration_start, TIME_DATE),
TimeToString(calibration_end, TIME_DATE));
PrintFormat("OMPB_STAGE02_PREFLIGHT_CONFIG split=%s source_period=%u smoke=%s",
TimeToString(calibration_split, TIME_DATE), anchor_period, (smoke ? "true" : "false"));
PrintFormat("OMPB_STAGE02_OBJECTIVE tau=%.8g lambda_dis=%.8g lambda_kl=%.8g " +
"lambda_alpha=%.8g alpha_prior=%.8g max_kl=%.8g",
tau_value, lambda_dis, lambda_kl, lambda_alpha, alpha_prior, max_kl);
return(true);
}
//+------------------------------------------------------------------+
bool OMPBStage02PrepareData(void)
{
const int reference_start = iBarShift(Symb.Name(), TimeFrame, OMPBStage02ReferenceStart);
const int reference_split = iBarShift(Symb.Name(), TimeFrame, OMPBStage02ReferenceSplit);
const int reference_end = iBarShift(Symb.Name(), TimeFrame, OMPBStage02ReferenceEnd);
const int calibration_start = iBarShift(Symb.Name(), TimeFrame, OMPBStage02CalibrationStart);
const int calibration_split = iBarShift(Symb.Name(), TimeFrame, OMPBStage02CalibrationSplit);
const int calibration_end = iBarShift(Symb.Name(), TimeFrame, OMPBStage02CalibrationEnd);
if(reference_start <= 0 || reference_split <= 0 || reference_end <= 0 ||
calibration_start <= 0 || calibration_split <= 0 || calibration_end <= 0 ||
reference_start <= reference_split || reference_split <= reference_end ||
reference_end < calibration_start || calibration_start <= calibration_split ||
calibration_split <= calibration_end)
{
PrintFormat("OMPB_STAGE02_PREFLIGHT_FAIL reason=bar_order shifts=(%d,%d,%d,%d,%d,%d)",
reference_start, reference_split, reference_end, calibration_start,
calibration_split, calibration_end);
ReturnFalse;
}
const int bars = CopyRates(Symb.Name(), TimeFrame, 0, reference_start, Rates);
if(bars <= 0 || !RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
!ATR.BufferResize(bars) || !MACD.BufferResize(bars))
{
PrintFormat("OMPB_STAGE02_PREFLIGHT_FAIL reason=rates bars=%d error=%d", bars, GetLastError());
ReturnFalse;
}
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("OMPB_STAGE02_PREFLIGHT_FAIL reason=indicators bars=%d error=%d", bars, GetLastError());
ReturnFalse;
}
RSI.Refresh();
CCI.Refresh();
ATR.Refresh();
MACD.Refresh();
if(!ArraySetAsSeries(Rates, true))
{
PrintFormat("OMPB_STAGE02_PREFLIGHT_FAIL reason=rates_series error=%d", GetLastError());
ReturnFalse;
}
OMPBStage02ReferenceFirst = reference_start - HistoryBars - NForecast - 1;
OMPBStage02ReferenceLast = reference_split;
OMPBStage02SourceEvalFirst = reference_split - 1;
OMPBStage02SourceEvalLast = reference_end;
OMPBStage02TargetCalibrationFirst = calibration_start - HistoryBars - NForecast - 1;
OMPBStage02TargetCalibrationLast = calibration_split;
OMPBStage02TargetEvalFirst = calibration_split - 1;
OMPBStage02TargetEvalLast = calibration_end;
const int reference_rows = OMPBStage02ReferenceFirst - OMPBStage02ReferenceLast + 1;
const int source_eval_rows = OMPBStage02SourceEvalFirst - OMPBStage02SourceEvalLast + 1;
const int target_calibration_rows = OMPBStage02TargetCalibrationFirst - OMPBStage02TargetCalibrationLast + 1;
const int target_eval_rows = OMPBStage02TargetEvalFirst - OMPBStage02TargetEvalLast + 1;
if(OMPBStage02ReferenceFirst < OMPBStage02ReferenceLast ||
OMPBStage02SourceEvalFirst < OMPBStage02SourceEvalLast ||
OMPBStage02TargetCalibrationFirst < OMPBStage02TargetCalibrationLast ||
OMPBStage02TargetEvalFirst < OMPBStage02TargetEvalLast ||
reference_rows < int(OMPBReferenceSize) || source_eval_rows <= 0 ||
target_calibration_rows < int(OMPBCurrentWindow) || target_eval_rows <= 0)
{
PrintFormat("OMPB_STAGE02_PREFLIGHT_FAIL reason=bars ref=%d source=%d calibration=%d target=%d",
reference_rows, source_eval_rows, target_calibration_rows, target_eval_rows);
PrintFormat("OMPB_STAGE02_PREFLIGHT_REQUIRED reference=%u target_calibration=%u",
OMPBReferenceSize, OMPBCurrentWindow);
ReturnFalse;
}
PrintFormat("OMPB_STAGE02_PREFLIGHT_PASS bars=%d reference=%d source_eval=%d target_calibration=%d target_eval=%d",
bars, reference_rows, source_eval_rows, target_calibration_rows, target_eval_rows);
return(true);
}
//+------------------------------------------------------------------+
//| Returns the valid-row quota for one Stage 02 progress phase. |
//+------------------------------------------------------------------+
uint OMPBStage02ProgressQuota(const uint rows, const uint cap, const bool smoke,
const uint smoke_limit)
{
uint quota = (cap == 0 ? rows : (uint)MathMin(rows, cap));
if(smoke)
quota = (uint)MathMin(quota, smoke_limit);
return(quota);
}
//+------------------------------------------------------------------+
//| Converts valid progress into a bounded Stage 02 percentage. |
//+------------------------------------------------------------------+
double OMPBStage02ProgressPercent(const uint done, const uint quota)
{
if(quota == 0)
return(0.0);
return(100.0 * double(MathMin(done, quota)) / double(quota));
}
//+------------------------------------------------------------------+
//| Shows a throttled Stage 02 chart status without training work. |
//+------------------------------------------------------------------+
void OMPBStage02ShowProgress(const string phase, const uint done, const uint total,
const uint attempts, const uint invalid, const bool end,
const bool successful, const bool show_epoch,
const bool show_ompb, const uint source_done,
const uint source_attempts, const uint source_invalid,
const string detail)
{
static ulong last_tick = 0;
static string last_phase = "";
const ulong now = GetTickCount64();
const bool phase_changed = (phase != last_phase);
const bool timer_elapsed = (!phase_changed && last_tick > 0 && now - last_tick >= 1000);
const bool read_metrics = (!phase_changed && (timer_elapsed || end));
if(!phase_changed && !end && !timer_elapsed)
return;
string lmix_text = "n/a";
string valid_text = "n/a";
string diagnostic_invalid_text = "n/a";
string disagreement_text = "n/a";
string kl_text = "n/a";
//--- A phase transition deliberately hides the preceding phase's epoch metrics.
if(read_metrics && show_epoch)
{
double lmix, router, trajectory, confidence, latent, observation;
double valid, diagnostic_invalid, entropy, distance, inactive, recovered;
if(D2SkillForecast && D2SkillForecast.ReadEpochDiagnostics(
lmix, router, trajectory, confidence, latent, observation,
valid, diagnostic_invalid, entropy, distance, inactive, recovered) &&
valid > 0.0 && OMPBStage02Finite(lmix) && OMPBStage02Finite(valid) &&
OMPBStage02Finite(diagnostic_invalid))
{
lmix_text = StringFormat("%.8f", lmix / valid);
valid_text = StringFormat("%.0f", valid);
diagnostic_invalid_text = StringFormat("%.0f", diagnostic_invalid);
}
if(show_ompb)
{
uint reference_count, current_count, invalid_fallbacks, kl_rejects;
float disagreement, kl, alpha_prior;
if(ReadOMPBDiagnostics(reference_count, current_count, disagreement, kl, alpha_prior,
invalid_fallbacks, kl_rejects) && OMPBStage02Finite(disagreement) &&
OMPBStage02Finite(kl))
{
disagreement_text = StringFormat("%.8f", disagreement);
kl_text = StringFormat("%.8f", kl);
}
}
}
const double percent = OMPBStage02ProgressPercent(done, total);
string state = "running";
if(end)
{
state = (successful && total > 0 && done >= total ? "complete" : "ended");
if(IsStopped())
state = "stopped";
}
const string phase_label = (phase == "calibration" ?
StringFormat("%s epoch %u/%u", phase,
ExtOMPBCalibrationEpoch, ExtOMPBCalibrationEpochs) : phase);
Comment(StringFormat("%s Stage02 %s %6.2f%% state=%s\n" +
"processed %u/%u attempts %u invalid %u L_mix %s valid %s invalid %s\n" +
"KL %s disagreement %s source_updates %u source_attempts %u source_invalid %u\n%s",
OMPB_LOG_PREFIX, phase_label, percent, state, done, total, attempts, invalid,
lmix_text, valid_text, diagnostic_invalid_text, kl_text, disagreement_text,
source_done, source_attempts, source_invalid, detail));
if(end && IsStopped())
PrintFormat("OMPB_STAGE02_PROGRESS_STOP phase=%s valid=%u total=%u attempts=%u invalid=%u",
phase, done, total, attempts, invalid);
last_phase = phase;
last_tick = now;
}
//+------------------------------------------------------------------+
//| Collects the immutable Stage 02 Reference history. |
//+------------------------------------------------------------------+
bool OMPBStage02CollectReference(void)
{
CNeuronOMPBOCL *ompb = GetOMPB();
if(!ompb || !ResetOMPBReference() || !ConfigureOMPB(OMPB_REFERENCE))
{
Print("OMPB_STAGE02_REFERENCE_FAIL reason=setup");
ReturnFalse;
}
ompb.TrainMode(false);
uint collected = 0;
const uint rows = uint(OMPBStage02ReferenceFirst - OMPBStage02ReferenceLast + 1);
const uint quota = OMPBStage02ProgressQuota(rows, OMPBReferenceSize, OMPBStage02Smoke,
OMPBStage02SmokeLimit);
OMPBStage02ShowProgress("reference", collected, quota, collected, 0, false, false, false,
false,
0, 0, 0, "");
for(int position = OMPBStage02ReferenceFirst;
position >= OMPBStage02ReferenceLast && !IsStopped(); position--)
{
if(!CreateBuffers(position + NForecast, GetPointer(D2SkillState),
GetPointer(D2SkillTime), NULL) ||
!D2SkillMarket.feedForward(GetPointer(D2SkillState), 1, false, (CBufferFloat *)NULL))
{
PrintFormat("OMPB_STAGE02_REFERENCE_FAIL reason=forward position=%d line=%d", position, __LINE__);
ReturnFalse;
}
collected++;
OMPBStage02ShowProgress("reference", collected, quota, collected, 0, false, false, false,
false,
0, 0, 0, "");
if(OMPBStage02Smoke && collected >= OMPBStage02SmokeLimit)
break;
if(ompb.ReferenceCount() >= OMPBReferenceSize)
break;
}
if(collected == 0 || (!OMPBStage02Smoke && ompb.ReferenceCount() != OMPBReferenceSize))
{
PrintFormat("OMPB_STAGE02_REFERENCE_FAIL reason=count collected=%u reference=%u required=%u",
collected, ompb.ReferenceCount(), OMPBReferenceSize);
OMPBStage02ShowProgress("reference", collected, quota, collected, 0, true, false, false,
false,
0, 0, 0, "result=failed");
ReturnFalse;
}
OMPBStage02ShowProgress("reference", collected, quota, collected, 0, true, true, false,
false,
0, 0, 0, "");
PrintFormat("OMPB_STAGE02_REFERENCE_PASS collected=%u reference=%u capacity=%u smoke=%s",
collected, ompb.ReferenceCount(), OMPBReferenceSize, (OMPBStage02Smoke ? "true" : "false"));
return(ConfigureOMPB(OMPB_BYPASS));
}
//+------------------------------------------------------------------+
//| Computes the frozen BYPASS baseline for one evaluation scope. |
//+------------------------------------------------------------------+
bool OMPBStage02Baseline(const int first, const int last, const string scope,
double &forecast_loss, uint &valid_batches, uint &invalid_batches)
{
forecast_loss = 0.0;
valid_batches = 0;
invalid_batches = 0;
uint attempts = 0;
const uint rows = uint(first - last + 1);
const uint quota = OMPBStage02ProgressQuota(rows, 0, OMPBStage02Smoke,
OMPBStage02SmokeLimit);
const string progress_phase = (StringFind(scope, "source") >= 0 ?
"baseline source" : "baseline target");
if(first < last || !D2SkillForecast || !ConfigureOMPB(OMPB_BYPASS) ||
!D2SkillMarket.Clear() || !D2SkillTarget.Clear() ||
!D2SkillForecast.ResetEpochDiagnostics())
{
PrintFormat("OMPB_STAGE02_BASELINE_FAIL scope=%s reason=setup", scope);
ReturnFalse;
}
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, false, false, true, false,
0, 0, 0, "");
for(int position = first; position >= last && !IsStopped(); position--)
{
attempts++;
if(!D2SkillTrainBatch(position))
{
invalid_batches++;
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, false, false, true, false,
0, 0, 0, "");
continue;
}
valid_batches++;
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, false, false, true, false,
0, 0, 0, "");
if(OMPBStage02Smoke && valid_batches >= OMPBStage02SmokeLimit)
break;
}
double lmix, router, trajectory, confidence, latent, observation;
double valid, invalid, entropy, distance, inactive, recovered;
if(valid_batches == 0 || !D2SkillForecast.BuildEpochCodebookDiagnostics() ||
!D2SkillForecast.ReadEpochDiagnostics(
lmix, router, trajectory, confidence, latent, observation,
valid, invalid, entropy, distance, inactive, recovered) ||
valid < double(valid_batches) || !OMPBStage02Finite(lmix) ||
!OMPBStage02Finite(valid) || !OMPBStage02Finite(invalid))
{
PrintFormat("OMPB_STAGE02_BASELINE_FAIL scope=%s reason=metrics valid=%u invalid=%u",
scope, valid_batches, invalid_batches);
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, true, false, true, false,
0, 0, 0, "result=failed");
ReturnFalse;
}
forecast_loss = lmix / valid;
if(!OMPBStage02Finite(forecast_loss))
{
PrintFormat("OMPB_STAGE02_BASELINE_FAIL scope=%s reason=nonfinite_loss", scope);
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, true, false, true, false,
0, 0, 0, "result=failed");
ReturnFalse;
}
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, true, true, true, false,
0, 0, 0, "");
PrintFormat("OMPB_STAGE02_BASELINE_PASS scope=%s loss=%.9f valid=%u invalid=%u",
scope, forecast_loss, valid_batches, invalid_batches);
return(true);
}
//+------------------------------------------------------------------+
//| Fingerprints the selected market layers for Stage 02. |
//+------------------------------------------------------------------+
bool OMPBStage02MarketFingerprint(const int first, const int last, ulong &fingerprint)
{
if(first < 0 || first > last)
ReturnFalse;
fingerprint = ulong(1469598103934665603);
for(int index = first; index <= last; index++)
{
CNeuronBaseOCL *layer = D2SkillMarket.Layer(index);
if(!layer)
ReturnFalse;
fingerprint = (fingerprint ^ ulong(index + 1)) * ulong(1099511628211);
if(!layer.AppendParameterFingerprint(fingerprint))
ReturnFalse;
}
return(fingerprint != 0);
}
//+------------------------------------------------------------------+
//| Captures the states that must remain frozen during OMPB. |
//+------------------------------------------------------------------+
bool OMPBStage02CaptureSignatures(void)
{
CNeuronOMPBOCL *ompb = GetOMPB();
if(!ompb || !OMPBStage02MarketFingerprint(0, 4, OMPBStage02BaseFingerprint) ||
!OMPBStage02MarketFingerprint(6, 6, OMPBStage02ForecastFingerprint) ||
!D2SkillTarget.ParameterFingerprint(OMPBStage02TargetFingerprint))
ReturnFalse;
OMPBStage02PosteriorFingerprint = ulong(1469598103934665603);
if(!ompb.AppendParameterFingerprint(OMPBStage02PosteriorFingerprint) ||
OMPBStage02PosteriorFingerprint == 0)
ReturnFalse;
PrintFormat("OMPB_STAGE02_SIGNATURES_BEFORE base=%I64u forecast=%I64u target=%I64u posterior=%I64u",
OMPBStage02BaseFingerprint, OMPBStage02ForecastFingerprint,
OMPBStage02TargetFingerprint, OMPBStage02PosteriorFingerprint);
return(true);
}
//+------------------------------------------------------------------+
//| Ensures Stage 02 changed only the posterior/alpha parameter set. |
//+------------------------------------------------------------------+
bool OMPBStage02VerifySignatures(void)
{
ulong base = 0, forecast = 0, target = 0;
ulong posterior = ulong(1469598103934665603);
CNeuronOMPBOCL *ompb = GetOMPB();
if(!ompb || !OMPBStage02MarketFingerprint(0, 4, base) ||
!OMPBStage02MarketFingerprint(6, 6, forecast) ||
!D2SkillTarget.ParameterFingerprint(target) ||
!ompb.AppendParameterFingerprint(posterior))
ReturnFalse;
const bool outer_unchanged = (base == OMPBStage02BaseFingerprint &&
forecast == OMPBStage02ForecastFingerprint &&
target == OMPBStage02TargetFingerprint);
const bool posterior_changed = (posterior != OMPBStage02PosteriorFingerprint);
PrintFormat("OMPB_STAGE02_SIGNATURES_AFTER base=%I64u forecast=%I64u target=%I64u posterior=%I64u",
base, forecast, target, posterior);
if(!outer_unchanged || !posterior_changed)
{
PrintFormat("OMPB_STAGE02_SIGNATURES_FAIL outer_unchanged=%s posterior_changed=%s",
(outer_unchanged ? "true" : "false"),
(posterior_changed ? "true" : "false"));
ReturnFalse;
}
return(true);
}
//+------------------------------------------------------------------+
//| Computes an evaluation loss through posterior-mean inference. |
//+------------------------------------------------------------------+
bool OMPBStage02InferenceEvaluation(const int first, const int last, const string scope,
double &forecast_loss, uint &valid_batches,
uint &invalid_batches)
{
forecast_loss = 0.0;
valid_batches = 0;
invalid_batches = 0;
uint attempts = 0;
const uint rows = uint(first - last + 1);
const uint quota = OMPBStage02ProgressQuota(rows, 0, OMPBStage02Smoke,
OMPBStage02SmokeLimit);
const string progress_phase = (StringFind(scope, "source") >= 0 ?
"eval source" : "eval target");
CNeuronOMPBOCL *ompb = GetOMPB();
if(first < last || !ompb || !D2SkillForecast || !ConfigureOMPB(OMPB_INFERENCE) ||
!D2SkillMarket.Clear() || !D2SkillTarget.Clear() ||
!D2SkillForecast.ResetEpochDiagnostics())
{
PrintFormat("OMPB_STAGE02_EVALUATION_FAIL scope=%s reason=setup", scope);
ReturnFalse;
}
D2SkillMarket.TrainMode(true);
D2SkillTarget.TrainMode(false);
ompb.TrainMode(false);
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, false, false, true, false,
0, 0, 0, "");
for(int position = first; position >= last && !IsStopped(); position--)
{
attempts++;
if(!D2SkillTrainBatch(position))
{
invalid_batches++;
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, false, false, true, false,
0, 0, 0, "");
continue;
}
valid_batches++;
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, false, false, true, false,
0, 0, 0, "");
if(OMPBStage02Smoke && valid_batches >= OMPBStage02SmokeLimit)
break;
}
double lmix, router, trajectory, confidence, latent, observation;
double valid, invalid, entropy, distance, inactive, recovered;
if(valid_batches == 0 || !D2SkillForecast.BuildEpochCodebookDiagnostics() ||
!D2SkillForecast.ReadEpochDiagnostics(lmix, router, trajectory, confidence, latent,
observation, valid, invalid, entropy, distance,
inactive, recovered) ||
valid < double(valid_batches) || !OMPBStage02Finite(lmix) ||
!OMPBStage02Finite(valid) || !OMPBStage02Finite(invalid))
{
PrintFormat("OMPB_STAGE02_EVALUATION_FAIL scope=%s reason=metrics valid=%u invalid=%u",
scope, valid_batches, invalid_batches);
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, true, false, true, false,
0, 0, 0, "result=failed");
ReturnFalse;
}
forecast_loss = lmix / valid;
if(!OMPBStage02Finite(forecast_loss) || !D2SkillVerifyFrozenForecastExact())
{
PrintFormat("OMPB_STAGE02_EVALUATION_FAIL scope=%s reason=finite_or_frozen", scope);
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, true, false, true, false,
0, 0, 0, "result=failed");
ReturnFalse;
}
OMPBStage02ShowProgress(progress_phase, (OMPBStage02Smoke ? valid_batches : attempts),
quota, attempts, invalid_batches, true, true, true, false,
0, 0, 0, "");
PrintFormat("OMPB_STAGE02_EVALUATION_PASS scope=%s loss=%.9f valid=%u invalid=%u",
scope, forecast_loss, valid_batches, invalid_batches);
return(true);
}
//+------------------------------------------------------------------+
//| Checks the frozen acceptance gate without replacing any file. |
//+------------------------------------------------------------------+
bool OMPBStage02Accept(const double source_before, const double target_before,
const double source_after, const double target_after,
const uint source_valid, const uint target_valid)
{
const double denominator_source = MathMax(MathAbs(source_before), 1.0e-12);
const double denominator_target = MathMax(MathAbs(target_before), 1.0e-12);
const double target_improvement = (target_before - target_after) / denominator_target;
const double source_degradation = (source_after - source_before) / denominator_source;
const bool finite = (OMPBStage02Finite(source_before) && OMPBStage02Finite(target_before) &&
OMPBStage02Finite(source_after) && OMPBStage02Finite(target_after));
const bool accepted = (finite && source_valid > 0 && target_valid > 0 &&
target_improvement >= 0.01 && source_degradation <= 0.01);
PrintFormat("OMPB_STAGE02_ACCEPTANCE target_improvement=%.8f source_degradation=%.8f " +
"source_valid=%u target_valid=%u accepted=%s", target_improvement,
source_degradation, source_valid, target_valid,
(accepted ? "true" : "false"));
return(accepted);
}
//+------------------------------------------------------------------+
//| The temporary graph must never validate a production file. |
//+------------------------------------------------------------------+
ulong OMPBStage02ForecastSignature(const string market_file,
CNeuronScenarioForecast *forecast)
{
if(!forecast)
return(0);
ulong hash = ulong(1469598103934665603);
hash = D2SkillHashFile(hash, 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, forecast.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_OMPB_then_ScenarioForecast;" +
"variable_order=BarDescr_feature_series_0_to_8");
return(D2SkillHashText(hash, "OHLC_deltas_from_open;tick_volume_div_1000;RSI_CCI_ATR_MACD_raw"));
}
//+------------------------------------------------------------------+
bool OMPBStage02WriteCandidateManifest(const string market_file, const string target_file,
const string manifest_file, const uint completed_epochs)
{
const ulong forecast_signature = OMPBStage02ForecastSignature(market_file, D2SkillForecast);
const ulong target_hash = D2SkillHashFile(ulong(1469598103934665603), target_file);
const ulong training_signature = D2SkillHashFile(forecast_signature, target_file);
if(!D2SkillForecast || forecast_signature == 0 || target_hash == 0 || training_signature == 0)
ReturnFalse;
int handle = FileOpen(manifest_file, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
if(handle == INVALID_HANDLE)
ReturnFalse;
const bool written = (FileWrite(handle, "format=OMPB_FORECAST") > 0 &&
FileWrite(handle, StringFormat("version=%u", D2Skill_FORMAT_VERSION)) > 0 &&
FileWrite(handle, StringFormat("forecast_type=%d", defNeuronScenarioForecast)) > 0 &&
FileWrite(handle, StringFormat("variables=%u", BarDescr)) > 0 &&
FileWrite(handle, StringFormat("scenarios=%u", NScenarios)) > 0 &&
FileWrite(handle, StringFormat("top_k=%u", TopK)) > 0 &&
FileWrite(handle, StringFormat("horizon=%u", NForecast)) > 0 &&
FileWrite(handle, StringFormat("latent=%u", EmbeddingSize)) > 0 &&
FileWrite(handle, "z_layout=K,V,H,D") > 0 &&
FileWrite(handle, "u_layout=K,V,H") > 0 &&
FileWrite(handle, "pi_layout=K") > 0 &&
FileWrite(handle, "codebook_layout=K,V,H,D") > 0 &&
FileWrite(handle, "variable_order=BarDescr_feature_series_0_to_8") > 0 &&
FileWrite(handle, StringFormat("contract_signature=%I64u",
D2SkillForecast.ContractSignature())) > 0 &&
FileWrite(handle, StringFormat("forecast_signature=%I64u", forecast_signature)) > 0 &&
FileWrite(handle, StringFormat("target_hash=%I64u", target_hash)) > 0 &&
FileWrite(handle, StringFormat("training_signature=%I64u", training_signature)) > 0 &&
FileWrite(handle, StringFormat("completed_epochs=%u", completed_epochs)) > 0 &&
FileWrite(handle, StringFormat("training_batches=%I64u", D2SkillBatches)) > 0 &&
FileWrite(handle, StringFormat("invalid_batches=%I64u", D2SkillInvalidBatches)) > 0 &&
FileWrite(handle, "normalization=OHLC_deltas_from_open;" +
"tick_volume_div_1000;RSI_CCI_ATR_MACD_raw") > 0);
if(written)
FileFlush(handle);
FileClose(handle);
return(written);
}
//+------------------------------------------------------------------+
bool OMPBStage02ValidateCandidateManifest(const string market_file, const string target_file,
const string manifest_file,
CNeuronScenarioForecast *forecast)
{
const ulong signature = OMPBStage02ForecastSignature(market_file, forecast);
const ulong target_hash = D2SkillHashFile(ulong(1469598103934665603), target_file);
const ulong training_signature = D2SkillHashFile(signature, target_file);
if(!forecast || signature == 0 || target_hash == 0 || training_signature == 0)
ReturnFalse;
#define OMPB_STAGE02_MANIFEST_EQ(KEY,VALUE) if(D2SkillManifestValue(manifest_file, KEY) != (VALUE)) ReturnFalse
OMPB_STAGE02_MANIFEST_EQ("format", "OMPB_FORECAST");
OMPB_STAGE02_MANIFEST_EQ("version", IntegerToString(D2Skill_FORMAT_VERSION));
OMPB_STAGE02_MANIFEST_EQ("forecast_type", IntegerToString(defNeuronScenarioForecast));
OMPB_STAGE02_MANIFEST_EQ("variables", IntegerToString(BarDescr));
OMPB_STAGE02_MANIFEST_EQ("scenarios", IntegerToString(NScenarios));
OMPB_STAGE02_MANIFEST_EQ("top_k", IntegerToString(TopK));
OMPB_STAGE02_MANIFEST_EQ("horizon", IntegerToString(NForecast));
OMPB_STAGE02_MANIFEST_EQ("latent", IntegerToString(EmbeddingSize));
OMPB_STAGE02_MANIFEST_EQ("z_layout", "K,V,H,D");
OMPB_STAGE02_MANIFEST_EQ("u_layout", "K,V,H");
OMPB_STAGE02_MANIFEST_EQ("pi_layout", "K");
OMPB_STAGE02_MANIFEST_EQ("codebook_layout", "K,V,H,D");
OMPB_STAGE02_MANIFEST_EQ("variable_order", "BarDescr_feature_series_0_to_8");
OMPB_STAGE02_MANIFEST_EQ("normalization", "OHLC_deltas_from_open;tick_volume_div_1000;RSI_CCI_ATR_MACD_raw");
OMPB_STAGE02_MANIFEST_EQ("contract_signature", StringFormat("%I64u", forecast.ContractSignature()));
OMPB_STAGE02_MANIFEST_EQ("forecast_signature", StringFormat("%I64u", signature));
OMPB_STAGE02_MANIFEST_EQ("target_hash", StringFormat("%I64u", target_hash));
OMPB_STAGE02_MANIFEST_EQ("training_signature", StringFormat("%I64u", training_signature));
#undef OMPB_STAGE02_MANIFEST_EQ
return(D2SkillManifestValue(manifest_file, "completed_epochs") != "" &&
D2SkillManifestValue(manifest_file, "training_batches") != "" &&
D2SkillManifestValue(manifest_file, "invalid_batches") != "");
}
//+------------------------------------------------------------------+
//| Reload-probes one immutable candidate before selector activation. |
//+------------------------------------------------------------------+
bool OMPBStage02ValidateCandidate(const string market_file, const string target_file,
const string manifest_file)
{
CNet market;
CNet target;
float error = 0.0f, undefine = 0.0f, forecast = 0.0f;
datetime studied = 0;
if(!market.Load(market_file, error, undefine, forecast, studied, true) ||
!target.Load(target_file, error, undefine, forecast, studied, true))
ReturnFalse;
if(!target.SetOpenCLChecked(market.GetOpenCL()))
ReturnFalseEx("target OpenCL transfer failed");
CNeuronBaseOCL *rank_tcm = market.Layer(4);
CNeuronBaseOCL *ompb_layer = market.Layer(5);
CNeuronBaseOCL *forecast_layer = market.Layer(6);
CNeuronScenarioForecast *staged_forecast =
(forecast_layer && forecast_layer.Type() == defNeuronScenarioForecast ?
(CNeuronScenarioForecast *)forecast_layer : NULL);
CNeuronOMPBOCL *staged_ompb =
(ompb_layer && ompb_layer.Type() == defNeuronOMPBOCL ? (CNeuronOMPBOCL *)ompb_layer : NULL);
ulong staged_market = 0, staged_target = 0, staged_posterior = ulong(1469598103934665603);
ulong live_market = 0, live_target = 0, live_posterior = ulong(1469598103934665603);
CNeuronOMPBOCL *live_ompb = GetOMPB();
if(!rank_tcm || rank_tcm.Type() != defNeuronCogDriverRankTCM || !staged_ompb ||
!staged_forecast ||
!market.ParameterFingerprint(staged_market) || !target.ParameterFingerprint(staged_target) ||
!staged_ompb.AppendParameterFingerprint(staged_posterior) || !D2SkillMarket.ParameterFingerprint(live_market) ||
!D2SkillTarget.ParameterFingerprint(live_target) || !live_ompb ||
!live_ompb.AppendParameterFingerprint(live_posterior) ||
!OMPBStage02ValidateCandidateManifest(market_file, target_file, manifest_file,
staged_forecast))
ReturnFalse;
return(staged_market == live_market && staged_target == live_target &&
staged_posterior == live_posterior);
}
//+------------------------------------------------------------------+
//--- A malformed active selector is fail-closed. Its absence deliberately
//--- retains the original Stage 01 fixed-name loading contract.
bool OMPBStage02RecoveryFailed = false;
bool OMPBStage02SelectorActivated = false;
bool OMPBStage02ReloadProofPassed = false;
bool OMPBStage02PreviousProofReady = false;
string OMPBStage02StagedGeneration = "";
ulong OMPBStage02PreviousMarketFingerprint = 0;
ulong OMPBStage02PreviousTargetFingerprint = 0;
ulong OMPBStage02PreviousPosteriorFingerprint = 0;
//+------------------------------------------------------------------+
//| Validates a complete checkpoint set without touching live state. |
//+------------------------------------------------------------------+
bool OMPBStage02ValidateCheckpointSet(const string market_file, const string target_file,
const string manifest_file)
{
if(!FileIsExist(market_file, FILE_COMMON) || !FileIsExist(target_file, FILE_COMMON) ||
!FileIsExist(manifest_file, FILE_COMMON))
ReturnFalse;
CNet market;
CNet target;
float error = 0.0f, undefine = 0.0f, forecast = 0.0f;
datetime studied = 0;
if(!market.Load(market_file, error, undefine, forecast, studied, true) ||
!target.Load(target_file, error, undefine, forecast, studied, true))
ReturnFalse;
if(!target.SetOpenCLChecked(market.GetOpenCL()))
ReturnFalseEx("target OpenCL transfer failed");
CNeuronBaseOCL *rank_tcm = market.Layer(4);
CNeuronBaseOCL *ompb_layer = market.Layer(5);
CNeuronBaseOCL *forecast_layer = market.Layer(6);
CNeuronScenarioForecast *checkpoint_forecast =
(forecast_layer && forecast_layer.Type() == defNeuronScenarioForecast ?
(CNeuronScenarioForecast *)forecast_layer : NULL);
return(rank_tcm != NULL && rank_tcm.Type() == defNeuronCogDriverRankTCM &&
ompb_layer != NULL && ompb_layer.Type() == defNeuronOMPBOCL &&
checkpoint_forecast != NULL &&
OMPBStage02ValidateCandidateManifest(market_file, target_file, manifest_file,
checkpoint_forecast));
}
//+------------------------------------------------------------------+
//| Identifies the clean initial state before the first Stage 01 save.|
//+------------------------------------------------------------------+
bool OMPBStage02CanonicalTupleMissing(const string market_file, const string target_file,
const string manifest_file)
{
//--- A Stage 01 restore miss is safe only when no tuple member exists.
return(!FileIsExist(market_file, FILE_COMMON) && !FileIsExist(target_file, FILE_COMMON) &&
!FileIsExist(manifest_file, FILE_COMMON));
}
//+------------------------------------------------------------------+
//| Captures the immutable checkpoint fingerprints for rollback proof.|
//+------------------------------------------------------------------+
bool OMPBStage02CheckpointFingerprints(const string market_file, const string target_file,
ulong &market_fingerprint, ulong &target_fingerprint,
ulong &posterior_fingerprint)
{
market_fingerprint = 0;
target_fingerprint = 0;
posterior_fingerprint = ulong(1469598103934665603);
CNet checkpoint_market;
CNet checkpoint_target;
float error = 0.0f, undefine = 0.0f, forecast = 0.0f;
datetime studied = 0;
if(!checkpoint_market.Load(market_file, error, undefine, forecast, studied, true) ||
!checkpoint_target.Load(target_file, error, undefine, forecast, studied, true))
ReturnFalse;
if(!checkpoint_target.SetOpenCLChecked(checkpoint_market.GetOpenCL()))
ReturnFalseEx("target OpenCL transfer failed");
CNeuronBaseOCL *ompb_layer = checkpoint_market.Layer(5);
CNeuronOMPBOCL *checkpoint_ompb =
(ompb_layer && ompb_layer.Type() == defNeuronOMPBOCL ? (CNeuronOMPBOCL *)ompb_layer : NULL);
return(checkpoint_ompb != NULL && checkpoint_market.ParameterFingerprint(market_fingerprint) &&
checkpoint_target.ParameterFingerprint(target_fingerprint) &&
checkpoint_ompb.AppendParameterFingerprint(posterior_fingerprint));
}
//+------------------------------------------------------------------+
//| Restores the Stage 01 fixed-name checkpoint as the default view. |
//+------------------------------------------------------------------+
void OMPBStage02ResetActiveCheckpointFiles(void)
{
D2SkillActiveMarketFile = D2Skill_MARKET_FILE;
D2SkillActiveTargetFile = D2Skill_TARGET_FILE;
D2SkillActiveManifestFile = D2Skill_MANIFEST_FILE;
}
//+------------------------------------------------------------------+
//| Accepts only generated identifiers, never arbitrary filenames. |
//+------------------------------------------------------------------+
bool OMPBStage02GenerationIdValid(const string generation)
{
const int length = StringLen(generation);
int separator = -1;
if(length < 3)
return(false);
for(int index = 0; index < length; index++)
{
const ushort character = (ushort)StringGetCharacter(generation, index);
if(character == (ushort)'_')
{
if(separator >= 0)
return(false);
separator = index;
continue;
}
if(character < (ushort)'0' || character > (ushort)'9')
return(false);
}
return(separator > 0 && separator < length - 1);
}
//+------------------------------------------------------------------+
//| Maps a selector generation to its immutable checkpoint trio. |
//+------------------------------------------------------------------+
bool OMPBStage02GenerationFiles(const string generation, string &market_file,
string &target_file, string &manifest_file)
{
if(generation == "stage01")
{
market_file = D2Skill_MARKET_FILE;
target_file = D2Skill_TARGET_FILE;
manifest_file = D2Skill_MANIFEST_FILE;
return(true);
}
if(!OMPBStage02GenerationIdValid(generation))
return(false);
market_file = "OMPBMarket" + OMPB_STAGE02_GENERATION_PREFIX + generation + ".nnw";
target_file = "OMPBTarget" + OMPB_STAGE02_GENERATION_PREFIX + generation + ".nnw";
manifest_file = "OMPBForecast" + OMPB_STAGE02_GENERATION_PREFIX + generation + ".manifest";
return(true);
}
//+------------------------------------------------------------------+
//| Accepts only the fixed Stage 01 trio or one exact generation. |
//+------------------------------------------------------------------+
bool OMPBStage02ExplicitCheckpointFilesValid(const string market_file, const string target_file,
const string manifest_file)
{
string expected_market = "", expected_target = "", expected_manifest = "";
if(!OMPBStage02GenerationFiles("stage01", expected_market, expected_target, expected_manifest))
return(false);
if(market_file == expected_market && target_file == expected_target &&
manifest_file == expected_manifest)
return(true);
const string market_prefix = "OMPBMarket" + OMPB_STAGE02_GENERATION_PREFIX;
const string market_suffix = ".nnw";
const int prefix_length = StringLen(market_prefix);
const int suffix_length = StringLen(market_suffix);
const int market_length = StringLen(market_file);
if(market_length <= prefix_length + suffix_length ||
StringFind(market_file, market_prefix) != 0 ||
StringSubstr(market_file, market_length - suffix_length, suffix_length) != market_suffix)
return(false);
const string generation = StringSubstr(market_file, prefix_length,
market_length - prefix_length - suffix_length);
if(!OMPBStage02GenerationFiles(generation, expected_market, expected_target, expected_manifest))
return(false);
return(market_file == expected_market && target_file == expected_target &&
manifest_file == expected_manifest);
}
//+------------------------------------------------------------------+
//| Rejects interrupted publish sidecars instead of guessing recovery.|
//+------------------------------------------------------------------+
bool OMPBStage02RecoverySidecarPresent(string &sidecar_file)
{
sidecar_file = "";
if(FileIsExist(OMPB_STAGE02_LEGACY_TRANSACTION_FILE, FILE_COMMON))
{
sidecar_file = OMPB_STAGE02_LEGACY_TRANSACTION_FILE;
return(true);
}
if(FileIsExist(OMPB_STAGE02_LEGACY_TRANSACTION_NEXT_FILE, FILE_COMMON))
{
sidecar_file = OMPB_STAGE02_LEGACY_TRANSACTION_NEXT_FILE;
return(true);
}
if(FileIsExist(OMPB_STAGE02_SELECTOR_NEXT, FILE_COMMON))
{
sidecar_file = OMPB_STAGE02_SELECTOR_NEXT;
return(true);
}
if(FileIsExist(OMPB_STAGE02_SELECTOR_RESTORE, FILE_COMMON))
{
sidecar_file = OMPB_STAGE02_SELECTOR_RESTORE;
return(true);
}
//--- Previous is valid only in the process that created it and will remove it
//--- after deterministic reload proof. On restart it is an interrupted
//--- transaction marker and must fail closed rather than activate unproven data.
if(FileIsExist(OMPB_STAGE02_SELECTOR_PREVIOUS, FILE_COMMON) &&
!OMPBStage02PreviousProofReady)
{
sidecar_file = OMPB_STAGE02_SELECTOR_PREVIOUS;
return(true);
}
return(false);
}
//+------------------------------------------------------------------+
//| Reads exactly one strict selector without allowing path injection.|
//+------------------------------------------------------------------+
bool OMPBStage02ReadSelector(const string selector_file, string &generation)
{
generation = "";
int handle = FileOpen(selector_file, FILE_READ | FILE_TXT | FILE_ANSI | FILE_COMMON | FILE_SHARE_READ);
if(handle == INVALID_HANDLE)
return(false);
bool format_seen = false, version_seen = false, generation_seen = false, valid = true;
string parsed_generation = "";
while(!FileIsEnding(handle))
{
const string line = FileReadString(handle);
const int separator = StringFind(line, "=");
if(separator <= 0 || StringFind(line, "=", separator + 1) >= 0)
{
valid = false;
break;
}
const string key = StringSubstr(line, 0, separator);
const string value = StringSubstr(line, separator + 1);
if(key == "format")
{
if(format_seen || value != "OMPB_STAGE02_SELECTOR")
valid = false;
format_seen = true;
}
else
if(key == "version")
{
if(version_seen || value != IntegerToString(OMPB_STAGE02_SELECTOR_VERSION))
valid = false;
version_seen = true;
}
else
if(key == "generation")
{
if(generation_seen)
valid = false;
generation_seen = true;
parsed_generation = value;
}
else
valid = false;
if(!valid)
break;
}
FileClose(handle);
if(!valid || !format_seen || !version_seen || !generation_seen ||
(parsed_generation != "stage01" && !OMPBStage02GenerationIdValid(parsed_generation)))
return(false);
generation = parsed_generation;
return(true);
}
//+------------------------------------------------------------------+
//| Binds one selector to the exact expected checkpoint generation. |
//+------------------------------------------------------------------+
bool OMPBStage02SelectorMatchesExpected(const string selector_file,
const string expected_generation,
const ulong expected_market,
const ulong expected_target,
const ulong expected_posterior)
{
string generation = "", market_file = "", target_file = "", manifest_file = "";
ulong market = 0, target = 0;
ulong posterior = ulong(1469598103934665603);
if(!FileIsExist(selector_file, FILE_COMMON) ||
!OMPBStage02ReadSelector(selector_file, generation) || generation != expected_generation ||
!OMPBStage02GenerationFiles(generation, market_file, target_file, manifest_file) ||
!OMPBStage02ValidateCheckpointSet(market_file, target_file, manifest_file) ||
!OMPBStage02CheckpointFingerprints(market_file, target_file, market, target, posterior) ||
market != expected_market || target != expected_target || posterior != expected_posterior)
return(false);
return(true);
}
//+------------------------------------------------------------------+
//| Writes and rereads one non-active selector file before a switch.|
//+------------------------------------------------------------------+
bool OMPBStage02WriteSelectorFile(const string selector_file, const string generation)
{
if(generation != "stage01" && !OMPBStage02GenerationIdValid(generation))
return(false);
int handle = FileOpen(selector_file, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
if(handle == INVALID_HANDLE)
return(false);
const bool written = (FileWrite(handle, "format=OMPB_STAGE02_SELECTOR") > 0 &&
FileWrite(handle, StringFormat("version=%u",
OMPB_STAGE02_SELECTOR_VERSION)) > 0 &&
FileWrite(handle, StringFormat("generation=%s", generation)) > 0);
if(written)
FileFlush(handle);
FileClose(handle);
string reread = "";
return(written && OMPBStage02ReadSelector(selector_file, reread) && reread == generation);
}
//+------------------------------------------------------------------+
//| Ensures three tuple names describe three distinct physical files.|
//+------------------------------------------------------------------+
bool OMPBStage02TupleNamesValid(const string market_file, const string target_file,
const string manifest_file)
{
return(market_file != "" && target_file != "" && manifest_file != "" &&
market_file != target_file && market_file != manifest_file &&
target_file != manifest_file);
}
//+------------------------------------------------------------------+
//| Copies a complete checkpoint tuple with manifest last. |
//+------------------------------------------------------------------+
bool OMPBStage02CopyTuple(const string source_market, const string source_target,
const string source_manifest, const string destination_market,
const string destination_target, const string destination_manifest,
const bool rewrite)
{
if(!OMPBStage02TupleNamesValid(source_market, source_target, source_manifest) ||
!OMPBStage02TupleNamesValid(destination_market, destination_target,
destination_manifest))
return(false);
const uint flags = (rewrite ? FILE_COMMON | FILE_REWRITE : FILE_COMMON);
return(FileCopy(source_market, FILE_COMMON, destination_market, flags) &&
FileCopy(source_target, FILE_COMMON, destination_target, flags) &&
FileCopy(source_manifest, FILE_COMMON, destination_manifest, flags));
}
//+------------------------------------------------------------------+
//| Publishes a staged tuple through three canonical active filenames.|
//| The staged and previous tuples remain until reload proof completes.|
//+------------------------------------------------------------------+
bool OMPBStage02PublishCanonicalTuple(const string market_file, const string target_file,
const string manifest_file, const string next_market,
const string next_target, const string next_manifest,
const string previous_market,
const string previous_target,
const string previous_manifest)
{
if(!OMPBStage02TupleNamesValid(market_file, target_file, manifest_file) ||
!OMPBStage02TupleNamesValid(next_market, next_target, next_manifest) ||
!OMPBStage02TupleNamesValid(previous_market, previous_target, previous_manifest) ||
!OMPBStage02ValidateCheckpointSet(market_file, target_file, manifest_file) ||
!OMPBStage02ValidateCheckpointSet(next_market, next_target, next_manifest) ||
FileIsExist(previous_market, FILE_COMMON) || FileIsExist(previous_target, FILE_COMMON) ||
FileIsExist(previous_manifest, FILE_COMMON))
return(false);
if(!OMPBStage02CopyTuple(market_file, target_file, manifest_file, previous_market,
previous_target, previous_manifest, false) ||
!OMPBStage02ValidateCheckpointSet(previous_market, previous_target, previous_manifest))
return(false);
return(OMPBStage02CopyTuple(next_market, next_target, next_manifest, market_file,
target_file, manifest_file, true) &&
OMPBStage02ValidateCheckpointSet(market_file, target_file, manifest_file));
}
//+------------------------------------------------------------------+
//| Restores the retained tuple using the manifest as the final write.|
//+------------------------------------------------------------------+
bool OMPBStage02RestoreCanonicalTuple(const string market_file, const string target_file,
const string manifest_file, const string previous_market,
const string previous_target,
const string previous_manifest)
{
if(!OMPBStage02TupleNamesValid(market_file, target_file, manifest_file) ||
!OMPBStage02TupleNamesValid(previous_market, previous_target, previous_manifest) ||
!OMPBStage02ValidateCheckpointSet(previous_market, previous_target, previous_manifest))
return(false);
return(OMPBStage02CopyTuple(previous_market, previous_target, previous_manifest, market_file,
target_file, manifest_file, true) &&
OMPBStage02ValidateCheckpointSet(market_file, target_file, manifest_file));
}
//+------------------------------------------------------------------+
//| Classifies the retained tuple required by one Stage 01 phase. |
//+------------------------------------------------------------------+
bool D2SkillStage01TupleStateValid(const bool market_exists,
const bool target_exists,
const bool manifest_exists,
const bool had_previous,
const string phase)
{
//--- The first save has no prior tuple; every later phase retains all members.
const bool complete = (market_exists && target_exists && manifest_exists);
if(phase == "prepared")
return(had_previous ? complete : !market_exists && !target_exists && !manifest_exists);
if(phase == "previous_ready")
return(had_previous && complete);
return(false);
}
//+------------------------------------------------------------------+
//| Removes only files owned by a completed Stage 01 transaction. |
//+------------------------------------------------------------------+
bool D2SkillStage01DeleteFile(const string file_name)
{
return(!FileIsExist(file_name, FILE_COMMON) || FileDelete(file_name, FILE_COMMON));
}
//+------------------------------------------------------------------+
bool D2SkillStage01Cleanup(void)
{
//--- Remove the commit marker last; its presence must survive every partial cleanup.
return(D2SkillStage01DeleteFile(OMPB_STAGE01_MANIFEST_NEXT_FILE) &&
D2SkillStage01DeleteFile(OMPB_STAGE01_TARGET_NEXT_FILE) &&
D2SkillStage01DeleteFile(OMPB_STAGE01_MARKET_NEXT_FILE) &&
D2SkillStage01DeleteFile(OMPB_STAGE01_MANIFEST_PREVIOUS_FILE) &&
D2SkillStage01DeleteFile(OMPB_STAGE01_TARGET_PREVIOUS_FILE) &&
D2SkillStage01DeleteFile(OMPB_STAGE01_MARKET_PREVIOUS_FILE) &&
D2SkillStage01DeleteFile(OMPB_STAGE01_TRANSACTION_FILE));
}
//+------------------------------------------------------------------+
//| Writes one durable marker before canonical Stage 01 publication.|
//+------------------------------------------------------------------+
bool D2SkillStage01WriteTransaction(const bool had_previous, const string phase,
const ulong market, const ulong target,
const ulong posterior)
{
if((phase != "prepared" && phase != "previous_ready") ||
FileIsExist(OMPB_STAGE01_TRANSACTION_FILE, FILE_COMMON))
return(false);
int handle = FileOpen(OMPB_STAGE01_TRANSACTION_FILE,
FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
if(handle == INVALID_HANDLE)
return(false);
//--- The candidate fingerprints identify an already-published complete tuple.
const bool written = (FileWrite(handle, "format=OMPB_STAGE01_TRANSACTION") > 0 &&
FileWrite(handle, StringFormat("version=%u", OMPB_STAGE01_TRANSACTION_VERSION)) > 0 &&
FileWrite(handle, StringFormat("phase=%s", phase)) > 0 &&
FileWrite(handle, StringFormat("had_previous=%s",
(had_previous ? "true" : "false"))) > 0 &&
FileWrite(handle, StringFormat("candidate_market=%I64u", market)) > 0 &&
FileWrite(handle, StringFormat("candidate_target=%I64u", target)) > 0 &&
FileWrite(handle, StringFormat("candidate_posterior=%I64u", posterior)) > 0);
if(written)
FileFlush(handle);
FileClose(handle);
return(written);
}
//+------------------------------------------------------------------+
//| Rewrites only a complete transaction marker state transition. |
//+------------------------------------------------------------------+
bool D2SkillStage01AdvanceTransaction(const bool had_previous, const string phase,
const ulong market, const ulong target,
const ulong posterior)
{
if(!D2SkillStage01DeleteFile(OMPB_STAGE01_TRANSACTION_FILE))
return(false);
return(D2SkillStage01WriteTransaction(had_previous, phase, market, target, posterior));
}
//+------------------------------------------------------------------+
//| Reads one strict Stage 01 transaction marker. |
//+------------------------------------------------------------------+
bool D2SkillStage01ReadTransaction(bool &had_previous, string &phase,
string &market, string &target, string &posterior)
{
had_previous = false;
phase = "";
market = "";
target = "";
posterior = "";
if(!FileIsExist(OMPB_STAGE01_TRANSACTION_FILE, FILE_COMMON))
return(false);
const string format = D2SkillManifestValue(OMPB_STAGE01_TRANSACTION_FILE, "format");
const string version = D2SkillManifestValue(OMPB_STAGE01_TRANSACTION_FILE, "version");
const string previous = D2SkillManifestValue(OMPB_STAGE01_TRANSACTION_FILE, "had_previous");
phase = D2SkillManifestValue(OMPB_STAGE01_TRANSACTION_FILE, "phase");
market = D2SkillManifestValue(OMPB_STAGE01_TRANSACTION_FILE, "candidate_market");
target = D2SkillManifestValue(OMPB_STAGE01_TRANSACTION_FILE, "candidate_target");
posterior = D2SkillManifestValue(OMPB_STAGE01_TRANSACTION_FILE, "candidate_posterior");
if(format != "OMPB_STAGE01_TRANSACTION" ||
version != IntegerToString(OMPB_STAGE01_TRANSACTION_VERSION) ||
(previous != "true" && previous != "false") ||
(phase != "prepared" && phase != "previous_ready") ||
market == "" || target == "" || posterior == "")
return(false);
had_previous = (previous == "true");
return(true);
}
//+------------------------------------------------------------------+
//| Compares a complete tuple against its transaction marker. |
//+------------------------------------------------------------------+
bool D2SkillStage01TupleMatches(const string market_file, const string target_file,
const string manifest_file, const string market,
const string target, const string posterior)
{
ulong actual_market = 0, actual_target = 0;
ulong actual_posterior = ulong(1469598103934665603);
return(OMPBStage02ValidateCheckpointSet(market_file, target_file, manifest_file) &&
OMPBStage02CheckpointFingerprints(market_file, target_file, actual_market,
actual_target, actual_posterior) &&
StringFormat("%I64u", actual_market) == market &&
StringFormat("%I64u", actual_target) == target &&
StringFormat("%I64u", actual_posterior) == posterior);
}
//+------------------------------------------------------------------+
//| Recovers only an interrupted Stage 01-owned publication. |
//+------------------------------------------------------------------+
bool D2SkillStage01RecoverInterruptedCheckpoint(void)
{
const bool marker_exists = FileIsExist(OMPB_STAGE01_TRANSACTION_FILE, FILE_COMMON);
const bool temporary_exists = (FileIsExist(OMPB_STAGE01_MARKET_NEXT_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_TARGET_NEXT_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_MANIFEST_NEXT_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_MARKET_PREVIOUS_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_TARGET_PREVIOUS_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_MANIFEST_PREVIOUS_FILE, FILE_COMMON));
if(!marker_exists)
{
//--- Uncommitted staging never changed canonical names and is safe to discard.
if(!temporary_exists)
return(true);
if(!OMPBStage02ValidateCheckpointSet(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE) &&
!OMPBStage02CanonicalTupleMissing(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE))
return(false);
return(D2SkillStage01Cleanup());
}
bool had_previous = false;
string phase = "", market = "", target = "", posterior = "";
if(!D2SkillStage01ReadTransaction(had_previous, phase, market, target, posterior))
return(false);
//--- A complete candidate published before cleanup is already the committed epoch.
if(D2SkillStage01TupleMatches(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE, market, target, posterior))
return(D2SkillStage01Cleanup());
//--- Before previous-ready canonical names are still the earlier valid tuple.
if(phase == "prepared" && OMPBStage02ValidateCheckpointSet(D2Skill_MARKET_FILE,
D2Skill_TARGET_FILE, D2Skill_MANIFEST_FILE))
return(D2SkillStage01Cleanup());
if(had_previous)
{
if(!D2SkillStage01TupleStateValid(FileIsExist(OMPB_STAGE01_MARKET_PREVIOUS_FILE, FILE_COMMON),
FileIsExist(OMPB_STAGE01_TARGET_PREVIOUS_FILE, FILE_COMMON),
FileIsExist(OMPB_STAGE01_MANIFEST_PREVIOUS_FILE, FILE_COMMON), true, phase) ||
!OMPBStage02RestoreCanonicalTuple(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE,
OMPB_STAGE01_MARKET_PREVIOUS_FILE,
OMPB_STAGE01_TARGET_PREVIOUS_FILE,
OMPB_STAGE01_MANIFEST_PREVIOUS_FILE))
return(false);
return(D2SkillStage01Cleanup());
}
//--- The first publication has no prior checkpoint; remove only marker-owned partial data.
if(!D2SkillStage01DeleteFile(D2Skill_MANIFEST_FILE) ||
!D2SkillStage01DeleteFile(D2Skill_TARGET_FILE) ||
!D2SkillStage01DeleteFile(D2Skill_MARKET_FILE))
return(false);
return(D2SkillStage01Cleanup());
}
//+------------------------------------------------------------------+
//| Publishes one fully validated Stage 01 checkpoint transaction. |
//+------------------------------------------------------------------+
bool D2SkillStage01SaveCheckpoint(const uint completed_epochs)
{
if(FileIsExist(OMPB_STAGE01_TRANSACTION_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_MARKET_NEXT_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_TARGET_NEXT_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_MANIFEST_NEXT_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_MARKET_PREVIOUS_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_TARGET_PREVIOUS_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE01_MANIFEST_PREVIOUS_FILE, FILE_COMMON))
return(false);
//--- Classify the pre-save canonical state before staging any new model bytes.
const bool had_previous = OMPBStage02ValidateCheckpointSet(D2Skill_MARKET_FILE,
D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE);
if(!had_previous && !OMPBStage02CanonicalTupleMissing(D2Skill_MARKET_FILE,
D2Skill_TARGET_FILE, D2Skill_MANIFEST_FILE))
return(false);
//--- The next tuple is self-contained and validated before a commit marker exists.
const datetime now = TimeCurrent();
if(!D2SkillMarket.Save(OMPB_STAGE01_MARKET_NEXT_FILE, 0.0f, 0.0f, 0.0f, now, true) ||
!D2SkillTarget.Save(OMPB_STAGE01_TARGET_NEXT_FILE, 0.0f, 0.0f, 0.0f, now, true) ||
!OMPBStage02WriteCandidateManifest(OMPB_STAGE01_MARKET_NEXT_FILE,
OMPB_STAGE01_TARGET_NEXT_FILE, OMPB_STAGE01_MANIFEST_NEXT_FILE, completed_epochs) ||
!OMPBStage02ValidateCheckpointSet(OMPB_STAGE01_MARKET_NEXT_FILE,
OMPB_STAGE01_TARGET_NEXT_FILE,
OMPB_STAGE01_MANIFEST_NEXT_FILE))
return(false);
ulong market = 0, target = 0;
ulong posterior = ulong(1469598103934665603);
if(!OMPBStage02CheckpointFingerprints(OMPB_STAGE01_MARKET_NEXT_FILE,
OMPB_STAGE01_TARGET_NEXT_FILE,
market, target, posterior) ||
!D2SkillStage01WriteTransaction(had_previous, "prepared", market, target, posterior))
return(false);
//--- Retain the old complete tuple before any short canonical file is replaced.
if(had_previous &&
(!OMPBStage02CopyTuple(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE, D2Skill_MANIFEST_FILE,
OMPB_STAGE01_MARKET_PREVIOUS_FILE,
OMPB_STAGE01_TARGET_PREVIOUS_FILE,
OMPB_STAGE01_MANIFEST_PREVIOUS_FILE, false) ||
!OMPBStage02ValidateCheckpointSet(OMPB_STAGE01_MARKET_PREVIOUS_FILE,
OMPB_STAGE01_TARGET_PREVIOUS_FILE,
OMPB_STAGE01_MANIFEST_PREVIOUS_FILE)))
return(false);
if(!D2SkillStage01AdvanceTransaction(had_previous, "previous_ready", market, target, posterior) ||
!OMPBStage02CopyTuple(OMPB_STAGE01_MARKET_NEXT_FILE, OMPB_STAGE01_TARGET_NEXT_FILE,
OMPB_STAGE01_MANIFEST_NEXT_FILE, D2Skill_MARKET_FILE,
D2Skill_TARGET_FILE, D2Skill_MANIFEST_FILE, true) ||
!D2SkillStage01TupleMatches(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE, StringFormat("%I64u", market),
StringFormat("%I64u", target), StringFormat("%I64u", posterior)))
return(false);
if(!D2SkillStage01Cleanup())
return(false);
D2SkillLastSignature = D2SkillForecastSignature(D2Skill_MARKET_FILE);
PrintFormat("OMPB_STAGE01_CHECKPOINT_PASS epoch=%u", completed_epochs);
return(true);
}
//+------------------------------------------------------------------+
//| Proves deterministic serialized parameters without live mutation.|
//+------------------------------------------------------------------+
bool OMPBStage02ReloadProofDeterministicTuple(const string market_file,
const string target_file,
const string manifest_file)
{
ulong first_market = 0, first_target = 0;
ulong first_posterior = ulong(1469598103934665603);
ulong second_market = 0, second_target = 0;
ulong second_posterior = ulong(1469598103934665603);
return(OMPBStage02ValidateCheckpointSet(market_file, target_file, manifest_file) &&
OMPBStage02CheckpointFingerprints(market_file, target_file, first_market,
first_target, first_posterior) &&
OMPBStage02CheckpointFingerprints(market_file, target_file, second_market,
second_target, second_posterior) &&
first_market != 0 && first_target != 0 && first_posterior != 0 &&
first_market == second_market && first_target == second_target &&
first_posterior == second_posterior);
}
//+------------------------------------------------------------------+
//| Detects any interrupted canonical or legacy publication state. |
//+------------------------------------------------------------------+
bool OMPBStage02CanonicalSidecarPresent(string &sidecar_file)
{
sidecar_file = "";
const string sidecars[] =
{
OMPB_STAGE02_MARKET_NEXT_FILE,
OMPB_STAGE02_TARGET_NEXT_FILE,
OMPB_STAGE02_MANIFEST_NEXT_FILE,
OMPB_STAGE02_MARKET_PREVIOUS_FILE,
OMPB_STAGE02_TARGET_PREVIOUS_FILE,
OMPB_STAGE02_MANIFEST_PREVIOUS_FILE,
OMPB_STAGE02_ACTIVE_SELECTOR,
OMPB_STAGE02_SELECTOR_NEXT,
OMPB_STAGE02_SELECTOR_PREVIOUS,
OMPB_STAGE02_SELECTOR_RESTORE,
OMPB_STAGE02_LEGACY_TRANSACTION_FILE,
OMPB_STAGE02_LEGACY_TRANSACTION_NEXT_FILE
};
for(int index = 0; index < ArraySize(sidecars); ++index)
if(FileIsExist(sidecars[index], FILE_COMMON))
{
sidecar_file = sidecars[index];
return(true);
}
return(false);
}
//+------------------------------------------------------------------+
//| Resolves only the canonical production checkpoint or fails closed.|
//+------------------------------------------------------------------+
bool OMPBStage02ResolveActiveCheckpoint(void)
{
OMPBStage02RecoveryFailed = false;
OMPBStage02ResetActiveCheckpointFiles();
//--- Complete a Stage 01-owned recovery before interpreting canonical files.
if(!D2SkillStage01RecoverInterruptedCheckpoint())
{
OMPBStage02RecoveryFailed = true;
Print("OMPB_STAGE01_CHECKPOINT_FAIL reason=recovery");
return(false);
}
string sidecar_file = "";
if(OMPBStage02CanonicalSidecarPresent(sidecar_file))
{
OMPBStage02RecoveryFailed = true;
Print("OMPB_STAGE02_CANONICAL_FAIL reason=incomplete_or_legacy_transaction");
return(false);
}
//--- No tuple exists before the first Stage 01 run; its caller creates a new graph.
if(OMPBStage02CanonicalTupleMissing(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE))
{
Print("OMPB_STAGE02_CANONICAL_MISS reason=initial_checkpoint_absent");
return(false);
}
//--- A partial or unreadable tuple is not a new-model state and remains fail-closed.
if(!OMPBStage02ValidateCheckpointSet(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE))
{
OMPBStage02RecoveryFailed = true;
Print("OMPB_STAGE02_CANONICAL_FAIL reason=invalid_active_tuple");
return(false);
}
Print("OMPB_STAGE02_CANONICAL_PASS checkpoint=active");
return(true);
}
//+------------------------------------------------------------------+
//| Retains the previous selection before the one-file activation. |
//+------------------------------------------------------------------+
bool OMPBStage02PreparePreviousSelector(void)
{
string generation = "", market_file = "", target_file = "", manifest_file = "";
string sidecar_file = "";
OMPBStage02PreviousProofReady = false;
if(OMPBStage02RecoverySidecarPresent(sidecar_file) ||
FileIsExist(OMPB_STAGE02_SELECTOR_PREVIOUS, FILE_COMMON))
return(false);
if(!FileIsExist(OMPB_STAGE02_ACTIVE_SELECTOR, FILE_COMMON))
{
generation = "stage01";
market_file = D2Skill_MARKET_FILE;
target_file = D2Skill_TARGET_FILE;
manifest_file = D2Skill_MANIFEST_FILE;
}
else
if(!OMPBStage02ReadSelector(OMPB_STAGE02_ACTIVE_SELECTOR, generation) ||
!OMPBStage02GenerationFiles(generation, market_file, target_file, manifest_file))
return(false);
if(!OMPBStage02ValidateCheckpointSet(market_file, target_file, manifest_file) ||
!OMPBStage02CheckpointFingerprints(market_file, target_file,
OMPBStage02PreviousMarketFingerprint,
OMPBStage02PreviousTargetFingerprint,
OMPBStage02PreviousPosteriorFingerprint))
return(false);
if(generation == "stage01")
{
if(!OMPBStage02WriteSelectorFile(OMPB_STAGE02_SELECTOR_PREVIOUS, generation))
return(false);
}
else
if(!FileCopy(OMPB_STAGE02_ACTIVE_SELECTOR, FILE_COMMON, OMPB_STAGE02_SELECTOR_PREVIOUS,
FILE_COMMON | FILE_REWRITE))
return(false);
string copied = "";
if(!OMPBStage02ReadSelector(OMPB_STAGE02_SELECTOR_PREVIOUS, copied) || copied != generation)
return(false);
OMPBStage02PreviousProofReady = true;
return(true);
}
//+------------------------------------------------------------------+
//| Switches exactly one active file after full generation proof. |
//+------------------------------------------------------------------+
bool OMPBStage02ActivateGeneration(const string generation)
{
if(FileIsExist(OMPB_STAGE02_SELECTOR_NEXT, FILE_COMMON) ||
!OMPBStage02WriteSelectorFile(OMPB_STAGE02_SELECTOR_NEXT, generation))
return(false);
if(!FileMove(OMPB_STAGE02_SELECTOR_NEXT, FILE_COMMON, OMPB_STAGE02_ACTIVE_SELECTOR,
FILE_COMMON | FILE_REWRITE))
{
Print("OMPB_STAGE02_SELECTOR_FAIL reason=activation_move next_retained=true");
return(false);
}
OMPBStage02SelectorActivated = true;
PrintFormat("OMPB_STAGE02_SELECTOR_SWITCH_PASS generation=%s", generation);
return(true);
}
//+------------------------------------------------------------------+
//| Restores a retained canonical tuple after failed reload proof. |
//+------------------------------------------------------------------+
bool OMPBStage02RestorePreviousSelector(void)
{
ulong previous_market = 0, previous_target = 0;
ulong previous_posterior = ulong(1469598103934665603);
if(!OMPBStage02PreviousProofReady ||
!OMPBStage02CheckpointFingerprints(OMPB_STAGE02_MARKET_PREVIOUS_FILE,
OMPB_STAGE02_TARGET_PREVIOUS_FILE,
previous_market, previous_target, previous_posterior) ||
previous_market != OMPBStage02PreviousMarketFingerprint ||
previous_target != OMPBStage02PreviousTargetFingerprint ||
previous_posterior != OMPBStage02PreviousPosteriorFingerprint)
return(false);
if(!OMPBStage02RestoreCanonicalTuple(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE,
OMPB_STAGE02_MARKET_PREVIOUS_FILE,
OMPB_STAGE02_TARGET_PREVIOUS_FILE,
OMPB_STAGE02_MANIFEST_PREVIOUS_FILE))
return(false);
OMPBStage02SelectorActivated = false;
OMPBStage02ReloadProofPassed = false;
if(!OMPBStage02ReloadCheckpointProof(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE,
OMPBStage02PreviousMarketFingerprint,
OMPBStage02PreviousTargetFingerprint,
OMPBStage02PreviousPosteriorFingerprint) ||
!OMPBStage02FinalizeSteadySelector())
return(false);
return(true);
}
//+------------------------------------------------------------------+
//| Stages and reload-probes the complete temporary canonical tuple.|
//+------------------------------------------------------------------+
bool OMPBStage02StageCandidate(void)
{
ulong posterior = ulong(1469598103934665603);
CNeuronOMPBOCL *ompb = GetOMPB();
if(!ompb || !ompb.AppendParameterFingerprint(posterior) ||
!OMPBStage02ResolveActiveCheckpoint())
return(false);
if(FileIsExist(OMPB_STAGE02_MARKET_NEXT_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE02_TARGET_NEXT_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE02_MANIFEST_NEXT_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE02_MARKET_PREVIOUS_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE02_TARGET_PREVIOUS_FILE, FILE_COMMON) ||
FileIsExist(OMPB_STAGE02_MANIFEST_PREVIOUS_FILE, FILE_COMMON))
return(false);
const datetime now = TimeCurrent();
if(!D2SkillMarket.Save(OMPB_STAGE02_MARKET_NEXT_FILE, 0.0f, 0.0f, 0.0f, now, true) ||
!D2SkillTarget.Save(OMPB_STAGE02_TARGET_NEXT_FILE, 0.0f, 0.0f, 0.0f, now, true) ||
!OMPBStage02WriteCandidateManifest(OMPB_STAGE02_MARKET_NEXT_FILE,
OMPB_STAGE02_TARGET_NEXT_FILE,
OMPB_STAGE02_MANIFEST_NEXT_FILE,
D2SkillCompletedEpochs) ||
!OMPBStage02ValidateCandidate(OMPB_STAGE02_MARKET_NEXT_FILE,
OMPB_STAGE02_TARGET_NEXT_FILE,
OMPB_STAGE02_MANIFEST_NEXT_FILE))
{
Print("OMPB_STAGE02_CANONICAL_FAIL reason=stage_or_reload_probe");
return(false);
}
OMPBStage02StagedGeneration = "canonical";
PrintFormat("OMPB_STAGE02_CANONICAL_STAGE_PASS posterior=%I64u", posterior);
return(true);
}
//+------------------------------------------------------------------+
//| Publishes only a fully validated temporary canonical tuple. |
//+------------------------------------------------------------------+
bool OMPBStage02PublishCandidate(void)
{
if(!OMPBStage02CheckpointFingerprints(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
OMPBStage02PreviousMarketFingerprint,
OMPBStage02PreviousTargetFingerprint,
OMPBStage02PreviousPosteriorFingerprint) ||
!OMPBStage02PublishCanonicalTuple(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE,
OMPB_STAGE02_MARKET_NEXT_FILE,
OMPB_STAGE02_TARGET_NEXT_FILE,
OMPB_STAGE02_MANIFEST_NEXT_FILE,
OMPB_STAGE02_MARKET_PREVIOUS_FILE,
OMPB_STAGE02_TARGET_PREVIOUS_FILE,
OMPB_STAGE02_MANIFEST_PREVIOUS_FILE))
return(false);
OMPBStage02PreviousProofReady = true;
OMPBStage02SelectorActivated = true;
return(true);
}
//+------------------------------------------------------------------+
//| Loads exactly the supplied checkpoint without resolving a selector.|
//+------------------------------------------------------------------+
bool OMPBStage02LoadExplicitCheckpoint(const string market_file, const string target_file,
const string manifest_file)
{
if(!OMPBStage02ExplicitCheckpointFilesValid(market_file, target_file, manifest_file))
return(false);
D2SkillFrozenBaselineReady = false;
D2SkillForecast = NULL;
if(!FileIsExist(market_file, FILE_COMMON) || !FileIsExist(target_file, FILE_COMMON) ||
!FileIsExist(manifest_file, FILE_COMMON))
return(false);
//--- The explicit loader retains this validated tuple as its current in-memory
//--- view for its caller's fingerprint/finalize work; it never resolves selectors.
D2SkillActiveMarketFile = market_file;
D2SkillActiveTargetFile = target_file;
D2SkillActiveManifestFile = manifest_file;
if(!D2SkillValidateForecastManifestHeader())
return(false);
float error = 0.0f, undefine = 0.0f, forecast = 0.0f;
datetime studied = 0;
if(!D2SkillMarket.Load(market_file, error, undefine, forecast, studied, true) ||
!D2SkillTarget.Load(target_file, error, undefine, forecast, studied, true))
return(false);
if(!D2SkillTarget.SetOpenCLChecked(D2SkillMarket.GetOpenCL()))
ReturnFalseEx("target OpenCL transfer failed");
D2SkillForecast = (CNeuronScenarioForecast *)D2SkillMarket.Layer(-1);
if(!D2SkillForecast || D2SkillForecast.Type() != defNeuronScenarioForecast ||
!ConfigureForecastRecoveryAge() || !D2SkillInitTrainingBuffers() ||
!D2SkillValidateShapes())
return(false);
const ulong signature = D2SkillForecastSignature();
const string completed = D2SkillManifestValue(manifest_file, "completed_epochs");
const string batches = D2SkillManifestValue(manifest_file, "training_batches");
const string invalid = D2SkillManifestValue(manifest_file, "invalid_batches");
if(!D2SkillValidateForecastManifest(signature, true) || completed == "" || batches == "" ||
invalid == "")
return(false);
CNeuronOMPBOCL *ompb = GetOMPB();
if(!ompb || !D2SkillMarket.SetWeightsUpdate(false) || !D2SkillTarget.SetWeightsUpdate(false) ||
!D2SkillForecast.SetCodebookUpdate(false) || !ConfigureOMPB(OMPB_INFERENCE) || !ompb.Clear() ||
!D2SkillCaptureFrozenForecastBaseline(D2SkillForecast))
return(false);
D2SkillCompletedEpochs = (uint)StringToInteger(completed);
D2SkillBatches = (ulong)StringToInteger(batches);
D2SkillInvalidBatches = (ulong)StringToInteger(invalid);
D2SkillMarket.TrainMode(false);
D2SkillTarget.TrainMode(false);
ompb.TrainMode(false);
D2SkillLastSignature = signature;
return(true);
}
//+------------------------------------------------------------------+
//| Compares one immutable reload output and names the failed tensor.|
//+------------------------------------------------------------------+
bool OMPBStage02ReloadTensorEqual(const string tensor, CBufferFloat *actual,
CBufferFloat &expected)
{
if(!actual || !actual.BufferRead() || actual.Total() != expected.Total())
{
PrintFormat("OMPB_STAGE02_RELOAD_TENSOR_FAIL tensor=%s reason=shape actual=%d expected=%d",
tensor, (actual ? actual.Total() : -1), expected.Total());
return(false);
}
for(int index = 0; index < actual.Total(); index++)
{
if(!MathIsValidNumber(actual[index]) || !MathIsValidNumber(expected[index]) ||
actual[index] != expected[index])
{
PrintFormat("OMPB_STAGE02_RELOAD_TENSOR_FAIL tensor=%s index=%d first=%.9g second=%.9g",
tensor, index, expected[index], actual[index]);
return(false);
}
}
return(true);
}
//+------------------------------------------------------------------+
//| Proves the first inference result after two clean explicit loads.|
//+------------------------------------------------------------------+
bool OMPBStage02ReloadProofDeterministic(const string market_file, const string target_file,
const string manifest_file, const int position,
CBufferFloat *state, CBufferFloat *time)
{
CBufferFloat z, u, pi;
if(position < 0 || !state || !time ||
!OMPBStage02LoadExplicitCheckpoint(market_file, target_file, manifest_file) ||
!D2SkillForwardForecast(position, state, time) ||
!D2SkillCaptureFrozenBuffer(D2SkillForecast.GetZ(), z) ||
!D2SkillCaptureFrozenBuffer(D2SkillForecast.GetU(), u) ||
!D2SkillCaptureFrozenBuffer(D2SkillForecast.GetPi(), pi) ||
!OMPBStage02LoadExplicitCheckpoint(market_file, target_file, manifest_file) ||
!D2SkillForwardForecast(position, state, time) ||
!OMPBStage02ReloadTensorEqual("Z", D2SkillForecast.GetZ(), z) ||
!OMPBStage02ReloadTensorEqual("U", D2SkillForecast.GetU(), u) ||
!OMPBStage02ReloadTensorEqual("Pi", D2SkillForecast.GetPi(), pi) ||
!D2SkillVerifyFrozenForecastExact(D2SkillForecast))
return(false);
return(true);
}
//+------------------------------------------------------------------+
//| Reloads one selected checkpoint and proves deterministic mean inference.|
//+------------------------------------------------------------------+
bool OMPBStage02ReloadCheckpointProof(const string market_file, const string target_file,
const string manifest_file, const ulong expected_market,
const ulong expected_target, const ulong expected_posterior)
{
OMPBStage02ReloadProofPassed = false;
if(!OMPBStage02ReloadProofDeterministic(market_file, target_file, manifest_file,
OMPBStage02TargetEvalFirst, GetPointer(D2SkillState),
GetPointer(D2SkillTime)))
return(false);
CNeuronOMPBOCL *ompb = GetOMPB();
ulong market = 0, target = 0, posterior = ulong(1469598103934665603);
if(!ompb || !D2SkillMarket.ParameterFingerprint(market) ||
!D2SkillTarget.ParameterFingerprint(target) || !ompb.AppendParameterFingerprint(posterior) ||
market != expected_market || target != expected_target || posterior != expected_posterior)
return(false);
OMPBStage02ReloadProofPassed = true;
Print("OMPB_STAGE02_RELOAD_SMOKE_PASS mode=inference deterministic=true");
return(true);
}
//+------------------------------------------------------------------+
//| Reloads the canonical tuple and proves deterministic mean inference.|
//+------------------------------------------------------------------+
bool OMPBStage02ReloadSmoke(const ulong expected_market, const ulong expected_target,
const ulong expected_posterior)
{
if(!OMPBStage02SelectorActivated)
return(false);
return(OMPBStage02ReloadCheckpointProof(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE,
expected_market, expected_target, expected_posterior));
}
//+------------------------------------------------------------------+
//| Cleans temporary tuples only after deterministic canonical reload.|
//+------------------------------------------------------------------+
bool OMPBStage02FinalizeSteadySelector(void)
{
ulong market = 0, target = 0;
ulong posterior = ulong(1469598103934665603);
CNeuronOMPBOCL *ompb = GetOMPB();
if(!OMPBStage02ReloadProofPassed ||
!OMPBStage02ValidateCheckpointSet(D2Skill_MARKET_FILE, D2Skill_TARGET_FILE,
D2Skill_MANIFEST_FILE) ||
!OMPBStage02ValidateCheckpointSet(OMPB_STAGE02_MARKET_NEXT_FILE,
OMPB_STAGE02_TARGET_NEXT_FILE,
OMPB_STAGE02_MANIFEST_NEXT_FILE) ||
!OMPBStage02ValidateCheckpointSet(OMPB_STAGE02_MARKET_PREVIOUS_FILE,
OMPB_STAGE02_TARGET_PREVIOUS_FILE,
OMPB_STAGE02_MANIFEST_PREVIOUS_FILE))
return(false);
if(!ompb || !D2SkillMarket.ParameterFingerprint(market) ||
!D2SkillTarget.ParameterFingerprint(target) || !ompb.AppendParameterFingerprint(posterior) ||
market == 0 || target == 0 || posterior == 0)
return(false);
if(!FileDelete(OMPB_STAGE02_MANIFEST_NEXT_FILE, FILE_COMMON) ||
!FileDelete(OMPB_STAGE02_TARGET_NEXT_FILE, FILE_COMMON) ||
!FileDelete(OMPB_STAGE02_MARKET_NEXT_FILE, FILE_COMMON) ||
!FileDelete(OMPB_STAGE02_MANIFEST_PREVIOUS_FILE, FILE_COMMON) ||
!FileDelete(OMPB_STAGE02_TARGET_PREVIOUS_FILE, FILE_COMMON) ||
!FileDelete(OMPB_STAGE02_MARKET_PREVIOUS_FILE, FILE_COMMON) ||
!OMPBStage02ResolveActiveCheckpoint())
return(false);
OMPBStage02PreviousProofReady = false;
return(true);
}
//+------------------------------------------------------------------+
//| Publishes only after canonical staging and deterministic reload. |
//+------------------------------------------------------------------+
bool OMPBStage02SaveAcceptedCheckpoint(void)
{
ulong market = 0, target = 0, posterior = ulong(1469598103934665603);
CNeuronOMPBOCL *ompb = GetOMPB();
OMPBStage02ReloadProofPassed = false;
OMPBStage02PreviousProofReady = false;
OMPBStage02SelectorActivated = false;
if(!ompb || !D2SkillMarket.ParameterFingerprint(market) ||
!D2SkillTarget.ParameterFingerprint(target) || !ompb.AppendParameterFingerprint(posterior) ||
!OMPBStage02StageCandidate() || !OMPBStage02PublishCandidate())
return(false);
if(!OMPBStage02ReloadSmoke(market, target, posterior) || !OMPBStage02FinalizeSteadySelector())
{
const bool restored = OMPBStage02RestorePreviousSelector();
PrintFormat("OMPB_STAGE02_CANONICAL_FAIL reason=reload_or_finalize restored=%s",
(restored ? "true" : "false"));
return(false);
}
OMPBStage02CheckpointPublished = true;
Print("OMPB_STAGE02_CANONICAL_PASS checkpoint=published");
return(true);
}
//+------------------------------------------------------------------+
//| Runs one frozen-graph OMPB update. CNet owns full gradient |
//| propagation but has parameter writes disabled; the explicit |
//| OMPB call below is therefore the only update in Stage 02. |
//+------------------------------------------------------------------+
bool OMPBStage02RunBatch(const int position, const bool source_anchor)
{
CNeuronOMPBOCL *ompb = GetOMPB();
CNeuronBaseOCL *rank_tcm = GetRankTCM();
if(!ompb || !rank_tcm || !ConfigureOMPB(OMPB_CALIBRATE) ||
!ompb.SetSourceAnchor(source_anchor))
ReturnFalse;
ompb.TrainMode(true);
if(!D2SkillTrainBatch(position))
ReturnFalse;
//--- A source anchor has already created its mean Forecast gradient. Its
//--- forward/backward phase must retain the anchor flag so Current and both
//--- regularizers remain untouched. Clear only the update guard afterwards
//--- to apply that already-computed mean posterior gradient.
if(source_anchor && !ompb.SetSourceAnchor(false))
ReturnFalse;
return(ompb.UpdateInputWeights(rank_tcm));
}
//+------------------------------------------------------------------+
//| Stage 02 online calibration. The outer network stays frozen; |
//| only the OMPB posterior and alpha receive explicit updates. |
//+------------------------------------------------------------------+
bool OMPBStage02CalibrateEpoch(void)
{
CNeuronOMPBOCL *ompb = GetOMPB();
if(!ompb || !D2SkillForecast ||
!D2SkillMarket.SetWeightsUpdate(false) || !D2SkillTarget.SetWeightsUpdate(false) ||
!D2SkillForecast.SetCodebookUpdate(false) || !D2SkillMarket.Clear() ||
!D2SkillTarget.Clear() || !D2SkillForecast.ResetEpochDiagnostics() ||
!ConfigureOMPB(OMPB_CALIBRATE))
{
Print("OMPB_STAGE02_CALIBRATION_FAIL reason=setup");
ReturnFalse;
}
D2SkillMarket.TrainMode(true);
D2SkillTarget.TrainMode(false);
ompb.TrainMode(true);
uint target_attempts = 0;
uint target_updates = 0;
uint target_invalid = 0;
uint source_attempts = 0;
uint source_updates = 0;
uint source_invalid = 0;
const uint source_rows = uint(OMPBStage02ReferenceFirst - OMPBStage02ReferenceLast + 1);
const uint target_rows = uint(OMPBStage02TargetCalibrationFirst -
OMPBStage02TargetCalibrationLast + 1);
const uint target_quota = OMPBStage02ProgressQuota(target_rows, 0, OMPBStage02Smoke,
OMPBStage02SmokeLimit);
if(source_rows == 0)
{
Print("OMPB_STAGE02_CALIBRATION_FAIL reason=source_rows");
ReturnFalse;
}
OMPBStage02ShowProgress("calibration", target_attempts, target_quota, target_attempts,
target_invalid, false, false, true, true, source_updates, source_attempts,
source_invalid, StringFormat("target_updates=%u", target_updates));
for(int position = OMPBStage02TargetCalibrationFirst;
position >= OMPBStage02TargetCalibrationLast && !IsStopped(); position--)
{
target_attempts++;
if(!OMPBStage02RunBatch(position, false))
{
target_invalid++;
}
else
{
uint reference_count, current_count, invalid_fallbacks, kl_rejects;
float disagreement, kl, alpha_prior;
if(!ReadOMPBDiagnostics(reference_count, current_count, disagreement, kl,
alpha_prior, invalid_fallbacks, kl_rejects) ||
!OMPBStage02Finite(disagreement) || !OMPBStage02Finite(kl) ||
!OMPBStage02Finite(alpha_prior))
{
PrintFormat("OMPB_STAGE02_CALIBRATION_FAIL reason=target_diagnostics position=%d", position);
ReturnFalse;
}
target_updates++;
if(OMPBStage02SourcePeriod > 0 && target_updates % OMPBStage02SourcePeriod == 0)
{
const int source_position = OMPBStage02ReferenceFirst - int(source_updates % source_rows);
uint reference_before, current_before, invalid_before, kl_rejects_before;
float disagreement_before, kl_before, alpha_before;
if(!ReadOMPBDiagnostics(reference_before, current_before, disagreement_before, kl_before,
alpha_before, invalid_before, kl_rejects_before))
{
Print("OMPB_STAGE02_CALIBRATION_FAIL reason=anchor_diagnostics_before");
ReturnFalse;
}
source_attempts++;
if(!OMPBStage02RunBatch(source_position, true))
{
source_invalid++;
}
else
{
uint reference_after, current_after, invalid_after, kl_rejects_after;
float disagreement_after, kl_after, alpha_after;
if(!ReadOMPBDiagnostics(reference_after, current_after, disagreement_after, kl_after,
alpha_after, invalid_after, kl_rejects_after) ||
current_after != current_before || reference_after != reference_before ||
!OMPBStage02Finite(disagreement_after) || !OMPBStage02Finite(kl_after) ||
!OMPBStage02Finite(alpha_after))
{
PrintFormat("OMPB_STAGE02_CALIBRATION_FAIL reason=anchor_contract position=%d", source_position);
ReturnFalse;
}
source_updates++;
}
}
}
OMPBStage02ShowProgress("calibration", target_attempts, target_quota, target_attempts,
target_invalid, false, false, true, true, source_updates, source_attempts,
source_invalid, StringFormat("target_updates=%u", target_updates));
if(OMPBStage02Smoke && target_attempts >= OMPBStage02SmokeLimit)
break;
}
double lmix, router, trajectory, confidence, latent, observation;
double valid, invalid, entropy, distance, inactive, recovered;
if(IsStopped() || target_attempts < target_quota || target_updates == 0 ||
!D2SkillForecast.BuildEpochCodebookDiagnostics() ||
!D2SkillForecast.ReadEpochDiagnostics(lmix, router, trajectory, confidence, latent,
observation, valid, invalid, entropy, distance,
inactive, recovered) ||
valid < double(target_updates) || !OMPBStage02Finite(lmix) ||
!OMPBStage02Finite(valid) || !OMPBStage02Finite(invalid) ||
!D2SkillVerifyFrozenForecastExact())
{
PrintFormat("OMPB_STAGE02_CALIBRATION_FAIL reason=final_metrics target=%u source=%u",
target_updates, source_updates);
OMPBStage02ShowProgress("calibration", target_attempts, target_quota, target_attempts,
target_invalid, true, false, true, true, source_updates, source_attempts,
source_invalid, StringFormat("target_updates=%u result=failed", target_updates));
ReturnFalse;
}
OMPBStage02ShowProgress("calibration", target_attempts, target_quota, target_attempts,
target_invalid, true, true, true, true, source_updates, source_attempts,
source_invalid, StringFormat("target_updates=%u", target_updates));
PrintFormat("OMPB_STAGE02_CALIBRATION_PASS target_attempts=%u target_updates=%u target_invalid=%u " +
"source_attempts=%u source_updates=%u source_invalid=%u loss=%.9f reference=%u current=%u smoke=%s",
target_attempts, target_updates, target_invalid, source_attempts, source_updates,
source_invalid, lmix / valid, ompb.ReferenceCount(), ompb.CurrentCount(),
(OMPBStage02Smoke ? "true" : "false"));
PrintFormat("OMPB_STAGE02_EPOCH_PASS epoch=%u epochs=%u loss=%.9f " +
"kl_last=%.9g disagreement_last=%.9g alpha_prior_loss_last=%.9g " +
"invalid_fallbacks=%u kl_rejects=%u",
ExtOMPBCalibrationEpoch, ExtOMPBCalibrationEpochs, lmix / valid,
ompb.LastKL(), ompb.LastDisagreement(), ompb.LastAlphaPrior(),
ompb.InvalidFallbacks(), ompb.KLRejects());
return(true);
}
//+------------------------------------------------------------------+
//| Runs chronological calibration epochs with retained parameters. |
//+------------------------------------------------------------------+
bool OMPBStage02Calibrate(void)
{
//--- Clear in the epoch setup retains posterior, alpha and optimizer state.
for(uint epoch = 0; epoch < ExtOMPBCalibrationEpochs; epoch++)
{
if(IsStopped())
return(false);
ExtOMPBCalibrationEpoch = epoch + 1;
PrintFormat("OMPB_STAGE02_EPOCH_BEGIN epoch=%u epochs=%u",
ExtOMPBCalibrationEpoch, ExtOMPBCalibrationEpochs);
OMPBStage02ShowProgress("epoch setup", 0, 1, 0, 0, false, false, false, false,
0, 0, 0, StringFormat("epoch=%u/%u", ExtOMPBCalibrationEpoch,
ExtOMPBCalibrationEpochs));
if(!OMPBStage02CalibrateEpoch())
return(false);
}
//--- Only a complete run may proceed to held-out evaluation and publication.
return(!IsStopped() && ExtOMPBCalibrationEpoch == ExtOMPBCalibrationEpochs);
}
//+------------------------------------------------------------------+
bool CreateOMPBStage02ReferenceStudy(const datetime reference_start, const datetime reference_end,
const datetime calibration_start, const datetime calibration_end,
const uint anchor_period, const float tau_value,
const float lambda_dis, const float lambda_kl,
const float lambda_alpha, const float alpha_prior,
const float max_kl, const bool smoke, const uint smoke_limit,
const uint calibration_epochs = 1)
{
if(calibration_epochs == 0)
ReturnFalseEx("calibration epochs is zero");
ExtOMPBCalibrationEpochs = (smoke ? 1 : calibration_epochs);
ExtOMPBCalibrationEpoch = 0;
PrintFormat("OMPB_STAGE02_EPOCH_CONFIG requested=%u effective=%u smoke=%s",
calibration_epochs, ExtOMPBCalibrationEpochs, (smoke ? "true" : "false"));
ResetLastError();
D2SkillReady = false;
D2SkillForecast = NULL;
D2SkillCompletedEpochs = 0;
D2SkillBatches = 0;
D2SkillInvalidBatches = 0;
if(!D2SkillLoadForecastTraining())
{
PrintFormat("OMPB_STAGE02_PREFLIGHT_FAIL reason=stage01_checkpoint error=%d", GetLastError());
ReturnFalse;
}
CNeuronBaseOCL *rank_tcm = D2SkillMarket.Layer(4);
CNeuronBaseOCL *ompb_layer = D2SkillMarket.Layer(5);
CNeuronBaseOCL *forecast_layer = D2SkillMarket.Layer(6);
if(!D2SkillForecast || !rank_tcm || !ompb_layer || !forecast_layer ||
rank_tcm.Type() != defNeuronCogDriverRankTCM || ompb_layer.Type() != defNeuronOMPBOCL ||
forecast_layer.Type() != defNeuronScenarioForecast || !GetOMPB() ||
!D2SkillValidateShapes() || !D2SkillInitIndicators() ||
!D2SkillMarket.SetWeightsUpdate(false) || !D2SkillTarget.SetWeightsUpdate(false))
{
Print("OMPB_STAGE02_PREFLIGHT_FAIL reason=loaded_contract");
ReturnFalse;
}
if(!OMPBStage02Configure(reference_start, reference_end, calibration_start, calibration_end,
anchor_period, tau_value, lambda_dis, lambda_kl, lambda_alpha,
alpha_prior, max_kl, smoke, smoke_limit))
ReturnFalse;
D2SkillTarget.TrainMode(false);
D2SkillMarket.TrainMode(true);
GetOMPB().TrainMode(false);
D2SkillReady = true;
if(!EventChartCustom(ChartID(), 1, 0, 0, "OMPB_STAGE02_INIT"))
{
PrintFormat("OMPB_STAGE02_PREFLIGHT_FAIL reason=chart_event error=%d", GetLastError());
D2SkillReady = false;
ReturnFalse;
}
Print("OMPB_STAGE02_CHECKPOINT_PASS mode=load_only production_save=forbidden");
return(true);
}
//+------------------------------------------------------------------+
void RunOMPBStage02ReferenceStudy(void)
{
OMPBStage02ShowProgress("preparing", 0, 1, 0, 0, false, false, false, false,
0, 0, 0, "");
if(!D2SkillReady || !OMPBStage02PrepareData() || !OMPBStage02CollectReference())
{
OMPBStage02ShowProgress("preparing", 0, 1, 0, 0, true, false, false, false,
0, 0, 0,
"result=failed");
ExpertRemove();
return;
}
if(!D2SkillForecast.SetCodebookUpdate(false))
{
Print("OMPB_STAGE02_REFERENCE_FAIL reason=codebook_freeze");
ExpertRemove();
return;
}
if(!D2SkillCaptureFrozenForecastBaseline())
{
Print("OMPB_STAGE02_REFERENCE_FAIL reason=frozen_baseline");
ExpertRemove();
return;
}
double source_loss = 0.0, target_loss = 0.0;
uint source_valid, source_invalid, target_valid, target_invalid;
const bool source_ok = OMPBStage02Baseline(OMPBStage02SourceEvalFirst,
OMPBStage02SourceEvalLast, "source_eval",
source_loss, source_valid, source_invalid);
const bool target_ok = (source_ok &&
OMPBStage02Baseline(OMPBStage02TargetEvalFirst,
OMPBStage02TargetEvalLast, "target_eval",
target_loss, target_valid, target_invalid));
bool calibration_ok = false;
bool evaluation_ok = false;
bool acceptance_ok = false;
bool checkpoint_saved = false;
double source_inference_loss = 0.0, target_inference_loss = 0.0;
uint source_inference_valid = 0, source_inference_invalid = 0;
uint target_inference_valid = 0, target_inference_invalid = 0;
if(target_ok && D2SkillVerifyFrozenForecastExact() && OMPBStage02CaptureSignatures())
{
PrintFormat("OMPB_STAGE02_REFERENCE_READY source_loss=%.9f target_loss=%.9f source_valid=%u target_valid=%u",
source_loss, target_loss, source_valid, target_valid);
calibration_ok = OMPBStage02Calibrate();
}
else
Print("OMPB_STAGE02_REFERENCE_FAIL reason=baseline_frozen_or_signatures");
//--- Evaluation is intentionally distinct from the frozen BYPASS baselines.
//--- It uses posterior-mean OMPB inference and must be complete before any
//--- candidate checkpoint can be staged.
if(calibration_ok && ConfigureOMPB(OMPB_INFERENCE))
{
const bool source_inference_ok =
OMPBStage02InferenceEvaluation(OMPBStage02SourceEvalFirst, OMPBStage02SourceEvalLast,
"source_inference", source_inference_loss,
source_inference_valid, source_inference_invalid);
const bool target_inference_ok =
(source_inference_ok &&
OMPBStage02InferenceEvaluation(OMPBStage02TargetEvalFirst, OMPBStage02TargetEvalLast,
"target_inference", target_inference_loss,
target_inference_valid, target_inference_invalid));
evaluation_ok = (target_inference_ok && OMPBStage02VerifySignatures());
if(evaluation_ok)
acceptance_ok = OMPBStage02Accept(source_loss, target_loss, source_inference_loss,
target_inference_loss, source_inference_valid,
target_inference_valid);
else
Print("OMPB_STAGE02_ACCEPTANCE_FAIL reason=evaluation_or_signatures");
}
else
Print("OMPB_STAGE02_ACCEPTANCE_FAIL reason=calibration");
//--- Switching to deterministic inference and clearing OMPB drops only Current
//--- and transient buffers. Clear deliberately preserves posterior parameters.
CNeuronOMPBOCL *ompb = GetOMPB();
const bool finalized = (ompb && ConfigureOMPB(OMPB_INFERENCE) && ompb.Clear());
if(!finalized)
Print("OMPB_STAGE02_CALIBRATION_FAIL reason=finalize");
else
{
ompb.TrainMode(false);
//--- Quality acceptance is diagnostic; unchanged frozen parameters remain mandatory.
const bool checkpoint_integrity = OMPBStage02VerifySignatures();
OMPBStage02ShowProgress("saving", 0, 1, 0, 0, false, false, false, false,
0, 0, 0,
StringFormat("accepted=%s smoke=%s",
(acceptance_ok ? "true" : "false"),
(OMPBStage02Smoke ? "true" : "false")));
if(checkpoint_integrity && !OMPBStage02Smoke)
checkpoint_saved = OMPBStage02SaveAcceptedCheckpoint();
else
if(OMPBStage02Smoke)
PrintFormat("OMPB_STAGE02_TRANSACTION_SKIPPED reason=smoke accepted=%s",
(acceptance_ok ? "true" : "false"));
else
Print("OMPB_STAGE02_TRANSACTION_SKIPPED reason=integrity");
OMPBStage02ShowProgress("saving", (checkpoint_saved ? 1 : 0), 1, 1, 0, true,
checkpoint_saved || OMPBStage02Smoke, false, false,
0, 0, 0,
StringFormat("accepted=%s saved=%s smoke=%s",
(acceptance_ok ? "true" : "false"),
(checkpoint_saved ? "true" : "false"),
(OMPBStage02Smoke ? "true" : "false")));
CNeuronOMPBOCL *final_ompb = GetOMPB();
if(!final_ompb)
Print("OMPB_STAGE02_INFERENCE_READY_FAIL reason=ompb_after_checkpoint");
else
PrintFormat("OMPB_STAGE02_INFERENCE_READY calibration=%s evaluation=%s accepted=%s saved=%s " +
"reference=%u current=%u", (calibration_ok ? "true" : "false"),
(evaluation_ok ? "true" : "false"), (acceptance_ok ? "true" : "false"),
(checkpoint_saved ? "true" : "false"), final_ompb.ReferenceCount(),
final_ompb.CurrentCount());
}
D2SkillMarket.TrainMode(false);
D2SkillTarget.TrainMode(false);
const uint final_rows = uint(OMPBStage02TargetEvalFirst - OMPBStage02TargetEvalLast + 1);
const uint final_quota = OMPBStage02ProgressQuota(final_rows, 0, OMPBStage02Smoke,
OMPBStage02SmokeLimit);
string final_detail = StringFormat("source_degradation=n/a target_improvement=n/a accepted=%s saved=%s",
(acceptance_ok ? "true" : "false"),
(checkpoint_saved ? "true" : "false"));
if(target_ok && evaluation_ok)
{
const double source_denominator = MathMax(MathAbs(source_loss), 1.0e-12);
const double target_denominator = MathMax(MathAbs(target_loss), 1.0e-12);
const double source_degradation = (source_inference_loss - source_loss) /
source_denominator;
const double target_improvement = (target_loss - target_inference_loss) /
target_denominator;
final_detail = StringFormat("source_degradation=%.2f%% target_improvement=%.2f%% accepted=%s saved=%s",
100.0 * source_degradation, 100.0 * target_improvement,
(acceptance_ok ? "true" : "false"),
(checkpoint_saved ? "true" : "false"));
}
const uint final_done = (OMPBStage02Smoke ? target_inference_valid :
target_inference_valid + target_inference_invalid);
OMPBStage02ShowProgress("final", final_done, final_quota,
target_inference_valid + target_inference_invalid,
target_inference_invalid, true, finalized && calibration_ok && evaluation_ok,
false, false, source_inference_valid,
source_inference_valid + source_inference_invalid,
source_inference_invalid,
final_detail);
ExpertRemove();
}
//+------------------------------------------------------------------+
//| Creates or initializes D2SkillForecastStudy. |
//+------------------------------------------------------------------+
bool CreateD2SkillForecastStudy(void)
{
ResetLastError();
D2SkillCompletedEpochs = 0;
D2SkillBatches = 0;
D2SkillInvalidBatches = 0;
//--- Always prefer an existing compatible checkpoint for continued training.
//--- Only a clean initial checkpoint miss falls back to a new randomized graph.
//--- Partial, incompatible and transaction states remain fail-closed.
bool resumed = D2SkillLoadForecastTraining();
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!resumed)
{
if(OMPBStage02RecoveryFailed)
{
Print("OMPB checkpoint recovery=FAIL before=training_create fail_closed=true");
ReturnFalse;
}
const int load_error = GetLastError();
D2SkillForecast = NULL;
PrintFormat("%s init: forecast restore=FAIL error=%d; creating new random model", OMPB_LOG_PREFIX, load_error);
ResetLastError();
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!D2SkillCreateNetworks())
{
PrintFormat("%s init: forecast create=FAIL error=%d", OMPB_LOG_PREFIX, GetLastError());
ReturnFalse;
}
}
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!D2SkillValidateShapes())
{
PrintFormat("%s init: shapes=FAIL", OMPB_LOG_PREFIX);
ReturnFalse;
}
//--- Stage 01 keeps OMPB a non-trainable identity bridge. Its posterior,
//--- alpha and both histories remain untouched while ScenarioForecast trains.
CNeuronOMPBOCL *ompb = GetOMPB();
if(!ompb || !ConfigureOMPB(OMPB_BYPASS))
ReturnFalse;
ompb.TrainMode(false);
if(!D2SkillInitIndicators())
{
PrintFormat("%s init: indicators=FAIL error=%d", OMPB_LOG_PREFIX, GetLastError());
ReturnFalse;
}
PrintFormat("%s init: forecast=%s completed_epochs=%u batches=%I64u invalid=%I64u", OMPB_LOG_PREFIX,
(resumed ? "RESUMED" : "NEW"), D2SkillCompletedEpochs, D2SkillBatches, D2SkillInvalidBatches);
D2SkillReady = true;
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
{
PrintFormat("%s init: chart event=FAIL error=%d", OMPB_LOG_PREFIX, 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);
CNeuronBaseOCL *bridge_layer = net.Layer(5);
CNeuronOMPBOCL *bridge = (bridge_layer && bridge_layer.Type() == defNeuronOMPBOCL ?
(CNeuronOMPBOCL *)bridge_layer : NULL);
CBufferFloat *bridge_output = (bridge ? bridge.getOutput() : NULL);
if(result)
result = (bridge && bridge.Mode() == OMPB_BYPASS && output != NULL && bridge_output != NULL &&
output.GetIndex() >= 0 && bridge_output.GetIndex() >= 0 && output.BufferRead() &&
bridge_output.BufferRead() && output.Total() == (BarDescr * EmbeddingSize) &&
bridge_output.Total() == (BarDescr * EmbeddingSize));
for(uint d = 0; result && d < (BarDescr * EmbeddingSize); d++)
{
latent[d] = double(output[d]);
if(!MathIsValidNumber(latent[d]) || output[d] != bridge_output[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("%s 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",
OMPB_LOG_PREFIX, 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;
//--- Target supervision remains bound to raw RankTCM z_t. OMPB sits between
//--- it and ScenarioForecast, so relative indexing would select the bridge.
CNeuronBaseOCL *market_layer = GetRankTCM();
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("%s Forecast %6.2f%% L_mix %.8f latent %.8f invalid(current epoch) %I64u",
OMPB_LOG_PREFIX, percent, lmix / valid, latent / valid, failed_batches));
return;
}
Comment(StringFormat("%s Forecast %6.2f%% L_mix n/a latent n/a invalid(current epoch) %I64u",
OMPB_LOG_PREFIX, 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) ||
!ConfigureOMPB(OMPB_BYPASS))
{ 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; }
uint ompb_reference_count_before, ompb_current_count_before;
uint ompb_invalid_fallbacks_before, ompb_kl_rejects_before;
float ompb_disagreement_before, ompb_kl_before, ompb_alpha_prior_before;
if(!ReadOMPBDiagnostics(ompb_reference_count_before, ompb_current_count_before,
ompb_disagreement_before, ompb_kl_before,
ompb_alpha_prior_before, ompb_invalid_fallbacks_before,
ompb_kl_rejects_before))
{
PrintFormat("OMPB_STAGE01_BYPASS_DIAGNOSTIC_FAIL scope=epoch-%u reason=read_before", epoch + 1);
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("%s invalid batch epoch=%d position=%d line=%d", OMPB_LOG_PREFIX, 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; }
if(!D2SkillCheckOMPBBypassInvariant(ompb_reference_count_before, ompb_current_count_before,
ompb_disagreement_before, ompb_kl_before, ompb_alpha_prior_before,
ompb_invalid_fallbacks_before, ompb_kl_rejects_before,
StringFormat("epoch-%u", epoch + 1)))
{ 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) ||
!ConfigureOMPB(OMPB_BYPASS))
{ PrintFormat("%s -> %d Market epoch probe failed", __FUNCTION__, __LINE__); stop = true; break; }
const double latent_drift = D2SkillProbeDrift(latent_before, latent_after);
PrintFormat("%s 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",
OMPB_LOG_PREFIX, 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("%s smoke complete valid=%I64u recovery_age=%u checkpoint=SKIPPED", OMPB_LOG_PREFIX, 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("%s forecast inference-only signature=%I64u batches=%I64u invalid=%I64u", OMPB_LOG_PREFIX,
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(D2SkillActiveManifestFile,KEY)!=(VALUE)) ReturnFalse
D2Skill_MANIFEST_HEADER_EQ("format", "OMPB_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(D2SkillActiveManifestFile,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), D2SkillActiveTargetFile);
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(D2SkillActiveManifestFile, "completed_epochs") == "" ||
D2SkillManifestValue(D2SkillActiveManifestFile, "training_batches") == "" ||
D2SkillManifestValue(D2SkillActiveManifestFile, "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;
if(!OMPBStage02ResolveActiveCheckpoint())
{
Print("OMPB checkpoint selector=FAIL before=inference_load");
ReturnFalse;
}
float error = 0, undefine = 0, forecast = 0;
datetime studied = 0;
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!D2SkillMarket.Load(D2SkillActiveMarketFile, error, undefine, forecast, studied, true))
{
PrintFormat("%s inference: model load=FAIL", OMPB_LOG_PREFIX);
ReturnFalse;
}
D2SkillForecast = (CNeuronScenarioForecast*)D2SkillMarket.Layer(-1);
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!D2SkillForecast || D2SkillForecast.Type() != defNeuronScenarioForecast)
{
PrintFormat("%s inference: forecast layer=FAIL", OMPB_LOG_PREFIX);
ReturnFalse;
}
if(!ConfigureForecastRecoveryAge())
ReturnFalse;
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(D2SkillForecast.GetTopK() != TopK)
{
PrintFormat("%s inference: TopK expected=%d actual=%d", OMPB_LOG_PREFIX, TopK, D2SkillForecast.GetTopK());
ReturnFalse;
}
//+------------------------------------------------------------------+
//| only the Market/Forecast path. Target and its future-window b... |
//+------------------------------------------------------------------+
if(!D2SkillValidateShapes(false))
{
PrintFormat("%s inference: shape audit=FAIL", OMPB_LOG_PREFIX);
ReturnFalse;
}
D2SkillMarket.TrainMode(false);
const ulong signature = D2SkillForecastSignature();
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!D2SkillValidateForecastManifest(signature))
{
PrintFormat("%s inference: manifest=FAIL", OMPB_LOG_PREFIX);
ReturnFalse;
}
//+------------------------------------------------------------------+
//| Function if. |
//+------------------------------------------------------------------+
if(!D2SkillCaptureFrozenForecastBaseline())
{
PrintFormat("%s inference: frozen baseline=FAIL", OMPB_LOG_PREFIX);
ReturnFalse;
}
D2SkillLastSignature = signature;
return(true);
}
//+------------------------------------------------------------------+
//| Full forecast-training restore. Target is required here becau... |
//+------------------------------------------------------------------+
bool D2SkillLoadForecastTraining(void)
{
if(!OMPBStage02ResolveActiveCheckpoint())
{
Print("OMPB checkpoint selector=FAIL before=training_load");
ReturnFalse;
}
if(!FileIsExist(D2SkillActiveManifestFile, FILE_COMMON) ||
!FileIsExist(D2SkillActiveMarketFile, FILE_COMMON) ||
!FileIsExist(D2SkillActiveTargetFile, FILE_COMMON))
ReturnFalse;
//+------------------------------------------------------------------+
//| Avoid a partial CNet::Load before the fallback random graph i... |
//+------------------------------------------------------------------+
if(!D2SkillValidateForecastManifestHeader())
{
PrintFormat("%s restore: manifest static contract=FAIL", OMPB_LOG_PREFIX);
ReturnFalse;
}
float error = 0, undefine = 0, forecast = 0;
datetime studied = 0;
if(!D2SkillMarket.Load(D2SkillActiveMarketFile, error, undefine, forecast, studied, true) ||
!D2SkillTarget.Load(D2SkillActiveTargetFile, error, undefine, forecast, studied, true))
ReturnFalse;
if(!D2SkillTarget.SetOpenCLChecked(D2SkillMarket.GetOpenCL()))
ReturnFalseEx("target OpenCL transfer failed");
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(D2SkillActiveManifestFile, "completed_epochs");
const string batches = D2SkillManifestValue(D2SkillActiveManifestFile, "training_batches");
const string invalid = D2SkillManifestValue(D2SkillActiveManifestFile, "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);
}
//+------------------------------------------------------------------+
//| Configures the loaded Stage 02 graph for frozen Stage 03 use. |
//+------------------------------------------------------------------+
bool D2SkillConfigureProductionOMPBCheckpoint(void)
{
CNeuronOMPBOCL *ompb = GetOMPB();
CNeuronScenarioForecast *forecast = D2SkillForecast;
if(!ompb || !forecast || !SetOMPBMode(OMPB_INFERENCE) ||
!D2SkillMarket.SetWeightsUpdate(false) ||
!forecast.SetCodebookUpdate(false))
ReturnFalse;
D2SkillMarket.TrainMode(false);
ompb.TrainMode(false);
forecast.TrainMode(false);
return(true);
}
//+------------------------------------------------------------------+
//| Checks the strict published Stage 02 contract before Stage 03. |
//+------------------------------------------------------------------+
bool D2SkillValidateProductionOMPBCheckpoint(void)
{
const string checkpoint = "canonical";
CNeuronBaseOCL *rank_tcm = D2SkillMarket.Layer(4);
CNeuronOMPBOCL *ompb = GetOMPB();
CNeuronBaseOCL *forecast_layer = D2SkillMarket.Layer(6);
CNeuronBaseOCL *market_tail = D2SkillMarket.Layer(-1);
CNeuronScenarioForecast *forecast = D2SkillForecast;
CNeuronBaseOCL *ompb_base = (CNeuronBaseOCL *)ompb;
CNeuronBaseOCL *forecast_base = (CNeuronBaseOCL *)forecast;
CLayerDescription *ompb_info = (ompb ? ompb.GetLayerInfo() : NULL);
bool layers_frozen = true;
for(int index = 0; index <= 6; ++index)
{
CNeuronBaseOCL *layer = D2SkillMarket.Layer(index);
if(!layer || layer.TrainMode())
{
layers_frozen = false;
break;
}
}
const bool descriptor_valid = (ompb_info &&
ompb_info.window == EmbeddingSize &&
ompb_info.count == BarDescr &&
ompb_info.layers == OMPBSamples &&
ompb_info.units.Size() == 2 &&
ompb_info.units[0] == OMPBReferenceSize &&
ompb_info.units[1] == OMPBCurrentWindow &&
ompb_info.batch == BatchSize);
DeleteObj(ompb_info);
const bool forecast_tail_valid = (forecast_layer != NULL && market_tail != NULL &&
forecast_layer == market_tail && forecast_base != NULL &&
forecast_layer == forecast_base &&
forecast_layer.Type() == defNeuronScenarioForecast);
if(!forecast_tail_valid)
{
PrintFormat("%s_STAGE03_PRODUCTION_GATE_FORECAST_TAIL_FAIL checkpoint=%s", FileName, checkpoint);
return(false);
}
const ulong signature = D2SkillForecastSignature();
const bool valid = (OMPBStage02ResolveActiveCheckpoint() &&
!OMPBStage02RecoveryFailed &&
D2SkillActiveMarketFile == D2Skill_MARKET_FILE &&
D2SkillActiveTargetFile == D2Skill_TARGET_FILE &&
D2SkillActiveManifestFile == D2Skill_MANIFEST_FILE &&
D2SkillValidateForecastManifest(signature) &&
rank_tcm != NULL && rank_tcm.Type() == defNeuronCogDriverRankTCM &&
ompb != NULL && ompb.Mode() == OMPB_INFERENCE &&
ompb_base != NULL && !ompb_base.TrainMode() &&
forecast != NULL && forecast_base != NULL && !forecast_base.TrainMode() &&
!forecast.CodebookUpdate() &&
D2SkillMarket.WeightsUpdateEnabled() == false && layers_frozen &&
descriptor_valid);
if(!valid)
{
PrintFormat("%s_STAGE03_PRODUCTION_GATE_FAIL checkpoint=%s", FileName, checkpoint);
return(false);
}
PrintFormat("%s_STAGE03_PRODUCTION_GATE_PASS checkpoint=%s", FileName, checkpoint);
return(true);
}
//+------------------------------------------------------------------+
//| Captures Market-base and OMPB parameter fingerprints for Stage 03.|
//+------------------------------------------------------------------+
bool D2SkillCaptureProductionOMPBFingerprints(void)
{
CNeuronOMPBOCL *ompb = GetOMPB();
D2SkillProductionSignatureReady = false;
D2SkillProductionBaseFingerprint = 0;
D2SkillProductionOMPBFingerprint = ulong(1469598103934665603);
if(!ompb || !OMPBStage02MarketFingerprint(0, 4, D2SkillProductionBaseFingerprint) ||
!ompb.AppendParameterFingerprint(D2SkillProductionOMPBFingerprint) ||
D2SkillProductionBaseFingerprint == 0 || D2SkillProductionOMPBFingerprint == 0)
ReturnFalse;
D2SkillProductionSignatureReady = true;
PrintFormat("%s_STAGE03_SIGNATURES_BEFORE base=%I64u posterior=%I64u", FileName,
D2SkillProductionBaseFingerprint, D2SkillProductionOMPBFingerprint);
return(true);
}
//+------------------------------------------------------------------+
//| Verifies that Stage 03 preserved the frozen Market and OMPB. |
//+------------------------------------------------------------------+
bool D2SkillVerifyProductionOMPBFingerprints(void)
{
ulong base = 0;
ulong posterior = ulong(1469598103934665603);
CNeuronOMPBOCL *ompb = GetOMPB();
if(!D2SkillProductionSignatureReady || !ompb ||
!OMPBStage02MarketFingerprint(0, 4, base) ||
!ompb.AppendParameterFingerprint(posterior) ||
!D2SkillValidateProductionOMPBCheckpoint())
ReturnFalse;
const bool unchanged = (base == D2SkillProductionBaseFingerprint &&
posterior == D2SkillProductionOMPBFingerprint);
PrintFormat("%s_STAGE03_SIGNATURES_AFTER base=%I64u posterior=%I64u unchanged=%s", FileName,
base, posterior, (unchanged ? "true" : "false"));
return(unchanged);
}
//+------------------------------------------------------------------+
//| 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=OMPB_ACTOR_CRITIC");
FileWrite(handle, StringFormat("version=%u", D2Skill_AC_FORMAT_VERSION));
FileWrite(handle, StringFormat("d2_representation=%u", D2SkillD2Representation));
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. |
//+------------------------------------------------------------------+
bool D2SkillValidateManifestRepresentation(const string manifest_file,
const bool allow_bank_reset,
bool &mismatch)
{
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") == "")
return(!required);
#define D2Skill_AC_MANIFEST_EQ(KEY,VALUE) \
{ const string actual=D2SkillManifestValue(manifest_file,KEY); const string expected=(VALUE); \
if(actual!=expected) { PrintFormat("D2Skill policy manifest: %s expected=%s actual=%s",KEY,expected,actual); ReturnFalse; } }
D2Skill_AC_MANIFEST_EQ("format", "OMPB_ACTOR_CRITIC");
D2Skill_AC_MANIFEST_EQ("version", IntegerToString(D2Skill_AC_FORMAT_VERSION));
bool representation_mismatch = false;
if(!D2SkillValidateManifestRepresentation(manifest_file, allow_bank_reset,
representation_mismatch))
ReturnFalse;
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. |
//+------------------------------------------------------------------+
if(D2SkillManifestValue(manifest_file, "generation") == "")
{
Print("D2Skill policy manifest: generation is absent");
ReturnFalse;
}
return(true);
}
//+------------------------------------------------------------------+
bool D2SkillValidateACManifest(const bool required)
{
return(D2SkillValidateACManifestFile(required, D2Skill_AC_MANIFEST_FILE, false));
}
//+------------------------------------------------------------------+
//| Implements D2SkillLoadPolicyNet. Shared Actor-Critic lifecycle ... |
//+------------------------------------------------------------------+
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()));
}
//+------------------------------------------------------------------+
bool D2SkillLoadPolicyNet(CNet &net, const string file_name)
{
float error = 0, undefine = 0, forecast = 0;
datetime studied = 0;
return(net.Load(file_name, error, undefine, forecast, studied, true));
}
//+------------------------------------------------------------------+
//| 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());
}
return(result && D2SkillSetNewPolicyRepresentation(actor));
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
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);
if(!skill.SetMode(D2SkillD2ExecutionMode) ||
!skill.SetOnlineDirectionUpdate(D2SkillD2OnlineDirectionUpdate) ||
!skill.Enable(task_enabled, step_enabled))
ReturnFalse;
CD2SkillBank *task = skill.TaskBank();
CD2SkillBank *step = skill.StepBank();
if(!task || !step)
ReturnFalse;
if(!D2SkillConfigureBankRepresentation(task, step) ||
!task.SetThresholds(0.65f, 0.0f) || !step.SetThresholds(0.65f, 0.0f) ||
!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;
PrintFormat("D2Skill D2 stage=%d mode=%d execution=%d task=%s step=%s utility=%s scale=%.3f direction_ema=%s",
D2SkillD2Stage, D2SkillD2Mode, D2SkillD2ExecutionMode, (task_enabled ? "on" : "off"),
(step_enabled ? "on" : "off"),
(D2SkillD2UtilityAware ? "aware" : "similarity"), D2SkillD2UtilityScale,
(D2SkillD2OnlineDirectionUpdate ? "on" : "off"));
return(true);
}
//+------------------------------------------------------------------+
//| Applies one normalized utility observation to selected banks. |
//+------------------------------------------------------------------+
bool D2SkillApplyD2Utility(CNet &actor, const double value, bool &applied,
bool &task_applied, bool &step_applied)
{
applied = false;
task_applied = false;
step_applied = false;
if((D2SkillD2ExecutionMode != D2_EVALUATE &&
D2SkillD2ExecutionMode != D2_ONLINE_CALIBRATION) ||
!MathIsValidNumber(value))
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;
D2SkillD2BankFlags(task_enabled, step_enabled);
if(task_enabled)
if(!skill.TaskUtility((float)normalized, task_applied))
ReturnFalse;
if(step_enabled)
if(!skill.StepUtility((float)normalized, step_applied))
ReturnFalse;
applied = (task_applied || step_applied);
return(true);
}
//+------------------------------------------------------------------+
bool D2SkillApplyD2Utility(CNet &actor, const double value, bool &applied)
{
bool task_applied = false;
bool step_applied = false;
return(D2SkillApplyD2Utility(actor, value, applied, task_applied, step_applied));
}
//+------------------------------------------------------------------+
//| Applies paired hindsight delta JSkill-JBase to selected skills. |
//| Utility is separate from Actor gradients and pseudo-residuals. |
//+------------------------------------------------------------------+
bool D2SkillUpdateD2UtilityDelta(CNet &actor, const double delta_j, bool &applied,
bool &task_applied, bool &step_applied)
{
applied = false;
task_applied = false;
step_applied = false;
if((D2SkillD2ExecutionMode != D2_EVALUATE &&
D2SkillD2ExecutionMode != D2_ONLINE_CALIBRATION) ||
D2SkillD2Mode == D2Skill_D2_MODE_BASE)
return(true);
if(D2SkillD2UtilityMode != D2Skill_D2_UTILITY_PAIRED_HINDSIGHT ||
!MathIsValidNumber(delta_j))
ReturnFalse;
if(!D2SkillApplyD2Utility(actor, delta_j, applied, task_applied, step_applied))
ReturnFalse;
if(applied)
D2SkillD2PairedUtilityUpdates++;
return(true);
}
//+------------------------------------------------------------------+
bool D2SkillUpdateD2UtilityDelta(CNet &actor, const double delta_j, bool &applied)
{
bool task_applied = false;
bool step_applied = false;
return(D2SkillUpdateD2UtilityDelta(actor, delta_j, applied, task_applied, step_applied));
}
//+------------------------------------------------------------------+
bool D2SkillUpdateD2UtilityDelta(CNet &actor, const double delta_j)
{
bool applied = false;
return(D2SkillUpdateD2UtilityDelta(actor, delta_j, applied));
}
//+------------------------------------------------------------------+
//| Resets only the selected D2Skill episode influence state. |
//+------------------------------------------------------------------+
bool D2SkillResetEpisodeInfluence(CNet &actor)
{
CNeuronBaseOCL *layer = actor.Layer(1);
if(!layer || layer.Type() != defNeuronD2Skill)
ReturnFalse;
CD2Skill *skill = (CD2Skill*)layer;
if(!skill.Ready() || !skill.ResetEpisodeInfluence())
ReturnFalse;
return(true);
}
//+------------------------------------------------------------------+
//| 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) ||
!D2SkillUpdateD2UtilityDelta(actor, terminal_delta, utility_applied))
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);
}
//+------------------------------------------------------------------+
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;
if(!loaded)
{
if(manifest_exists)
Print("D2Skill policy restore=FAIL; recreating incompatible policy set by explicit input");
if(!D2SkillCreatePolicySet(actor, q1, q2))
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);
}
//+------------------------------------------------------------------+
bool D2SkillLoadOrCreatePolicySet(CNet &actor, CNet &q1, CNet &q2,
const bool allow_create)
{
return(D2SkillLoadOrCreatePolicySetFile(actor, q1, q2, allow_create,
D2Skill_AC_MANIFEST_FILE));
}
//+------------------------------------------------------------------+
//| Configures the Actor-Critic write permissions for the D2 mode. |
//+------------------------------------------------------------------+
bool D2SkillConfigureActorCriticUpdates(CNet &actor, CNet &q1, CNet &q2)
{
//--- 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.
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;
case D2_ONLINE_CALIBRATION:
critic_weights = D2SkillD2OnlineCriticUpdate;
break;
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);
}
//+------------------------------------------------------------------+
//| 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));
}
//+------------------------------------------------------------------+
//| Saves a Stage 03 checkpoint only for the active production OMPB.|
//+------------------------------------------------------------------+
bool D2SkillSaveStage03StopCheckpoint(CNet &actor, CNet &q1, CNet &q2)
{
if(!D2SkillVerifyProductionOMPBFingerprints())
ReturnFalse;
return(D2SkillSavePolicySet(actor, q1, q2));
}
//+------------------------------------------------------------------+
//| Implements D2SkillLoadInferenceActor. |
//+------------------------------------------------------------------+
bool D2SkillLoadInferenceActor(CNet &actor)
{
if(!D2SkillValidateACManifestFile(true, D2Skill_AC_MANIFEST_FILE,
D2SkillD2ResetBanksOnRepresentationMismatch) ||
!D2SkillLoadPolicyNet(actor, D2Skill_ACTOR_FILE))
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);
}
//+------------------------------------------------------------------+
//| 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);
}
//+------------------------------------------------------------------+
//| 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;
}
}
double next_balance = 0.0;
bool balance_terminal = false;
if(!D2SkillFinalizeAccountBalance(balance, realized, min_balance, next_balance, balance_terminal))
ReturnFalse;
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;
terminal = (balance_terminal || next_equity < margin * min_lot);
return(next.GetIndex() < 0 || next.BufferWrite());
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
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