634 行
37 KiB
MQL5
634 行
37 KiB
MQL5
//+------------------------------------------------------------------+
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//| Trajectory.mqh |
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//| Copyright DNG® |
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//| https://www.mql5.com/ru/users/dng |
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//+------------------------------------------------------------------+
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#property copyright "Copyright DNG®"
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#property link "https://www.mql5.com/ru/users/dng"
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#property version "1.00"
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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#include "Net_SAC_DICE.mqh"
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//---
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#define HistoryBars 20 //Depth of history
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#define BarDescr 9 //Elements for 1 bar description
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#define AccountDescr 12 //Account description
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#define NActions 6 //Number of possible Actions
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#define Buffer_Size 6500
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#define DiscFactor 0.99f
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#define FileName "SoftAC_DICE"
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#define LatentLayer 6
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#define LatentCount 256
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#define MaxSL 1000
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#define MaxTP 1000
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#define MaxReplayBuffer 500
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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struct SState
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{
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float state[HistoryBars * BarDescr];
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float account[AccountDescr - 4];
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float action[NActions];
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float log_prob[NActions];
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//---
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SState(void);
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//---
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bool Save(int file_handle);
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bool Load(int file_handle);
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//--- overloading
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void operator=(const SState &obj)
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{
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ArrayCopy(state, obj.state);
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ArrayCopy(account, obj.account);
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ArrayCopy(action, obj.action);
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ArrayCopy(log_prob, obj.log_prob);
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}
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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SState::SState(void)
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{
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ArrayInitialize(state, 0);
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ArrayInitialize(account, 0);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool SState::Save(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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//---
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int total = ArraySize(state);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
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return false;
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//---
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total = ArraySize(account);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
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return false;
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//---
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total = ArraySize(action);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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{
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if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
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return false;
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if(FileWriteFloat(file_handle, log_prob[i]) < sizeof(float))
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return false;
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}
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool SState::Load(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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if(FileIsEnding(file_handle))
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return false;
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//---
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int total = FileReadInteger(file_handle);
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if(total != ArraySize(state))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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state[i] = FileReadFloat(file_handle);
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}
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//---
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total = FileReadInteger(file_handle);
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if(total != ArraySize(account))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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account[i] = FileReadFloat(file_handle);
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}
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//---
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total = FileReadInteger(file_handle);
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if(total != ArraySize(action))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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action[i] = FileReadFloat(file_handle);
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if(FileIsEnding(file_handle))
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return false;
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log_prob[i] = FileReadFloat(file_handle);
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}
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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struct STrajectory
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{
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SState States[Buffer_Size];
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float Revards[Buffer_Size];
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int Total;
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float DiscountFactor;
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bool CumCounted;
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//---
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STrajectory(void);
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//---
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bool Add(SState &state, float reward);
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void CumRevards(void);
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//---
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bool Save(int file_handle);
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bool Load(int file_handle);
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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STrajectory::STrajectory(void) : Total(0),
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DiscountFactor(DiscFactor),
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CumCounted(false)
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{
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ArrayInitialize(Revards, 0);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool STrajectory::Save(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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//---
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if(!CumCounted)
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CumRevards();
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if(FileWriteInteger(file_handle, Total) < sizeof(int))
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return false;
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for(int i = 0; i < Total; i++)
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{
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if(!States[i].Save(file_handle))
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return false;
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if(FileWriteFloat(file_handle, Revards[i]) < sizeof(float))
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return false;
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}
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool STrajectory::Load(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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//---
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Total = FileReadInteger(file_handle);
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if(Total >= ArraySize(Revards))
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return false;
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CumCounted = true;
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//---
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for(int i = 0; i < Total; i++)
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{
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if(!States[i].Load(file_handle))
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return false;
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Revards[i] = FileReadFloat(file_handle);
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}
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void STrajectory::CumRevards(void)
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{
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if(CumCounted)
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return;
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//---
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for(int i = Total - 2; i >= 0; i--)
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Revards[i] += Revards[i + 1] * DiscountFactor;
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CumCounted = true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool STrajectory::Add(SState &state, float reward)
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{
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if(Total + 1 >= ArraySize(Revards))
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return false;
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States[Total] = state;
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if(Total > 0)
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Revards[Total - 1] = reward;
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Total++;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool SaveTotalBase(void)
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{
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int total = ArraySize(Buffer);
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if(total < 0)
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return true;
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int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
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if(handle < 0)
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return false;
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int start = MathMax(total - MaxReplayBuffer, 0);
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if(FileWriteInteger(handle, total - start) < INT_VALUE)
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{
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FileClose(handle);
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return false;
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}
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for(int i = start; i < total; i++)
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{
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if(Buffer[i].Total <= 0)
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continue;
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if(!Buffer[i].Save(handle))
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{
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FileClose(handle);
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return false;
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}
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}
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FileFlush(handle);
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FileClose(handle);
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool LoadTotalBase(void)
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{
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int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
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if(handle < 0)
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return false;
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int total = FileReadInteger(handle);
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if(total <= 0)
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{
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FileClose(handle);
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return false;
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}
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if(ArrayResize(Buffer, total) < total)
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{
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FileClose(handle);
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return false;
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}
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for(int i = 0; i < total; i++)
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if(!Buffer[i].Load(handle))
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{
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FileClose(handle);
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return false;
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}
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FileClose(handle);
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool CreateDescriptions(CArrayObj *actor, CArrayObj *critic)
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{
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//---
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CLayerDescription *descr;
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//---
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if(!actor)
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{
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actor = new CArrayObj();
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if(!actor)
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return false;
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}
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if(!critic)
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{
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critic = new CArrayObj();
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if(!critic)
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return false;
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}
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//--- Actor
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actor.Clear();
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//--- Input layer
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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uint prev_count = descr.count = (HistoryBars * BarDescr);
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descr.window = 0;
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descr.activation = None;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 1
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBatchNormOCL;
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descr.count = prev_count;
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descr.batch = 1000;
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descr.activation = None;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 2
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronConvOCL;
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prev_count = descr.count = prev_count - 1;
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descr.window = 2;
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descr.step = 1;
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descr.window_out = 8;
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descr.activation = LReLU;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 3
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronConvOCL;
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prev_count = descr.count = prev_count;
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descr.window = 8;
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descr.step = 8;
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descr.window_out = 8;
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descr.activation = LReLU;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 4
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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descr.count = 256;
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descr.optimization = ADAM;
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descr.activation = LReLU;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 5
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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prev_count = descr.count = 128;
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descr.activation = LReLU;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 6
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronConcatenate;
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descr.count = LatentCount;
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descr.window = prev_count;
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descr.step = AccountDescr;
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descr.optimization = ADAM;
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descr.activation = SIGMOID;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 7
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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descr.count = 256;
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descr.activation = LReLU;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 8
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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descr.count = 256;
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descr.activation = LReLU;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 9
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronSoftActorCritic;
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descr.count = NActions;
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descr.window_out = 32;
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descr.optimization = ADAM;
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descr.activation = SIGMOID;
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if(!actor.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- Critic
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critic.Clear();
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//--- Input layer
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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prev_count = descr.count = LatentCount;
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descr.window = 0;
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descr.activation = None;
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descr.optimization = ADAM;
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if(!critic.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 1
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronConcatenate;
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descr.count = 256;
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descr.window = prev_count;
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descr.step = 6;
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descr.optimization = ADAM;
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descr.activation = LReLU;
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if(!critic.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 2
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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descr.count = 256;
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descr.activation = LReLU;
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descr.optimization = ADAM;
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if(!critic.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 3
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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descr.count = 256;
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descr.activation = LReLU;
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descr.optimization = ADAM;
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if(!critic.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 4
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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descr.count = 1;
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descr.optimization = ADAM;
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descr.activation = None;
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if(!critic.Add(descr))
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{
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delete descr;
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return false;
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}
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//---
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return true;
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}
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#ifndef StudyExpert
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool IsNewBar(void)
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{
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static datetime last_bar = 0;
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if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
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return false;
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//---
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last_bar = iTime(Symb.Name(), TimeFrame, 0);
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool CloseByDirection(ENUM_POSITION_TYPE type)
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{
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int total = PositionsTotal();
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bool result = true;
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for(int i = total - 1; i >= 0; i--)
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{
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if(PositionGetSymbol(i) != Symb.Name())
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continue;
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if(PositionGetInteger(POSITION_TYPE) != type)
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continue;
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result = (Trade.PositionClose(PositionGetInteger(POSITION_TICKET)) && result);
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}
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//---
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return result;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
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{
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int total = PositionsTotal();
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bool result = true;
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//---
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for(int i = 0; i < total; i++)
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{
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if(PositionGetSymbol(i) != Symb.Name())
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continue;
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if(PositionGetInteger(POSITION_TYPE) != type)
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continue;
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bool modify = false;
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double psl = PositionGetDouble(POSITION_SL);
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double ptp = PositionGetDouble(POSITION_TP);
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switch(type)
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{
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case POSITION_TYPE_BUY:
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if((sl - psl) >= Symb.Point())
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{
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psl = sl;
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modify = true;
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}
|
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if(MathAbs(tp - ptp) >= Symb.Point())
|
|
{
|
|
ptp = tp;
|
|
modify = true;
|
|
}
|
|
break;
|
|
case POSITION_TYPE_SELL:
|
|
if((psl - sl) >= Symb.Point())
|
|
{
|
|
psl = sl;
|
|
modify = true;
|
|
}
|
|
if(MathAbs(tp - ptp) >= Symb.Point())
|
|
{
|
|
ptp = tp;
|
|
modify = true;
|
|
}
|
|
break;
|
|
}
|
|
if(modify)
|
|
result = (Trade.PositionModify(PositionGetInteger(POSITION_TICKET), psl, ptp) && result);
|
|
}
|
|
//---
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
bool ClosePartial(ENUM_POSITION_TYPE type, double value)
|
|
{
|
|
if(value <= 0)
|
|
return true;
|
|
//---
|
|
for(int i = 0; (i < PositionsTotal() && value > 0); i++)
|
|
{
|
|
if(PositionGetSymbol(i) != Symb.Name())
|
|
continue;
|
|
if(PositionGetInteger(POSITION_TYPE) != type)
|
|
continue;
|
|
double pvalue = PositionGetDouble(POSITION_VOLUME);
|
|
if(pvalue <= value)
|
|
{
|
|
if(Trade.PositionClose(PositionGetInteger(POSITION_TICKET)))
|
|
{
|
|
value -= pvalue;
|
|
i--;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if(Trade.PositionClosePartial(PositionGetInteger(POSITION_TICKET), value))
|
|
value = 0;
|
|
}
|
|
}
|
|
//---
|
|
return (value <= 0);
|
|
}
|
|
#endif
|
|
//+------------------------------------------------------------------+
|