//+------------------------------------------------------------------+
//|                                          Check_Gradient_lstm.mq5 |
//|                                  Copyright 2021, MetaQuotes Ltd. |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2021, MetaQuotes Ltd."
#property link      "https://www.mql5.com"
#property version   "1.00"
#property script_show_inputs
//+------------------------------------------------------------------+
//| Внешние параметры для работы скрипта                             |
//+------------------------------------------------------------------+
input string   StudyFileName = "study_data.csv";// Имя файла с обучающей выборкой
input int      BarsToLine = 40;                 // Количество исторических баров в одном паттерне
input bool     UseOpenCL   =  true;             // Использовать OpenCL
//+------------------------------------------------------------------+
//| Подключаем библиотеку нейронной сети                             |
//+------------------------------------------------------------------+
#include <NeuroNetworksBook\realization\neuronnet.mqh>
CNet *net;
//+------------------------------------------------------------------+
//| Начало программы скрипта                                         |
//+------------------------------------------------------------------+
void OnStart()
  {
//---
   CArrayObj *layers = new CArrayObj();
   if(CheckPointer(layers) == POINTER_INVALID)
     {
      PrintFormat("Error of create CArrayObj: %d", GetLastError());
      return;
     }
//--- Слой исходных данных
   CLayerDescription *descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronBase;
   descr.count = 4 * BarsToLine;
   descr.window = 0;
   descr.activation = ACT_None;
   descr.optimization = None;
   if(!layers.Add(descr))
     {
      PrintFormat("Error of add layer: %d", GetLastError());
      delete layers;
      delete descr;
      return;
     }
//--- Реккурентный слой
   descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronLSTM;
   descr.count = BarsToLine;
   descr.window_out = 2;
   descr.activation = ACT_None;
   descr.optimization = Adam;
   descr.activation_params[0] = 1;
   if(!layers.Add(descr))
     {
      PrintFormat("Error of add layer: %d", GetLastError());
      delete layers;
      delete descr;
      return;
     }
//---  Слой результатов
   descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronBase;
   descr.count = 1;
   descr.activation = ACT_LINE;
   descr.optimization = Adam;
   descr.activation_params[0] = 1;
   descr.activation_params[1] = 0;
   if(!layers.Add(descr))
     {
      PrintFormat("Error of add layer: %d", GetLastError());
      delete layers;
      delete descr;
      return;
     }
//--- Инициализируем нейронную сеть
   net = new CNet();
   if(CheckPointer(net) == POINTER_INVALID)
     {
      PrintFormat("Error of create Net: %d", GetLastError());
      delete layers;
      return;
     }
//---
   if(!net.Create(layers, 3.0e-4, 0.9, 0.999, ENUM_LOSS_MSE, 0, 0))
     {
      PrintFormat("Error of init Net: %d", GetLastError());
      delete layers;
      delete net;
      return;
     }
   delete layers;
   net.UseOpenCL(UseOpenCL);
   PrintFormat("Use OpenCL %s", (string)net.UseOpenCL());
//--- Открываем файл и считываем один паттерн исходных данных
   int handle = FileOpen(StudyFileName, FILE_READ | FILE_CSV | FILE_ANSI, ",", CP_UTF8);
   if(handle == INVALID_HANDLE)
     {
      PrintFormat("Error of open study data file: %d", GetLastError());
      delete net;
      return;
     }
//--- Создаем буфер для считывания исходных данных
   CArrayDouble *pattern = new CArrayDouble();
   if(CheckPointer(pattern) == POINTER_INVALID)
     {
      PrintFormat("Error of create Pattern data array: %d", GetLastError());
      delete net;
      return;
     }
   if(!FileIsEnding(handle) && !IsStopped())
     {
      for(int i = 0; i < 4 * BarsToLine; i++)
        {
         if(!pattern.Add(FileReadNumber(handle)))
           {
            PrintFormat("Error of read study data from file: %d", GetLastError());
            delete net;
            delete pattern;
            return;
           }
        }
     }
   FileClose(handle);
//--- Делаем прямой и обратный проход для получения аналитических градиентов
   const double delta = 1.0e-5;
   double dd = 0;
   CArrayDouble *init_pattern = new CArrayDouble();
   init_pattern.AssignArray(pattern);
   if(!net.FeedForward(pattern))
     {
      PrintFormat("Error in FeedForward: %d", GetLastError());
      delete net;
      delete pattern;
      delete init_pattern;
      return;
     }
   CBufferDouble *etalon_result = new CBufferDouble();
   if(!net.GetResults(etalon_result))
     {
      PrintFormat("Error in GetResult: %d", GetLastError());
      delete net;
      delete pattern;
      delete init_pattern;
      delete etalon_result;
      return;
     }
//--- Создвем буфер результатов
   CBufferDouble *target = new CBufferDouble();
   if(CheckPointer(target) == POINTER_INVALID)
     {
      PrintFormat("Error of create Pattern Target array: %d", GetLastError());
      delete net;
      delete pattern;
      delete init_pattern;
      delete etalon_result;
      return;
     }
//--- Сохраняем в отдельные буферы полученные данные
   target.AssignArray(etalon_result);
   target.Update(0, etalon_result.At(0) + delta);
   if(!net.Backpropagation(target))
     {
      PrintFormat("Error in Backpropagation: %d", GetLastError());
      delete net;
      delete pattern;
      delete init_pattern;
      delete etalon_result;
      delete target;
      return;
     }
   CBufferDouble *input_gradient = net.GetGradient(0);
   CBufferDouble *weights = net.GetWeights(1);
   CBufferDouble *weights_gradient = net.GetDeltaWeights(1);
//--- В цикле поочередно изменяем элементы исходных данных и сравниваем эмпирический результат с значением аналитического метода
   for(int k = 0; k < 4 * BarsToLine; k++)
     {
      pattern.AssignArray(init_pattern);
      pattern.Update(k, init_pattern.At(k) + delta);
      if(!net.FeedForward(pattern))
        {
         PrintFormat("Error in FeedForward: %d", GetLastError());
         delete net;
         delete pattern;
         delete init_pattern;
         delete etalon_result;
         delete target;
         return;
        }
      if(!net.GetResults(target))
        {
         PrintFormat("Error in GetResult: %d", GetLastError());
         delete net;
         delete pattern;
         delete init_pattern;
         delete etalon_result;
         delete target;
         return;
        }
      double d = target.At(0) - etalon_result.At(0);
      pattern.Update(k, init_pattern.At(k) - delta);
      if(!net.FeedForward(pattern))
        {
         PrintFormat("Error in FeedForward: %d", GetLastError());
         delete net;
         delete pattern;
         delete init_pattern;
         delete etalon_result;
         delete target;
         return;
        }
      if(!net.GetResults(target))
        {
         PrintFormat("Error in GetResult: %d", GetLastError());
         delete net;
         delete pattern;
         delete init_pattern;
         delete etalon_result;
         delete target;
         return;
        }
      d -= target.At(0) - etalon_result.At(0);
      d /= (2 * delta);
      dd += input_gradient.At(k) / delta - d;
     }
   delete pattern;
//--- Выводим в журнал суммарное значение отклонений на уровне исходных данных
   PrintFormat("Delta at input gradient between methods %.5e", dd);
//--- Перед выходом из скрипта очищаем память
   delete init_pattern;
   delete etalon_result;
   delete target;
//---
   delete net;
  }
//+------------------------------------------------------------------+