NN_in_Trading/Experts/Unsupervised/AE/vae2.mq5

//+------------------------------------------------------------------+
//|                                                      pca_net.mq5 |
//|                                              Copyright 2022, DNG |
//|                                https://www.mql5.com/ru/users/dng |
//+------------------------------------------------------------------+
#property copyright "Copyright 2022, DNG"
#property link      "https://www.mql5.com/ru/users/dng"
#property version   "1.00"
//+------------------------------------------------------------------+
//| Includes                                                         |
//+------------------------------------------------------------------+
#include "..\..\NeuroNet_DNG\NeuroNet.mqh"
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
//---
#define FileName        Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0)-1)
#define CSV             __FILE__+".csv"
//---
enum ENUM_SIGNAL
  {
   Sell = -1,
   Undefine = 0,
   Buy = 1
  };
//+------------------------------------------------------------------+
//|   input parameters                                               |
//+------------------------------------------------------------------+
input int                  StudyPeriod =  15;            //Study period, years
input uint                 HistoryBars =  40;            //Depth of history
input ENUM_TIMEFRAMES            TimeFrame   =  PERIOD_CURRENT;
//---
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
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
CSymbolInfo         *Symb;
MqlRates            Rates[];
CBufferFloat        *TempData;
CiRSI               *RSI;
CiCCI               *CCI;
CiATR               *ATR;
CiMACD              *MACD;
CNet                *Net;
//---
float                dError;
datetime             dtStudied;
bool                 bEventStudy;
//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit()
  {
//---
   Symb = new CSymbolInfo();
   if(CheckPointer(Symb) == POINTER_INVALID || !Symb.Name(_Symbol))
      return INIT_FAILED;
   Symb.Refresh();
//---
   RSI = new CiRSI();
   if(CheckPointer(RSI) == POINTER_INVALID || !RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
      return INIT_FAILED;
//---
   CCI = new CiCCI();
   if(CheckPointer(CCI) == POINTER_INVALID || !CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
      return INIT_FAILED;
//---
   ATR = new CiATR();
   if(CheckPointer(ATR) == POINTER_INVALID || !ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
      return INIT_FAILED;
//---
   MACD = new CiMACD();
   if(CheckPointer(MACD) == POINTER_INVALID || !MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
      return INIT_FAILED;
//---
   Net = new CNet(NULL);
   ResetLastError();
   float temp1, temp2;
   if(CheckPointer(Net) == POINTER_INVALID || !Net.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, false))
     {
      printf("%s - %d -> Error of read %s prev Net %d", __FUNCTION__, __LINE__, FileName + ".nnw", GetLastError());
      return INIT_FAILED;
     }
//---
   TempData = new CBufferFloat();
   if(CheckPointer(TempData) == POINTER_INVALID)
      return INIT_FAILED;
//---
   bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * 10)), dtStudied)), 0, "Init");
//---
   return(INIT_SUCCEEDED);
  }
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
//---
   if(CheckPointer(Symb) != POINTER_INVALID)
      delete Symb;
//---
   if(CheckPointer(RSI) != POINTER_INVALID)
      delete RSI;
//---
   if(CheckPointer(CCI) != POINTER_INVALID)
      delete CCI;
//---
   if(CheckPointer(ATR) != POINTER_INVALID)
      delete ATR;
//---
   if(CheckPointer(MACD) != POINTER_INVALID)
      delete MACD;
//---
   if(CheckPointer(Net) != POINTER_INVALID)
      delete Net;
//---
   if(CheckPointer(TempData) != POINTER_INVALID)
      delete TempData;
  }
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick()
  {
//---
   if(!bEventStudy && (dtStudied < SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE)))
      bEventStudy = EventChartCustom(ChartID(), 1, (long)0, 0, "New Bar");
//---
  }
//+------------------------------------------------------------------+
//| Trade function                                                   |
//+------------------------------------------------------------------+
void OnTrade()
  {
//---
  }
//+------------------------------------------------------------------+
//| TradeTransaction function                                        |
//+------------------------------------------------------------------+
void OnTradeTransaction(const MqlTradeTransaction& trans,
                        const MqlTradeRequest& request,
                        const MqlTradeResult& result)
  {
//---
  }
//+------------------------------------------------------------------+
//| ChartEvent function                                              |
//+------------------------------------------------------------------+
void OnChartEvent(const int id,
                  const long &lparam,
                  const double &dparam,
                  const string &sparam)
  {
//---
   if(id == 1001)
     {
      Train(lparam);
      bEventStudy = false;
      OnTick();
     }
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void Train(datetime StartTrainBar = 0)
  {
   int count = 0;
//---
   MqlDateTime start_time;
   TimeCurrent(start_time);
   start_time.year -= StudyPeriod;
   if(start_time.year <= 0)
      start_time.year = 1900;
   datetime st_time = StructToTime(start_time);
   dtStudied = MathMax(StartTrainBar, st_time);
   ulong last_tick = 0;
//---
   double prev_er = DBL_MAX;
   datetime bar_time = 0;
   bool stop = IsStopped();
   int handle = FileOpen("VAE_latent.csv", FILE_WRITE | FILE_CSV);
//---
   int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
   prev_er = dError;
//---
   if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
     {
      ExpertRemove();
      return;
     }
   if(!ArraySetAsSeries(Rates, true))
     {
      ExpertRemove();
      return;
     }
   RSI.Refresh(OBJ_ALL_PERIODS);
   CCI.Refresh(OBJ_ALL_PERIODS);
   ATR.Refresh(OBJ_ALL_PERIODS);
   MACD.Refresh(OBJ_ALL_PERIODS);
//---
   int total = bars - (int)HistoryBars;
   matrix data;
   if(!data.Init(total, 12 * HistoryBars))
     {
      ExpertRemove();
      return;
     }
//---
   MqlDateTime sTime;
   for(int i = 0; i < total; i++)
     {
      Comment(StringFormat("Create data: %d of %d", i, total));
      for(int b = 0; b < (int)HistoryBars; b++)
        {
         int bar = i + b;
         int shift = b * 12;
         double open = Rates[bar].open;
         TimeToStruct(Rates[bar].time, sTime);
         data[i, shift + 0] = open - Rates[bar].low;
         data[i, shift + 1] = Rates[bar].high - open;
         data[i, shift + 2] = Rates[bar].close - open;
         data[i, shift + 3] = RSI.GetData(MAIN_LINE, bar);
         data[i, shift + 4] = CCI.GetData(MAIN_LINE, bar);
         data[i, shift + 5] = ATR.GetData(MAIN_LINE, bar);
         data[i, shift + 6] = MACD.GetData(MAIN_LINE, bar);
         data[i, shift + 7] = MACD.GetData(SIGNAL_LINE, bar);
         data[i, shift + 8] = (double)Rates[bar].tick_volume / 1000.0;
         data[i, shift + 9] = sTime.hour;
         data[i, shift + 10] = sTime.day_of_week;
         data[i, shift + 11] = sTime.mon;
        }
     }
//---
     {
      //---
      stop = IsStopped();
      bool add_loop = false;
      for(int it = 0; it < 1000 && !stop; it++)
        {
         if((GetTickCount64() - last_tick) >= 250)
           {
            string com = StringFormat("Calculation -> %d of %d -> %.2f%%", it + 1, 1000, (double)(it + 1.0) / 1000 * 100);
            Comment(com);
            last_tick = GetTickCount64();
           }
         int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (total) + HistoryBars / 2);
         TempData.Clear();
         int r = i + (int)HistoryBars;
         if(r > bars)
            continue;
         //---
         for(int b = 0; b < (int)HistoryBars; b++)
           {
            int bar_t = r - b;
            double open = Rates[bar_t].open;
            TimeToStruct(Rates[bar_t].time, sTime);
            float rsi = (float)RSI.Main(bar_t);
            float cci = (float)CCI.Main(bar_t);
            float atr = (float)ATR.Main(bar_t);
            float macd = (float)MACD.Main(bar_t);
            float sign = (float)MACD.Signal(bar_t);
            if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
               continue;
            //---
            if(!TempData.Add((float)(Rates[bar_t].close - open)) || !TempData.Add((float)(Rates[bar_t].high - open)) || !TempData.Add((float)(Rates[bar_t].low - open)) || !TempData.Add((float)(Rates[bar_t].tick_volume / 1000.0)) ||
               !TempData.Add(sTime.hour) || !TempData.Add(sTime.day_of_week) || !TempData.Add(sTime.mon) ||
               !TempData.Add(rsi) || !TempData.Add(cci) || !TempData.Add(atr) || !TempData.Add(macd) || !TempData.Add(sign))
               break;
           }
         if(TempData.Total() < (int)HistoryBars * 12)
            continue;
         Net.feedForward(TempData, 12, true, (CBufferFloat*)NULL);
         TempData.Clear();
         if(!Net.GetLayerOutput(6, TempData))
            break;
         //---
         bool sell = (Rates[i - 1].high <= Rates[i].high && Rates[i + 1].high < Rates[i].high);
         bool buy = (Rates[i - 1].low >= Rates[i].low && Rates[i + 1].low > Rates[i].low);
         if(buy && sell)
            buy = sell = false;
         //---
         FileWrite(handle, (buy ? DoubleToString(TempData.At(0)) : " "), (buy ? DoubleToString(TempData.At(1)) : " "),
                   (sell ? DoubleToString(TempData.At(0)) : " "), (sell ? DoubleToString(TempData.At(1)) : " "),
                   (!(buy || sell) ? DoubleToString(TempData.At(0)) : " "),
                   (!(buy || sell) ? DoubleToString(TempData.At(1)) : " "));
         stop = IsStopped();
        }
     }
//---
   FileClose(handle);
   Comment("");
   ExpertRemove();
  }
//+------------------------------------------------------------------+