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();

  }

//+------------------------------------------------------------------+