okWarrior_EA/references/MQL5/Experts/AutoBots/Research.mq5

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+

//|                                                     Research.mq5 |

//|                                                   Copyright DNG<EFBFBD> |

//|                                https://www.mql5.com/en/users/dng |

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

#property copyright "Copyright DNG<00>"

#property link      "https://www.mql5.com/en/users/dng"

#property version   "1.00"

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

//| Includes                                                         |

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

#include "Trajectory.mqh"

#include <Trade\Trade.mqh>

#include <Trade\SymbolInfo.mqh>

#include <Indicators\Oscilators.mqh>

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

//| Input parameters                                                 |

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

input ENUM_TIMEFRAMES      TimeFrame   =  PERIOD_H1;

input double               MinProfit   =  10;

//---

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

input int                  Agent = 1;

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

//|                                                                  |

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

SState               sState;

STrajectory          Base;

STrajectory          Buffer[];

STrajectory          Frame[1];

CNet                 Autobot;

CNet                 StateEncoder;

CNet                 Actor;

CNet                 Goal;

//---

float                dError;

datetime             dtStudied;

//---

CSymbolInfo          Symb;

CTrade               Trade;

//---

MqlRates             Rates[];

CiRSI                RSI;

CiCCI                CCI;

CiATR                ATR;

CiMACD               MACD;

//---

CBufferFloat         bState;

CBufferFloat         bOnes;

CBufferFloat         bAccount;

CBufferFloat         *Result;

vector<float>        check;

double               PrevBalance = 0;

double               PrevEquity = 0;

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

//| Expert initialization function                                   |

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

int OnInit()

  {

//---

   if(!Symb.Name(_Symbol))

      return INIT_FAILED;

   Symb.Refresh();

//---

   if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))

      return INIT_FAILED;

//---

   if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))

      return INIT_FAILED;

//---

   if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))

      return INIT_FAILED;

//---

   if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))

      return INIT_FAILED;

   if(!RSI.BufferResize(HistoryBars) || !CCI.BufferResize(HistoryBars) ||

      !ATR.BufferResize(HistoryBars) || !MACD.BufferResize(HistoryBars))

     {

      PrintFormat("%s -> %d", __FUNCTION__, __LINE__);

      return INIT_FAILED;

     }

//---

   if(!Trade.SetTypeFillingBySymbol(Symb.Name()))

      return INIT_FAILED;

//--- load models

   float temp;

   if(!Autobot.Load(FileName + "Traj.nnw", temp, temp, temp, dtStudied, true))

     {

      CArrayObj *autobot = new CArrayObj();

      if(!CreateTrajNetDescriptions(autobot))

        {

         delete autobot;

         return INIT_FAILED;

        }

      if(!Autobot.Create(autobot))

        {

         delete autobot;

         return INIT_FAILED;

        }

      delete autobot;

      //---

     }

   if(!StateEncoder.Load(FileName + "StEnc.nnw", temp, temp, temp, dtStudied, true) ||

      !Goal.Load(FileName + "Goal.nnw", temp, temp, temp, dtStudied, true) ||

      !Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))

     {

      CArrayObj *actor = new CArrayObj();

      CArrayObj *goal = new CArrayObj();

      CArrayObj *encoder = new CArrayObj();

      if(!CreateDescriptions(actor, goal, encoder))

        {

         delete actor;

         delete goal;

         delete encoder;

         return INIT_FAILED;

        }

      if(!Actor.Create(actor) || !StateEncoder.Create(encoder) || !Goal.Create(goal))

        {

         delete actor;

         delete goal;

         delete encoder;

         return INIT_FAILED;

        }

      delete actor;

      delete goal;

      delete encoder;

      //---

     }

//---

   StateEncoder.SetOpenCL(Actor.GetOpenCL());

   Autobot.SetOpenCL(Actor.GetOpenCL());

   Goal.SetOpenCL(Actor.GetOpenCL());

   Autobot.TrainMode(false);

//---

   Actor.getResults(Result);

   if(Result.Total() != NActions)

     {

      PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", NActions, Result.Total());

      return INIT_FAILED;

     }

//---

   Autobot.getResults(Result);

   if(Result.Total() != PrecoderBars * 3)

     {

      PrintFormat("The scope of the Autobot does not match precoder bars (%d <> %d)", PrecoderBars * 3, Result.Total());

      return INIT_FAILED;

     }

//---

   Autobot.GetLayerOutput(0, Result);

   if(Result.Total() != (HistoryBars * BarDescr))

     {

      PrintFormat("Input size of Autobot doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));

      return INIT_FAILED;

     }

//---

   StateEncoder.GetLayerOutput(0, Result);

   if(Result.Total() != PrecoderBars * 3)

     {

      PrintFormat("Input size of State Encoder doesn't match precoder bars  (%d <> %d)", Result.Total(), PrecoderBars * 3);

      return INIT_FAILED;

     }

//---

   StateEncoder.getResults(Result);

   int latent_state = Result.Total();

   Actor.GetLayerOutput(0, Result);

   if(Result.Total() != latent_state)

     {

      PrintFormat("Input size of Actor doesn't match output State Encoder (%d <> %d)", Result.Total(), latent_state);

      return INIT_FAILED;

     }

//---

   Goal.GetLayerOutput(0, Result);

   latent_state = Result.Total();

   Autobot.getResults(Result);

   if(Result.Total() != latent_state)

     {

      PrintFormat("Input size of Goal doesn't match output Autobot (%d <> %d)", Result.Total(), latent_state);

      return INIT_FAILED;

     }

//---

   Goal.getResults(Result);

   if(Result.Total() != NRewards)

     {

      PrintFormat("The scope of Goal doesn't match rewards count (%d <> %d)", Result.Total(), NRewards);

      return INIT_FAILED;

     }

//---

   if(!bOnes.BufferInit(EmbeddingSize, 1) ||

      !bOnes.BufferCreate(Autobot.GetOpenCL()))

     {

      PrintFormat("Error of create buffers: %d", GetLastError());

      return INIT_FAILED;

     }

//---

   PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);

   PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);

//---

   return(INIT_SUCCEEDED);

  }

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

//| Expert deinitialization function                                 |

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

void OnDeinit(const int reason)

  {

//---

   delete Result;

  }

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

//| Expert tick function                                             |

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

void OnTick()

  {

//---

   if(!IsNewBar())

      return;

//---

   int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);

   if(!ArraySetAsSeries(Rates, true))

      return;

//---

   RSI.Refresh();

   CCI.Refresh();

   ATR.Refresh();

   MACD.Refresh();

   Symb.Refresh();

   Symb.RefreshRates();

//---

   float atr = 0;

   for(int b = 0; b < (int)HistoryBars; b++)

     {

      float open = (float)Rates[b].open;

      float rsi = (float)RSI.Main(b);

      float cci = (float)CCI.Main(b);