//+------------------------------------------------------------------+
//|                                          Create_Initial_Data.mq5 |
//|                                  Copyright 2021, MetaQuotes Ltd. |
//|                                https://www.mql5.com/en/users/dng |
//+------------------------------------------------------------------+
//| Script creates training and testing datasets                     |
//+------------------------------------------------------------------+
#property copyright "Copyright 2021, MetaQuotes Ltd."
#property link      "https://www.mql5.com/en/users/dng"
#property version   "1.00"
#property script_show_inputs
//+------------------------------------------------------------------+
//| External parameters for script operation                         |
//+------------------------------------------------------------------+
input datetime Start = D'2022.01.01 00:00:00';  // Start of the population period
input datetime End = D'2024.07.01 23:59:00';    // End of the population period
input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;    // Timeframe for loading data
//input int      BarsToLine = 5;                 // Number of historical bars in one pattern
input string   StudyFileName = "study_pricedelt_data_norm.csv";// File name to write the training dataset
input string   TestFileName  = "test_pricedelt_data_norm.csv"; // File name to write the testing dataset
input bool     NormalizeData = true;            // Data normalization flag

//+------------------------------------------------------------------+
//| Script program start                                             |
//+------------------------------------------------------------------+
void OnStart(void)
  {
   double close[];
   if(CopyClose(_Symbol, TimeFrame, Start, End,close) <= 0)
      return;
   double open[];
   if(CopyOpen(_Symbol, TimeFrame, Start, End, open) <= 0)
      return;
   double high[];
   if(CopyHigh(_Symbol, TimeFrame, Start, End, high) <= 0)
      return;
   double low[];
   if(CopyLow(_Symbol, TimeFrame, Start, End, low) <= 0)
      return;

   int target1 = 0, target2 = 0;
   double target3 = 0;
   int total = ArraySize(close);
   int test[];
   double A[], B[], C[], D[];

   if(ArrayResize(test, total) <= 0 || ArrayResize(A, total) <= 0||
      ArrayResize(B, total) <= 0 || ArrayResize(C, total) <= 0 ||
      ArrayResize(D, total) <= 0)
      return;
   for(int i = 0; i<total; i++)
     {
      if(i > (total-4))
        {
         A[i] = A[i-1];
         B[i] = B[i-1];
         C[i] = C[i-1];
         D[i] = D[i-1];
        }
      else
        {
         A[i] = open[i]-high[i+1];
         B[i] = high[i+1]-close[i+1];
         C[i] = open[i+1]-low[i+1];
         D[i] = low[i+1]-open[i+3];
        }
     }
     
   if(NormalizeData)
     {
     
     double Asr, Bsr, Csr, Dsr;
      
      for(int i = 0; i<total-20; i++)
      {
        Asr = MathMax(A[ArrayMaximum(A, i, 20)], MathAbs(A[ArrayMinimum(A, i,20)]));
        
        Bsr = MathMax(B[ArrayMaximum(B, i, 20)], MathAbs(B[ArrayMinimum(B, i,20)]));;
        
        Csr = MathMax(C[ArrayMaximum(C, i, 20)], MathAbs(C[ArrayMinimum(C, i,20)]));
        
        Dsr = MathMax(D[ArrayMaximum(D, i, 20)], MathAbs(D[ArrayMinimum(D, i,20)]));
        
        
        A[i] /= Asr;
        B[i] /= Bsr;
        C[i] /= Csr;
        D[i] /= Dsr; 
      
      }
       for(int i = total-20; i<total; i++)
      {
        A[i] /= Asr;
        B[i] /= Bsr;
        C[i] /= Csr;
        D[i] /= Dsr;  
      
      }
      
}
   ArrayInitialize(test, 0);

//--- Randomly generate data indexes for the test dataset
   int for_test = (int)(total * 0.05);

   for(int i = 0; i < for_test; i++)
     {
      int t = (int)((double)(MathRand() * MathRand()) / MathPow(32767.0, 2) * (total - 5)) + 5;
      if(test[t] == 1)
        {
         i--;
         continue;
        }
      test[t] = 1;
      //test[i] = 1;
     }
//--- Open the training dataset file for writing
   int Study = FileOpen(StudyFileName, FILE_WRITE | FILE_CSV | FILE_ANSI, ",", CP_UTF8);
   if(Study == INVALID_HANDLE)
     {
      PrintFormat("Error opening file %s: %d", StudyFileName, GetLastError());
      return;
     }
//--- Open the testing dataset file for writing
   int Test = FileOpen(TestFileName, FILE_WRITE | FILE_CSV | FILE_ANSI, ",", CP_UTF8);
   if(Test == INVALID_HANDLE)
     {
      PrintFormat("Error opening file %s: %d", TestFileName, GetLastError());
      return;
     }
//--- Write datasets to files
   for(int i = 0; i < total-3; i++)
     {

      target1 = 0;
      target2 = 0;
      target3 = close[i] - close[i+1];

      if(target3 > 0)
        {
         target1 = 1;
         target2 = 0;
        }
      if(target3 < 0)
        {
         target1 = 0;
         target2 = 1;
        }
      
      if(!WriteData(A[i], B[i], C[i], D[i], target1, target2, target3,(test[i] == 1 ? Test : Study)))
        {
         PrintFormat("Error to write data: %d", GetLastError());
         break;
        }
     }
//--- Close files
   Comment("");
   FileFlush(Study);
   FileClose(Study);
   FileFlush(Test);
   FileClose(Test);
   PrintFormat("Study data saved to file %s\\MQL5\\Files\\%s",
               TerminalInfoString(TERMINAL_DATA_PATH), StudyFileName);
   PrintFormat("Test data saved to file %s\\MQL5\\Files\\%s",
               TerminalInfoString(TERMINAL_DATA_PATH), TestFileName);
  }
//+------------------------------------------------------------------+
//| Function for writing pattern to file                             |
//+------------------------------------------------------------------+
bool WriteData(double &data0,      // Buffer 1 of target values
               double &data1,        // Buffer 1 of historical data
               double &data2,        // Buffer 2 of historical data
               double &data3,        // Buffer 3 of historical data
               int    &dates0,
               int    &dates1,
               double &dates2,
               int handle)             // File handle for writing
  {
//--- Validate file handle
   if(handle == INVALID_HANDLE)
     {
      Print("Invalid Handle");
      return false;
     }

   string pattern = (string)data0 + ", "+
                    (string)data1 + ", "+
                    (string)data2 + ", "+
                    (string)data3 + ", "+
                    (string)dates0 + ", "+
                    (string)dates1 + ", "+
                    (string)dates2;

   return (FileWrite(handle, pattern) > 0);
  }
//+------------------------------------------------------------------+