Trading Output
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Luis Fernando Molina committed
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exports.newTradingOutput = function (processIndex, tradingEngineModule) {
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/*
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This module will load if necesary all the data outputs so that they can be appended with new
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records if needed. After running the simulation, it will save all the data outputs.
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*/
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const MODULE_NAME = 'Trading Output'
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let thisObject = {
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initialize: initialize,
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finalize: finalize,
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start: start
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}
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let fileStorage = TS.projects.superalgos.taskModules.fileStorage.newFileStorage(processIndex)
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return thisObject
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function finalize() {
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thisObject = undefined
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utilities = undefined
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fileStorage = undefined
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commons = undefined
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}
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function initialize() {
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}
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async function start(chart, timeFrame, timeFrameLabel, tradingProcessDate) {
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try {
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if (timeFrame > TS.projects.superalgos.globals.timeFrames.dailyFilePeriods()[0][0]) {
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TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES = false
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} else {
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TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES = true
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}
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/* Preparing everything for the Simulation */
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const TRADING_SIMULATION = require('./TradingSimulation.js')
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let tradingSimulation = TRADING_SIMULATION.newTradingSimulation(processIndex, tradingEngineModule)
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let outputDatasets = TS.projects.superalgos.utilities.nodeFunctions.nodeBranchToArray(TS.projects.superalgos.globals.taskConstants.TASK_NODE.bot.processes[processIndex].referenceParent.processOutput, 'Output Dataset')
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let outputDatasetsMap = new Map()
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES === true) {
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/*
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For Daily Files, we are going to initialize the outputs at the first execution
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if we are not resuming, but also at every following execution except when
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we are at the head of the market, because at the head of the market we need to
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append more data to the same output files that already exists.
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*/
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
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await initializeOutputs()
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} else {
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.headOfTheMarket.value === true) {
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await readFiles()
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} else {
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await initializeOutputs()
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}
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}
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} else {
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/*
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Form Market Files, we are only going to initialize the outputs at the first run
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and if we are not resuming execution. Subsequent runs means that we are at the
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head of the market. Remember that backtests finishes the session once the reach
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the final datetime.
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*/
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
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await initializeOutputs()
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} else {
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await readFiles()
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}
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}
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await tradingSimulation.runSimulation(
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chart,
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outputDatasetsMap,
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writeFiles
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)
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tradingSimulation.finalize()
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return
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async function initializeOutputs() {
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES) {
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await initializeDailyFiles()
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} else {
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await initializeMarketFiles()
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}
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}
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async function initializeDailyFiles() {
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for (let i = 0; i < outputDatasets.length; i++) {
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let outputDatasetNode = outputDatasets[i]
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let dataset = outputDatasetNode.referenceParent
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if (dataset.config.type === 'Daily Files') {
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outputDatasetsMap.set(dataset.parentNode.config.codeName, [])
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}
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}
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}
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async function initializeMarketFiles() {
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for (let i = 0; i < outputDatasets.length; i++) {
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let outputDatasetNode = outputDatasets[i]
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let dataset = outputDatasetNode.referenceParent
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if (dataset.config.type === 'Market Files') {
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outputDatasetsMap.set(dataset.parentNode.config.codeName, [])
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}
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}
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}
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async function readFiles() {
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/*
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This bot have an output of files that it generates. At every call to the bot, it needs to read the previously generated
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files in order to later append more information after the execution is over. Here in this function we are going to
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read those output files and get them ready for appending content during the simulation.
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*/
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES) {
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await readDailyFiles()
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} else {
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await readMarketFiles()
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}
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}
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async function readMarketFiles() {
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for (let i = 0; i < outputDatasets.length; i++) {
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let outputDatasetNode = outputDatasets[i]
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let dataset = outputDatasetNode.referenceParent
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if (dataset.config.type === 'Market Files') {
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let fileName = 'Data.json'
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let filePath = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).FILE_PATH_ROOT + '/Output/' + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_FOLDER_NAME + '/' + dataset.parentNode.config.codeName + '/' + dataset.config.codeName + '/' + timeFrameLabel
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await readOutputFile(fileName, filePath, dataset.parentNode.config.codeName)
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}
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}
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}
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async function readDailyFiles() {
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for (let i = 0; i < outputDatasets.length; i++) {
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let outputDatasetNode = outputDatasets[i]
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let dataset = outputDatasetNode.referenceParent
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if (dataset.config.type === 'Daily Files') {
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let dateForPath = tradingProcessDate.getUTCFullYear() + '/' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(tradingProcessDate.getUTCMonth() + 1, 2) + '/' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(tradingProcessDate.getUTCDate(), 2);
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let fileName = 'Data.json'
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let filePath = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).FILE_PATH_ROOT + '/Output/' + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_FOLDER_NAME + '/' + dataset.parentNode.config.codeName + '/' + dataset.config.codeName + '/' + timeFrameLabel + "/" + dateForPath
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await readOutputFile(fileName, filePath, dataset.parentNode.config.codeName)
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}
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}
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}
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async function readOutputFile(fileName, filePath, productName) {
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filePath += '/' + fileName
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let response = await fileStorage.asyncGetTextFile(filePath, true)
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if (response.err.message === 'File does not exist.') {
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outputDatasetsMap.set(productName, [])
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return
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}
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if (response.err.result !== TS.projects.superalgos.globals.standardResponses.DEFAULT_OK_RESPONSE.result) {
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throw(response.err)
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}
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outputDatasetsMap.set(productName, JSON.parse(response.text))
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}
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async function writeFiles() {
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/*
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The output of files which were appended with information during the simulation execution, now needs to be saved.
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*/
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES) {
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await writeDailyFiles()
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} else {
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await writeMarketFiles()
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}
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}
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async function writeMarketFiles() {
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for (let i = 0; i < outputDatasets.length; i++) {
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let outputDatasetNode = outputDatasets[i]
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let dataset = outputDatasetNode.referenceParent
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if (dataset.config.type === 'Market Files') {
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let fileName = 'Data.json'
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let filePath = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).FILE_PATH_ROOT + '/Output/' + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_FOLDER_NAME + '/' + dataset.parentNode.config.codeName + '/' + dataset.config.codeName + '/' + timeFrameLabel
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await writeOutputFile(fileName, filePath, dataset.parentNode.config.codeName)
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}
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}
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}
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async function writeDailyFiles() {
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for (let i = 0; i < outputDatasets.length; i++) {
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let outputDatasetNode = outputDatasets[i]
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let dataset = outputDatasetNode.referenceParent
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if (dataset.config.type === 'Daily Files') {
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let dateForPath = tradingProcessDate.getUTCFullYear() + '/' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(tradingProcessDate.getUTCMonth() + 1, 2) + '/' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(tradingProcessDate.getUTCDate(), 2);
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let fileName = 'Data.json'
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let filePath = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).FILE_PATH_ROOT + '/Output/' + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_FOLDER_NAME + '/' + dataset.parentNode.config.codeName + '/' + dataset.config.codeName + '/' + timeFrameLabel + "/" + dateForPath
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await writeOutputFile(fileName, filePath, dataset.parentNode.config.codeName)
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}
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}
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}
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async function writeOutputFile(fileName, filePath, productName) {
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filePath += '/' + fileName
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let fileContent = JSON.stringify(outputDatasetsMap.get(productName))
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let response = await fileStorage.asyncCreateTextFile(filePath, fileContent)
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if (response.err.result !== TS.projects.superalgos.globals.standardResponses.DEFAULT_OK_RESPONSE.result) {
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throw(response.err)
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}
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}
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} catch (err) {
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] start -> err = ' + err.stack)
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throw(TS.projects.superalgos.globals.standardResponses.DEFAULT_FAIL_RESPONSE)
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}
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}
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}
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