Running with more than one trigger on
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Luis Fernando Molina committed
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@@ -252,7 +252,7 @@ exports.newSnapshots = function newSnapshots(bot, logger) {
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function getResults(openDatetime, closeDatetime) {
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let closeHeaders = ['Trade Number', 'Open Datetime', 'Close Datetime', 'Strategy Name', 'Trigger On Situation', 'Take Position Situation', 'Result', 'ROI', 'Exit Type']
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let closeHeaders = ['Trade Number', 'Open Datetime', 'Close Datetime', 'Strategy Name', 'Trigger On Situation', 'Take Position Situation', 'Result In Base Asset', 'Result In Quoted Asset', 'ROI in Base Asset', 'ROI in Quoted Asset', 'Exit Type']
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closeValues = [
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tradingEngine.episode.episodeCounters.positions.value, // Position Number
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(new Date(openDatetime)).toISOString(), // Open Datetime
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@@ -260,8 +260,10 @@ exports.newSnapshots = function newSnapshots(bot, logger) {
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tradingEngine.current.strategy.strategyName.value, // Strategy Name
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tradingEngine.current.strategy.situationName.value, // Trigger On Situation
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tradingEngine.current.position.situationName.value, // Take Position Situation
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tradingEngine.current.position.positionStatistics.hitFail.value, // Result
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tradingEngine.current.position.positionStatistics.ROI.value, // ROI
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tradingEngine.current.position.positionBaseAsset.hitFail.value, // Result in Base Asset
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tradingEngine.current.position.positionQuotedAsset.hitFail.value, // Result in Base Asset
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tradingEngine.current.position.positionBaseAsset.ROI.value, // ROI in Base Asseet
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tradingEngine.current.position.positionQuotedAsset.ROI.value, // ROI in Quoted Asset
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tradingEngine.current.position.exitType.value // Exit Type
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]
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@@ -164,7 +164,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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if (situationName !== undefined) {
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/* Open a new order */
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await tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName)
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await tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, traingEngineOrderAsset, situationName)
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}
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}
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break
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@@ -205,7 +205,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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}
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}
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async function tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
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async function tryToOpenOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, traingEngineOrderAsset, situationName) {
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calculateOrderRate()
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calculateOrderSize()
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@@ -246,17 +246,10 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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if (tradingSystemOrder.positionRate.formula !== undefined) {
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tradingEngineOrder.rate.value = tradingSystem.formulas.get(tradingSystemOrder.positionRate.formula.id)
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if (tradingEngineOrder.rate.value === undefined) {
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const errorText = 'Rate cannot be undefined. Fix this please.'
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tradingSystem.errors.push([tradingSystemOrder.positionRate.formula.id, errorText])
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throw (errorText)
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}
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if (tradingEngineOrder.rate.value === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value === undefined', tradingEngineOrder) }
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if (isNaN(tradingEngineOrder.rate.value) === true) { badDefinitionUnhandledException(undefined, 'isNaN(tradingEngineOrder.rate.value) === true', tradingEngineOrder) }
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if (tradingEngineOrder.rate.value <= 0) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.rate.value <= 0', tradingEngineOrder) }
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if (tradingEngineOrder.rate.value <= 0) {
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const errorText = 'Rate cannot be less or equal to zero. Fix this please.'
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tradingSystem.errors.push([tradingSystemOrder.positionRate.formula.id, errorText])
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throw (errorText)
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}
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tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
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}
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}
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@@ -271,50 +264,23 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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let sizeFormula
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if (tradingEngine.current.position.positionBaseAsset.size.value > 0) {
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/* Position was defined in Base Asset */
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if (executionAlgorithm.sizeInBaseAsset !== undefined) {
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if (executionAlgorithm.sizeInBaseAsset.formula !== undefined) {
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sizeFormula = executionAlgorithm.sizeInBaseAsset.formula
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} else {
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const errorText = 'Size In Base Asset needs a child Formula. Fix this please.'
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tradingSystem.errors.push([executionAlgorithm.sizeInBaseAsset.id, errorText])
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throw (errorText)
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}
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} else {
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const errorText = 'Execution Algorithm needs a child Size In Base Asset. Fix this please.'
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tradingSystem.errors.push([executionAlgorithm.id, errorText])
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throw (errorText)
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}
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if (executionAlgorithm.sizeInBaseAsset === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.sizeInBaseAsset === undefined', executionAlgorithm) }
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if (executionAlgorithm.sizeInBaseAsset.formula === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.sizeInBaseAsset.formula === undefined', executionAlgorithm.sizeInBaseAsset) }
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sizeFormula = executionAlgorithm.sizeInBaseAsset.formula
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} else {
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/* Position was defined in Quoted Asset */
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if (executionAlgorithm.sizeInQuotedAsset !== undefined) {
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if (executionAlgorithm.sizeInQuotedAsset.formula !== undefined) {
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sizeFormula = executionAlgorithm.sizeInQuotedAsset.formula
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} else {
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const errorText = 'Size In Quoted Asset needs a child Formula. Fix this please.'
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tradingSystem.errors.push([executionAlgorithm.sizeInQuotedAsset.id, errorText])
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throw (errorText)
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}
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} else {
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const errorText = 'Execution Algorithm needs a child Size In Quoted Asset. Fix this please.'
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tradingSystem.errors.push([executionAlgorithm.id, errorText])
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throw (errorText)
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}
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if (executionAlgorithm.sizeInQuotedAsset === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.sizeInQuotedAsset === undefined', executionAlgorithm) }
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if (executionAlgorithm.sizeInQuotedAsset.formula === undefined) { badDefinitionUnhandledException(undefined, 'executionAlgorithm.sizeInQuotedAsset.formula === undefined', executionAlgorithm.sizeInBaseAsset) }
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sizeFormula = executionAlgorithm.sizeInQuotedAsset.formula
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}
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/* Order Size Calculation */
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let algorithmSize = tradingSystem.formulas.get(sizeFormula.id)
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if (algorithmSize === undefined) {
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const errorText = 'Execution Algorithm Size cannot be undefined. Fix this please.'
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tradingSystem.errors.push([sizeFormula.id, errorText])
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throw (errorText)
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}
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if (algorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'algorithmSize === undefined', sizeFormula) }
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if (isNaN(algorithmSize) === true) { badDefinitionUnhandledException(undefined, 'isNaN(algorithmSize) === true', sizeFormula) }
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/* Validate that this config exists */
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if (tradingSystemOrder.config.positionSizePercentage === undefined) {
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const errorText = 'Config positionSizePercentage does not exist. Fix this please.'
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tradingSystem.errors.push([tradingSystemOrder.id, errorText])
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throw (errorText)
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}
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if (tradingSystemOrder.config.positionSizePercentage === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.positionSizePercentage === undefined', executionAlgorithm) }
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traingEngineOrderAsset.size.value = algorithmSize * tradingSystemOrder.config.positionSizePercentage / 100
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traingEngineOrderAsset.size.value = global.PRECISE(traingEngineOrderAsset.size.value, 10)
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@@ -323,19 +289,19 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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if (
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tradingEngineStageAsset.size.value + traingEngineOrderAsset.size.value > stageSizeLimit.value) {
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/* We reduce the size to the remaining size of the position. */
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traingEngineOrderAsset.size.value = stageSizeLimit.value - tradingEngineStageAsset.value
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traingEngineOrderAsset.size.value = stageSizeLimit.value - tradingEngineStageAsset.size.value
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traingEngineOrderAsset.size.value = global.PRECISE(traingEngineOrderAsset.size.value, 10)
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}
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/* We are going to ESTIMATE the size in the oposite asset type, because we will need it later */
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switch (traingEngineOrderAsset.type) {
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case 'Order Base Asset': {
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tradingEngineOrder.orderQuotedAsset.size = tradingEngineOrder.orderBaseAsset.size * tradingEngineOrder.rate
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tradingEngineOrder.size.value = global.PRECISE(tradingEngineOrder.size.value, 10)
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.rate.value
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tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
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}
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case 'Order Quoted Asset': {
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tradingEngineOrder.orderBaseAsset.size = tradingEngineOrder.orderQuotedAsset.size / tradingEngineOrder.rate
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tradingEngineOrder.size.value = global.PRECISE(tradingEngineOrder.size.value, 10)
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
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tradingEngineOrder.orderBaseAsset.size.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.size.value, 10)
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}
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}
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}
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@@ -691,38 +657,38 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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function updateStageAssets() {
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/* Stage Base Asset: Undo the previous accounting */
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tradingEngineStage.stageBaseAsset.sizeFilled.value =
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tradingEngineStage.stageBaseAsset.value -
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tradingEngineStage.stageBaseAsset.sizeFilled.value -
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previousBaseAssetSizeFilled
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tradingEngineStage.stageBaseAsset.feesPaid.value =
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tradingEngineStage.feesPaid.value -
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tradingEngineStage.stageBaseAsset.feesPaid.value -
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previousBaseAssetFeesPaid
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/* Stage Base Asset: Account the current filling and fees */
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tradingEngineStage.stageBaseAsset.sizeFilled.value =
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tradingEngineStage.stageBaseAsset.value +
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tradingEngineStage.stageBaseAsset.sizeFilled.value +
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tradingEngineOrder.orderBaseAsset.sizeFilled.value
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tradingEngineStage.stageBaseAsset.feesPaid.value =
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tradingEngineStage.feesPaid.value +
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tradingEngineStage.stageBaseAsset.feesPaid.value +
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tradingEngineOrder.orderBaseAsset.feesPaid.value
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/* Stage Quote Asset: Undo the previous accounting */
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tradingEngineStage.stageQuotedAsset.sizeFilled.value =
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tradingEngineStage.stageQuotedAsset.value -
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tradingEngineStage.stageQuotedAsset.sizeFilled.value -
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previousQuotedAssetSizeFilled
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tradingEngineStage.stageQuotedAsset.feesPaid.value =
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tradingEngineStage.feesPaid.value -
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tradingEngineStage.stageQuotedAsset.feesPaid.value -
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previousQuotedAssetFeesPaid
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/* Stage Quote Asset: Account the current filling and fees */
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tradingEngineStage.stageQuotedAsset.sizeFilled.value =
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tradingEngineStage.stageQuotedAsset.value +
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tradingEngineStage.stageQuotedAsset.sizeFilled.value +
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value
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tradingEngineStage.stageQuotedAsset.feesPaid.value =
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tradingEngineStage.feesPaid.value +
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tradingEngineStage.stageQuotedAsset.feesPaid.value +
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tradingEngineOrder.orderQuotedAsset.feesPaid.value
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tradingEngineStage.stageBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizeFilled.value, 10)
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