Balance Problem Fixed
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Luis Fernando Molina committed
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@@ -48,7 +48,6 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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/* Enforcing Precision Limit */
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stageSizeLimit.value = global.PRECISE(stageSizeLimit.value, 10)
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stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
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stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
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await checkExecutionAlgorithms(executionNode)
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@@ -223,41 +222,18 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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/* Filter by what is defined at the Strategy */
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if (tradingSystemOrder.simulatedExchangeEvents === undefined) { return }
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/* Partial Fill Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
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/* Percentage Filled Calculation */
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let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
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if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
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percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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}
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tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
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if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = 'Filled'
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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}
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/* Filled Size Calculation */
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stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * percentageFilled / 100
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stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
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if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
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}
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}
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}
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let previousSizeFilled = tradingEngineOrder.orderStatistics.sizeFilled.value
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let previousPercentageFilled = tradingEngineOrder.orderStatistics.percentageFilled.value
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let previousAmountReceived = tradingEngineOrder.orderStatistics.amountReceived.value
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let previousFeesPaid = tradingEngineOrder.orderStatistics.feesPaid.value
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/* Actual Rate Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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/* Calculate this only once for this order */
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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}
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}
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}
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@@ -267,8 +243,59 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
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}
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}
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} else {
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/* Fees are simulated based on the Session Paremeters */
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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break
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}
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case 'Limit Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.maker / 100
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break
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}
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}
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}
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/* Partial Fill Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
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/* Percentage Filled */
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let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
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if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
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percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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}
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tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
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/* Check if we need to close */
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if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = 'Filled'
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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}
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}
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}
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/* Size Filled */
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tradingEngineOrder.orderStatistics.sizeFilled.value = tradingEngineOrder.size.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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tradingEngineOrder.orderStatistics.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.sizeFilled.value, 10)
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/* Amount Received */
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tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate
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tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
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doTheAccounting(previousSizeFilled, previousPercentageFilled, previousAmountReceived, previousFeesPaid)
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if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
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}
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}
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@@ -338,24 +365,74 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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}
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function syncWithExchange(tradingSystemOrder, tradingEngineOrder, order) {
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let previousSizeFilled = tradingEngineOrder.orderStatistics.sizeFilled.value
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let previousPercentageFilled = tradingEngineOrder.orderStatistics.percentageFilled.value
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let previousAmountReceived = tradingEngineOrder.orderStatistics.amountReceived.value
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let previousFeesPaid = tradingEngineOrder.orderStatistics.feesPaid.value
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/* Fees Paid */
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value - order.amount
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tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
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/* Percentage Filled */
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let currentPercentageFilled = tradingEngineOrder.orderStatistics.percentageFilled.value
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let percentageFilled = order.filled * 100 / (order.filled + order.remaining)
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percentageFilled = global.PRECISE(percentageFilled, 10)
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tradingEngineOrder.orderStatistics.percentageFilled.value = percentageFilled
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tradingEngineOrder.orderStatistics.percentageFilled.value = order.filled * 100 / (order.filled + order.remaining)
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tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
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/* Filled Size Calculation */
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stageFilledSize.value = stageFilledSize.value - tradingEngineOrder.size.value * currentPercentageFilled / 100 // First remove the current filled size
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stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * percentageFilled / 100 // Second add the new filled size
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stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
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/* Size Filled */
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tradingEngineOrder.orderStatistics.sizeFilled.value = order.filled
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tradingEngineOrder.orderStatistics.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.sizeFilled.value, 10)
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/* Actual Rate Calculation */
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/* Amount Received */
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tradingEngineOrder.orderStatistics.amountReceived.value = order.cost
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tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
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/* Actual Rate */
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tradingEngineOrder.orderStatistics.actualRate.value = order.price
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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/* Fees Paid Calculation */
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value - order.amount
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tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
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doTheAccounting(previousSizeFilled, previousPercentageFilled, previousAmountReceived, previousFeesPaid)
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}
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function doTheAccounting(previousSizeFilled, previousPercentageFilled, previousAmountReceived, previousFeesPaid) {
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/* Unaccount for the previous Stage Filled Size */
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stageFilledSize.value = stageFilledSize.value - tradingEngineOrder.size.value * previousPercentageFilled / 100
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/* Account for the current Stage Filled Size */
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stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
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/* Balances Update */
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switch (order.side) {
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case 'buy': {
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/* Undo the previous accounting */
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - previousFeesPaid - previousSizeFilled
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/* Account the current filling and fees */
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngineOrder.orderStatistics.sizeFilled.value + tradingEngineOrder.orderStatistics.feesPaid.value
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/* Undo the previous accounting */
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.baseAsset.value + previousAmountReceived
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/* Account the current filling and fees */
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngineOrder.orderStatistics.amountReceived.value
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break
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}
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case 'sell': {
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/* Undo the previous accounting */
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + previousFeesPaid + previousSizeFilled
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/* Account the current filling and fees */
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngineOrder.orderStatistics.sizeFilled.value - tradingEngineOrder.orderStatistics.feesPaid.value
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/* Undo the previous accounting */
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.baseAsset.value - previousAmountReceived
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/* Account the current filling and fees */
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngineOrder.orderStatistics.amountReceived.value
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break
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}
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}
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}
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function simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
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@@ -517,13 +517,14 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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/* Opening Status Procedure */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Opening') {
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/* Reset the Exchange Orders data structure to its initial value */
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tradingEngine.exchangeOrders.initialize(tradingEngine.exchangeOrders)
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/* This procedure is intended to run only once */
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let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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let executionNode = stageNode.openExecution
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/* Reset the Exchange Orders data structure to its initial value */
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tradingEngine.exchangeOrders.initialize(tradingEngine.exchangeOrders)
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evalConditions(stageNode, 'Initial Definition')
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evalFormulas(stageNode, 'Initial Definition')
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@@ -532,9 +533,11 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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calculateTakeProfit()
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calculateStopLoss()
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takePosition()
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/* Remember the balance we had before taking the position to later calculate profit or loss */
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tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
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tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
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/* Check Execution in opening stage mode */
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/* Check Execution in opening stage node */
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evalConditions(stageNode, 'Open Execution')
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evalFormulas(stageNode, 'Open Execution')
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@@ -573,7 +576,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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/* Closing Status Procedure */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Closing') {
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/*
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During the closing status, we do not place new orders, just check
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During the closing stage status, we do not place new orders, just check
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if the ones placed were filled, and cancel the ones not filled.
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*/
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let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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@@ -642,25 +645,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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return value
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}
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}
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function takePosition() {
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tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
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tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
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let feePaid = 0
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.current.position.size.value
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} else {
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feePaid = tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.current.position.size.value
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}
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}
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}
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function manageStage() {
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@@ -997,18 +981,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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function exitPositionAndStrategy() {
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/* New Balances Calculation */
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let feePaid = 0
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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feePaid = tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value - feePaid
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tradingEngine.current.balance.quotedAsset.value = 0
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} else {
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feePaid = tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value - feePaid
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tradingEngine.current.balance.baseAsset.value = 0
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}
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/* Needed for Episode Statistics */
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tradingPositionModule.updateStatistics()
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