Bug Fixed with Initial Candle
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Luis Fernando Molina committed
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06ac5bc746
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@@ -65,6 +65,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
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}
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function setCurrentCycle(cycle) {
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tradingEngine.current.episode.cycle.value = cycle
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switch (cycle) {
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case 'First': {
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tradingEngine.current.episode.cycle.begin.value =
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@@ -269,7 +269,6 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
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}
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}
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function updateDistanceToEventsCounters() {
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/* Keeping Distance Counters Up-to-date while avoinding counting before the first event happens. */
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if (
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@@ -117,7 +117,9 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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switch (tradingEngineOrder.status.value) {
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case 'Not Open': {
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{
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{
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/* During the First cycle we can not create new orders. That is reserved for the Second cycle. */
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if (tradingEngine.current.episode.cycle.value === 'First') {continue}
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/* When the stage is closing we can not create new orders */
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if (tradingEngineStage.status.value === 'Closing') { continue }
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/*
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@@ -147,13 +149,15 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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/* Check Events that happens at the Exchange, if needed. */
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await checkExchangeEvents(tradingEngineStage, tradingSystemOrder, tradingEngineOrder)
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/* During the Second cycle we can not cancel orders. That is reserved for the First cycle. */
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if (tradingEngine.current.episode.cycle.value === 'Second') {continue}
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/*
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In the previous steps, we might have discovered that the order was cancelled
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at the exchange, or filled, so the order might still not be Open.
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If the stage is closing or the order is not Open, we wont be cancelling orders
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based on defined events.
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*/
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if (tradingEngineStage.status.value !== 'Closing' && tradingEngineOrder.status.value === 'Open') {
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if (tradingEngineStage.status.value !== 'Closing' && tradingEngineOrder.status.value === 'Open') {
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/* Check if we need to Cancel this Order */
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let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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@@ -277,11 +277,11 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
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/* ROI Calculation */
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tradingEngine.current.position.positionBaseAsset.ROI.value =
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tradingEngine.current.position.positionBaseAsset.profitLoss.value * 100 /
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tradingEngine.current.strategyOpenStage.stageBaseAsset.sizeFilled.value
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tradingEngine.current.strategyOpenStage.stageBaseAsset.targetSize.value
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tradingEngine.current.position.positionQuotedAsset.ROI.value =
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tradingEngine.current.position.positionQuotedAsset.profitLoss.value * 100 /
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tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizeFilled.value
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tradingEngine.current.strategyOpenStage.stageQuotedAsset.targetSize.value
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tradingEngine.current.position.positionBaseAsset.ROI.value = global.PRECISE(tradingEngine.current.position.positionBaseAsset.ROI.value, 10)
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tradingEngine.current.position.positionQuotedAsset.ROI.value = global.PRECISE(tradingEngine.current.position.positionQuotedAsset.ROI.value, 10)
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@@ -31,7 +31,7 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
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outputDatasetsMap = undefined
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}
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function appendRecords(cycle) {
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function appendRecords() {
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/*
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Here we add records to the output files. At the product config property nodePath
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we have a pointer to the node that have the information we need to extract.
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@@ -57,13 +57,13 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
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There are a few products configured to be saved only at an specific cycle.
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*/
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if (product.config.saveAtCycle !== undefined) {
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if (cycle !== product.config.saveAtCycle) {
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if (tradingEngine.current.episode.cycle.value !== product.config.saveAtCycle) {
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return
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}
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}
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/* Clean the file from information of previous executions */
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pruneOutputFile(product, outputDatasetArray, tradingEngine.current.episode.candle.end.value)
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//pruneOutputFile(product, outputDatasetArray, tradingEngine.current.episode.candle.end.value)
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/* Clean Open Records */
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if (product.config.saveAsObjects === true) {
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@@ -72,6 +72,7 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
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if (recordProperty.config.codeName === product.config.propertyNameThatDefinesObject) {
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/* Remove Open Records */
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spliceOpenRecords(j, product, outputDatasetArray)
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break
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}
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}
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}
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@@ -103,6 +104,7 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
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brach of the trading engine data structure it belongs.
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*/
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record.push(index)
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record.push('"' + tradingEngine.current.episode.cycle.value + '"')
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persistIndividualRecord(record, product, outputDatasetArray)
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}
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}
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@@ -60,37 +60,19 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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let firstLoopExecution = true
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/*
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Loop Initialization
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Estimation of the Initial Candle to Process in this Run.
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*/
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if (bot.FIRST_EXECUTION === false && tradingEngine.last.candle !== undefined) {
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/* Estimate the Initial Candle based on the last candle saved at tradingEngine */
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let firstBegin = candles[0].begin
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let lastBegin = tradingEngine.last.candle.begin
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let diff = lastBegin - firstBegin
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let amount = diff / sessionParameters.timeFrame.config.value
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tradingEngine.current.episode.candle.index.value = Math.trunc(amount) + 1 // Because we need to start from the next candle
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if (tradingEngine.current.episode.candle.index.value < 0 || tradingEngine.current.episode.candle.index.value > candles.length - 1) {
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> Cannot resume simulation.')
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> tradingEngine.current.episode.candle.index.value = ' + tradingEngine.current.episode.candle.index.value)
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> firstBegin = ' + firstBegin)
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> lastBegin = ' + lastBegin)
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> diff = ' + diff)
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logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> amount = ' + amount)
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throw(global.DEFAULT_FAIL_RESPONSE)
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return
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}
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} else {
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let initialCandle
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if (bot.FIRST_EXECUTION === true && bot.RESUME === false) {
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/* Estimate Initial Candle based on the timeRage configured for the session. */
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let firstEnd = candles[0].end
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let targetEnd = sessionParameters.timeRange.config.initialDatetime
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let diff = targetEnd - firstEnd
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let amount = diff / sessionParameters.timeFrame.config.value
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tradingEngine.current.episode.candle.index.value = Math.trunc(amount)
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if (tradingEngine.current.episode.candle.index.value < 0) { tradingEngine.current.episode.candle.index.value = 0 }
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if (tradingEngine.current.episode.candle.index.value > candles.length - 1) {
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initialCandle = Math.trunc(amount)
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if (initialCandle < 0) { initialCandle = 0 }
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if (initialCandle > candles.length - 1) {
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/*
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This will happen when the sessionParameters.timeRange.config.initialDatetime is beyond the last candle available,
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meaning that the dataSet needs to be updated with more up-to-date data.
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@@ -98,15 +80,40 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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bot.SESSION.stop('Data is not up-to-date enough. Please start the Masters Data Mining Operation.')
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return
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}
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} else {
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{
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/*
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In this case we already have last candle index. Now we need to continue
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at the next candle, so we add 1. This works well for Market Files,
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but for Daily Files we need to consider that we we turn into a new date
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a we get a new file with candles statting at index 0.
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*/
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if (bot.processingDailyFiles === true) {
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/*
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We are going to test if adding 1 gets us a valid candle, it means that
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the candle dataset did not change since the lasst execution, otherwise
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it means it changed and we need to start again from 0.
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*/
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let candle = candles[tradingEngine.current.episode.candle.index.value + 1]
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if (candle === undefined) {
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initialCandle = 0
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} else {
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initialCandle = tradingEngine.current.episode.candle.index.value + 1
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}
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} else {
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initialCandle = tradingEngine.current.episode.candle.index.value + 1
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}
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}
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}
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/*
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Main Simulation Loop
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*/
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console.log('initialCandle = ' + initialCandle)
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let breakLoop = false
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for( let i = tradingEngine.current.episode.candle.index.value; i < candles.length; i++) {
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for( let i = initialCandle; i < candles.length; i++) {
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tradingEngine.current.episode.candle.index.value = i
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console.log('index = ' + tradingEngine.current.episode.candle.index.value)
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Processing candle # ' + tradingEngine.current.episode.candle.index.value) }
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let candle = candles[tradingEngine.current.episode.candle.index.value] // This is the current candle the Simulation is working at.
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@@ -124,6 +131,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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}
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if (checkInitialDatetime() === false) {
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console.log(' Esta candle esta dentras del Initial Datetime')
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continue
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}
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@@ -134,76 +142,78 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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/*
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Do the stuff needed previous to the run like
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Episode Counters and Statistics update
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Episode Counters and Statistics update. Mantaince is done
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once per simulation candle.
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*/
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tradingSystemModule.mantain()
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tradingEpisodeModule.mantain()
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tradingEngineModule.mantain()
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/* Reset Data Structures */
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tradingSystemModule.reset()
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tradingEpisodeModule.reset()
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tradingEngineModule.reset()
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/*
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Run the first cycle of the Trading System. In this first cycle we
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give some room so that orders can be canceled or filled and we can
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write those records into the output memory.
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write those records into the output memory. During this cycle new
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orders can not be created, since otherwise the could be cancelled at
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the second cycle without spending real time at the order book.
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*/
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tradingEngineModule.setCurrentCycle('First')
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await tradingSystemModule.run()
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords('First')
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/* Reset Data Structures */
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tradingSystemModule.reset()
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tradingEpisodeModule.reset()
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tradingEngineModule.reset()
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await runCycle()
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/*
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Run the second cycle of the Trading System. During this second run
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some new orders might be created at slots freed up during the first
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run. This allows for example for an Limit Order to be cancelled during the
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run. This allows for example for a Limit Order to be cancelled during the
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first run, and the same Limit Order definition to spawn a new order
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without the need to wait until the next candle.
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without the need to wait until the next candle. Orders can not be cancelled
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during the second cycle.
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*/
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tradingEngineModule.setCurrentCycle('Second')
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await tradingSystemModule.run()
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await runCycle()
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/* Checking if we should continue processing this loop or not. */
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if (bot.STOP_SESSION === true) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.') }
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console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.')
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updateEpisode('Session Stopped')
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breakLoop = true
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async function runCycle() {
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console.log(new Date(), 'Function runCycle', ' Cycle = ' + tradingEngine.current.episode.cycle.value )
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/* Reset Data Structures */
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tradingSystemModule.reset()
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tradingEpisodeModule.reset()
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tradingEngineModule.reset()
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await tradingSystemModule.run()
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/* Checking if we should continue processing this loop or not. */
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if (bot.STOP_SESSION === true) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.') }
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console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.')
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updateEpisode('Session Stopped')
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breakLoop = true
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}
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if (global.STOP_TASK_GRACEFULLY === true) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.') }
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console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.')
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updateEpisode('Task Stopped')
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breakLoop = true
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}
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if (checkFinalDatetime() === false) {
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closeEpisode('Final Datetime Reached')
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breakLoop = true
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}
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if (checkLastCandle() === false) {
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updateEpisode('All Available Candles Processed')
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breakLoop = true
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}
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if (checkMinimunAndMaximunBalance() === false) {
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closeEpisode('Min or Max Balance Reached')
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breakLoop = true
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}
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords()
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}
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if (global.STOP_TASK_GRACEFULLY === true) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.') }
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console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.')
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updateEpisode('Task Stopped')
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breakLoop = true
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}
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if (checkFinalDatetime() === false) {
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closeEpisode('Final Datetime Reached')
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breakLoop = true
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}
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if (checkLastCandle() === false) {
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updateEpisode('All Available Candles Processed')
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breakLoop = true
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}
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if (checkMinimunAndMaximunBalance() === false) {
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closeEpisode('Min or Max Balance Reached')
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breakLoop = true
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}
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords('Second')
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if (breakLoop === true) {break}
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}
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@@ -353,28 +363,15 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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function checkLastCandle() {
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/*
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We skip the candle at the head of the market because it has not closed yet. The procedure to determine if we are at the head of the market is different
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when we are processing Market Files than when we are processing Daily Files. TODO Check that the procedure is good for Beta 6
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Before reaching the last candle of the loop, we need to check that the next candle it is not the last candle.
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We skip the candle at the head of the market because it has not closed yet.
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For the special case of Daily Files, this means that the last candle of each day will never be processed.
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*/
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if (bot.processingDailyFiles) { // We are processing Daily Files
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let candlesPerDay = global.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
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if (tradingEngine.current.episode.candle.index.value + 1 === candles.length - 1) {
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if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2)) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkLastCandle -> Skipping Candle because it is the last one and has not been closed yet.') }
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return false
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/*
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Note here that in the last candle of the first day or the second day it will use an incomplete candle and partially calculated indicators.
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if we skip these two periods, then there will be a hole in the file since the last period will be missing.
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*/
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}
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}
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} else { // We are processing Market Files
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if (tradingEngine.current.episode.candle.index.value + 1 === candles.length - 1) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkLastCandle -> Skipping Candle because it is the last one and has not been closed yet.') }
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return false
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}
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if (tradingEngine.current.episode.candle.index.value + 1 === candles.length - 1) {
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return false
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} else {
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return true
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}
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return true
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}
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function checkInitialDatetime() {
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