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Live trading tested at Binance

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This commit is contained in:
Luis Fernando Molina committed 2020-02-07 16:44:48 +01:00
1 parent a8950c6b4c
commit 075bc53f8e
1 file changed
+41 -91
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TradingSimulation.js
+41 -91
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@@ -167,6 +167,8 @@
let periods = 0;
let positionPeriods = 0;
let closeRate
/* Usefull counters for conditions and formulas */
let distanceToLast = {
@@ -1714,36 +1716,9 @@
slippedStopLoss = slippedStopLoss - slippageAmount
}
let finalStopLoss = slippedStopLoss;
closeRate = slippedStopLoss;
let feePaid = 0
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
strategy.positionSize = balanceQuotedAsset / finalStopLoss;
strategy.positionRate = finalStopLoss;
feePaid = balanceQuotedAsset / finalStopLoss * bot.VALUES_TO_USE.feeStructure.taker / 100
balanceBaseAsset = balanceBaseAsset + balanceQuotedAsset / finalStopLoss - feePaid;
balanceQuotedAsset = 0;
} else {
strategy.positionSize = balanceBaseAsset * finalStopLoss;
strategy.positionRate = finalStopLoss;
feePaid = balanceBaseAsset * finalStopLoss * bot.VALUES_TO_USE.feeStructure.taker / 100
balanceQuotedAsset = balanceQuotedAsset + balanceBaseAsset * finalStopLoss - feePaid;
balanceBaseAsset = 0;
}
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.balanceBaseAsset = balanceBaseAsset;
yesterday.balanceQuotedAsset = balanceQuotedAsset;
}
}
marketRate = finalStopLoss;
marketRate = closeRate;
type = '"Close@StopLoss"';
strategyStage = 'Close Stage';
stopLossStage = 'No Stage';
@@ -1751,7 +1726,7 @@
currentTrade.end = candle.end;
currentTrade.status = 1;
currentTrade.exitType = 1;
currentTrade.endRate = finalStopLoss;
currentTrade.endRate = closeRate;
closePositionNow = true;
@@ -1810,37 +1785,9 @@
slippedTakeProfit = slippedTakeProfit - slippageAmount
}
let finalTakeProfit = slippedTakeProfit;
closeRate = slippedTakeProfit;
let feePaid = 0
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
strategy.positionSize = balanceQuotedAsset / finalTakeProfit;
strategy.positionRate = finalTakeProfit;
feePaid = balanceQuotedAsset / finalTakeProfit * bot.VALUES_TO_USE.feeStructure.taker / 100
balanceBaseAsset = balanceBaseAsset + balanceQuotedAsset / finalTakeProfit - feePaid;
balanceQuotedAsset = 0;
} else {
strategy.positionSize = balanceBaseAsset * finalTakeProfit;
strategy.positionRate = finalTakeProfit;
feePaid = balanceBaseAsset * finalTakeProfit * bot.VALUES_TO_USE.feeStructure.taker / 100
balanceQuotedAsset = balanceQuotedAsset + balanceBaseAsset * finalTakeProfit - feePaid;
balanceBaseAsset = 0;
}
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.balanceBaseAsset = balanceBaseAsset;
yesterday.balanceQuotedAsset = balanceQuotedAsset;
}
}
marketRate = finalTakeProfit;
marketRate = closeRate;
type = '"Close@TakeProfit"';
strategyStage = 'Close Stage';
stopLossStage = 'No Stage';
@@ -1849,7 +1796,7 @@
currentTrade.end = candle.end;
currentTrade.status = 1;
currentTrade.exitType = 2;
currentTrade.endRate = finalTakeProfit;
currentTrade.endRate = closeRate;
closePositionNow = true;
@@ -1991,18 +1938,6 @@
}
}
/* Checking the status of current positions */
let positions = exchangeAPI.getPositions();
if (positions.length > 0) {
let position = positions[positions.length - 1] // We are allways checking the the last position is not open.
if (position.status === 'open') {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the last position is still open. "); }
afterLoop();
return
}
}
/* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
if (interExecutionMemory.executionContext !== undefined) {
if (interExecutionMemory.executionContext.periods !== undefined) {
@@ -2223,19 +2158,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putClosingOrder -> Entering function."); }
/* Checking the status of current positions */
let positions = exchangeAPI.getPositions();
if (positions.length > 0) {
let position = positions[positions.length - 1] // We are allways checking the the last position is not open.
if (position.status === 'open') {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> Exiting function because status of last position is Open."); }
afterLoop();
return
}
}
/* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
if (interExecutionMemory.executionContext !== undefined) {
if (interExecutionMemory.executionContext.periods !== undefined) {
if (periods <= interExecutionMemory.executionContext.periods) {
@@ -2250,23 +2173,22 @@
let amountA
let amountB
let orderSide
let availableBalance = exchangeAPI.getAvailableBalance()
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
orderSide = "buy"
orderPrice = ticker.last + 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
amountA = balanceBaseAsset
amountB = balanceBaseAsset / orderPrice
amountA = balanceQuotedAsset
amountB = balanceQuotedAsset / orderPrice
} else {
orderSide = "sell"
orderPrice = ticker.last - 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
amountA = balanceQuotedAsset * orderPrice
amountB = balanceQuotedAsset
amountA = balanceBaseAsset * orderPrice
amountB = balanceBaseAsset
}
@@ -2278,7 +2200,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange."); }
exchangeAPI.createOrder(bot.market, orderSide, orderPrice, amountA, amountB, onOrderCreated)
function onOrderCreated(err) {
function onOrderCreated(err, order) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> Entering function."); }
try {
@@ -2332,6 +2254,34 @@
}
}
let feePaid = 0
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
strategy.positionSize = balanceQuotedAsset / closeRate;
strategy.positionRate = closeRate;
feePaid = balanceQuotedAsset / closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
balanceBaseAsset = balanceBaseAsset + balanceQuotedAsset / closeRate - feePaid;
balanceQuotedAsset = 0;
} else {
strategy.positionSize = balanceBaseAsset * closeRate;
strategy.positionRate = closeRate;
feePaid = balanceBaseAsset * closeRate * bot.VALUES_TO_USE.feeStructure.taker / 100
balanceQuotedAsset = balanceQuotedAsset + balanceBaseAsset * closeRate - feePaid;
balanceBaseAsset = 0;
}
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.balanceBaseAsset = balanceBaseAsset;
yesterday.balanceQuotedAsset = balanceQuotedAsset;
}
}
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
lastTradeProfitLoss = balanceBaseAsset - previousBalanceBaseAsset;
lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize;