Update Multi-Period-Market.js
This commit is contained in:
Luis Fernando Molina committed
1 parent
2e476b39b6
commit
07a766296c
1 file changed
+35
-466
+35
-466
@@ -64,8 +64,6 @@
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}
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}
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function start(callBackFunction) {
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try {
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@@ -74,11 +72,11 @@
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let market = global.MARKET;
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buildRecords();
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processTimePeriods();
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function buildRecords() {
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function processTimePeriods() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> Entering function."); }
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try {
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@@ -90,7 +88,7 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> periodsLoop -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> periodsLoop -> Entering function."); }
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/*
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@@ -104,7 +102,7 @@
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> periodsLoop -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> periodsLoop -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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@@ -113,7 +111,7 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> loopBody -> Entering function."); }
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const outputPeriod = global.marketFilesPeriods[n][0];
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const timePeriod = global.marketFilesPeriods[n][1];
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@@ -131,7 +129,7 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> getFile -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> loopBody -> getFile -> Entering function."); }
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let fileName = market.assetA + '_' + market.assetB + ".json";
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@@ -144,12 +142,12 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> getFile -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> getFile -> onFileReceived -> text = " + text); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> loopBody -> getFile -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> loopBody -> getFile -> onFileReceived -> text = " + text); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> getFile -> onFileReceived -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> loopBody -> getFile -> onFileReceived -> err = " + err.message);
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callBackFunction(err);
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return;
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@@ -163,13 +161,13 @@
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> getFile -> onFileReceived -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> loopBody -> getFile -> onFileReceived -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> getFile -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> loopBody -> getFile -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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@@ -178,476 +176,47 @@
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function callTheBot() {
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if (fileCount === dataDependencies.length + 1) {
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}
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}
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let LRCMap = new Map();
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let percentageBandwidthMap = new Map();
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let bollingerBandsMap = new Map();
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let bollingerChannelsArray = [];
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let bollingerSubChannelsArray = [];
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let candles = [];
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let recordsArray = [];
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let conditionsArray = [];
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let simulationLogic = {};
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nextLRC();
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function buildLRC() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildLRC -> Entering function."); }
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try {
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let previous;
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> loopBody -> callTheBot -> Entering function."); }
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for (let i = 0; i < marketFile.length; i++) {
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if (fileCount === dataDependencies.length + 1) {
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let LRC = {
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begin: marketFile[i][0],
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end: marketFile[i][1],
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_15: marketFile[i][2],
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_30: marketFile[i][3],
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_60: marketFile[i][4]
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};
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const outputPeriod = global.marketFilesPeriods[n][0];
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const timePeriod = global.marketFilesPeriods[n][1];
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if (previous !== undefined) {
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usertBot.initialize(marketFiles, outputPeriod, timePeriod, callBackFunction);
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if (previous._15 > LRC._15) { LRC.direction15 = 'down'; }
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if (previous._15 < LRC._15) { LRC.direction15 = 'up'; }
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if (previous._15 === LRC._15) { LRC.direction15 = 'side'; }
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function onBotFinished(err) {
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if (previous._30 > LRC._30) { LRC.direction30 = 'down'; }
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if (previous._30 < LRC._30) { LRC.direction30 = 'up'; }
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if (previous._30 === LRC._30) { LRC.direction30 = 'side'; }
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try {
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if (previous._60 > LRC._60) { LRC.direction60 = 'down'; }
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if (previous._60 < LRC._60) { LRC.direction60 = 'up'; }
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if (previous._60 === LRC._60) { LRC.direction60 = 'side'; }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> loopBody -> callTheBot -> onBotFinished -> Entering function."); }
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}
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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LRC.previous = previous;
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LRCMap.set(LRC.begin, LRC);
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previous = LRC;
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}
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nextPercentageBandwidth();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildLRC -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildPercentageBandwidthMap() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildPercentageBandwidthMap -> Entering function."); }
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try {
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let previous;
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for (let i = 0; i < marketFile.length; i++) {
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let percentageBandwidth = {
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begin: marketFile[i][0],
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end: marketFile[i][1],
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value: marketFile[i][2],
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movingAverage: marketFile[i][3],
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bandwidth: marketFile[i][4]
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};
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if (previous !== undefined) {
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if (previous.movingAverage > percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'down'; }
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if (previous.movingAverage < percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'up'; }
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if (previous.movingAverage === percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'side'; }
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}
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percentageBandwidth.previous = previous;
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percentageBandwidthMap.set(percentageBandwidth.begin, percentageBandwidth);
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previous = percentageBandwidth;
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}
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nextBollingerBands();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildPercentageBandwidthMap -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildBollingerBandsMap() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildBollingerBandsMap -> Entering function."); }
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try {
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let previous;
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for (let i = 0; i < marketFile.length; i++) {
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let bollingerBand = {
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begin: marketFile[i][0],
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end: marketFile[i][1],
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movingAverage: marketFile[i][2],
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standardDeviation: marketFile[i][3],
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deviation: marketFile[i][4]
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};
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if (previous !== undefined) {
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if (previous.movingAverage > bollingerBand.movingAverage) { bollingerBand.direction = 'down'; }
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if (previous.movingAverage < bollingerBand.movingAverage) { bollingerBand.direction = 'up'; }
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if (previous.movingAverage === bollingerBand.movingAverage) { bollingerBand.direction = 'side'; }
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}
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bollingerBand.previous = previous;
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bollingerBandsMap.set(bollingerBand.begin, bollingerBand);
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previous = bollingerBand;
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}
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nextBollingerChannels();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildBollingerBandsMap -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildBollingerChannelsArray() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildBollingerChannelsArray -> Entering function."); }
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try {
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let previous;
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for (let i = 0; i < marketFile.length; i++) {
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let bollingerChannel = {
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begin: marketFile[i][0],
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end: marketFile[i][1],
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direction: marketFile[i][2],
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period: marketFile[i][3],
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firstMovingAverage: marketFile[i][4],
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lastMovingAverage: marketFile[i][5],
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firstDeviation: marketFile[i][6],
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lastDeviation: marketFile[i][7]
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};
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bollingerChannel.previous = previous;
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bollingerChannelsArray.push(bollingerChannel);
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previous = bollingerChannel;
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}
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nextBollingerSubChannels();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildBollingerChannelsArray -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildBollingerSubChannelsArray() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildBollingerSubChannelsArray -> Entering function."); }
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try {
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let previous;
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for (let i = 0; i < marketFile.length; i++) {
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let bollingerSubChannel = {
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begin: marketFile[i][0],
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end: marketFile[i][1],
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direction: marketFile[i][2],
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slope: marketFile[i][3],
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period: marketFile[i][4],
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firstMovingAverage: marketFile[i][5],
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lastMovingAverage: marketFile[i][6],
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firstDeviation: marketFile[i][7],
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lastDeviation: marketFile[i][8]
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};
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bollingerSubChannel.previous = previous;
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bollingerSubChannelsArray.push(bollingerSubChannel);
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previous = bollingerSubChannel;
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}
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nextCandlesFile();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildBollingerSubChannelsArray -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildCandles() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildCandles -> Entering function."); }
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try {
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let previous;
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for (let i = 0; i < marketFile.length; i++) {
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let candle = {
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open: undefined,
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close: undefined,
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min: 10000000000000,
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max: 0,
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begin: undefined,
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end: undefined,
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direction: undefined
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};
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candle.min = marketFile[i][0];
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candle.max = marketFile[i][1];
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candle.open = marketFile[i][2];
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candle.close = marketFile[i][3];
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candle.begin = marketFile[i][4];
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candle.end = marketFile[i][5];
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if (candle.open > candle.close) { candle.direction = 'down'; }
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if (candle.open < candle.close) { candle.direction = 'up'; }
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if (candle.open === candle.close) { candle.direction = 'side'; }
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candle.previous = previous;
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candles.push(candle);
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previous = candle;
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}
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commons.runSimulation(
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candles,
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bollingerBandsMap,
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percentageBandwidthMap,
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LRCMap,
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bollingerChannelsArray,
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bollingerSubChannelsArray,
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recordsArray,
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conditionsArray,
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simulationLogic,
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outputPeriod,
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writeRecordsFile)
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildCandles -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writeRecordsFile() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeRecordsFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
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let fileContent = "";
|
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for (let i = 0; i < recordsArray.length; i++) {
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let record = recordsArray[i];
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fileContent = fileContent + separator + '[' +
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record.begin + "," +
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record.end + "," +
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record.type + "," +
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record.rate + "," +
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record.amount + "," +
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record.balanceA + "," +
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record.balanceB + "," +
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record.profit + "," +
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record.lastProfit + "," +
|
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record.stopLoss + "," +
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record.roundtrips + "," +
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record.hits + "," +
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record.fails + "," +
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record.hitRatio + "," +
|
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record.ROI + "," +
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record.periods + "," +
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record.days + "," +
|
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record.anualizedRateOfReturn + "," +
|
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record.sellRate + "," +
|
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record.lastProfitPercent + "," +
|
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record.strategy + "," +
|
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record.strategyPhase + "," +
|
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record.buyOrder + "," +
|
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record.stopLossPhase + "," +
|
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record.buyOrderPhase + "]";
|
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|
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if (separator === "") { separator = ","; }
|
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|
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fileRecordCounter++;
|
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|
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}
|
||||
|
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fileContent = "[" + fileContent + "]";
|
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|
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let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
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|
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let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
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let filePath = filePathRoot + "/Output/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
|
||||
|
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jasonStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> err = " + err.message);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
callBackFunction(err);
|
||||
return;
|
||||
}
|
||||
|
||||
controlLoop();
|
||||
}
|
||||
|
||||
writeConditionsFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeConditionsFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeConditionsFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < conditionsArray.length; i++) {
|
||||
|
||||
let record = conditionsArray[i];
|
||||
|
||||
let conditions = "";
|
||||
let conditionsSeparator = "";
|
||||
|
||||
for (let j = 0; j < record.length - 1; j++) {
|
||||
conditions = conditions + conditionsSeparator + record[j];
|
||||
if (conditionsSeparator === "") { conditionsSeparator = ","; }
|
||||
}
|
||||
|
||||
conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']'; // The last item contains an Array of condition values.
|
||||
|
||||
fileContent = fileContent + separator + '[' + conditions + ']';
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
fileContent = "[" + JSON.stringify(simulationLogic) + "," + fileContent + "]";
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
|
||||
|
||||
jasonStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> err = " + err.message);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> loopBody -> callTheBot -> onBotFinished -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
|
||||
controlLoop();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> err = " + err.message);
|
||||
catch(err){
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> loopBody -> callTheBot -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> err = " + err.message);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> loopBody -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
@@ -656,7 +225,7 @@
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> controlLoop -> Entering function."); }
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> controlLoop -> Entering function."); }
|
||||
|
||||
n++;
|
||||
|
||||
@@ -671,14 +240,14 @@
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> controlLoop -> err = " + err.message);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> controlLoop -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> err = " + err.message);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
Reference in new issue
Block a user