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time constants implemented as global file

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Luis Fernando Molina committed 2020-11-27 14:54:52 +01:00
1 parent 658dc4714a
commit 09f043fb51
13 files changed
+44 -33
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TaskServer/Commons.js
+5 -5
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@@ -220,7 +220,7 @@
let system = { // These are the available system variables to be used in User Code and Formulas
timeFrame: timeFrame,
ONE_DAY_IN_MILISECONDS: global.ONE_DAY_IN_MILISECONDS
ONE_DAY_IN_MILISECONDS: TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
}
let variable = {} // This is the structure where the user will define its own variables that will be shared across different code blocks and formulas.
let results = []
@@ -311,8 +311,8 @@
let yesterday = {}
let system = { // These are the available system variables to be used in User Code and Formulas
timeFrame: timeFrame,
ONE_DAY_IN_MILISECONDS: global.ONE_DAY_IN_MILISECONDS,
ONE_MIN_IN_MILISECONDS: global.ONE_MIN_IN_MILISECONDS
ONE_DAY_IN_MILISECONDS: TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS,
ONE_MIN_IN_MILISECONDS: TS.projects.superalgos.globals.timeConstants.ONE_MIN_IN_MILISECONDS
}
let variable = {} // This is the structure where the user will define its own variables that will be shared across different code blocks and formulas.
let results = []
@@ -361,7 +361,7 @@
if (processingDailyFiles) {
/* Initialization of Last Instance */
lastInstantOfTheDay = currentDay.valueOf() + global.ONE_DAY_IN_MILISECONDS - 1;
lastInstantOfTheDay = currentDay.valueOf() + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS - 1;
if (interExecutionMemory[productName] === undefined) {
/* The first time the intialization variables goes to the Inter Execution Memory. */
@@ -469,7 +469,7 @@
at the next day, in whole, even if it starts in the previous day.
*/
let lastInstantOdDay = currentDay.valueOf() + global.ONE_DAY_IN_MILISECONDS - 1;
let lastInstantOdDay = currentDay.valueOf() + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS - 1;
if (record.end < currentDay.valueOf() - 1) { continue; }
if (record.end === lastInstantOdDay) { continue; }
TaskServer/Globals.js
+5 -10
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@@ -11,13 +11,8 @@ exports.newGlobals = function newGlobals() {
/* This is the Execution Datetime */
global.EXECUTION_DATETIME = new Date();
global.ROOT_DIR = './';
global.ONE_YEAR_IN_MILISECONDS = 365 * 24 * 60 * 60 * 1000
global.ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000
global.ONE_MIN_IN_MILISECONDS = 60 * 1000
global.LOGGER_MAP = new Map() // We will put all the loggers in a map, so that we can eventually finalize them.
global.SESSION_MAP = new Map() // We will put all the sessions in a map, so that we can eventually finalize them.
@@ -302,9 +297,9 @@ exports.newGlobals = function newGlobals() {
global.STOP_TASK_GRACEFULLY = false;
global.GET_PERCENTAGE = function (fromDate, currentDate, lastDate) {
let fromDays = Math.trunc(fromDate.valueOf() / global.ONE_DAY_IN_MILISECONDS)
let currentDays = Math.trunc(currentDate.valueOf() / global.ONE_DAY_IN_MILISECONDS)
let lastDays = Math.trunc(lastDate.valueOf() / global.ONE_DAY_IN_MILISECONDS)
let fromDays = Math.trunc(fromDate.valueOf() / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
let currentDays = Math.trunc(currentDate.valueOf() / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
let lastDays = Math.trunc(lastDate.valueOf() / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
let percentage = (currentDays - fromDays) * 100 / (lastDays - fromDays)
if ((lastDays - fromDays) === 0) {
percentage = 100
@@ -313,8 +308,8 @@ exports.newGlobals = function newGlobals() {
}
global.GET_EQUAL_DATES = function (date1, date2) {
let day1Days = Math.trunc(date1.valueOf() / global.ONE_DAY_IN_MILISECONDS)
let day2Days = Math.trunc(date2.valueOf() / global.ONE_DAY_IN_MILISECONDS)
let day1Days = Math.trunc(date1.valueOf() / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
let day2Days = Math.trunc(date2.valueOf() / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
if (day1Days === day2Days) {
return true
TaskServer/LearningSession.js
+3 -3
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@@ -196,7 +196,7 @@ exports.newLearningSession = function newLearningSession(bot, parentLogger) {
type: 'Time Range',
config: {
initialDatetime: (new Date()).valueOf(),
finalDatetime: (new Date()).valueOf() + global.ONE_YEAR_IN_MILISECONDS
finalDatetime: (new Date()).valueOf() + TS.projects.superalgos.globals.timeConstants.ONE_YEAR_IN_MILISECONDS
}
}
} else {
@@ -219,8 +219,8 @@ exports.newLearningSession = function newLearningSession(bot, parentLogger) {
/* Session Type Forced Values */
let today = (new Date()).valueOf()
let aYearAgo = today - global.ONE_YEAR_IN_MILISECONDS
let aYearFromNow = today + global.ONE_YEAR_IN_MILISECONDS
let aYearAgo = today - TS.projects.superalgos.globals.timeConstants.ONE_YEAR_IN_MILISECONDS
let aYearFromNow = today + TS.projects.superalgos.globals.timeConstants.ONE_YEAR_IN_MILISECONDS
switch (bot.LEARNING_SESSION.type) {
case 'Backtesting Session': {
useDefaultDatetimes(aYearAgo, today)
TaskServer/LowFrequencyTrading/TradingEpisode.js
+1 -1
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@@ -113,7 +113,7 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngin
tradingEngine.current.episode.episodeStatistics.days.value =
tradingEngine.current.episode.episodeCounters.periods.value *
sessionParameters.timeFrame.config.value /
global.ONE_DAY_IN_MILISECONDS
TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
}
function cycleBasedStatistics() {
TaskServer/LowFrequencyTrading/TradingOrders.js
+1 -1
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@@ -1036,7 +1036,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
}
function updateStatistics(tradingEngineOrder) {
tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
tradingEngineOrder.orderStatistics.days.value = global.PRECISE(tradingEngineOrder.orderStatistics.days.value, 10)
}
TaskServer/LowFrequencyTrading/TradingPosition.js
+1 -1
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@@ -411,7 +411,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
/* Days Calculation */
tradingEngine.current.position.positionStatistics.days.value =
tradingEngine.current.position.positionCounters.periods.value *
sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
sessionParameters.timeFrame.config.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
tradingEngine.current.position.positionStatistics.days.value = global.PRECISE(tradingEngine.current.position.positionStatistics.days.value, 10)
}
TaskServer/LowFrequencyTrading/TradingProcess.js
+1 -1
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@@ -648,7 +648,7 @@
async function writeDataRange(productCodeName) {
let dataRange = {
begin: contextVariables.dateBeginOfMarket.valueOf(),
end: tradingProcessDate.valueOf() + global.ONE_DAY_IN_MILISECONDS
end: tradingProcessDate.valueOf() + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
}
let fileContent = JSON.stringify(dataRange);
TaskServer/LowFrequencyTrading/TradingSimulation.js
+3 -3
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@@ -258,7 +258,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, tradin
if (sessionParameters.heartbeats.config.date === true || sessionParameters.heartbeats.config.candleIndex === true) {
/* We will produce a simulation level heartbeat in order to inform the user this is running. */
heartBeatDate = new Date(Math.trunc(tradingEngine.current.episode.candle.begin.value / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
heartBeatDate = new Date(Math.trunc(tradingEngine.current.episode.candle.begin.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS) * TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime)
let lastDate = new Date(sessionParameters.timeRange.config.finalDatetime)
@@ -424,7 +424,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, tradin
the day, we will advance current process day one day. By doing so, during the next execution, the
simulation will receive the candles and indicators files of the next day.
*/
let candlesPerDay = global.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
let candlesPerDay = TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
if (
bot.processingDailyFiles &&
tradingEngine.current.episode.candle.index.value + 1 + 1 === candlesPerDay
@@ -438,7 +438,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, tradin
*/
tradingEngine.current.episode.candle.index.value = 0
tradingEngine.current.episode.processDate.value =
tradingEngine.current.episode.processDate.value + global.ONE_DAY_IN_MILISECONDS
tradingEngine.current.episode.processDate.value + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
return false
}
TaskServer/MultiPeriodDaily.js
+4 -4
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@@ -221,15 +221,15 @@
let n;
let botNeverRan = true;
bot.multiPeriodDailyProcessDatetime = new Date(contextVariables.lastFile.valueOf() - ONE_DAY_IN_MILISECONDS) // Go back one day to start well when we advance time at the begining of the loop.
bot.multiPeriodDailyProcessDatetime = new Date(contextVariables.lastFile.valueOf() - TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS) // Go back one day to start well when we advance time at the begining of the loop.
let fromDate = new Date(bot.multiPeriodDailyProcessDatetime.valueOf())
let lastDate = new Date()
advanceTime()
function advanceTime() {
bot.multiPeriodDailyProcessDatetime = new Date(bot.multiPeriodDailyProcessDatetime.valueOf() + ONE_DAY_IN_MILISECONDS)
previousDay = new Date(bot.multiPeriodDailyProcessDatetime.valueOf() - ONE_DAY_IN_MILISECONDS)
bot.multiPeriodDailyProcessDatetime = new Date(bot.multiPeriodDailyProcessDatetime.valueOf() + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
previousDay = new Date(bot.multiPeriodDailyProcessDatetime.valueOf() - TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
logger.write(MODULE_NAME, "[INFO] start -> processTimeFrames -> advanceTime -> bot.multiPeriodDailyProcessDatetime = " + bot.multiPeriodDailyProcessDatetime)
logger.write(MODULE_NAME, "[INFO] start -> processTimeFrames -> advanceTime -> previousDay = " + previousDay)
@@ -489,7 +489,7 @@
function writeDataRange(pBegin, pEnd, productCodeName, callBack) {
let dataRange = {
begin: pBegin.valueOf(),
end: pEnd.valueOf() + ONE_DAY_IN_MILISECONDS
end: pEnd.valueOf() + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
};
let fileContent = JSON.stringify(dataRange)
let fileName = '/Data.Range.json';
TaskServer/ReinforcementLearning/LearningProcess.js
+1 -1
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@@ -648,7 +648,7 @@ exports.newLearningProcess = function newLearningProcess(bot, logger, UTILITIES)
async function writeDataRange(productCodeName) {
let dataRange = {
begin: contextVariables.dateBeginOfMarket.valueOf(),
end: LearningProcessDate.valueOf() + global.ONE_DAY_IN_MILISECONDS
end: LearningProcessDate.valueOf() + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
}
let fileContent = JSON.stringify(dataRange);
TaskServer/TradingSession.js
+3 -3
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@@ -196,7 +196,7 @@
type: 'Time Range',
config: {
initialDatetime: (new Date()).valueOf(),
finalDatetime: (new Date()).valueOf() + global.ONE_YEAR_IN_MILISECONDS
finalDatetime: (new Date()).valueOf() + TS.projects.superalgos.globals.timeConstants.ONE_YEAR_IN_MILISECONDS
}
}
} else {
@@ -219,8 +219,8 @@
/* Session Type Forced Values */
let today = (new Date()).valueOf()
let aYearAgo = today - global.ONE_YEAR_IN_MILISECONDS
let aYearFromNow = today + global.ONE_YEAR_IN_MILISECONDS
let aYearAgo = today - TS.projects.superalgos.globals.timeConstants.ONE_YEAR_IN_MILISECONDS
let aYearFromNow = today + TS.projects.superalgos.globals.timeConstants.ONE_YEAR_IN_MILISECONDS
switch (bot.TRADING_SESSION.type) {
case 'Backtesting Session': {
useDefaultDatetimes(aYearAgo, today)