Half Iteration upgrading the Trading Engine (not running)
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Luis Fernando Molina committed
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a03b025b64
commit
0b581fe837
20 files changed
+1877
-885
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@@ -143,27 +143,27 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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executionNode = stageNode.openExecution
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resetExecution(executionNode)
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resetExecution(executionNode, tradingEngine.current.strategyOpenStage.status.value)
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stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
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executionNode = stageNode.closeExecution
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resetExecution(executionNode)
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resetExecution(executionNode, tradingEngine.current.strategyCloseStage.status.value)
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function resetExecution(executionNode) {
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function resetExecution(executionNode, stageStatus) {
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resetExecutionAlgorithms(executionNode)
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function resetExecutionAlgorithms(executionNode) {
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for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
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let executionAlgorithm = executionNode.executionAlgorithms[i]
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resetOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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resetOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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resetOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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resetOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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resetOrders(executionAlgorithm.marketBuyOrders)
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resetOrders(executionAlgorithm.marketSellOrders)
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resetOrders(executionAlgorithm.limitBuyOrders)
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resetOrders(executionAlgorithm.limitSellOrders)
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}
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}
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function resetOrders(orders, executionAlgorithm, executionNode) {
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function resetOrders(orders) {
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for (let i = 0; i < orders.length; i++) {
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let tradingSystemOrder = orders[i]
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if (tradingSystemOrder.referenceParent === undefined) { continue }
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@@ -172,6 +172,14 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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if (tradingEngineOrder.status.value === 'Closed') {
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/* We reset the order data structure inside the Trading Engine to its initial value */
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tradingEngineOrder.initialize(tradingEngineOrder)
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if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
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/*
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We close the lock so as to prevent this data structure to be used again during this same stage execution.
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*/
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if (stageStatus === 'Open') {
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tradingEngineOrder.lock.value = 'Closed'
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}
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}
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}
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}
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}
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@@ -205,7 +213,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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/* Here we check if there is a formula to be evaluated */
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if (node.type === 'Formula' && evaluating === 'Formulas') {
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if ((node.type === 'Formula' || node.type === 'Announcement Formula') && evaluating === 'Formulas') {
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if (node.code !== undefined) {
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/* We will eval this formula */
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if (isDescendent === true) {
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@@ -322,13 +330,18 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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}
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tradingSystem.formulas.set(node.id, value)
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if (error !== undefined) {
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tradingSystem.errors.push([node.id, error])
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return
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}
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if (value !== undefined) {
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if (node.type === 'Formula' && isNaN(value)) {
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tradingSystem.errors.push([node.id, 'Formula needs to return a number.'])
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return
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}
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tradingSystem.values.push([node.id, value])
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tradingSystem.formulas.set(node.id, value)
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}
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logger.write(MODULE_NAME, '[INFO] evalFormula -> value = ' + value)
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@@ -409,7 +422,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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function checkTriggerOff() {
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if (tradingEngine.current.strategy.triggerStageStatus.value === 'Open') {
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if (tradingEngine.current.strategyTriggerStage.status.value === 'Open') {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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@@ -446,7 +459,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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function checkTakePosition() {
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if (
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tradingEngine.current.strategy.triggerStageStatus.value === 'Open'
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tradingEngine.current.strategyTriggerStage.status.value === 'Open'
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) {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let triggerStage = strategy.triggerStage
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@@ -471,12 +484,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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tradingSystem.highlights.push(triggerStage.takePosition.id)
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tradingSystem.highlights.push(triggerStage.id)
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/* Updating Episode Counters */
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tradingEngine.episode.episodeCounters.positions.value++
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/* Inicializing this counter */
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tradingEngine.current.distanceToEvent.takePosition.value = 1
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tradingPositionModule.openPosition(situation.name)
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announcementsModule.makeAnnoucements(triggerStage.takePosition)
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@@ -503,7 +510,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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async function openStage() {
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/* Abort Open Stage Check */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Open' && tradingEngine.current.strategy.closeStageStatus.value === 'Open') {
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if (tradingEngine.current.strategyOpenStage.status.value === 'Open' && tradingEngine.current.strategyCloseStage.status.value === 'Open') {
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/*
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if the Close stage is opened while the open stage is still open that means that
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we need to stop placing orders, check what happened to the orders already placed,
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@@ -513,7 +520,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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/* Opening Status Procedure */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Opening') {
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if (tradingEngine.current.strategyOpenStage.status.value === 'Opening') {
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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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@@ -525,28 +532,33 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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evalConditions(stageNode, 'Initial Definition')
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evalFormulas(stageNode, 'Initial Definition')
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getReadyToTakePosition()
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calculateTakeProfit()
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calculateStopLoss()
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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 node */
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/* Position size and rate */
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tradingPositionModule.initializeSizeAndRate()
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/* Check Execution at open stage node */
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evalConditions(stageNode, 'Open Execution')
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evalFormulas(stageNode, 'Open Execution')
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await tradingExecutionModule.checkExecution(executionNode, true, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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await tradingExecutionModule.checkExecution(
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executionNode,
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true,
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false,
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tradingEngine.current.position.positionBaseAsset.size, // Stage Size Limit
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tradingEngine.current.position.positionQuotedAsset.size, // Stage Size Limit
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tradingEngine.current.position.strategyOpenStage
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)
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/* From here on, the state is officially Open */
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/* From here on, the state is officialy Open */
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tradingStrategyModule.updateStageStatus('Open Stage', 'Open')
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return
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}
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/* Open Status Procedure */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Open') {
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if (tradingEngine.current.strategyOpenStage.status.value === 'Open') {
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/*
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While the Open Stage is Open, we do our regular stuff: place orders and check
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what happened to the orders already placed.
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@@ -558,20 +570,35 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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evalConditions(stageNode, 'Open Execution')
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evalFormulas(stageNode, 'Open Execution')
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await tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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await tradingExecutionModule.checkExecution(
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executionNode,
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false,
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false,
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tradingEngine.current.position.positionBaseAsset.size, // Stage Size Limit
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tradingEngine.current.position.positionQuotedAsset.size, // Stage Size Limit
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tradingEngine.current.position.strategyOpenStage
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)
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/*
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The Open is finished when the fillSize reaches the Position Size.
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The Open is finished when the fillSize + feesPaid reaches the Position Size.
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This can happens at any time when we update the filledSize value when we see
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at the exchange that orders were filled.
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*/
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if (tradingEngine.current.position.openStageFilledSize.value === tradingEngine.current.position.size.value) {
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tradingStrategyModule.updateStageStatus('Open Stage', 'Closed')
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if (
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tradingEngine.current.strategyOpenStage.stageBaseAsset.filledSize.value +
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tradingEngine.current.strategyOpenStage.stageBaseAsset.feesPaid.value >=
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tradingEngine.current.position.positionBaseAsset.size.value * 0.999) {
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tradingStrategyModule.updateStageStatus('Open Stage', 'Closed', 'Position Size Filled')
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} else {
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/* Check the Close Stage Event */
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evalConditions(stageNode, 'Close Stage Event')
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if (checkStopStageEvent(stageNode) === true) {
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tradingStrategyModule.updateStageStatus('Open Stage', 'Closing', 'Close Stage Event')
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}
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}
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}
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/* Closing Status Procedure */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Closing') {
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if (tradingEngine.current.strategyOpenStage.status.value === 'Closing') {
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/*
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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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@@ -586,71 +613,41 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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evalConditions(stageNode, 'Open Execution')
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evalFormulas(stageNode, 'Open Execution')
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await tradingExecutionModule.checkExecution(executionNode, false, true, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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await tradingExecutionModule.checkExecution(
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executionNode,
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false,
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true,
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tradingEngine.current.position.positionBaseAsset.size, // Stage Size Limit
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tradingEngine.current.position.positionQuotedAsset.size, // Stage Size Limit
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tradingEngine.current.position.strategyOpenStage
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)
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}
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/*
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The Closing is finished when the fillSize reaches the ordersSize.
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The Closing is finished when the fillSize + feesPaid reaches the ordersSize.
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This can happens either because we update the filledSize value when we see
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at the exchange that orders were filled, or we reduce the ordersSize when
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we cancel not yet filled orders.
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*/
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if (tradingEngine.current.position.openStageFilledSize.value === tradingEngine.current.position.openStageOrdersSize.value) {
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if (
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tradingEngine.current.strategyOpenStage.stageBaseAsset.filledSize.value +
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tradingEngine.current.strategyOpenStage.stageBaseAsset.feesPaid.value >=
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tradingEngine.current.position.positionBaseAsset.size.value * 0.999) {
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tradingStrategyModule.updateStageStatus('Open Stage', 'Closed')
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}
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}
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function getReadyToTakePosition() {
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/* Position size and rate */
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tradingPositionModule.updateSizeAndRate(getPositionSize(), getPositionRate())
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function getPositionSize() {
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let balance
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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balance = tradingEngine.current.balance.baseAsset.value
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} else {
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balance = tradingEngine.current.balance.quotedAsset.value
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}
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const DEFAULT_VALUE = balance
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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if (strategy.openStage === undefined) return DEFAULT_VALUE
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if (strategy.openStage.initialDefinition === undefined) return DEFAULT_VALUE
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if (strategy.openStage.initialDefinition.positionSize === undefined) return DEFAULT_VALUE
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if (strategy.openStage.initialDefinition.positionSize.formula === undefined) return DEFAULT_VALUE
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let value = tradingSystem.formulas.get(strategy.openStage.initialDefinition.positionSize.formula.id)
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if (value === undefined) return DEFAULT_VALUE
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return value
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}
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function getPositionRate() {
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const DEFAULT_VALUE = tradingEngine.current.candle.close.value
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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if (strategy.openStage === undefined) return DEFAULT_VALUE
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if (strategy.openStage.initialDefinition === undefined) return DEFAULT_VALUE
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if (strategy.openStage.initialDefinition.positionRate === undefined) return DEFAULT_VALUE
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if (strategy.openStage.initialDefinition.positionRate.formula === undefined) return DEFAULT_VALUE
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let value = tradingSystem.formulas.get(strategy.openStage.initialDefinition.positionRate.formula.id)
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if (value === undefined) return DEFAULT_VALUE
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return value
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}
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}
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}
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function manageStage() {
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/* Opening Status Procedure */
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if (tradingEngine.current.strategy.manageStageStatus.value === 'Opening') {
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if (tradingEngine.current.strategyManageStage.status.value === 'Opening') {
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/* We jump the management at the loop cycle where the position is being taken. */
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tradingStrategyModule.updateStageStatus('Manage Stage', 'Open')
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return
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}
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/* Open Status Procedure */
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if (tradingEngine.current.strategy.manageStageStatus.value === 'Open') {
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if (tradingEngine.current.strategyManageStage.status.value === 'Open') {
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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let manageStage = strategy.manageStage
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evalConditions(manageStage, 'Manage Stage')
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@@ -936,7 +933,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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async function closeStage() {
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/* Opening Status Procedure */
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if (tradingEngine.current.strategy.closeStageStatus.value === 'Opening') {
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if (tradingEngine.current.strategyCloseStage.status.value === 'Opening') {
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/*
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This will happen only once, as soon as the Take Profit or Stop was hit.
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We wil not be placing orders at this time because we do not know
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@@ -948,7 +945,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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/* Open Status Procedure */
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if (tradingEngine.current.strategy.closeStageStatus.value === 'Open') {
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if (tradingEngine.current.strategyCloseStage.status.value === 'Open') {
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/*
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This will happen as long as the Close Stage is Open.
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*/
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@@ -958,23 +955,40 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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evalConditions(stageNode, 'Close Execution')
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evalFormulas(stageNode, 'Close Execution')
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await tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
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await tradingExecutionModule.checkExecution(
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executionNode,
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false,
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false,
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tradingEngine.current.strategyOpenStage.stageBaseAsset.sizeFilled, // Stage Size Limit
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tradingEngine.current.strategyOpenStage.stageQuotedAsset.sizeFilled, // Stage Size Limit
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tradingEngine.current.position.strategyCloseStage
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)
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/* Close the Stage Validation */
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if (tradingEngine.current.position.closeStageFilledSize.value === tradingEngine.current.position.openStageFilledSize.value) {
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/*
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The Close Stage is closed when the fillSize reaches the filledSize of the Open Stage.
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*/
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tradingStrategyModule.updateStageStatus('Close Stage', 'Closed')
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/*
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The Close Stage is finished when the fillSize + feesPaid reaches the Open Fill Size.
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This can happens at any time when we update the filledSize value when we see
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at the exchange that orders were filled.
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*/
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if (
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tradingEngine.current.strategyCloseStage.stageBaseAsset.filledSize.value +
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tradingEngine.current.strategyCloseStage.stageBaseAsset.feesPaid.value >=
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tradingEngine.current.strategyOpenStage.stageBaseAsset.filledSize.value * 0.999) {
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tradingStrategyModule.updateStageStatus('Close Stage', 'Closed', 'Open Stage fillSize Filled')
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} else {
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/* Check the Close Stage Event */
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evalConditions(stageNode, 'Close Stage Event')
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if (checkStopStageEvent(stageNode) === true) {
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tradingStrategyModule.updateStageStatus('Close Stage', 'Closing', 'Close Stage Event')
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}
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}
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}
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/* Exit Position Validation */
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if (
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tradingEngine.current.strategy.triggerStageStatus.value === 'Closed' &&
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tradingEngine.current.strategy.openStageStatus.value === 'Closed' &&
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tradingEngine.current.strategy.manageStageStatus.value === 'Closed' &&
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tradingEngine.current.strategy.closeStageStatus.value === 'Closed'
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tradingEngine.current.strategyTriggerStage.status.value === 'Closed' &&
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tradingEngine.current.strategyOpenStage.status.value === 'Closed' &&
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tradingEngine.current.strategyManageStage.status.value === 'Closed' &&
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tradingEngine.current.strategyCloseStage.status.value === 'Closed'
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) {
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/* Exiting Everything now. */
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@@ -1100,6 +1114,33 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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}
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function checkStopStageEvent(stage) {
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/* Check the Close Stage Event. */
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let stopStageEvent = stage.stopStageEvent
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if (stopStageEvent !== undefined) {
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for (let k = 0; k < stopStageEvent.situations.length; k++) {
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let situation = stopStageEvent.situations[k]
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let passed
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if (situation.conditions.length > 0) {
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passed = true
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}
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(stopStageEvent.id)
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tradingSystem.highlights.push(stage.id)
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announcementsModule.makeAnnoucements(stopStageEvent)
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return true
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}
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}
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}
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}
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function isItInside(elementWithTimestamp, elementWithBeginEnd) {
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/*
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The function is to allow in Conditions and Formulas to easily know when an element with timestamp (like the ones of single files) are inside the time range
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Reference in new issue
Block a user