definition introduced
This commit is contained in:
Luis Fernando Molina committed
1 parent
299ef0ba60
commit
0f26aabc9e
1 file changed
+176
-77
+176
-77
@@ -72,7 +72,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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let tradesArray = [];
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let lastObjectsArray = [];
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let tradingSystem = await strategy.getStrategy();
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let definition = await strategy.getStrategy();
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let tradingSystem = definition.tradingSystem;
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/* Initial Default Values */
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@@ -357,7 +358,6 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> i = " + i); }
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let candle = candles[i];
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let percentageBandwidth = percentageBandwidthMap.get(candle.begin);
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let bollingerBand = bollingerBandsMap.get(candle.begin);
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@@ -1278,6 +1278,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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(strategyStage === 'Open Stage' || strategyStage === 'Manage Stage') &&
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takePositionNow !== true
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) {
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let strategy = tradingSystem.strategies[currentStrategyIndex];
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/* Checking what happened since the last execution. We need to know if the Stop Loss
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or our Take Profit were hit. */
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@@ -1287,9 +1288,15 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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if ((baseAsset === 'BTC' && candle.max >= stopLoss) || (baseAsset !== 'BTC' && candle.min <= stopLoss)) {
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if (baseAsset === 'BTC') {
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strategy.positionSize = balanceAssetB / stopLoss;
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strategy.positionRate = stopLoss;
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balanceAssetA = balanceAssetA + balanceAssetB / stopLoss;
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balanceAssetB = 0;
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} else {
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strategy.positionSize = balanceAssetA * stopLoss;
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strategy.positionRate = stopLoss;
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balanceAssetB = balanceAssetB + balanceAssetA * stopLoss;
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balanceAssetA = 0;
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}
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@@ -1322,9 +1329,15 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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if ((baseAsset === 'BTC' && candle.min <= takeProfit) || (baseAsset !== 'BTC' && candle.max >= takeProfit)) {
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if (baseAsset === 'BTC') {
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strategy.positionSize = balanceAssetB / takeProfit;
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strategy.positionRate = takeProfit;
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balanceAssetA = balanceAssetA + balanceAssetB / takeProfit;
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balanceAssetB = 0;
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} else {
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strategy.positionSize = balanceAssetA * takeProfit;
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strategy.positionRate = takeProfit;
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balanceAssetB = balanceAssetB + balanceAssetA * takeProfit;
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balanceAssetA = 0;
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}
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@@ -1374,24 +1387,24 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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if (strategy.openStage !== undefined) {
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if (strategy.openStage.openExecution !== undefined) {
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putOrder()
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putOpeningOrder()
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return
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}
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}
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break
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}
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case "In a Position": { // This should mean that we already put the order at the exchange.
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case "Taking Position": { // Waiting for a confirmation that the position was taken.
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break
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}
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case "Taking Position": { // Waiting for a confirmation that the position was taken.
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case "In a Position": { // This should mean that we already put the order at the exchange.
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break
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}
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}
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} else { // The context does not exist so it means we are not in a position.
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if (strategy.openStage !== undefined) {
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if (strategy.openStage.openExecution !== undefined) {
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putOrder()
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putOpeningOrder()
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return
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}
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}
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@@ -1399,9 +1412,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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takePositionAtSimulation()
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function putOrder() {
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function putOpeningOrder() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOpeningOrder -> Entering function."); }
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let positionDirection
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if (baseAsset === 'BTC') {
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@@ -1417,11 +1430,11 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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assistant.putPosition(positionDirection, tradePositionRate, tradePositionSize * tradePositionRate, tradePositionSize, onOrderPut)
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function onOrderPut(err) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> onOrderPut -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOpeningOrder -> onOrderPut -> Entering function."); }
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switch (err.result) {
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case global.DEFAULT_OK_RESPONSE.result: {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> onOrderPut -> DEFAULT_OK_RESPONSE "); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOpeningOrder -> onOrderPut -> DEFAULT_OK_RESPONSE "); }
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interExecutionMemory.executionContext = {
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status: "In a Position"
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}
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@@ -1429,14 +1442,14 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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return;
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}
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case global.DEFAULT_FAIL_RESPONSE.result: {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> onOrderPut -> DEFAULT_FAIL_RESPONSE "); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOpeningOrder -> onOrderPut -> DEFAULT_FAIL_RESPONSE "); }
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/* We will assume that the problem is temporary, and expect that it will work at the next execution.*/
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strategy.openStage.openExecution.error = err.message
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takePositionAtSimulation()
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return;
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}
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}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> onOrderPut -> Unexpected Response -> Message = " + err.message); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOpeningOrder -> onOrderPut -> Unexpected Response -> Message = " + err.message); }
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strategy.openStage.openExecution.error = err.message
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}
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}
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@@ -1486,91 +1499,177 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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/* Closing a Position */
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if (strategyStage === 'Close Stage') {
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roundtrips++;
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/* Position size and rate */
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let strategy = tradingSystem.strategies[currentStrategyIndex];
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if (currentDay !== undefined) {
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if (positionInstant < currentDay.valueOf()) {
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yesterday.Roundtrips++;
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tradePositionSize = strategy.positionSize;
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tradePositionRate = strategy.positionRate;
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/* We see if we need to put the actual order at the exchange. */
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if (interExecutionMemory.executionContext !== undefined) {
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switch (interExecutionMemory.executionContext.status) {
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case "Without a Position": { // No way to close anything at the exchange.
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break
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}
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case "In a Position": { // This should mean that we already put the order at the exchange.
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if (strategy.closeStage !== undefined) {
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if (strategy.closeStage.closeExecution !== undefined) {
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putClosingOrder()
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return
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}
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}
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break
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}
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case "Taking Position": { // Waiting for a confirmation that the position was taken.
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break
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}
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case "Closing Position": { // Waiting for a confirmation that the position was closed.
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break
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}
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case "Position Closed": { //
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break
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}
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}
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} else { // The context does not exist so it means we are not in a position.
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controlLoop();
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return
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}
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closePositionAtSimulation()
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function putClosingOrder() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putClosingOrder -> Entering function."); }
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let positionDirection
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if (baseAsset === 'BTC') {
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positionDirection = "buy"
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} else {
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positionDirection = "sell"
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}
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interExecutionMemory.executionContext = {
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status: "Closing Position"
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}
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assistant.putPosition(positionDirection, tradePositionRate, tradePositionSize * tradePositionRate, tradePositionSize, onOrderPut)
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function onOrderPut(err) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putClosingOrder -> onOrderPut -> Entering function."); }
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switch (err.result) {
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case global.DEFAULT_OK_RESPONSE.result: {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putClosingOrder -> onOrderPut -> DEFAULT_OK_RESPONSE "); }
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interExecutionMemory.executionContext = {
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status: "Position Closed"
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}
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closePositionAtSimulation()
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return;
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}
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case global.DEFAULT_FAIL_RESPONSE.result: {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putClosingOrder -> onOrderPut -> DEFAULT_FAIL_RESPONSE "); }
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/* We will assume that the problem is temporary, and expect that it will work at the next execution.*/
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strategy.openStage.openExecution.error = err.message
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closePositionAtSimulation()
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return;
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}
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}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putClosingOrder -> onOrderPut -> Unexpected Response -> Message = " + err.message); }
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strategy.openStage.openExecution.error = err.message
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}
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}
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if (baseAsset === 'BTC') {
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lastTradeProfitLoss = balanceAssetA - previousBalanceAssetA;
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lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize;
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if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
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profit = balanceAssetA - initialBalanceA;
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} else {
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lastTradeProfitLoss = balanceAssetB - previousBalanceAssetB;
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lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize;
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if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
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profit = balanceAssetB - initialBalanceB;
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}
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function closePositionAtSimulation() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> closePositionAtSimulation -> Entering function."); }
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if (currentDay !== undefined) {
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if (positionInstant < currentDay.valueOf()) {
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yesterday.lastTradeProfitLoss = lastTradeProfitLoss;
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yesterday.profit = profit;
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yesterday.lastTradeROI = lastTradeROI;
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}
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}
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currentTrade.lastTradeROI = lastTradeROI;
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currentTrade.stopRate = stopLoss;
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if (lastTradeProfitLoss > 0) {
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hits++;
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roundtrips++;
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if (currentDay !== undefined) {
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if (positionInstant < currentDay.valueOf()) {
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yesterday.hits++;
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yesterday.Roundtrips++;
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}
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}
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} else {
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fails++;
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if (baseAsset === 'BTC') {
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lastTradeProfitLoss = balanceAssetA - previousBalanceAssetA;
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lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize;
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if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
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profit = balanceAssetA - initialBalanceA;
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} else {
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lastTradeProfitLoss = balanceAssetB - previousBalanceAssetB;
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lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize;
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if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
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profit = balanceAssetB - initialBalanceB;
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}
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if (currentDay !== undefined) {
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if (positionInstant < currentDay.valueOf()) {
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yesterday.fails++;
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yesterday.lastTradeProfitLoss = lastTradeProfitLoss;
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yesterday.profit = profit;
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yesterday.lastTradeROI = lastTradeROI;
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}
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}
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}
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if (baseAsset === 'BTC') {
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ROI = (initialBalanceA + profit) / initialBalanceA - 1;
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hitRatio = hits / roundtrips;
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anualizedRateOfReturn = ROI / days * 365;
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} else {
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ROI = (initialBalanceB + profit) / initialBalanceB - 1;
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hitRatio = hits / roundtrips;
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anualizedRateOfReturn = ROI / days * 365;
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}
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currentTrade.lastTradeROI = lastTradeROI;
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currentTrade.stopRate = stopLoss;
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if (currentDay !== undefined) {
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if (positionInstant < currentDay.valueOf()) {
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yesterday.ROI = ROI;
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yesterday.hitRatio = hitRatio;
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yesterday.anualizedRateOfReturn = anualizedRateOfReturn;
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if (lastTradeProfitLoss > 0) {
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hits++;
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if (currentDay !== undefined) {
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if (positionInstant < currentDay.valueOf()) {
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yesterday.hits++;
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}
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}
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} else {
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fails++;
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if (currentDay !== undefined) {
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if (positionInstant < currentDay.valueOf()) {
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yesterday.fails++;
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}
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}
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}
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if (baseAsset === 'BTC') {
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ROI = (initialBalanceA + profit) / initialBalanceA - 1;
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hitRatio = hits / roundtrips;
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anualizedRateOfReturn = ROI / days * 365;
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} else {
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ROI = (initialBalanceB + profit) / initialBalanceB - 1;
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hitRatio = hits / roundtrips;
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anualizedRateOfReturn = ROI / days * 365;
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}
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if (currentDay !== undefined) {
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if (positionInstant < currentDay.valueOf()) {
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yesterday.ROI = ROI;
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yesterday.hitRatio = hitRatio;
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yesterday.anualizedRateOfReturn = anualizedRateOfReturn;
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}
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}
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addRecord();
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currentStrategyIndex = -1;
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stopLoss = 0;
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tradePositionRate = 0;
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tradePositionSize = 0;
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positionInstant = undefined;
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takeProfit = 0;
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strategyStage = 'No Stage';
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stopLossStage = 'No Stage';
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takeProfitStage = 'No Stage';
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stopLossPhase = 0;
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takeProfitPhase = 0;
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controlLoop();
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return
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}
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addRecord();
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currentStrategyIndex = -1;
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stopLoss = 0;
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tradePositionRate = 0;
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tradePositionSize = 0;
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positionInstant = undefined;
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takeProfit = 0;
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strategyStage = 'No Stage';
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stopLossStage = 'No Stage';
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takeProfitStage = 'No Stage';
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stopLossPhase = 0;
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takeProfitPhase = 0;
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controlLoop();
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return
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}
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/* Not a buy or sell condition */
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Reference in new issue
Block a user