All calculated
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Luis Fernando Molina committed
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@@ -77,17 +77,7 @@
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let type // CCXT: a string literal type of order, ccxt currently unifies market and limit orders only
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let side // CCXT: a string literal for the direction of your order, buy or sell
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let symbol = bot.market.baseAsset + '/' + bot.market.quotedAsset // CCXT: a string literal symbol of the market you wish to trade on, like BTC/USD, ZEC/ETH, DOGE/DASH, etc
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let amount // CCXT: how much of currency you want to trade
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/*
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We need at the amount a value denominated in Base Asset, if we do not
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have it, then we convert the value we have in Quoteed Asset.
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*/
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if (tradingEngineOrder.orderBaseAsset.size.value > 0) {
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amount = tradingEngineOrder.orderBaseAsset.size.value
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} else {
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amount = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
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}
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let amount = tradingEngineOrder.orderBaseAsset.size.value // CCXT: how much of currency you want to trade, in Base Asset.
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switch (tradingSystemOrder.type) {
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case 'Market Buy Order': {
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@@ -217,11 +217,11 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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/* Check Size: We are not going to create Orders which size is equal or less to zero. */
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if (traingEngineOrderAsset.size.value <= 0) { return }
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/* Place Order at the Exchange */
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/* Place Order at the Exchange, if needed. */
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let result = await createOrderAtExchange(tradingSystemOrder, tradingEngineOrder)
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if (result !== true) { return }
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/* Update Stage Counters */
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/* Update Stage Size */
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tradingEngineStage.stageBaseAsset.size.value = tradingEngineStage.stageBaseAsset.size.value + tradingEngineOrder.orderBaseAsset.size.value
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tradingEngineStage.stageBaseAsset.size.value = global.PRECISE(tradingEngineStage.stageBaseAsset.size.value, 10)
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tradingEngineStage.stageQuotedAsset.size.value = tradingEngineStage.stageQuotedAsset.size.value + tradingEngineOrder.orderQuotedAsset.size.value
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@@ -392,18 +392,24 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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/* Filter by what is defined at the Strategy */
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if (tradingSystemOrder.simulatedExchangeEvents === undefined) { return }
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let previousSizeFilled = tradingEngineOrderAsset.sizeFilled.value
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let previousPercentageFilled = tradingEngineOrder.orderStatistics.percentageFilled.value
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let previousAmountReceived = tradingEngineOrder.orderStatistics.amountReceived.value
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let previousFeesPaid = tradingEngineOrder.orderStatistics.feesPaid.value
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let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
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let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
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let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
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let previousQuotedAssetFeesPaid = tradingEngineOrder.orderQuotedAsset.feesPaid.value
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actualRateSimulation()
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feesPaidSimulation()
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orderFillingSimulation()
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percentageFilledSimulation()
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sizeFilledSimulation()
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amountReceivedSimulation()
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doTheAccounting(tradingSystemOrder, tradingEngineOrder, previousSizeFilled, previousPercentageFilled, previousFeesPaid)
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doTheAccounting(
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tradingSystemOrder,
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tradingEngineOrder,
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previousBaseAssetSizeFilled,
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previousQuotedAssetSizeFilled,
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previousBaseAssetFeesPaid,
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previousQuotedAssetFeesPaid
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)
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/* If the Stage is Closing and this order is still open, we need to cancel it now */
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if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
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@@ -462,8 +468,21 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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if (tradingEngineOrder.orderBaseAsset.feesPaid.value === tradingEngineOrder.orderBaseAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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calculatedBasedOnTradingSystem = true
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}
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if (tradingEngineOrder.orderQuotedAsset.feesPaid.value === tradingEngineOrder.orderQuotedAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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calculatedBasedOnTradingSystem = true
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}
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}
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@@ -474,19 +493,36 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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/* Fees are simulated based on the Session Paremeters */
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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bot.SESSION.parameters.feeStructure.config.taker / 100
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break
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}
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case 'Limit Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.maker / 100
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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bot.SESSION.parameters.feeStructure.config.maker / 100
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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bot.SESSION.parameters.feeStructure.config.maker / 100
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break
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}
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}
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}
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tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
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tradingEngineOrder.orderBaseAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.feesPaid.value, 10)
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tradingEngineOrder.orderQuotedAsset.feesPaid.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.feesPaid.value, 10)
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}
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function orderFillingSimulation() {
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function percentageFilledSimulation() {
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/* Order Filling Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
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@@ -515,34 +551,16 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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function sizeFilledSimulation() {
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/* Size Filled */
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tradingEngineOrder.orderStatistics.sizeFilled.value = tradingEngineOrder.size.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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tradingEngineOrder.orderStatistics.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.sizeFilled.value, 10)
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}
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tradingEngineOrder.orderBaseAsset.sizeFilled.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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function amountReceivedSimulation() {
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/* Amount Received */
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let calculatedBasedOnOrderDefinition = false
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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/* Based on the Order Definition */
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if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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let simulatedActualRate = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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if (simulatedActualRate !== undefined) {
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tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * simulatedActualRate
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tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
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calculatedBasedOnOrderDefinition = true
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}
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}
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}
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}
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/* Based on Candle Close Value */
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if (calculatedBasedOnOrderDefinition === false) {
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let simulatedActualRate = tradingEngine.current.candle.close.value
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tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * simulatedActualRate
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tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
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}
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tradingEngineOrder.orderBaseAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
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}
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}
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@@ -776,24 +794,57 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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tradingEngine.current.balance.quotedAsset.value = global.PRECISE(tradingEngine.current.balance.quotedAsset.value, 10)
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}
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function simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
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}
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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break
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}
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case 'Live Trading Session': {
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return
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}
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case 'Fordward Testing Session': {
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return
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}
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case 'Paper Trading Session': {
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break
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}
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function simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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break
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}
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case 'Live Trading Session': {
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return
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}
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case 'Fordward Testing Session': {
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return
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}
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case 'Paper Trading Session': {
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break
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}
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}
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = exitType
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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recalculateStageSize(tradingEngineOrder)
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}
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async function exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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return
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}
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case 'Live Trading Session': {
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break
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}
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case 'Fordward Testing Session': {
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break
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}
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case 'Paper Trading Session': {
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return
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}
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}
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/* Check if we can cancel the order at the Exchange. */
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let result = await exchangeAPIModule.cancelOrder(tradingSystemOrder, tradingEngineOrder)
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if (result === true) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = exitType
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@@ -801,85 +852,74 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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/* Since the order was cancelled, we remove the unfilled amount of the order from here */
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let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
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stageOrdersSize.value = stageOrdersSize.value - unfilledSize
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stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
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/*
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Perhaps the order was filled a bit more between the last time we checked and when it was cancelled.
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To sync our accounting, we need to check the order one last time and if it changed, fix it.
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*/
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let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
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if (order === undefined) { return }
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syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
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recalculateStageSize()
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}
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}
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async function exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
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function recalculateStageSize(tradingEngineOrder) {
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/*
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Since the order is Cancelled, we need to adjust the stage size. Remember that the Stage Size
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accumulates for each asset, the order size placed at the exchange. A cancelation means that
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only the part filled can be considered placed, so we need to substract from the stage size
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the remainder. To achieve this with the information we currently have, we are going first
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to unaccount the order size, and the account only the sizeFilled + the feesPaid.
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*/
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tradingEngineStage.stageBaseAsset.size.value =
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tradingEngineStage.stageBaseAsset.size.value -
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tradingEngineOrder.orderBaseAsset.size.value
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tradingEngineStage.stageQuotedAsset.size.value =
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tradingEngineStage.stageQuotedAsset.size.value -
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tradingEngineOrder.orderQuotedAsset.size.value
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/* Filter by Session Type */
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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return
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tradingEngineStage.stageBaseAsset.size.value =
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tradingEngineStage.stageBaseAsset.size.value +
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tradingEngineOrder.orderBaseAsset.sizeFilled.value +
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tradingEngineOrder.orderBaseAsset.feesPaid.value
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tradingEngineStage.stageQuotedAsset.size.value =
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tradingEngineStage.stageQuotedAsset.size.value +
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value +
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tradingEngineOrder.orderQuotedAsset.feesPaid.value
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tradingEngineStage.stageBaseAsset.size.value = global.PRECISE(tradingEngineStage.stageBaseAsset.size.value, 10)
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tradingEngineStage.stageQuotedAsset.size.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.size.value, 10)
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}
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function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
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if (event !== undefined) {
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for (let k = 0; k < event.situations.length; k++) {
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let situation = event.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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case 'Live Trading Session': {
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break
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}
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case 'Fordward Testing Session': {
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break
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}
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case 'Paper Trading Session': {
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return
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}
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}
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/* Check if we can cancel the order at the Exchange. */
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let result = await exchangeAPIModule.cancelOrder(tradingSystemOrder, tradingEngineOrder)
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if (result === true) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = exitType
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passed = tradingSystem.checkConditions(situation, passed)
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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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(event.id)
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tradingSystem.highlights.push(order.id)
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tradingSystem.highlights.push(executionAlgorithm.id)
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tradingSystem.highlights.push(executionNode.id)
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/* Since the order was cancelled, we remove the unfilled amount of the order from here */
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let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
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stageOrdersSize.value = stageOrdersSize.value - unfilledSize
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stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
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/*
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Perhaps the order was filled a bit more between the last time we checked and when it was cancelled.
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To sync our accounting, we need to check the order one last time and if it changed, fix it.
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*/
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let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
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if (order === undefined) { return }
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syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
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}
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}
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function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
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if (event !== undefined) {
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for (let k = 0; k < event.situations.length; k++) {
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let situation = event.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(event.id)
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tradingSystem.highlights.push(order.id)
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tradingSystem.highlights.push(executionAlgorithm.id)
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tradingSystem.highlights.push(executionNode.id)
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announcementsModule.makeAnnoucements(event)
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return situation.name // if the event is triggered, we return the name of the situation that passed
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}
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announcementsModule.makeAnnoucements(event)
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return situation.name // if the event is triggered, we return the name of the situation that passed
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}
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}
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}
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}
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}
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}
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@@ -9,10 +9,6 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
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closePosition: closePosition,
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applyStopLossFormula: applyStopLossFormula,
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applyTakeProfitFormula: applyTakeProfitFormula,
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preventStopLossDistortion: preventStopLossDistortion,
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applySlippageToStopLoss: applySlippageToStopLoss,
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preventTakeProfitDistortion: preventTakeProfitDistortion,
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applySlippageToTakeProfit: applySlippageToTakeProfit,
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updateStopLoss: updateStopLoss,
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updateTakeProfit: updateTakeProfit,
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initializeSizeAndRate: initializeSizeAndRate,
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@@ -20,6 +16,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
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updateStatus: updateStatus,
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updateCounters: updateCounters,
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updateStatistics: updateStatistics,
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updateResults: updateResults,
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resetPosition: resetPosition,
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initialize: initialize,
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finalize: finalize
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@@ -179,71 +176,6 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
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}
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}
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function preventStopLossDistortion() {
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/*
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Hit Point Validation
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||||
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||||
This prevents misscalculations when a formula places the stop loss in this case way beyond the market price.
|
||||
If we take the stop loss value at those situation would be a huge distortion of facts.
|
||||
*/
|
||||
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
||||
if (tradingEngine.current.position.stopLoss.value < tradingEngine.current.candle.min.value) {
|
||||
tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.min.value
|
||||
}
|
||||
} else {
|
||||
if (tradingEngine.current.position.stopLoss.value > tradingEngine.current.candle.max.value) {
|
||||
tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.max.value
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function applySlippageToStopLoss() {
|
||||
let slippedStopLoss = tradingEngine.current.position.stopLoss.value
|
||||
|
||||
/* Apply the Slippage */
|
||||
let slippageAmount = slippedStopLoss * bot.SESSION.parameters.slippage.config.stopLoss / 100
|
||||
|
||||
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
||||
slippedStopLoss = slippedStopLoss + slippageAmount
|
||||
} else {
|
||||
slippedStopLoss = slippedStopLoss - slippageAmount
|
||||
}
|
||||
|
||||
tradingEngine.current.position.endRate.value = slippedStopLoss
|
||||
}
|
||||
|
||||
function preventTakeProfitDistortion() {
|
||||
/*
|
||||
Hit Point Validation:
|
||||
|
||||
This prevents misscalculations when a formula places the take profit in this case way beyond the market price.
|
||||
If we take the stop loss value at those situation would be a huge distortion of facts.
|
||||
*/
|
||||
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
||||
if (tradingEngine.current.position.takeProfit.value > tradingEngine.current.candle.max.value) {
|
||||
tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.max.value
|
||||
}
|
||||
} else {
|
||||
if (tradingEngine.current.position.takeProfit.value < tradingEngine.current.candle.min.value) {
|
||||
tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.min.value
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function applySlippageToTakeProfit() {
|
||||
let slippedTakeProfit = tradingEngine.current.position.takeProfit.value
|
||||
/* Apply the Slippage */
|
||||
let slippageAmount = slippedTakeProfit * bot.SESSION.parameters.slippage.config.takeProfit / 100
|
||||
|
||||
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
||||
slippedTakeProfit = slippedTakeProfit + slippageAmount
|
||||
} else {
|
||||
slippedTakeProfit = slippedTakeProfit - slippageAmount
|
||||
}
|
||||
|
||||
tradingEngine.current.position.endRate.value = slippedTakeProfit
|
||||
}
|
||||
|
||||
function updateEnds() {
|
||||
if (tradingEngine.current.position.status.value === 'Open') {
|
||||
tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
|
||||
@@ -264,45 +196,47 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
|
||||
|
||||
function updateStatistics() {
|
||||
|
||||
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
||||
/* Profit Loss Calculation */
|
||||
tradingEngine.current.position.positionStatistics.profitLoss.value =
|
||||
tradingEngine.current.balance.baseAsset.value -
|
||||
tradingEngine.previous.balance.baseAsset.value +
|
||||
tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value -
|
||||
tradingEngine.previous.balance.quotedAsset.value / tradingEngine.current.position.beginRate.value
|
||||
|
||||
/* ROI Calculation */
|
||||
tradingEngine.current.position.positionStatistics.ROI.value =
|
||||
tradingEngine.current.position.positionStatistics.profitLoss.value * 100 /
|
||||
tradingEngine.current.position.size.value
|
||||
} else {
|
||||
/* Profit Loss Calculation */
|
||||
tradingEngine.current.position.positionStatistics.profitLoss.value =
|
||||
tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value -
|
||||
tradingEngine.previous.balance.baseAsset.value * tradingEngine.current.position.beginRate.value +
|
||||
tradingEngine.current.balance.quotedAsset.value -
|
||||
tradingEngine.previous.balance.quotedAsset.value
|
||||
|
||||
/* ROI Calculation */
|
||||
tradingEngine.current.position.positionStatistics.ROI.value =
|
||||
tradingEngine.current.position.positionStatistics.profitLoss.value * 100 /
|
||||
(tradingEngine.current.position.size.value * tradingEngine.current.position.beginRate.value)
|
||||
}
|
||||
|
||||
/* Days Calculation */
|
||||
tradingEngine.current.position.positionStatistics.days.value = tradingEngine.current.position.positionCounters.periods.value *
|
||||
tradingEngine.current.position.positionStatistics.days.value =
|
||||
tradingEngine.current.position.positionCounters.periods.value *
|
||||
sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
|
||||
|
||||
tradingEngine.current.position.positionStatistics.profitLoss.value = global.PRECISE(tradingEngine.current.position.positionStatistics.profitLoss.value, 10)
|
||||
tradingEngine.current.position.positionStatistics.ROI.value = global.PRECISE(tradingEngine.current.position.positionStatistics.ROI.value, 10)
|
||||
tradingEngine.current.position.positionStatistics.days.value = global.PRECISE(tradingEngine.current.position.positionStatistics.days.value, 10)
|
||||
}
|
||||
|
||||
function updateResults() {
|
||||
/* Profit Loss Calculation */
|
||||
tradingEngine.current.position.positionBaseAsset.profitLoss.value =
|
||||
tradingEngine.current.balance.baseAsset.value -
|
||||
tradingEngine.previous.balance.baseAsset.value
|
||||
|
||||
tradingEngine.current.position.positionQuotedAsset.profitLoss.value =
|
||||
tradingEngine.current.balance.quotedAsset.value -
|
||||
tradingEngine.previous.balance.quotedAsset.value
|
||||
|
||||
tradingEngine.current.position.positionBaseAsset.profitLoss.value = global.PRECISE(tradingEngine.current.position.positionBaseAsset.profitLoss.value, 10)
|
||||
|
||||
/* ROI Calculation */
|
||||
tradingEngine.current.position.positionBaseAsset.ROI.value =
|
||||
tradingEngine.current.position.positionBaseAsset.profitLoss.value * 100 /
|
||||
tradingEngine.current.position.positionBaseAsset.size.value
|
||||
|
||||
tradingEngine.current.position.positionQuotedAsset.ROI.value =
|
||||
tradingEngine.current.position.positionQuotedAsset.profitLoss.value * 100 /
|
||||
tradingEngine.current.position.positionQuotedAsset.size.value
|
||||
|
||||
tradingEngine.current.position.positionBaseAsset.ROI.value = global.PRECISE(tradingEngine.current.position.positionBaseAsset.ROI.value, 10)
|
||||
|
||||
/* Hit Fail Calculation */
|
||||
if (tradingEngine.current.position.positionStatistics.ROI.value > 0) {
|
||||
tradingEngine.current.position.positionStatistics.hitFail.value = 'HIT'
|
||||
if (tradingEngine.current.position.positionBaseAsset.ROI.value > 0) {
|
||||
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'HIT'
|
||||
} else {
|
||||
tradingEngine.current.position.positionStatistics.hitFail.value = 'FAIL'
|
||||
tradingEngine.current.position.positionBaseAsset.hitFail.value = 'FAIL'
|
||||
}
|
||||
if (tradingEngine.current.position.positionQuotedAsset.ROI.value > 0) {
|
||||
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'HIT'
|
||||
} else {
|
||||
tradingEngine.current.position.positionQuotedAsset.hitFail.value = 'FAIL'
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -902,8 +902,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
) {
|
||||
logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.')
|
||||
|
||||
tradingPositionModule.preventStopLossDistortion()
|
||||
tradingPositionModule.applySlippageToStopLoss()
|
||||
tradingPositionModule.closingPosition('Stop Loss')
|
||||
tradingStrategyModule.updateStageStatus('Close Stage', 'Opening')
|
||||
tradingStrategyModule.updateStageStatus('Manage Stage', 'Closed')
|
||||
@@ -918,8 +916,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
) {
|
||||
logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.')
|
||||
|
||||
tradingPositionModule.preventTakeProfitDistortion()
|
||||
tradingPositionModule.applySlippageToTakeProfit()
|
||||
tradingPositionModule.closingPosition('Take Profit')
|
||||
tradingStrategyModule.updateStageStatus('Close Stage', 'Opening')
|
||||
tradingStrategyModule.updateStageStatus('Manage Stage', 'Closed')
|
||||
@@ -997,28 +993,12 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
|
||||
function exitPositionAndStrategy() {
|
||||
|
||||
/* Needed for Episode Statistics */
|
||||
/* Position Statistics & Results */
|
||||
tradingPositionModule.updateStatistics()
|
||||
tradingPositionModule.updateResults()
|
||||
|
||||
/* Recalculating Episode Counters */
|
||||
if (tradingEngine.current.position.positionStatistics.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeCounters.hits.value++
|
||||
} else {
|
||||
tradingEngine.episode.episodeCounters.fails.value++
|
||||
}
|
||||
|
||||
/* Recalculating Episode Statistics */
|
||||
if (bot.sessionAndMarketBaseAssetsAreEqual) {
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.baseAsset.value - sessionParameters.sessionBaseAsset.config.initialBalance
|
||||
tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionBaseAsset.config.initialBalance - 1
|
||||
tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.episodeCounters.positions.value
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
|
||||
} else {
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - sessionParameters.sessionQuotedAsset.config.initialBalance
|
||||
tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionQuotedAsset.config.initialBalance - 1
|
||||
tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.episodeCounters.positions.value
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
|
||||
}
|
||||
updatingEpisodeAssets()
|
||||
updatingEpisodeStatistics()
|
||||
|
||||
/* Taking Position Snapshot */
|
||||
if (bot.SESSION.type === 'Backtesting Session') {
|
||||
@@ -1047,6 +1027,119 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
/* Distance to Events Updates */
|
||||
tradingEngine.current.distanceToEvent.closePosition.value = 1
|
||||
tradingEngine.current.distanceToEvent.triggerOff.value = 1
|
||||
|
||||
function updatingEpisodeAssets() {
|
||||
|
||||
/* Updating Hits & Fails */
|
||||
if (tradingEngine.current.position.positionBaseAsset.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeBaseAsset.hits.value++
|
||||
} else {
|
||||
tradingEngine.episode.episodeBaseAsset.fails.value++
|
||||
}
|
||||
if (tradingEngine.current.position.positionQuotedAsset.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeQuotedAsset.hits.value++
|
||||
} else {
|
||||
tradingEngine.episode.episodeQuotedAsset.fails.value++
|
||||
}
|
||||
|
||||
/* Updating Profit Loss */
|
||||
tradingEngine.episode.episodeBaseAsset.profitLoss.value =
|
||||
tradingEngine.current.balance.baseAsset.value -
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance
|
||||
|
||||
tradingEngine.episode.episodeQuotedAsset.profitLoss.value =
|
||||
tradingEngine.current.balance.quotedAsset.value -
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance
|
||||
|
||||
tradingEngine.episode.episodeBaseAsset.profitLoss.value = global.PRECISE(tradingEngine.episode.episodeBaseAsset.profitLoss.value, 10)
|
||||
tradingEngine.episode.episodeQuotedAsset.profitLoss.value = global.PRECISE(tradingEngine.episode.episodeQuotedAsset.profitLoss.value, 10)
|
||||
|
||||
/* Updating ROI */
|
||||
tradingEngine.episode.episodeBaseAsset.ROI.value =
|
||||
(sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.episode.episodeBaseAsset.profitLoss.value) /
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance - 1
|
||||
|
||||
tradingEngine.episode.episodeQuotedAsset.ROI.value =
|
||||
(sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.episode.episodeQuotedAsset.profitLoss.value) /
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance - 1
|
||||
|
||||
tradingEngine.episode.episodeBaseAsset.ROI.value = global.PRECISE(tradingEngine.episode.episodeBaseAsset.ROI.value, 10)
|
||||
tradingEngine.episode.episodeQuotedAsset.ROI.value = global.PRECISE(tradingEngine.episode.episodeQuotedAsset.ROI.value, 10)
|
||||
|
||||
/* Updating Hit Ratio */
|
||||
tradingEngine.episode.episodeBaseAsset.hitRatio.value =
|
||||
tradingEngine.episode.episodeBaseAsset.hits.value /
|
||||
tradingEngine.episode.episodeCounters.positions.value
|
||||
|
||||
tradingEngine.episode.episodeQuotedAsset.hitRatio.value =
|
||||
tradingEngine.episode.episodeQuotedAsset.hits.value /
|
||||
tradingEngine.episode.episodeCounters.positions.value
|
||||
|
||||
tradingEngine.episode.episodeBaseAsset.hitRatio.value = global.PRECISE(tradingEngine.episode.episodeBaseAsset.hitRatio.value, 10)
|
||||
tradingEngine.episode.episodeQuotedAsset.hitRatio.value = global.PRECISE(tradingEngine.episode.episodeQuotedAsset.hitRatio.value, 10)
|
||||
|
||||
/* Updating Anualized Rate Of Return */
|
||||
tradingEngine.episode.episodeBaseAsset.anualizedRateOfReturn.value =
|
||||
tradingEngine.episode.episodeBaseAsset.ROI.value /
|
||||
tradingEngine.episode.episodeStatistics.days.value * 365
|
||||
|
||||
tradingEngine.episode.episodeQuotedAsset.anualizedRateOfReturn.value =
|
||||
tradingEngine.episode.episodeQuotedAsset.ROI.value /
|
||||
tradingEngine.episode.episodeStatistics.days.value * 365
|
||||
|
||||
tradingEngine.episode.episodeBaseAsset.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.episode.episodeBaseAsset.anualizedRateOfReturn.value, 10)
|
||||
tradingEngine.episode.episodeQuotedAsset.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.episode.episodeQuotedAsset.anualizedRateOfReturn.value, 10)
|
||||
|
||||
/* Updating Hit or Fail */
|
||||
if (tradingEngine.episode.episodeBaseAsset.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeBaseAsset.hitFail.value = 'Hit'
|
||||
} else {
|
||||
tradingEngine.episode.episodeBaseAsset.hitFail.value = 'Fail'
|
||||
}
|
||||
if (tradingEngine.episode.episodeQuotedAsset.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeQuotedAsset.hitFail.value = 'Hit'
|
||||
} else {
|
||||
tradingEngine.episode.episodeQuotedAsset.hitFail.value = 'Fail'
|
||||
}
|
||||
}
|
||||
|
||||
function updatingEpisodeStatistics() {
|
||||
|
||||
/* Updating Profit Loss */
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value =
|
||||
tradingEngine.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
|
||||
tradingEngine.episode.episodeQuotedAsset.profitLoss.value
|
||||
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value = global.PRECISE(tradingEngine.episode.episodeStatistics.profitLoss.value, 10)
|
||||
|
||||
/* Updating ROI */
|
||||
tradingEngine.episode.episodeStatistics.ROI.value =
|
||||
(
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.candle.close.value +
|
||||
tradingEngine.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance +
|
||||
tradingEngine.episode.episodeQuotedAsset.profitLoss.value
|
||||
) / (
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.candle.close.value +
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance
|
||||
) - 1
|
||||
|
||||
tradingEngine.episode.episodeStatistics.ROI.value = global.PRECISE(tradingEngine.episode.episodeStatistics.ROI.value, 10)
|
||||
|
||||
/* Updating Anualized Rate Of Return */
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value =
|
||||
tradingEngine.episode.episodeStatistics.ROI.value /
|
||||
tradingEngine.episode.episodeStatistics.days.value * 365
|
||||
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = global.PRECISE(tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value, 10)
|
||||
|
||||
/* Updating Hit or Fail */
|
||||
if (tradingEngine.episode.episodeStatistics.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeStatistics.hitFail.value = 'Hit'
|
||||
} else {
|
||||
tradingEngine.episode.episodeStatistics.hitFail.value = 'Fail'
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
Reference in new issue
Block a user