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Simulation State

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Luis Fernando Molina committed 2020-11-30 14:33:06 +01:00
1 parent 583ef49f1d
commit 15aed117e2
22 files changed
+72 -71
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TaskServer/LearningSession.js
+3 -3
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@@ -83,8 +83,8 @@ exports.newLearningSession = function (processIndex, bot, parentLogger) {
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_NODE = JSON.parse(message.event.tradingEngine)
bot.LEARNING_SESSION = JSON.parse(message.event.session)
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).DEPENDENCY_FILTER = JSON.parse(message.event.dependencyFilter)
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = false
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP = true
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = false
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP = true
bot.LEARNING_SESSION.stop = stopSession // stop function
setUpSessionFolderName()
@@ -144,7 +144,7 @@ exports.newLearningSession = function (processIndex, bot, parentLogger) {
return
}
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = true
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = true
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_STOPPING = false
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SOCIAL_BOTS_MODULE.sendMessage(bot.LEARNING_SESSION.type + " '" + TS.projects.superalgos.globals.taskConstants.TASK_NODE.bot.processes[processIndex].session.name + "' is resuming.")
TaskServer/LowFrequencyTrading/Announcements.js
+2 -2
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@@ -14,8 +14,8 @@ exports.newAnnouncements = function (processIndex, bot, logger) {
return thisObject
function initialize() {
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
}
function finalize() {
TaskServer/LowFrequencyTrading/ExchangeAPI.js
+1 -1
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@@ -21,7 +21,7 @@
return thisObject;
function initialize() {
tradingSystem = bot.simulationState.tradingSystem
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
exchangeId = TS.projects.superalgos.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.parentNode.parentNode.name.toLowerCase()
TaskServer/LowFrequencyTrading/OrdersCalculations.js
+2 -2
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@@ -24,8 +24,8 @@ exports.newOrdersCalculations = function (processIndex, bot, logger) {
function initialize() {
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
}
function finalize() {
TaskServer/LowFrequencyTrading/OrdersSimulations.js
+2 -2
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@@ -24,8 +24,8 @@ exports.newOrdersSimulations = function (processIndex, bot, logger) {
function initialize() {
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
}
function finalize() {
TaskServer/LowFrequencyTrading/Snapshots.js
+2 -2
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@@ -43,8 +43,8 @@ exports.newSnapshots = function (processIndex, bot, logger) {
return thisObject
function initialize() {
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
}
TaskServer/LowFrequencyTrading/TradingEngine.js
+2 -2
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@@ -24,12 +24,12 @@ exports.newTradingEngine = function (processIndex, bot, logger) {
function initialize() {
tradingEngine = bot.simulationState.tradingEngine
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
initializeNodeMap(tradingEngine)
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true) {
/*
Here we will go through all the nodes in the Trading Engine hiriarchy and
apply the initial value to the value property when needed
TaskServer/LowFrequencyTrading/TradingEpisode.js
+2 -2
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@@ -21,8 +21,8 @@ exports.newTradingEpisode = function (processIndex, bot, logger, tradingEngineMo
return thisObject
function initialize() {
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
}
TaskServer/LowFrequencyTrading/TradingExecution.js
+2 -2
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@@ -22,8 +22,8 @@ exports.newTradingExecution = function (processIndex, bot, logger, tradingEngine
return thisObject
function initialize() {
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
tradingOrdersModule.initialize()
TaskServer/LowFrequencyTrading/TradingOrders.js
+2 -2
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@@ -25,8 +25,8 @@ exports.newTradingOrders = function (processIndex, bot, logger, tradingEngineMod
return thisObject
function initialize() {
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
exchangeAPIModule.initialize()
TaskServer/LowFrequencyTrading/TradingOutput.js
+3 -3
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@@ -50,10 +50,10 @@ exports.newTradingOutput = function (processIndex, bot, logger, tradingEngineMod
we are at the head of the market, because at the head of the market we need to
append more data to the same output files that already exists.
*/
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
await initializeOutputs()
} else {
if (bot.simulationState.tradingEngine.current.episode.headOfTheMarket.value === true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.headOfTheMarket.value === true) {
await readFiles()
} else {
await initializeOutputs()
@@ -66,7 +66,7 @@ exports.newTradingOutput = function (processIndex, bot, logger, tradingEngineMod
head of the market. Remember that backtests finishes the session once the reach
the final datetime.
*/
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
await initializeOutputs()
} else {
await readFiles()
TaskServer/LowFrequencyTrading/TradingPosition.js
+2 -2
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@@ -29,8 +29,8 @@ exports.newTradingPosition = function (processIndex, bot, logger, tradingEngineM
return thisObject
function initialize() {
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
}
TaskServer/LowFrequencyTrading/TradingProcess.js
+15 -15
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@@ -83,19 +83,19 @@
if (getContextVariables() !== true) { return }
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
/*
Here is where the Trading Engine and Trading Systems received are moved to the simulation state.
*/
bot.simulationState.tradingEngine = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_NODE
bot.simulationState.tradingSystem = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_SYSTEM_NODE
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_NODE
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_SYSTEM_NODE
}
/* We set up the Trading Engine Module. */
tradingEngineModule.initialize()
/* Initializing the Trading Process Date */
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
/*
This funcion is going to be called many times by the Trading Bot Loop.
Only during the first execution and when the User is not resuming the execution
@@ -103,7 +103,7 @@
This variable tell us which day we are standing at, specially while working
with Daily Files. From this Date is that we are going to load the Daily Files.
*/
bot.simulationState.tradingEngine.current.episode.processDate.value = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters.timeRange.config.initialDatetime).valueOf()
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters.timeRange.config.initialDatetime).valueOf()
}
/*
@@ -115,7 +115,7 @@
the simulation loop, once we discover that all candles from a certain date have benn processed.
Here is the point where we sync one and the other.
*/
let tradingProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(bot.simulationState.tradingEngine.current.episode.processDate.value)
let tradingProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value)
await processSingleFiles()
if (await processMarketFiles() === false) {
@@ -166,7 +166,7 @@
use it to save Output Files and later the Data Ranges. This is the point where
the date calculated by the Simulation is applied at the Trading Process Level.
*/
tradingProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(bot.simulationState.tradingEngine.current.episode.processDate.value)
tradingProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value)
if (checkStopTaskGracefully() === false) { break }
if (checkStopProcessing() === false) { break }
@@ -286,11 +286,11 @@
}
thisReport = statusReport.file;
bot.simulationState = thisReport.simulationState;
if (bot.simulationState === undefined) { bot.simulationState = {} } // This should happen only when there is no status report
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE = thisReport.simulationState;
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE === undefined) { TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE = {} } // This should happen only when there is no status report
if (thisReport.lastFile !== undefined) {
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING !== true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING !== true) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> Starting from the begining because bot has just started and resume execution was true."); }
startFromBegining();
return true
@@ -529,7 +529,7 @@
indicators to be built and continue the processing once this process is called
again.
*/
if (bot.simulationState.tradingEngine.current.episode.headOfTheMarket.value === true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.headOfTheMarket.value === true) {
return false
}
}
@@ -619,8 +619,8 @@
From here on, all other loops executions wont be the first execution and also
we will consider that it is not resuming a previous execution as well.
*/
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP = false
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = false
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP = false
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = false
}
async function writeProcessFiles() {
@@ -708,7 +708,7 @@
thisReport.file.lastExecution = bot.currentDaytime
thisReport.file.lastFile = tradingProcessDate
thisReport.file.simulationState = bot.simulationState
thisReport.file.simulationState = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE
thisReport.file.timeFrames = currentTimeFrameLabel
await thisReport.asyncSave()
}
@@ -718,7 +718,7 @@
let thisReport = statusDependencies.statusReports.get(reportKey);
thisReport.file.lastExecution = bot.processDatetime
thisReport.file.simulationState = bot.simulationState
thisReport.file.simulationState = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE
thisReport.file.timeFrames = currentTimeFrameLabel
logger.newInternalLoop(tradingProcessDate)
TaskServer/LowFrequencyTrading/TradingRecords.js
+2 -2
View File
@@ -18,8 +18,8 @@ exports.newTradingRecords = function (processIndex, bot, logger) {
return thisObject
function initialize(pOutputDatasetsMap) {
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
outputDatasetsMap = pOutputDatasetsMap // These are the files turned into arrays, stored in a Map by Product codeName.
}
TaskServer/LowFrequencyTrading/TradingSimulation.js
+3 -3
View File
@@ -26,8 +26,8 @@ exports.newTradingSimulation = function (processIndex, bot, logger, tradingEngin
) {
try {
let tradingSystem = bot.simulationState.tradingSystem
let tradingEngine = bot.simulationState.tradingEngine
let tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
let tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
let sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) }
@@ -57,7 +57,7 @@ exports.newTradingSimulation = function (processIndex, bot, logger, tradingEngin
Estimation of the Initial Candle to Process in this Run.
*/
let initialCandle
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
/* Estimate Initial Candle based on the timeRage configured for the session. */
let firstEnd = candles[0].end
let targetEnd = sessionParameters.timeRange.config.initialDatetime
TaskServer/LowFrequencyTrading/TradingStages.js
+2 -2
View File
@@ -45,8 +45,8 @@ exports.newTradingStages = function (processIndex, bot, logger, tradingEngineMod
return thisObject
function initialize() {
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
tradingStrategyModule.initialize()
TaskServer/LowFrequencyTrading/TradingStrategy.js
+1 -1
View File
@@ -18,7 +18,7 @@ exports.newTradingStrategy = function (processIndex, bot, logger, tradingEngineM
return thisObject
function initialize() {
tradingEngine = bot.simulationState.tradingEngine
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
}
TaskServer/LowFrequencyTrading/TradingSystem.js
+2 -2
View File
@@ -26,8 +26,8 @@ exports.newTradingSystem = function (processIndex, bot, logger, tradingEngineMod
return thisObject
function initialize() {
tradingSystem = bot.simulationState.tradingSystem
tradingEngine = bot.simulationState.tradingEngine
tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
tradingSystem.conditions = new Map()
TaskServer/ReinforcementLearning/LearningProcess.js
+15 -15
View File
@@ -83,19 +83,19 @@ exports.newLearningProcess = function (processIndex, bot, logger, UTILITIES) {
getContextVariables()
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
/*
Here is where the Trading Engine and Trading Systems received are moved to the simulation state.
*/
bot.simulationState.tradingEngine = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_NODE
bot.simulationState.tradingSystem = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_SYSTEM_NODE
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_NODE
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_SYSTEM_NODE
}
/* We set up the Trading Engine Module. */
markovDecisionProcessModule.initialize()
/* Initializing the Trading Process Date */
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
/*
This funcion is going to be called many times by the Trading Bot Loop.
Only during the first execution and when the User is not resuming the execution
@@ -103,7 +103,7 @@ exports.newLearningProcess = function (processIndex, bot, logger, UTILITIES) {
This variable tell us which day we are standing at, specially while working
with Daily Files. From this Date is that we are going to load the Daily Files.
*/
bot.simulationState.tradingEngine.current.episode.processDate.value = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters.timeRange.config.initialDatetime).valueOf()
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters.timeRange.config.initialDatetime).valueOf()
}
/*
@@ -115,7 +115,7 @@ exports.newLearningProcess = function (processIndex, bot, logger, UTILITIES) {
the simulation loop, once we discover that all candles from a certain date have benn processed.
Here is the point where we sync one and the other.
*/
let LearningProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(bot.simulationState.tradingEngine.current.episode.processDate.value)
let LearningProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value)
await processSingleFiles()
if (await processMarketFiles() === false) {
@@ -166,7 +166,7 @@ exports.newLearningProcess = function (processIndex, bot, logger, UTILITIES) {
use it to save Output Files and later the Data Ranges. This is the point where
the date calculated by the Simulation is applied at the Trading Process Level.
*/
LearningProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(bot.simulationState.tradingEngine.current.episode.processDate.value)
LearningProcessDate = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value)
if (checkStopTaskGracefully() === false) { break }
if (checkStopProcessing() === false) { break }
@@ -286,11 +286,11 @@ exports.newLearningProcess = function (processIndex, bot, logger, UTILITIES) {
}
thisReport = statusReport.file;
bot.simulationState = thisReport.simulationState;
if (bot.simulationState === undefined) { bot.simulationState = {} } // This should happen only when there is no status report
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE = thisReport.simulationState;
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE === undefined) { TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE = {} } // This should happen only when there is no status report
if (thisReport.lastFile !== undefined) {
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING !== true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING !== true) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> Starting from the begining because bot has just started and resume execution was true."); }
startFromBegining();
return
@@ -529,7 +529,7 @@ exports.newLearningProcess = function (processIndex, bot, logger, UTILITIES) {
indicators to be built and continue the processing once this process is called
again.
*/
if (bot.simulationState.tradingEngine.current.episode.headOfTheMarket.value === true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.headOfTheMarket.value === true) {
return false
}
}
@@ -619,8 +619,8 @@ exports.newLearningProcess = function (processIndex, bot, logger, UTILITIES) {
From here on, all other loops executions wont be the first execution and also
we will consider that it is not resuming a previous execution as well.
*/
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP = false
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = false
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP = false
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = false
}
async function writeProcessFiles() {
@@ -708,7 +708,7 @@ exports.newLearningProcess = function (processIndex, bot, logger, UTILITIES) {
thisReport.file.lastExecution = bot.currentDaytime
thisReport.file.lastFile = LearningProcessDate
thisReport.file.simulationState = bot.simulationState
thisReport.file.simulationState = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE
thisReport.file.timeFrames = currentTimeFrameLabel
await thisReport.asyncSave()
}
@@ -718,7 +718,7 @@ exports.newLearningProcess = function (processIndex, bot, logger, UTILITIES) {
let thisReport = statusDependencies.statusReports.get(reportKey);
thisReport.file.lastExecution = bot.processDatetime
thisReport.file.simulationState = bot.simulationState
thisReport.file.simulationState = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE
thisReport.file.timeFrames = currentTimeFrameLabel
logger.newInternalLoop(LearningProcessDate)
TaskServer/ReinforcementLearning/MarkovDecisionProcess.js
+2 -2
View File
@@ -24,12 +24,12 @@ exports.newMarkovDecisionProcess = function newMarkovDecisionProcess(bot, logger
function initialize() {
tradingEngine = bot.simulationState.tradingEngine
tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = bot.LEARNING_SESSION.learningParameters
initializeNodeMap(tradingEngine)
if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true) {
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true) {
/*
Here we will go through all the nodes in the Trading Engine hiriarchy and
apply the initial value to the value property when needed
TaskServer/TradingSession.js
+3 -3
View File
@@ -87,8 +87,8 @@
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_NODE = JSON.parse(message.event.tradingEngine)
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE = JSON.parse(message.event.session)
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).DEPENDENCY_FILTER = JSON.parse(message.event.dependencyFilter)
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = false
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP = true
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = false
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP = true
setUpSessionFolderName()
@@ -147,7 +147,7 @@
return
}
TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = true
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING = true
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_STOPPING = false
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SOCIAL_BOTS_MODULE.sendMessage(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type + " '" + TS.projects.superalgos.globals.taskConstants.TASK_NODE.bot.processes[processIndex].session.name + "' is resuming.")