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Luis Fernando Molina committed 2020-07-07 19:16:01 +02:00
1 parent 124f6a71d4
commit 19fcaa820f
3 files changed
+114 -60
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LowFrequencyTrading/TradingExecution.js
+1 -1
View File
@@ -26,7 +26,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
}
function takePosition() {
/* Check that we are in LIVE MODE */
/* Check that we are in LIVE or FORWARD MODE */
if (bot.SESSION.type === 'Live Trading Session' || bot.SESSION.type === 'Fordward Testion Session') {
logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> Taking a Position in ' + bot.SESSION.type)
logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> tradingEngine.current.position.size.value = ' + tradingEngine.current.position.size.value)
LowFrequencyTrading/TradingSimulation.js
+3
View File
@@ -165,6 +165,9 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
triggeringOff = tradingSystemModule.checkTriggerOff()
takingPosition = tradingSystemModule.checkTakePosition()
/* Time to check the execution of orders */
tradingSystemModule.checkExecution()
/* Stop Loss Management */
if (takingPosition !== true) {
tradingSystemModule.checkStopPhasesEvents()
LowFrequencyTrading/TradingSystem.js
+110 -59
View File
@@ -13,6 +13,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
checkTriggerOn: checkTriggerOn,
checkTriggerOff: checkTriggerOff,
checkTakePosition: checkTakePosition,
checkExecution: checkExecution,
checkStopPhasesEvents: checkStopPhasesEvents,
calculateStopLoss: calculateStopLoss,
checkTakeProfitPhaseEvents: checkTakeProfitPhaseEvents,
@@ -295,14 +296,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
passed = true
}
for (let m = 0; m < situation.conditions.length; m++) {
let condition = situation.conditions[m]
let value = false
if (conditions.get(condition.id) !== undefined) {
value = conditions.get(condition.id)
}
if (value !== true) { passed = false }
}
passed = checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
if (passed) {
@@ -350,14 +344,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
passed = true
}
for (let m = 0; m < situation.conditions.length; m++) {
let condition = situation.conditions[m]
let value = false
if (conditions.get(condition.id) !== undefined) {
value = conditions.get(condition.id)
}
if (value !== true) { passed = false }
}
passed = checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
if (passed) {
@@ -399,15 +386,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
passed = true
}
for (let m = 0; m < situation.conditions.length; m++) {
let condition = situation.conditions[m]
let value = false
if (conditions.get(condition.id) !== undefined) {
value = conditions.get(condition.id)
}
if (value !== true) { passed = false }
}
passed = checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
if (passed) {
@@ -439,6 +418,89 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
return false // This Means that we have not met the conditions to take position.
}
function checkExecution() {
if (tradingEngine.current.strategy.stageType.value === 'Open Stage') {
let executionNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage.openExecution
checkExecutionAlgorithms(executionNode)
}
if (tradingEngine.current.strategy.stageType.value === 'Close Stage') {
let executionNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage.closeExecution
checkExecutionAlgorithms(executionNode)
}
function checkExecutionAlgorithms(executionNode) {
for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
let executionAlgorithm = executionNode.executionAlgorithms[i]
checkOrders(executionAlgorithm.marketBuyOrders)
checkOrders(executionAlgorithm.marketSellOrders)
checkOrders(executionAlgorithm.limitBuyOrders)
checkOrders(executionAlgorithm.limitSellOrders)
}
}
function checkOrders(orders) {
for (let i = 0; i < orders.length; i++) {
let order = orders[i]
switch (order.status) {
case 'Open': {
let mustCancelOrder = checkOrderEvent(order.cancelOrderEvent)
if (mustCancelOrder === true) {
// Cancel Order
order.status = 'Closed'
order.exitType = 'Cancelled'
}
let mustMoveOrder = checkOrderEvent(order.moveOrderEvent)
if (mustMoveOrder === true && order.status === 'Open') {
// Move Order
order.status = 'Open'
}
}
break
case 'Closed': {
// Nothing to do here
}
break
default: {
order.status = 'Not Open'
let mustCreateOrder = checkOrderEvent(order.createOrderEvent)
if (mustCreateOrder === true) {
// Create Order
order.status = 'Open'
}
}
}
}
}
function checkOrderEvent(event) {
if (event !== undefined) {
for (let k = 0; k < event.situations.length; k++) {
let situation = event.situations[k]
let passed
if (situation.conditions.length > 0) {
passed = true
}
passed = checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
if (passed) {
tradingSystem.highlights.push(situation.id)
tradingSystem.highlights.push(event.id)
tradingSystem.highlights.push(event.payload.parentNode.id) // order
tradingSystem.highlights.push(event.payload.parentNode.payload.parentNode.id) // algorithm
tradingSystem.highlights.push(event.payload.parentNode.payload.parentNode.payload.parentNode.id) // execution
announcementsModule.makeAnnoucements(event)
return true // only one event can pass at the time
}
}
}
}
}
function checkStopPhasesEvents() {
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
@@ -485,14 +547,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
passed = true
}
for (let m = 0; m < situation.conditions.length; m++) {
let condition = situation.conditions[m]
let value = false
if (conditions.get(condition.id) !== undefined) {
value = conditions.get(condition.id)
}
if (value !== true) { passed = false }
}
passed = checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
if (passed) {
@@ -526,15 +581,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
passed = true
}
for (let m = 0; m < situation.conditions.length; m++) {
let condition = situation.conditions[m]
let value = false
if (conditions.get(condition.id) !== undefined) {
value = conditions.get(condition.id)
}
if (value !== true) { passed = false }
}
passed = checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
if (passed) {
@@ -651,14 +698,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
passed = true
}
for (let m = 0; m < situation.conditions.length; m++) {
let condition = situation.conditions[m]
let value = false
if (conditions.get(condition.id) !== undefined) {
value = conditions.get(condition.id)
}
if (value !== true) { passed = false }
}
passed = checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
if (passed) {
@@ -692,15 +732,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
passed = true
}
for (let m = 0; m < situation.conditions.length; m++) {
let condition = situation.conditions[m]
let value = false
if (conditions.get(condition.id) !== undefined) {
value = conditions.get(condition.id)
}
if (value !== true) { passed = false }
}
passed = checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
if (passed) {
@@ -959,5 +991,24 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
return false
}
}
function checkConditions(situation, passed) {
for (let m = 0; m < situation.conditions.length; m++) {
let condition = situation.conditions[m]
let value = false
if (conditions.get(condition.id) !== undefined) {
value = conditions.get(condition.id)
}
if (value === true) {
tradingSystem.highlights.push(condition.id)
}
else {
passed = false
}
tradingSystem.values.push([condition.id, value])
}
return passed
}
}