Slippage implementation
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Luis Fernando Molina committed
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6cb83b664f
commit
1b09f2af24
1 file changed
+87
-68
+87
-68
@@ -164,16 +164,31 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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}
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/* Slippage */
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let slippage = 0
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let slippage = { // Default Values
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positionRate: 0,
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stopLoss: 0,
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takeProfit: 0
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}
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if (definition.tradingSystem !== undefined) {
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if (definition.tradingSystem.parameters !== undefined) {
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if (definition.tradingSystem.parameters.baseAsset !== undefined) {
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if (definition.tradingSystem.parameters.baseAsset.formula !== undefined) {
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if (definition.tradingSystem.parameters.baseAsset.formula.code !== undefined) {
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let code = JSON.parse(definition.tradingSystem.parameters.baseAsset.formula.code)
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if (code.slippage !== undefined) {
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slippage = code.slippage
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try {
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let code = JSON.parse(definition.tradingSystem.parameters.baseAsset.formula.code)
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if (code.slippage !== undefined) {
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if (code.slippage.positionRate !== undefined) {
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slippage.positionRate = code.slippage.positionRate
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}
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if (code.slippage.stopLoss !== undefined) {
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slippage.stopLoss = code.slippage.stopLoss
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}
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if (code.slippage.takeProfit !== undefined) {
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slippage.takeProfit = code.slippage.takeProfit
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}
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}
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} catch (err) {
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tradingSystem.parameters.baseAsset.formula.error = "Slippage Error: " + err.message
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}
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}
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}
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@@ -550,16 +565,10 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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/* Assistant Info */
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let ticker
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if (process.env.START_MODE === "live" && i === candles.length - 2) {
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ticker = assistant.getTicker()
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} else {
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ticker = {
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bid: candle.close,
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ask: candle.close,
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last: candle.close
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}
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let ticker = {
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bid: candle.close,
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ask: candle.close,
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last: candle.close
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}
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//let LRC = LRCMap.get(candle.begin);
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@@ -1280,8 +1289,6 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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takeProfitStage = 'Open Stage';
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stopLossPhase = 1;
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takeProfitPhase = 1;
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currentTrade.begin = candle.begin;
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currentTrade.beginRate = strategy.positionRate;
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if (processingDailyFiles) {
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if (positionedAtYesterday) {
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@@ -1290,8 +1297,6 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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yesterday.takeProfitStage = takeProfitStage;
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yesterday.stopLossPhase = stopLossPhase;
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yesterday.takeProfitPhase = takeProfitPhase;
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yesterday.currentTrade.begin = currentTrade.begin;
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yesterday.currentTrade.beginRate = currentTrade.beginRate;
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}
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}
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@@ -1583,20 +1588,23 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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if ((baseAsset === 'BTC' && candle.max >= stopLoss) || (baseAsset !== 'BTC' && candle.min <= stopLoss)) {
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/* Check the Slipagge */
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/*
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Hit Point Validation
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let stopLossHitPoint = stopLoss
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This prevents misscalculations when a formula places the stop loss in this case way beyond the market price.
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If we take the stop loss value at those situation would be a huge distortion of facts.
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*/
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if (baseAsset === 'BTC') {
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if (stopLossHitPoint < candle.open) { stopLossHitPoint = candle.open}
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if (stopLossHitPoint < candle.close) { stopLossHitPoint = candle.close }
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if (stopLoss < candle.min) { stopLoss = candle.min }
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} else {
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if (stopLossHitPoint > candle.open) { stopLossHitPoint = candle.open }
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if (stopLossHitPoint > candle.close) { stopLossHitPoint = candle.close }
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if (stopLoss > candle.max) { stopLoss = candle.max }
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}
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let slippedStopLoss = stopLossHitPoint
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let slippageAmount = stopLossHitPoint * slippage / 100
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let slippedStopLoss = stopLoss
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/* Apply the Slippage */
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let slippageAmount = slippedStopLoss * slippage.stopLoss / 100
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if (baseAsset === 'BTC') {
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slippedStopLoss = slippedStopLoss + slippageAmount
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@@ -1604,17 +1612,19 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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slippedStopLoss = slippedStopLoss - slippageAmount
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}
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if (baseAsset === 'BTC') {
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strategy.positionSize = balanceAssetB / slippedStopLoss;
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strategy.positionRate = slippedStopLoss;
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let finalStopLoss = slippedStopLoss;
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balanceAssetA = balanceAssetA + balanceAssetB / slippedStopLoss;
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if (baseAsset === 'BTC') {
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strategy.positionSize = balanceAssetB / finalStopLoss;
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strategy.positionRate = finalStopLoss;
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balanceAssetA = balanceAssetA + balanceAssetB / finalStopLoss;
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balanceAssetB = 0;
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} else {
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strategy.positionSize = balanceAssetA * slippedStopLoss;
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strategy.positionRate = slippedStopLoss;
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strategy.positionSize = balanceAssetA * finalStopLoss;
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strategy.positionRate = finalStopLoss;
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balanceAssetB = balanceAssetB + balanceAssetA * slippedStopLoss;
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balanceAssetB = balanceAssetB + balanceAssetA * finalStopLoss;
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balanceAssetA = 0;
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}
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@@ -1625,7 +1635,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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}
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}
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marketRate = slippedStopLoss;
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marketRate = finalStopLoss;
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type = '"Close@StopLoss"';
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strategyStage = 'Close Stage';
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stopLossStage = 'No Stage';
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@@ -1633,8 +1643,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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currentTrade.end = candle.end;
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currentTrade.status = 1;
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currentTrade.exitType = 1;
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currentTrade.endRate = slippedStopLoss;
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currentTrade.endRate = finalStopLoss;
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closePositionNow = true;
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if (processingDailyFiles) {
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@@ -1654,20 +1664,22 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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if ((baseAsset === 'BTC' && candle.min <= takeProfit) || (baseAsset !== 'BTC' && candle.max >= takeProfit)) {
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/* Check the Slipagge */
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/*
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Hit Point Validation:
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let takeProfitHitPoint = stopLoss
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This prevents misscalculations when a formula places the take profit in this case way beyond the market price.
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If we take the stop loss value at those situation would be a huge distortion of facts.
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*/
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if (baseAsset === 'BTC') {
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if (takeProfitHitPoint > candle.open) { takeProfitHitPoint = candle.open }
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if (takeProfitHitPoint > candle.close) { takeProfitHitPoint = candle.close }
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if (takeProfit > candle.max) { takeProfit = candle.max }
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} else {
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if (takeProfitHitPoint < candle.open) { takeProfitHitPoint = candle.open }
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if (takeProfitHitPoint < candle.close) { takeProfitHitPoint = candle.close }
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if (takeProfit < candle.min) { takeProfit = candle.min }
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}
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let slippedTakeProfit = takeProfit
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let slippageAmount = stopLoss * slippage / 100
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/* Apply the Slippage */
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let slippageAmount = slippedTakeProfit * slippage.takeProfit / 100
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if (baseAsset === 'BTC') {
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slippedTakeProfit = slippedTakeProfit - slippageAmount
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@@ -1675,17 +1687,19 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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slippedTakeProfit = slippedTakeProfit + slippageAmount
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}
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if (baseAsset === 'BTC') {
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strategy.positionSize = balanceAssetB / slippedTakeProfit;
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strategy.positionRate = slippedTakeProfit;
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let finalTakeProfit = slippedTakeProfit;
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balanceAssetA = balanceAssetA + balanceAssetB / slippedTakeProfit;
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if (baseAsset === 'BTC') {
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strategy.positionSize = balanceAssetB / finalTakeProfit;
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strategy.positionRate = finalTakeProfit;
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balanceAssetA = balanceAssetA + balanceAssetB / finalTakeProfit;
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balanceAssetB = 0;
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} else {
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strategy.positionSize = balanceAssetA * slippedTakeProfit;
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strategy.positionRate = slippedTakeProfit;
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strategy.positionSize = balanceAssetA * finalTakeProfit;
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strategy.positionRate = finalTakeProfit;
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balanceAssetB = balanceAssetB + balanceAssetA * slippedTakeProfit;
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balanceAssetB = balanceAssetB + balanceAssetA * finalTakeProfit;
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balanceAssetA = 0;
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}
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@@ -1697,7 +1711,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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}
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}
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marketRate = slippedTakeProfit;
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marketRate = finalTakeProfit;
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type = '"Close@TakeProfit"';
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strategyStage = 'Close Stage';
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stopLossStage = 'No Stage';
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@@ -1706,8 +1720,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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currentTrade.end = candle.end;
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currentTrade.status = 1;
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currentTrade.exitType = 2;
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currentTrade.endRate = slippedTakeProfit;
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currentTrade.endRate = finalTakeProfit;
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closePositionNow = true;
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if (processingDailyFiles) {
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@@ -1736,22 +1750,15 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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let strategy = tradingSystem.strategies[currentStrategyIndex];
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tradePositionSize = strategy.positionSize;
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tradePositionRate = strategy.positionRate;
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if (i === candles.length - 2) { /* Only at the last closed candle I can take the value from the formula, since the use of ticker could alter the value at previous candles.*/
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tradePositionRate = strategy.positionRate;
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/* We take what was calculated at the formula and apply the slippage. */
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let slippageAmount = tradePositionRate * slippage.positionRate / 100
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if (baseAsset === 'BTC') {
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tradePositionRate = tradePositionRate - slippageAmount
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} else {
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/* Check the Slipagge */
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tradePositionRate = candle.close;
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let slippageAmount = tradePositionRate * slippage / 100
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if (baseAsset === 'BTC') {
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tradePositionRate = tradePositionRate - slippageAmount
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} else {
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tradePositionRate = tradePositionRate + slippageAmount
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}
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tradePositionRate = tradePositionRate + slippageAmount
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}
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if (processingDailyFiles) {
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@@ -1761,6 +1768,18 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
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}
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}
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/* Update the trade record information. */
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currentTrade.begin = candle.begin;
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currentTrade.beginRate = tradePositionRate;
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if (processingDailyFiles) {
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if (positionedAtYesterday) {
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yesterday.currentTrade.begin = currentTrade.begin;
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yesterday.currentTrade.beginRate = currentTrade.beginRate;
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}
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}
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/* Check if we need to execute. */
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if (i > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not.*/
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/* Check that we are in LIVE MODE */
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if (process.env.START_MODE === "live") {
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