Warnings
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Luis Fernando Molina committed
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@@ -78,7 +78,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
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tradingSystem.warnings.push(
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[
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sessionParameters.slippage.id,
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'Slippage (' + slippageAmount + ') substracted from Order Rate (' + tradingEngineOrder.rate.value + ') to get the Actual Rate (' +tradingEngineOrder.orderStatistics.actualRate.value + ')'
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'sessionParameters.slippage.config.positionRate Slippage Amount (' + slippageAmount + ') substracted from Order Rate (' + tradingEngineOrder.rate.value + ') to get the Actual Rate (' +tradingEngineOrder.orderStatistics.actualRate.value + ')'
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]
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)
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break
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@@ -90,7 +90,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
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tradingSystem.warnings.push(
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[
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sessionParameters.slippage.id,
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'Slippage (' + slippageAmount + ') added to Order Rate (' + tradingEngineOrder.rate.value + ') to get the Actual Rate (' +tradingEngineOrder.orderStatistics.actualRate.value + ')'
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'sessionParameters.slippage.config.positionRate Slippage Amount (' + slippageAmount + ') added to Order Rate (' + tradingEngineOrder.rate.value + ') to get the Actual Rate (' +tradingEngineOrder.orderStatistics.actualRate.value + ')'
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]
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)
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break
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@@ -159,7 +159,12 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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need to cancel it, since we could end up with inconsisten information at the accounting level.
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*/
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if (tradingSystemOrder.cancelOrderEvent !== undefined) {
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tradingSystem.warnings.push([tradingSystemOrder.cancelOrderEvent.id, 'Skipping Cancel Event Checking because cheking the order at the exchange failed.'])
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tradingSystem.warnings.push(
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[
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tradingSystemOrder.cancelOrderEvent.id,
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'Skipping Cancel Event Checking because cheking the order at the exchange failed.'
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]
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)
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}
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return
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}
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@@ -255,14 +260,36 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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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 (tradingEngineOrder.orderBaseAsset.size.value <= 0 || tradingEngineOrder.orderQuotedAsset.size.value <= 0) {
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Could not open this order because its size would be zero.'])
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tradingSystem.warnings.push(
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[
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tradingEngineOrder.orderBaseAsset.size.id,
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'Could not open this order because its size would be zero.'
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]
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)
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tradingSystem.warnings.push(
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[
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tradingEngineOrder.orderQuotedAsset.size.id,
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'Could not open this order because its size would be zero.'
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]
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)
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return
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}
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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) {
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Could not open this order because something failed placing the order at the Exchange.'])
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tradingSystem.warnings.push(
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[
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tradingSystemOrder.id,
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'Could not open this order because something failed placing the order at the Exchange.'
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]
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)
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tradingSystem.warnings.push(
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[
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tradingEngineOrder.id,
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'Could not open this order because something failed placing the order at the Exchange.'
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]
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)
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return
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}
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@@ -323,22 +350,22 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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function requiredConfigurationValidation() {
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/* Validate that this config exists */
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if (executionAlgorithm.config.percentageOfStageTargetSize === undefined) {
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badDefinitionUnhandledException(undefined, 'executionAlgorithm.config.percentageOfStageTargetSize === undefined', executionAlgorithm)
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if (executionAlgorithm.config.percentageOfStageTargetSize === undefined) {
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badDefinitionUnhandledException(undefined, 'executionAlgorithm.config.percentageOfStageTargetSize === undefined', executionAlgorithm)
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}
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if (isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true) {
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badDefinitionUnhandledException(undefined, 'isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true', executionAlgorithm)
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if (isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true) {
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badDefinitionUnhandledException(undefined, 'isNaN(executionAlgorithm.config.percentageOfStageTargetSize) === true', executionAlgorithm)
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}
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algorithmSizeInBaseAsset = tradingEngineStage.stageBaseAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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algorithmSizeInQuotedAsset = tradingEngineStage.stageQuotedAsset.targetSize.value * executionAlgorithm.config.percentageOfStageTargetSize / 100
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/* Validate that this config exists */
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) {
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badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder)
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) {
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badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder)
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}
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if (isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true) {
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badDefinitionUnhandledException(undefined, 'isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true', tradingSystemOrder)
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if (isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true) {
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badDefinitionUnhandledException(undefined, 'isNaN(tradingSystemOrder.config.percentageOfAlgorithmSize) === true', tradingSystemOrder)
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}
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}
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@@ -357,11 +384,17 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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tradingEngineOrder.orderBaseAsset.size.value + tradingEngineStage.stageBaseAsset.sizePlaced.value >
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tradingEngineStage.stageBaseAsset.targetSize.value
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) {
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let previousValue = tradingEngineOrder.orderBaseAsset.size.value
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tradingEngineOrder.orderBaseAsset.size.value =
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tradingEngineStage.stageBaseAsset.targetSize.value -
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tradingEngineStage.stageBaseAsset.sizePlaced.value
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Order size shrinked so that the Size Placed does not exceed the Target Size for the stage.'])
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tradingSystem.warnings.push(
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[
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tradingEngineOrder.orderBaseAsset.size.id,
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'Order size (' + previousValue + ') shrinked (' + tradingEngineOrder.orderBaseAsset.size.value + ') so that the Size Placed (' + tradingEngineStage.stageBaseAsset.sizePlaced.value + ') does not exceed the Target Size (' + tradingEngineStage.stageBaseAsset.targetSize.value + ') for the stage.'
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]
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)
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}
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/* Size in Quoted Asset */
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@@ -377,11 +410,17 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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tradingEngineOrder.orderQuotedAsset.size.value + tradingEngineStage.stageQuotedAsset.sizePlaced.value >
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tradingEngineStage.stageQuotedAsset.targetSize.value
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) {
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let previousValue = tradingEngineOrder.orderQuotedAsset.size.value
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tradingEngineOrder.orderQuotedAsset.size.value =
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tradingEngineStage.stageQuotedAsset.targetSize.value -
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tradingEngineStage.stageQuotedAsset.sizePlaced.value
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Order size shrinked so that the Size Placed does not exceed the Target Size for the stage.'])
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tradingSystem.warnings.push(
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[
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tradingEngineOrder.orderQuotedAsset.size.id,
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'Order size (' + previousValue + ') shrinked (' + tradingEngineOrder.orderQuotedAsset.size.value + ') so that the Size Placed (' + tradingEngineStage.stageQuotedAsset.sizePlaced.value + ') does not exceed the Target Size (' + tradingEngineStage.stageQuotedAsset.targetSize.value + ') for the stage.'
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]
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)
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}
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/* Size in Base Asset */
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@@ -399,7 +438,12 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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if (
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tradingEngine.current.episode.episodeQuotedAsset.balance.value - tradingEngineOrder.orderQuotedAsset.size.value < 0
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) {
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Order Size Quoted Asset ('+ tradingEngineOrder.orderQuotedAsset.size.value +') changed to Balance Quoted Asset (' + tradingEngine.current.episode.episodeQuotedAsset.balance.value + ') so that the Balance does not drop below zero.'])
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tradingSystem.warnings.push(
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[
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tradingEngineOrder.orderQuotedAsset.size.id,
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'Order Size Quoted Asset (' + tradingEngineOrder.orderQuotedAsset.size.value + ') changed to Balance Quoted Asset (' + tradingEngine.current.episode.episodeQuotedAsset.balance.value + ') so that the Balance does not drop below zero.'
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]
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)
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngineOrder.orderQuotedAsset.size.value / tradingEngineOrder.rate.value
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@@ -410,7 +454,12 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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if (
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tradingEngine.current.episode.episodeBaseAsset.balance.value - tradingEngineOrder.orderBaseAsset.size.value < 0
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) {
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Order Size Base Asset ('+ tradingEngineOrder.orderBaseAsset.size.value +') changed to Balance Base Asset (' + tradingEngine.current.episode.episodeBaseAsset.balance.value + ') so that the Balance does not drop below zero.'])
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tradingSystem.warnings.push(
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[
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tradingEngineOrder.orderBaseAsset.size.id,
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'Order Size Base Asset (' + tradingEngineOrder.orderBaseAsset.size.value + ') changed to Balance Base Asset (' + tradingEngine.current.episode.episodeBaseAsset.balance.value + ') so that the Balance does not drop below zero.'
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]
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)
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tradingEngineOrder.orderBaseAsset.size.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.rate.value
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@@ -472,7 +521,11 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
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if (order === undefined) {
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Could not verify the status of this order at the exchange.'])
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tradingSystem.warnings.push(
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[
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tradingSystemOrder.id, 'Could not verify the status of this order at the exchange.'
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]
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)
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return false
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}
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@@ -846,7 +899,12 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
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if (order === undefined) {
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tradingSystem.warnings.push([tradingSystemOrder.id, 'Could not verify the status of this order at the exchange, and syncronize the accounting.'])
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tradingSystem.warnings.push(
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[
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tradingSystemOrder.id,
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'Could not verify the status of this order at the exchange, and syncronize the accounting.'
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]
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)
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return false
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}
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