Orders Simulation Calculations
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@@ -1,316 +0,0 @@
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exports.newOrdersCalculations = function (processIndex) {
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/*
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When we are live trading, we need to syncronize with the exchange.
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*/
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const MODULE_NAME = 'Orders Calculations'
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let thisObject = {
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actualSizeCalculation: actualSizeCalculation,
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actualRateCalculation: actualRateCalculation,
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feesToBePaidCalculation: feesToBePaidCalculation,
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amountReceivedCalculation: amountReceivedCalculation,
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percentageFilledCalculation: percentageFilledCalculation,
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feesPaidCalculation: feesPaidCalculation,
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sizeFilledCalculation: sizeFilledCalculation,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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return thisObject
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function initialize() {
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sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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}
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function finalize() {
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sessionParameters = undefined
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tradingEngine = undefined
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tradingSystem = undefined
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}
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async function actualSizeCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
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/*
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When we submit the order to the exchange, we do it specifying the order size
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in Base Asset. It is mandatory to be in Base Asset as per CCXT Library API and
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probably as per the Exchange API too.
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The exchange might take that size or might change it a little
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bit. For example, if it does not accept as many decimals as we are sending.
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We have also seen that for Market Orders, the exchange usually does not take
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the size requested exactly. Sometimes is a little bit less or even a little bit
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more. For Limit orders it is usually the same.
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If it happens that the size accepted (Actual Size) is different than the
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size requested (Size), we need to make several adjustments so that the
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accounting syncronizes with reality.
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*/
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/* This calculation needs to happen only once, the first time the order is checked. */
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if (tradingEngineOrder.orderBaseAsset.actualSize.value !== tradingEngineOrder.orderBaseAsset.actualSize.config.initialValue) { return }
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/* We receive the actual size from the exchange at the order.amount field. */
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tradingEngineOrder.orderBaseAsset.actualSize.value = order.amount
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recalculateActualSize()
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recalculateSizePlaced()
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function recalculateActualSize() {
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/*
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We will recalculate the Quoted Asset Actual Size. This will also give to it an initial value.
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In the next formula, we are unsing the rate of the order because we dont know yet the Actual Rate.
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This rate might be replaced afteerwards for the Actual Rate when this is calculated again once
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the Actual Rate is known.
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*/
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tradingEngineOrder.orderQuotedAsset.actualSize.value = tradingEngineOrder.orderBaseAsset.actualSize.value * tradingEngineOrder.rate.value
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tradingEngineOrder.orderBaseAsset.actualSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.actualSize.value, 10)
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tradingEngineOrder.orderQuotedAsset.actualSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
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}
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function recalculateSizePlaced() {
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/*
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We will also recalculate the Size Placed that was previously calculated with the order Size,
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and now we will do it with the order Actual Size.
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We need to unaccount the previous size placed and correctly account
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for the the new actual sizes we now know.
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*/
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tradingEngineStage.stageBaseAsset.sizePlaced.value =
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tradingEngineStage.stageBaseAsset.sizePlaced.value -
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tradingEngineOrder.orderBaseAsset.size.value
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tradingEngineStage.stageBaseAsset.sizePlaced.value =
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tradingEngineStage.stageBaseAsset.sizePlaced.value +
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tradingEngineOrder.orderBaseAsset.actualSize.value
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value -
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tradingEngineOrder.orderQuotedAsset.size.value
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value +
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tradingEngineOrder.orderQuotedAsset.actualSize.value
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tradingEngineStage.stageBaseAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
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}
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}
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async function actualRateCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
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/*
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Actual Rate Calculation: Let's remember that the exchange may not take the rate
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we send it with the order (in Limit orders) and for any reason change it a little bit.
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For example we might have sent a rate with too many decimals and the exchange truncate
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them. Another thing that might happen is that we send a rate that is matching orders already
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at the order book. In this case we would get an actual rate not only different than the one
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we sent, but also, better since the trading engine inside the exchange would match orders
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with the first orders best by price.
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In the case of Market Orders we don't even send a rate. For all those reason
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we get and store the Actual Rate at which the order was filled.
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*/
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if (order.average !== undefined) {
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/*
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We will use the average whenever is available. As of today it is not 100% clear when this is
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available, but it seems sometimes it is not. In those cases we use the price.
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*/
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tradingEngineOrder.orderStatistics.actualRate.value = order.average
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} else {
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/*
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We use the order.price when the average is not available.
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*/
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tradingEngineOrder.orderStatistics.actualRate.value = order.price
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}
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tradingEngineOrder.orderStatistics.actualRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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/*
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If the Actual Rate happens to be exctly the same than the order rate, then there is
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nothing else to do here. Otherwise there are adjustments to be made.
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*/
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.rate.value) { return }
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let previousQuotedAssetActualSize = tradingEngineOrder.orderQuotedAsset.actualSize.value
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recalculateActualSize()
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recalculateSizePlaced()
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function recalculateActualSize() {
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.rate.value) { return }
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/*
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Now we know the Actual Rate at which the order was filled. Since the actual rate
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is not the same as the Rate we defined for the order, we need to syncronize
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the Actual Order Size for Quoted Asset since it was calculated with the Order Size that we
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now know it is not the one really used at the exchange. We will recalculate the
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Actual Size in Quoted Asset and not in Base Asset, since the Actual Size in Base Asset
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is the one we accepted by the exchange, so that is fixed, regardless of how we initially
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got the Order Size in Base Asset, either from direct imput from the user or calculated
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from the Order Size in Quoted Asset input it by the user. So here we go.
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*/
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previousQuotedAssetActualSize = tradingEngineOrder.orderQuotedAsset.actualSize.value
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tradingEngineOrder.orderQuotedAsset.actualSize.value =
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tradingEngineOrder.orderBaseAsset.actualSize.value *
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tradingEngineOrder.orderStatistics.actualRate.value
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tradingEngineOrder.orderQuotedAsset.actualSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
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tradingSystem.warnings.push(
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[
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[tradingEngineOrder.orderQuotedAsset.actualSize.id, tradingEngineOrder.orderStatistics.actualRate.id],
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'Actual Size (' + previousQuotedAssetActualSize + ') recalculated (' + tradingEngineOrder.orderQuotedAsset.actualSize.value + ') because the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') is different than the Order Rate (' + tradingEngineOrder.rate.value + '))'
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]
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)
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}
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function recalculateSizePlaced() {
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let previousStageQuotedAssetSizePlaced = tradingEngineStage.stageQuotedAsset.sizePlaced.value
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/*
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Since we changed the Actual Size in Quoted Asset, we need to fix the Size Placed in Quoted Asset
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that was previously calculated with the previous value of actualSize.
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*/
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value -
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previousQuotedAssetActualSize
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value +
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tradingEngineOrder.orderQuotedAsset.actualSize.value
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
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tradingSystem.warnings.push(
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[
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[tradingEngineStage.stageQuotedAsset.sizePlaced.id, tradingEngineOrder.orderStatistics.actualRate.id],
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'Size Placed (' + previousStageQuotedAssetSizePlaced + ') recalculated (' + tradingEngineStage.stageQuotedAsset.sizePlaced.value + ') because the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') is different than the Order Rate (' + tradingEngineOrder.rate.value + '))'
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]
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)
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}
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}
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async function feesToBePaidCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
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/*
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The Fees To Be Paid are the fees that will be paid once the order is 100% Filled.
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*/
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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await applyFeePercentage(
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'feesToBePaid',
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tradingEngineOrder,
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tradingSystemOrder,
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sessionParameters.feeStructure.config.taker,
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100
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)
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break
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}
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case 'Limit Order': {
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await applyFeePercentage(
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'feesToBePaid',
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tradingEngineOrder,
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tradingSystemOrder,
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sessionParameters.feeStructure.config.maker,
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100
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)
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break
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}
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}
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}
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async function percentageFilledCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
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/*
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Percentage Filled Calculation: The only relevant information we get from the exchange is the order.filled.
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We know this field will go up until reaching the Actual Size. Once it reaches that number
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the order will be 100% filled.
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*/
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tradingEngineOrder.orderStatistics.percentageFilled.value = order.filled * 100 / tradingEngineOrder.orderBaseAsset.actualSize.value
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tradingEngineOrder.orderStatistics.percentageFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
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}
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async function feesPaidCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
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/*
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Within the order information received from the exchange we can not see the fees paid so we need to
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calculate them ourselves. Knwowing the Fees Paid is critical to later update the balances correctly,
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since at every trade we will receive less than just the Actual Size. In fact we will receive the Actual
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Size minus the Fees Paid.
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The percentage at which the exchange will charge fees needs to be configured at the the Session Fees Parameters.
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*/
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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await applyFeePercentage(
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'feesPaid',
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tradingEngineOrder,
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tradingSystemOrder,
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sessionParameters.feeStructure.config.taker,
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tradingEngineOrder.orderStatistics.percentageFilled.value
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)
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break
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}
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case 'Limit Order': {
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await applyFeePercentage(
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'feesPaid',
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tradingEngineOrder,
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tradingSystemOrder,
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sessionParameters.feeStructure.config.maker,
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tradingEngineOrder.orderStatistics.percentageFilled.value
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)
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break
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}
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}
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}
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async function sizeFilledCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
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/*
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CCXT returns order.filled with an amount denominated in Base Asset. We will
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take it from there for our Order Base Asset. The amount in order.filled does
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not reflect the Fees Paid, even if we are paying the fees in Base Asset.
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*/
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tradingEngineOrder.orderBaseAsset.sizeFilled.value = order.filled
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tradingEngineOrder.orderBaseAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
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/*
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For Quoted Asset, CCXT does not return any field with the size filled, so we
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need to calculate that by ourselves.
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*/
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value =
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tradingEngineOrder.orderQuotedAsset.actualSize.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
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}
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async function amountReceivedCalculation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
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/*
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This calculation is for informational purposes, so that users do not have to calculate
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it by themselves. The Amount Received out of the trade depends if we are Buying or Selling
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the Base Asset. If we are Buying, then the Amount Receiced will be in Base Asset. If we
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are selling then it will be in Quoted Asset.
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*/
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switch (true) {
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case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
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/*
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In this case the Amount Received is in Base Asset.
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*/
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tradingEngineOrder.orderBaseAsset.amountReceived.value =
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tradingEngineOrder.orderBaseAsset.sizeFilled.value -
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tradingEngineOrder.orderBaseAsset.feesPaid.value
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break
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}
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case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
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/*
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In this case the Amount Received is in Quoted Asset.
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*/
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tradingEngineOrder.orderQuotedAsset.amountReceived.value =
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tradingEngineOrder.orderQuotedAsset.sizeFilled.value -
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tradingEngineOrder.orderQuotedAsset.feesPaid.value
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break
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}
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}
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}
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}
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@@ -1,433 +0,0 @@
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exports.newOrdersSimulations = function (processIndex) {
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/*
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When we are backtesting or paper trading, we need to simulate what would have happened at the exchange.
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*/
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const MODULE_NAME = 'Orders Simulations'
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let thisObject = {
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actualSizeSimulation: actualSizeSimulation,
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actualRateSimulation: actualRateSimulation,
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feesToBePaidSimulation: feesToBePaidSimulation,
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amountReceivedSimulation: amountReceivedSimulation,
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percentageFilledSimulation: percentageFilledSimulation,
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feesPaidSimulation: feesPaidSimulation,
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sizeFilledSimulation: sizeFilledSimulation,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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return thisObject
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function initialize() {
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sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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}
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function finalize() {
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sessionParameters = undefined
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tradingEngine = undefined
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tradingSystem = undefined
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}
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async function actualSizeSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage) {
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/*
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The Actual Size is the size the exchange accepts for the order,
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regarless of the size sent in the request to the exchange.
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While backtesting and paper trading, we do not really need to
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simulate an Actual Size. We will just copy to that field the
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size of the order.
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This calculation needs to happen only once, so as to set these values.
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*/
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if (tradingEngineOrder.orderBaseAsset.actualSize.value !== tradingEngineOrder.orderBaseAsset.actualSize.config.initialValue) { return }
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tradingEngineOrder.orderBaseAsset.actualSize.value = tradingEngineOrder.orderBaseAsset.size.value
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tradingEngineOrder.orderQuotedAsset.actualSize.value = tradingEngineOrder.orderQuotedAsset.size.value
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}
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function actualRateSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage) {
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/* Actual Rate Simulation */
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let previousQuotedAssetActualSize = tradingEngineOrder.orderQuotedAsset.actualSize.value
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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/*
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The default value for the Actual Rate is the rate of the order.
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*/
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
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}
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basedOnSessionParameters()
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basedOnTradingSystem()
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considerBestMatchWithOrderBook()
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recalculateActualSize()
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recalculateSizePlaced()
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function basedOnSessionParameters() {
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/*
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The default way to calculate the Actual Rate is to apply the Slippage defined
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at the Session Parameters Definition. We are not going to apply the default if there
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is a definition for this order on how to calculate the actual rate.
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*/
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if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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return
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}
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}
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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/* Actual Rate is simulated based on the Session Paremeters */
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let slippageAmount = tradingEngineOrder.rate.value * sessionParameters.slippage.config.marketOrderRate / 100
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if (slippageAmount !== 0) {
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switch (tradingSystemOrder.type) {
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case 'Market Sell Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
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tradingEngineOrder.orderStatistics.actualRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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tradingSystem.warnings.push(
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[
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[sessionParameters.slippage.id, tradingEngineOrder.rate.id, tradingEngineOrder.orderStatistics.actualRate.id],
|
||||
'slippage.config.marketOrderRate Slippage Amount (' + slippageAmount + ') substracted from Order Rate (' + tradingEngineOrder.rate.value + ') to get the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ')'
|
||||
]
|
||||
)
|
||||
break
|
||||
}
|
||||
case 'Market Buy Order': {
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
||||
|
||||
tradingSystem.warnings.push(
|
||||
[
|
||||
[sessionParameters.slippage.id, tradingEngineOrder.rate.id, tradingEngineOrder.orderStatistics.actualRate.id],
|
||||
'slippage.config.marketOrderRate Slippage Amount (' + slippageAmount + ') added to Order Rate (' + tradingEngineOrder.rate.value + ') to get the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ')'
|
||||
]
|
||||
)
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Limit Order': {
|
||||
/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function basedOnTradingSystem() {
|
||||
/*
|
||||
If the user specified a Formula to simulate the Actual Rate for this order,
|
||||
we use that formula here. Note that if this Formula exists, this will override
|
||||
the calculation based on Slippage.
|
||||
*/
|
||||
if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
|
||||
/* Calculate this only once for this order */
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
|
||||
let newValue = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
|
||||
newValue = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(newValue, 10)
|
||||
|
||||
tradingSystem.warnings.push(
|
||||
[
|
||||
tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id,
|
||||
'Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') calculated with this Formula (' + newValue + ')'
|
||||
]
|
||||
)
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = newValue
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function considerBestMatchWithOrderBook() {
|
||||
/*
|
||||
Until here we have got the Actual Rate based on the formula definition or based on session parameters slippage.
|
||||
The last check is about watching what happened in the market. Let's remember that the exchange will
|
||||
fill the order with the best possible matches at it's order book. That means that if the rate
|
||||
we set for the order was too low (for a sale order) or too hight (for a buy order), the actual rate
|
||||
should be better than expected.
|
||||
|
||||
We don't know what it is at the order book, but whe know that the last candle includes trades that bounced between
|
||||
the min an max of the candle. That could tell us the above the max and below the min, the order would be matched
|
||||
with orders at the order book. For that reason, we do this:
|
||||
*/
|
||||
switch (true) {
|
||||
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value > tradingEngine.current.episode.candle.max.value) {
|
||||
tradingSystem.warnings.push(
|
||||
[
|
||||
[tradingEngineOrder.orderStatistics.actualRate.id, tradingEngine.current.episode.candle.max.id],
|
||||
'Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') too high. Changed to candle.max (' + tradingEngine.current.episode.candle.max.value + ')'
|
||||
]
|
||||
)
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.max.value
|
||||
}
|
||||
break
|
||||
}
|
||||
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value < tradingEngine.current.episode.candle.min.value) {
|
||||
tradingSystem.warnings.push(
|
||||
[
|
||||
[tradingEngineOrder.orderStatistics.actualRate.id, tradingEngine.current.episode.candle.min.id],
|
||||
'Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') too low. Changed to candle.min (' + tradingEngine.current.episode.candle.max.value + ')'
|
||||
]
|
||||
)
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.min.value
|
||||
}
|
||||
break
|
||||
}
|
||||
}
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
||||
}
|
||||
|
||||
function recalculateActualSize() {
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.rate.value) { return }
|
||||
/*
|
||||
Now that we have an Actual Rate, we need to adjust the Actual Size in Quoted Asset, since
|
||||
Base Asset is what the exchange accepts as input and give information at. Quotes Asset properties are always calculated.
|
||||
*/
|
||||
tradingEngineOrder.orderQuotedAsset.actualSize.value =
|
||||
tradingEngineOrder.orderBaseAsset.actualSize.value *
|
||||
tradingEngineOrder.orderStatistics.actualRate.value
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.actualSize.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
|
||||
|
||||
tradingSystem.warnings.push(
|
||||
[
|
||||
[tradingEngineOrder.orderQuotedAsset.actualSize.id, tradingEngineOrder.orderStatistics.actualRate.id],
|
||||
'Actual Size (' + previousQuotedAssetActualSize + ') recalculated (' + tradingEngineOrder.orderQuotedAsset.actualSize.value + ') because the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') is different than the Order Rate (' + tradingEngineOrder.rate.value + '))'
|
||||
]
|
||||
)
|
||||
}
|
||||
|
||||
function recalculateSizePlaced() {
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.rate.value) { return }
|
||||
/*
|
||||
Since the Actual Rate might have changed, we need to recalculate the Size Placed, where we accumulate all the Size Placed of
|
||||
all orders of a Stage. For Base Asset there is nothing to do, since the Actual Rate does not have an inpact on it.
|
||||
|
||||
For Quoted Asset, we need to first unaccount what this same orded added before to Size Placed (with the precious Actual Size) and
|
||||
account with the new Actual Size.
|
||||
*/
|
||||
let previousStageQuotedAssetSizePlaced = tradingEngineStage.stageQuotedAsset.sizePlaced.value
|
||||
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value -
|
||||
previousQuotedAssetActualSize
|
||||
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
|
||||
tradingEngineOrder.orderQuotedAsset.actualSize.value
|
||||
|
||||
tradingEngineStage.stageQuotedAsset.sizePlaced.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
|
||||
|
||||
tradingSystem.warnings.push(
|
||||
[
|
||||
[tradingEngineStage.stageQuotedAsset.sizePlaced.id, tradingEngineOrder.orderStatistics.actualRate.id],
|
||||
'Size Placed (' + previousStageQuotedAssetSizePlaced + ') recalculated (' + tradingEngineStage.stageQuotedAsset.sizePlaced.value + ') because the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') is different than the Order Rate (' + tradingEngineOrder.rate.value + '))'
|
||||
]
|
||||
)
|
||||
}
|
||||
}
|
||||
|
||||
async function feesToBePaidSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage) {
|
||||
/*
|
||||
The Fees To Be Paid are the fees that will be paid once the order is 100% Filled.
|
||||
*/
|
||||
switch (tradingEngineOrder.type) {
|
||||
case 'Market Order': {
|
||||
await applyFeePercentage(
|
||||
'feesToBePaid',
|
||||
tradingEngineOrder,
|
||||
tradingSystemOrder,
|
||||
sessionParameters.feeStructure.config.taker,
|
||||
100
|
||||
)
|
||||
break
|
||||
}
|
||||
case 'Limit Order': {
|
||||
await applyFeePercentage(
|
||||
'feesToBePaid',
|
||||
tradingEngineOrder,
|
||||
tradingSystemOrder,
|
||||
sessionParameters.feeStructure.config.maker,
|
||||
100
|
||||
)
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function percentageFilledSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage) {
|
||||
/*
|
||||
When we are live, it is the exchange who knows which order was filled and in
|
||||
which amount. Since we are backtesting here, we need to simulate what happens
|
||||
at the exchange. We can not simulate that an order is filled if the candle we
|
||||
see did not touch the order.
|
||||
|
||||
For limit buy orders we are going to check if the price was below the order actual rate, and
|
||||
for limit sell orders we are going to check if the price was above the order actual rate.
|
||||
|
||||
If we have a partial filling defined specifically for this order,
|
||||
we are going to use it to estimate how much of the order we will consider filled.
|
||||
*/
|
||||
let orderWasHit
|
||||
switch (tradingSystemOrder.type) {
|
||||
case 'Limit Buy Order': {
|
||||
if (tradingEngine.current.episode.candle.min.value <= tradingEngineOrder.orderStatistics.actualRate.value) {
|
||||
orderWasHit = true
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Limit Sell Order': {
|
||||
if (tradingEngine.current.episode.candle.max.value >= tradingEngineOrder.orderStatistics.actualRate.value) {
|
||||
orderWasHit = true
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Market Buy Order': {
|
||||
orderWasHit = true
|
||||
break
|
||||
}
|
||||
case 'Market Sell Order': {
|
||||
orderWasHit = true
|
||||
break
|
||||
}
|
||||
}
|
||||
if (orderWasHit === true) {
|
||||
/*
|
||||
Initially, we will assume that 100% of the order was filled. This might be overwritten
|
||||
if there is a configuration for this order that details how much is must be considered
|
||||
filled each time we check this.
|
||||
*/
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = 100
|
||||
|
||||
/* Based on the Trading System Definition */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
|
||||
|
||||
/* Percentage Filled */
|
||||
let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
|
||||
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
||||
}
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function feesPaidSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage) {
|
||||
/*
|
||||
The way the Fess Paid are calculated is as follows: From the order Actual Size we apply the % of fee,
|
||||
that would give us the total fees for that order. To that we apply the % filled of the orders,
|
||||
that give use the final result of the fees paid for the current % filled.
|
||||
|
||||
But before that, we will see if there is an specific definition on how to simulate the fees for
|
||||
this order, or if there is not, we use the Fees Structure defined at the Session Parameters.
|
||||
*/
|
||||
|
||||
/* Based on the Trading System Definition */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
|
||||
applyFeePercentage(
|
||||
'feesPaid',
|
||||
tradingEngineOrder,
|
||||
tradingSystemOrder,
|
||||
tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage,
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value
|
||||
)
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/*
|
||||
Another way to simulate the Fees Paid is by using the Session Paremeters configuration for Fees.
|
||||
*/
|
||||
switch (tradingEngineOrder.type) {
|
||||
case 'Market Order': {
|
||||
applyFeePercentage(
|
||||
'feesPaid',
|
||||
tradingEngineOrder,
|
||||
tradingSystemOrder,
|
||||
sessionParameters.feeStructure.config.taker,
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value
|
||||
)
|
||||
break
|
||||
}
|
||||
case 'Limit Order': {
|
||||
applyFeePercentage(
|
||||
'feesPaid',
|
||||
tradingEngineOrder,
|
||||
tradingSystemOrder,
|
||||
sessionParameters.feeStructure.config.maker,
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value
|
||||
)
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function sizeFilledSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage) {
|
||||
/*
|
||||
Size Filled is the amount of Base Asset or Quoted Asset that at the exchange matches
|
||||
another counterparty order. We calculate this using the Percentage Filled we already simulated.
|
||||
*/
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value =
|
||||
tradingEngineOrder.orderBaseAsset.actualSize.value *
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
||||
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value =
|
||||
tradingEngineOrder.orderQuotedAsset.actualSize.value *
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value / 100
|
||||
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderBaseAsset.sizeFilled.value, 10)
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value = TS.projects.superalgos.utilities.miscellaneousFunctions.truncateToThisPrecision(tradingEngineOrder.orderQuotedAsset.sizeFilled.value, 10)
|
||||
}
|
||||
|
||||
async function amountReceivedSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, order, applyFeePercentage) {
|
||||
/*
|
||||
This simulation is for informational purposes, so that users do not have to calculate
|
||||
it by themselves. The Amount Received out of the trade depends if we are Buying or Selling
|
||||
the Base Asset. If we are Buying, then the Amount Receiced will be in Base Asset. If we
|
||||
are selling then it will be in Quoted Asset.
|
||||
*/
|
||||
|
||||
switch (true) {
|
||||
case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
|
||||
/*
|
||||
In this case the Amount Received is in Base Asset.
|
||||
*/
|
||||
tradingEngineOrder.orderBaseAsset.amountReceived.value =
|
||||
tradingEngineOrder.orderBaseAsset.sizeFilled.value -
|
||||
tradingEngineOrder.orderBaseAsset.feesPaid.value
|
||||
break
|
||||
}
|
||||
case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
|
||||
/*
|
||||
In this case the Amount Received is in Quoted Asset.
|
||||
*/
|
||||
tradingEngineOrder.orderQuotedAsset.amountReceived.value =
|
||||
tradingEngineOrder.orderQuotedAsset.sizeFilled.value -
|
||||
tradingEngineOrder.orderQuotedAsset.feesPaid.value
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in new issue
Block a user