Trading Simulation
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exports.newTradingSimulation = function (processIndex, tradingEngineModule) {
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/*
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This Module represents the trading simulacion. Escentially a loop through a set of candles and
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the execution at each loop cycle of the Trading System Protocol.
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*/
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const FULL_LOG = true
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const MODULE_NAME = 'Trading Simulation -> ' + TS.projects.superalgos.globals.taskConstants.TASK_NODE.bot.processes[processIndex].session.name
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let thisObject = {
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finalize: finalize,
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runSimulation: runSimulation
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}
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return thisObject
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function finalize() {
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thisObject = undefined
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}
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async function runSimulation(
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chart,
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outputDatasetsMap,
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writeFiles,
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) {
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try {
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let tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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let tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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let sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) }
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) }
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/* These are the Modules we will need to run the Simulation */
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const TRADING_RECORDS_MODULE = require('./TradingRecords.js')
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let tradingRecordsModule = TRADING_RECORDS_MODULE.newTradingRecords(processIndex)
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tradingRecordsModule.initialize(outputDatasetsMap)
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const TRADING_SYSTEM_MODULE = require('./TradingSystem.js')
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let tradingSystemModule = TRADING_SYSTEM_MODULE.newTradingSystem(processIndex, tradingEngineModule)
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tradingSystemModule.initialize()
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const TRADING_EPISODE_MODULE = require('./TradingEpisode.js')
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let tradingEpisodeModule = TRADING_EPISODE_MODULE.newTradingEpisode(processIndex, tradingEngineModule)
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tradingEpisodeModule.initialize()
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/* Setting up the candles array: The whole simulation is based on the array of candles at the time-frame defined at the session parameters. */
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let propertyName = 'at' + sessionParameters.timeFrame.config.label.replace('-', '')
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let candles = chart[propertyName].candles
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/* Variables needed for heartbeat functionality */
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let heartBeatDate
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let previousHeartBeatDate
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/*
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Estimation of the Initial Candle to Process in this Run.
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*/
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let initialCandle
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true && TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
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/* Estimate Initial Candle based on the timeRage configured for the session. */
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let firstEnd = candles[0].end
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let targetEnd = sessionParameters.timeRange.config.initialDatetime
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let diff = targetEnd - firstEnd
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let amount = diff / sessionParameters.timeFrame.config.value
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initialCandle = Math.trunc(amount)
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if (initialCandle < 0) { initialCandle = 0 }
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if (initialCandle > candles.length - 1) {
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/*
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This will happen when the sessionParameters.timeRange.config.initialDatetime is beyond the last candle available,
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meaning that the dataSet needs to be updated with more up-to-date data.
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*/
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TS.projects.superalgos.functionLibraries.sessionFunctions.stopSession(processIndex, 'Data is not up-to-date enough. Please start the Masters Data Mining Operation.')
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[IMPORTANT] runSimulation -> Data is not up-to-date enough. Stopping the Session now. ') }
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return
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}
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} else {
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/*
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In this case we already have at the last candle index the next candle to be
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processed. We will just continue with this candle.
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*/
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initialCandle = tradingEngine.current.episode.candle.index.value
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}
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/*
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Main Simulation Loop
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*/
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/* We are going to use this to exit the loop if needed. */
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let breakLoop = false
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/*
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We will assume that we are at the head of the market here. We do this
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because the loop could be empty and no validation is going to run. If the
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loop is not empty, then the lascCandle() check will override this value
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depending on if we really are at the head of the market or not.
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*/
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tradingEngine.current.episode.headOfTheMarket.value = true
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/*
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This is the main simulation loop. It will go through the initial candle
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until one less than the last candle available. We will never process the last
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candle available since it is not considered a closed candle, but a candle
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that still can change. So effectively will be processing all closed candles.
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*/
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for (let i = initialCandle; i < candles.length - 1; i++) {
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tradingEngine.current.episode.candle.index.value = i
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/* This is the current candle the Simulation is working at. */
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let candle = candles[tradingEngine.current.episode.candle.index.value]
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle Begin @ ' + (new Date(candle.begin)).toLocaleString()) }
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle End @ ' + (new Date(candle.end)).toLocaleString()) }
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tradingEngineModule.setCurrentCandle(candle) // We move the current candle we are standing at, to the trading engine data structure to make it available to anyone, including conditions and formulas.
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/* We emit a heart beat so that the UI can now where we are at the overal process.*/
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heartBeat()
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/* Opening the Episode, if needed. */
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tradingEpisodeModule.openEpisode()
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if (checkInitialDatetime() === false) {
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle Before the Initia Date Time @ ' + (new Date(candle.begin)).toLocaleString()) }
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continue
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}
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positionChartAtCurrentCandle()
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/* The chart was recalculated based on the current candle. */
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tradingSystemModule.updateChart(chart)
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/*
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Do the stuff needed previous to the run like
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Episode Counters and Statistics update. Mantaince is done
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once per simulation candle.
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*/
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tradingSystemModule.mantain()
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tradingEpisodeModule.mantain()
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tradingEngineModule.mantain()
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/*
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Run the first cycle of the Trading System. In this first cycle we
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give some room so that orders can be canceled or filled and we can
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write those records into the output memory. During this cycle new
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orders can not be created, since otherwise the could be cancelled at
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the second cycle without spending real time at the order book.
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*/
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tradingEngineModule.setCurrentCycle('First')
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await runCycle()
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/*
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We check if we need to stop before appending the records so that the stop
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reason is also propery recorded. Note also that we check this after the first
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cycle, where orders have not been submitted to the exchange yet, but we
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had the chance to check for the status of placed orders or even cancel
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the ones that needed cancellation.
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*/
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checkIfWeNeedToStopBetweenCycles()
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords()
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if (breakLoop === true) { break }
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/*
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Run the second cycle of the Trading System. During this second run
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some new orders might be created at slots freed up during the first
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run. This allows for example for a Limit Order to be cancelled during the
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first run, and the same Limit Order definition to spawn a new order
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without the need to wait until the next candle. Orders can not be cancelled
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during the second cycle.
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*/
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tradingEngineModule.setCurrentCycle('Second')
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await runCycle()
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checkIfWeNeedToStopAfterBothCycles()
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords()
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if (breakLoop === true) { break }
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async function runCycle() {
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/* Reset Data Structures */
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tradingSystemModule.reset()
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tradingEpisodeModule.reset()
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tradingEngineModule.reset()
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let infoMessage = 'Processing candle # ' + tradingEngine.current.episode.candle.index.value + ' @ the ' + tradingEngine.current.episode.cycle.value + ' cycle.'
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> ' + infoMessage) }
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tradingSystem.infos.push([tradingSystem.id, infoMessage])
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await tradingSystemModule.run()
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}
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function checkIfWeNeedToStopBetweenCycles() {
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_STOPPING === true) {
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.') }
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updateEpisode('Session Stopped')
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breakLoop = true
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return
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}
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if (TS.projects.superalgos.globals.taskVariables.IS_TASK_STOPPING === true) {
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.') }
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updateEpisode('Task Stopped')
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breakLoop = true
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return
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}
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if (checkFinalDatetime() === false) {
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closeEpisode('Final Datetime Reached')
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breakLoop = true
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TS.projects.superalgos.functionLibraries.sessionFunctions.stopSession(processIndex, 'Final Datetime Reached')
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[IMPORTANT] runSimulation -> Final Datetime Reached. Stopping the Session now. ') }
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return
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}
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if (checkMinimunAndMaximunBalance() === false) {
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closeEpisode('Min or Max Balance Reached')
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breakLoop = true
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TS.projects.superalgos.functionLibraries.sessionFunctions.stopSession(processIndex, 'Min or Max Balance Reached')
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[IMPORTANT] runSimulation -> Min or Max Balance Reached. Stopping the Session now. ') }
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return
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}
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}
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function checkIfWeNeedToStopAfterBothCycles() {
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if (checkNextCandle() === false) {
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updateEpisode('All Candles Processed')
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breakLoop = true
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return
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}
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}
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}
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tradingSystemModule.finalize()
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tradingRecordsModule.finalize()
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tradingEpisodeModule.finalize()
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tradingSystemModule = undefined
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tradingRecordsModule = undefined
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tradingEpisodeModule = undefined
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await writeFiles()
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function closeEpisode(exitType) {
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tradingEpisodeModule.updateExitType(exitType)
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tradingEpisodeModule.closeEpisode()
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}
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function updateEpisode(exitType) {
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tradingEpisodeModule.updateExitType(exitType)
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}
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function heartBeat() {
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let hartbeatText = ''
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if (sessionParameters.heartbeats !== undefined) {
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if (sessionParameters.heartbeats.config.date === true || sessionParameters.heartbeats.config.candleIndex === true) {
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/* We will produce a simulation level heartbeat in order to inform the user this is running. */
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heartBeatDate = new Date(Math.trunc(tradingEngine.current.episode.candle.begin.value / TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS) * TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
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let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime)
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let lastDate = new Date(sessionParameters.timeRange.config.finalDatetime)
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let currentDateString = heartBeatDate.getUTCFullYear() + '-' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(heartBeatDate.getUTCDate(), 2)
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let currentDate = new Date(heartBeatDate)
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let percentage = TS.projects.superalgos.utilities.dateTimeFunctions.getPercentage(fromDate, currentDate, lastDate)
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/*
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Theere are a few tasks that we need to do only when the date changes,
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otherwise it would be suboptimal.
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*/
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if (heartBeatDate.valueOf() !== previousHeartBeatDate) {
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previousHeartBeatDate = heartBeatDate.valueOf()
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let processingDate = heartBeatDate.getUTCFullYear() + '-' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(heartBeatDate.getUTCDate(), 2)
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if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_KEY + ' Loop # ' + tradingEngine.current.episode.candle.index.value + ' @ ' + processingDate) }
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/* Logging to console and disk */
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if (TS.projects.superalgos.utilities.dateTimeFunctions.areTheseDatesEqual(currentDate, new Date()) === false) {
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.newInternalLoop(currentDate, percentage)
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}
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/* Date only hearbeat */
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if (sessionParameters.heartbeats.config.date === true && sessionParameters.heartbeats.config.candleIndex === false) {
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hartbeatText = hartbeatText + currentDateString
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TS.projects.superalgos.functionLibraries.processFunctions.processHeartBeat(processIndex, hartbeatText, percentage)
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return
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}
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}
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/*
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When the Candle Index nees to be shown, then we can not send the hearbet
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only when the dates changes, we have to send it for every candle.
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It might also contain the date information.
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*/
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if (sessionParameters.heartbeats.config.candleIndex === true) {
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if (sessionParameters.heartbeats.config.date === true) {
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hartbeatText = hartbeatText + currentDateString
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}
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hartbeatText = hartbeatText + ' Candle # ' + tradingEngine.current.episode.candle.index.value
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TS.projects.superalgos.functionLibraries.processFunctions.processHeartBeat(processIndex, hartbeatText, percentage)
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}
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}
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}
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}
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function positionChartAtCurrentCandle() {
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/*
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In conditions and Formulas, we want users to have an easy sintax to refer to indicators. In order to achieve that, we need the user to have
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easy access to the current candle for instance, or the current bollinger band, meaning the one the Simulation is currently standing at.
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For that reason we do the following processing, to have at the chart data structure the current objects of each indicator / time frame.
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*/
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let dataDependencies = TS.projects.superalgos.utilities.nodeFunctions.nodeBranchToArray(TS.projects.superalgos.globals.taskConstants.TASK_NODE.bot.processes[processIndex].referenceParent.processDependencies, 'Data Dependency')
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dataDependencies = TS.projects.superalgos.utilities.nodeFunctions.filterOutNodeWihtoutReferenceParentFromNodeArray(dataDependencies)
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/* Finding the Current Element on Market Files */
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if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES) {
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for (let j = 0; j < TS.projects.superalgos.globals.timeFrames.dailyFilePeriods().length; j++) {
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let mapKey = TS.projects.superalgos.globals.timeFrames.dailyFilePeriods()[j][1]
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let propertyName = 'at' + mapKey.replace('-', '')
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let thisChart = chart[propertyName]
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for (let k = 0; k < dataDependencies.length; k++) {
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let dataDependencyNode = dataDependencies[k]
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if (dataDependencyNode.referenceParent.config.codeName !== 'Multi-Period-Daily') { continue }
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let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName
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let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName
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if (thisChart[pluralVariableName] !== undefined) {
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let currentElement = getElement(thisChart[pluralVariableName], 'Daily' + '-' + mapKey + '-' + pluralVariableName)
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if (currentElement !== undefined) {
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thisChart[singularVariableName] = currentElement
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}
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}
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}
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}
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}
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/* Finding the Current Element on Market Files */
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for (let j = 0; j < TS.projects.superalgos.globals.timeFrames.marketFilesPeriods().length; j++) {
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let mapKey = TS.projects.superalgos.globals.timeFrames.marketFilesPeriods()[j][1]
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let propertyName = 'at' + mapKey.replace('-', '')
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let thisChart = chart[propertyName]
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for (let k = 0; k < dataDependencies.length; k++) {
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let dataDependencyNode = dataDependencies[k]
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if (dataDependencyNode.referenceParent.config.codeName !== 'Multi-Period-Market') { continue }
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let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName
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let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName
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if (thisChart[pluralVariableName] !== undefined) {
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let currentElement = getElement(thisChart[pluralVariableName], 'Market' + '-' + mapKey + '-' + pluralVariableName)
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if (currentElement !== undefined) {
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thisChart[singularVariableName] = currentElement
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}
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}
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}
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}
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/* Finding the Current Element At Single Files*/
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let propertyName = 'atAnyTimeFrame'
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let thisChart = chart[propertyName]
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for (let k = 0; k < dataDependencies.length; k++) {
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let dataDependencyNode = dataDependencies[k]
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if (dataDependencyNode.referenceParent.config.codeName !== 'Single-File') { continue }
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let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName
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let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName
|
||||
let elementArray = thisChart[pluralVariableName]
|
||||
let currentElement
|
||||
if (elementArray !== undefined) {
|
||||
currentElement = elementArray[elementArray.length - 1]
|
||||
}
|
||||
thisChart[singularVariableName] = currentElement
|
||||
}
|
||||
}
|
||||
|
||||
function getElement(pArray, datasetName) {
|
||||
if (pArray === undefined) { return }
|
||||
try {
|
||||
let element
|
||||
for (let i = 0; i < pArray.length; i++) {
|
||||
element = pArray[i]
|
||||
|
||||
if (tradingEngine.current.episode.candle.end.value === element.end) { // when there is an exact match at the end we take that element
|
||||
return element
|
||||
} else {
|
||||
if (
|
||||
i > 0 &&
|
||||
element.end > tradingEngine.current.episode.candle.end.value
|
||||
) {
|
||||
let previousElement = pArray[i - 1]
|
||||
if (previousElement.end < tradingEngine.current.episode.candle.end.value) {
|
||||
return previousElement // If one elements goes into the future of currentCandle, then we stop and take the previous element.
|
||||
} else {
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
return
|
||||
} catch (err) {
|
||||
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] runSimulation -> getElement -> datasetName = ' + datasetName)
|
||||
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] runSimulation -> getElement -> err = ' + err.stack)
|
||||
throw (TS.projects.superalgos.globals.standardResponses.DEFAULT_FAIL_RESPONSE)
|
||||
}
|
||||
}
|
||||
|
||||
function checkNextCandle() {
|
||||
/*
|
||||
We need to check that the candle we have just processed it is not the last candle.
|
||||
The candle at the head of the market is already skipped from the loop because it has not closed yet.
|
||||
Note: for Daily Files, this means that the last candle of each day will never be processed.
|
||||
|
||||
The first +1 is because array indexes are based on 0.
|
||||
The second +1 is because we need to compare the next candle (remember that the loops allways avoid the
|
||||
last candle of the dataset available.)
|
||||
*/
|
||||
if (tradingEngine.current.episode.candle.index.value + 1 + 1 === candles.length) {
|
||||
/*
|
||||
When processing daily files, we need a mechanism to turn from one day to the next one.
|
||||
That mechanism is the one implemented here. If we detect that the next candle is the last candle of
|
||||
the day, we will advance current process day one day. By doing so, during the next execution, the
|
||||
simulation will receive the candles and indicators files of the next day.
|
||||
*/
|
||||
let candlesPerDay = TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
|
||||
if (
|
||||
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES &&
|
||||
tradingEngine.current.episode.candle.index.value + 1 + 1 === candlesPerDay
|
||||
) {
|
||||
/*
|
||||
Here we found that the next candle of the dataset is the last candle of the day.
|
||||
It is time to move to the next day so as to receive at the next execution, the indicator files from
|
||||
the next day. At the same time we will reset the index to be pointing to
|
||||
the first candle of the new dataset we shall receive. The first candle of the next day starts
|
||||
at index 0, so we will position the index now at zero.
|
||||
*/
|
||||
tradingEngine.current.episode.candle.index.value = 0
|
||||
tradingEngine.current.episode.processDate.value =
|
||||
tradingEngine.current.episode.processDate.value + TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS
|
||||
return false
|
||||
}
|
||||
|
||||
/*
|
||||
We reached the head of the market but we are not at the last candle of a day during
|
||||
Daily Files processing. We will advance to the next candle index anyways because in the
|
||||
next execution it will likely have more candles at the dataset. And if it does not,
|
||||
it will just wait there until it does.
|
||||
*/
|
||||
tradingEngine.current.episode.headOfTheMarket.value = true
|
||||
tradingEngine.current.episode.candle.index.value++
|
||||
return false
|
||||
} else {
|
||||
|
||||
/* Wd did not reach the head of the market */
|
||||
tradingEngine.current.episode.headOfTheMarket.value = false
|
||||
tradingEngine.current.episode.candle.index.value++
|
||||
return true
|
||||
}
|
||||
}
|
||||
|
||||
function checkInitialDatetime() {
|
||||
/* Here we check that the current candle is not before the initial datetime defined at the session parameters.*/
|
||||
if (tradingEngine.current.episode.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
|
||||
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle before the sessionParameters.timeRange.config.initialDatetime.') }
|
||||
return false
|
||||
}
|
||||
return true
|
||||
}
|
||||
|
||||
function checkFinalDatetime() {
|
||||
/* Here we check that the next candle is not after of the user-defined final datetime at the session parameters.*/
|
||||
if (tradingEngine.current.episode.candle.begin.value + sessionParameters.timeFrame.config.value > sessionParameters.timeRange.config.finalDatetime) {
|
||||
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle after the sessionParameters.timeRange.config.finalDatetime.') }
|
||||
return false
|
||||
}
|
||||
return true
|
||||
}
|
||||
|
||||
function checkMinimunAndMaximunBalance() {
|
||||
/* Checks for Minimun and Maximun Balance. We do the check while not inside any strategy only. */
|
||||
if (
|
||||
tradingEngine.current.strategy.index.value === tradingEngine.current.strategy.index.config.initialValue
|
||||
) {
|
||||
/*
|
||||
We will perform this check only when we are not inside a position,
|
||||
because there the balances have shifted from their resting position.
|
||||
*/
|
||||
|
||||
let stopRunningDate = (new Date(tradingEngine.current.episode.candle.begin.value)).toLocaleString()
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.config.minimumBalance !== undefined) {
|
||||
if (tradingEngine.current.episode.episodeBaseAsset.balance.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
|
||||
const errorMessage = 'Min Balance reached @ ' + stopRunningDate
|
||||
tradingSystem.errors.push([tradingSystem.id, errorMessage])
|
||||
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
|
||||
return false
|
||||
}
|
||||
}
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.config.maximumBalance !== undefined) {
|
||||
if (tradingEngine.current.episode.episodeBaseAsset.balance.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
|
||||
const errorMessage = 'Max Balance reached @ ' + stopRunningDate
|
||||
tradingSystem.errors.push([tradingSystem.id, errorMessage])
|
||||
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
|
||||
return false
|
||||
}
|
||||
}
|
||||
|
||||
if (sessionParameters.sessionQuotedAsset.config.minimumBalance !== undefined) {
|
||||
if (tradingEngine.current.episode.episodeQuotedAsset.balance.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
|
||||
const errorMessage = 'Min Balance reached @ ' + stopRunningDate
|
||||
tradingSystem.errors.push([tradingSystem.id, errorMessage])
|
||||
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
|
||||
return false
|
||||
}
|
||||
}
|
||||
|
||||
if (sessionParameters.sessionQuotedAsset.config.maximumBalance !== undefined) {
|
||||
if (tradingEngine.current.episode.episodeQuotedAsset.balance.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
|
||||
const errorMessage = 'Max Balance reached @ ' + stopRunningDate
|
||||
tradingSystem.errors.push([tradingSystem.id, errorMessage])
|
||||
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
|
||||
return false
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
return true
|
||||
}
|
||||
} catch (err) {
|
||||
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] runSimulation -> err = ' + err.stack)
|
||||
throw (TS.projects.superalgos.globals.standardResponses.DEFAULT_FAIL_RESPONSE)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
Reference in new issue
Block a user