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Taking Position puting order at exchange working

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Luis Fernando Molina committed 2019-07-22 23:01:54 +02:00
1 parent 9252db640f
commit 299ef0ba60
4 files changed
+256 -100
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Commons.js
+222 -97
View File
@@ -10,7 +10,6 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
createMessage, getMessage, getExpandedMessage
} = orderMessage.newOrderMessage()
const FULL_LOG = true;
const LOG_FILE_CONTENT = false;
@@ -58,6 +57,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
startDate,
endDate,
interExecutionMemory,
assistant,
callback,
callBackFunction) {
@@ -198,6 +198,10 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let marketRate = 0;
let takePositionNow = false
/* Assistant Info */
let ticker = assistant.getTicker();
/* In some cases we need to know if we are positioned at the last candle of the calendar day, for that we need thse variables. */
let lastInstantOfTheDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1;
@@ -340,7 +344,18 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
/* Main Simulation Loop: We go thourgh all the candles at this time period. */
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> Main Simulation Loop -> candles.length = " + candles.length); }
for (let i = 0; i < candles.length; i++) {
let i
initializeLoop()
function initializeLoop() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> initializeLoop -> Entering function."); }
i = 0
loop()
}
function loop() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Entering function."); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> i = " + i); }
let candle = candles[i];
@@ -353,13 +368,28 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
/* If any of the needed indicators is missing, then that period is not calculated */
if (candle.begin < initialDate.valueOf()) { continue; }
if (bollingerBand === undefined) { continue; }
if (percentageBandwidth === undefined) { continue; } // percentageBandwidth might start after the first few candles.
if (bollingerChannel === undefined) { continue; }
if (bollingerSubChannel === undefined) { continue; }
if (candle.begin < initialDate.valueOf()) {
controlLoop();
return
}
if (bollingerBand === undefined) {
controlLoop();
return
}
if (percentageBandwidth === undefined) {
controlLoop();
return
} // percentageBandwidth might start after the first few candles.
if (bollingerChannel === undefined) {
controlLoop();
return
}
if (bollingerSubChannel === undefined) {
controlLoop();
return
}
//if (LRC === undefined) { continue; }
//if (LRC === undefined) { controlLoop(); return}
periods++;
days = periods * timePeriod / ONE_DAY_IN_MILISECONDS;
@@ -372,16 +402,18 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
/* We skip the candle at the head of the market because i has not closed yet. */
let candlesPerDay = ONE_DAY_IN_MILISECONDS / timePeriod
if (i === candles.length - 1) {
if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2) ) {
if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2)) {
/*We are at the head of the market, thus we skip the last candle because it has not close yet. */
continue;
controlLoop();
return
/* Note here that in the last candle of the first day or the second day it will use an incomplete candle and partially calculated indicators.
if we skip these two periods, then there will be a hole in the file since the last period will be missing. */
if we skip these two periods, then there will be a hole in the file since the last period will be missing. */
}
}
} else { // We are processing Market Files
if (i === candles.length - 1) {
continue;
controlLoop();
return
}
}
@@ -413,7 +445,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
lastObjectsArray.push(lastObjects);
if (lastObjectsArray.length > 5) {
lastObjectsArray.splice(0,1);
lastObjectsArray.splice(0, 1);
}
let conditions = new Map; // Here we store the conditions values that will be use in the simulator for decision making.
@@ -430,14 +462,14 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
evaluateConditionsAndFormulas(tradingSystem, conditions);
function evaluateConditionsAndFormulas(tradingSystem, conditions) {
function evaluateConditionsAndFormulas(tradingSystem, conditions) {
for (let j = 0; j < tradingSystem.strategies.length; j++) {
let strategy = tradingSystem.strategies[j];
let positionSize = 0
let positionRate = 0
let positionSize = 0
let positionRate = 0
/* Continue with the rest of the formulas and conditions */
@@ -577,9 +609,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (phase.formula !== undefined) {
try {
formulaValue = eval(phase.formula.code);
formulaValue = eval(phase.formula.code);
if (formulaValue === Infinity) {
formulaError= "Formula evaluates to Infinity."
formulaError = "Formula evaluates to Infinity."
formulaValue = MAX_STOP_LOSS_VALUE
}
} catch (err) {
@@ -854,11 +886,11 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
/* Trigger On Conditions */
if (
strategyStage === 'No Stage' &&
currentStrategyIndex === -1
currentStrategyIndex === -1
) {
let minimumBalance
let maximumBalance
let balance
let balance
if (baseAsset === 'BTC') {
balance = balanceAssetA
@@ -875,12 +907,12 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
/*
Here we need to pick a strategy, or if there is not suitable strategy for the current
market conditions, we pass until the next period.
To pick a new strategy we will evaluate what we call the trigger on. Once we enter
into one strategy, we will ignore market conditions for others. However there is also
a strategy trigger off which can be hit before taking a position. If hit, we would
be outside a strategy again and looking for the condition to enter all over again.
*/
for (let j = 0; j < tradingSystem.strategies.length; j++) {
@@ -931,7 +963,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
if (balance > maximumBalance) {
tradingSystem.error = "Max Balance @ " + stopRunningDate.toUTCString()
}
}
}
}
@@ -1044,7 +1076,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let openStage = strategy.openStage
let manageStage = strategy.manageStage
let parentNode
let parentNode
let j = currentStrategyIndex
let stageKey
let initialDefinitionKey = ''
@@ -1057,7 +1089,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
initialDefinitionKey = '-' + 'initialDefinition'
stageKey = 'openStage'
p = stopLossPhase - 1
}
}
}
}
@@ -1066,7 +1098,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
parentNode = manageStage
stageKey = 'manageStage'
p = stopLossPhase - 2
}
}
}
let phase = parentNode.stopLoss.phases[p];
@@ -1108,7 +1140,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let strategy = tradingSystem.strategies[currentStrategyIndex];
let openStage = strategy.openStage
let manageStage = strategy.manageStage
let phase
let phase
let key
if (stopLossStage === 'Open Stage' && openStage !== undefined) {
@@ -1328,53 +1360,127 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
) {
takePositionNow = false
/* tradePositionSize default is the whole balance if no size was defined by the user */
if (baseAsset === 'BTC') {
tradePositionSize = balanceAssetA;
} else {
tradePositionSize = balanceAssetB;
}
tradePositionRate = candle.close
/* Check if the user defined a position size or rate */
/* Position size and rate */
let strategy = tradingSystem.strategies[currentStrategyIndex];
tradePositionSize = strategy.positionSize;
tradePositionRate = strategy.positionRate;
calculateTakeProfit();
calculateStopLoss();
/* We see if we need to put the actual order at the exchange. */
marketRate = candle.close;
if (interExecutionMemory.executionContext !== undefined) {
switch (interExecutionMemory.executionContext.status) {
case "Without a Position": { // We need to put the order because It was not put yet.
previousBalanceAssetA = balanceAssetA;
previousBalanceAssetB = balanceAssetB;
if (strategy.openStage !== undefined) {
if (strategy.openStage.openExecution !== undefined) {
putOrder()
return
}
}
lastTradeProfitLoss = 0;
lastTradeROI = 0;
if (baseAsset === 'BTC') {
balanceAssetB = balanceAssetB + tradePositionSize * tradePositionRate;
balanceAssetA = balanceAssetA - tradePositionSize;
} else {
balanceAssetA = balanceAssetA + tradePositionSize / tradePositionRate;
balanceAssetB = balanceAssetB - tradePositionSize;
}
positionInstant = candle.end;
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
yesterday.balanceAssetA = balanceAssetA;
yesterday.balanceAssetB = balanceAssetB;
yesterday.lastTradeProfitLoss = lastTradeProfitLoss;
yesterday.lastTradeROI = lastTradeROI;
break
}
case "In a Position": { // This should mean that we already put the order at the exchange.
break
}
case "Taking Position": { // Waiting for a confirmation that the position was taken.
break
}
}
} else { // The context does not exist so it means we are not in a position.
if (strategy.openStage !== undefined) {
if (strategy.openStage.openExecution !== undefined) {
putOrder()
return
}
}
}
addRecord();
continue;
takePositionAtSimulation()
function putOrder() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> Entering function."); }
let positionDirection
if (baseAsset === 'BTC') {
positionDirection = "sell"
} else {
positionDirection = "buy"
}
interExecutionMemory.executionContext = {
status: "Taking Position"
}
assistant.putPosition(positionDirection, tradePositionRate, tradePositionSize * tradePositionRate, tradePositionSize, onOrderPut)
function onOrderPut(err) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> onOrderPut -> Entering function."); }
switch (err.result) {
case global.DEFAULT_OK_RESPONSE.result: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> onOrderPut -> DEFAULT_OK_RESPONSE "); }
interExecutionMemory.executionContext = {
status: "In a Position"
}
takePositionAtSimulation()
return;
}
case global.DEFAULT_FAIL_RESPONSE.result: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> onOrderPut -> DEFAULT_FAIL_RESPONSE "); }
/* We will assume that the problem is temporary, and expect that it will work at the next execution.*/
strategy.openStage.openExecution.error = err.message
takePositionAtSimulation()
return;
}
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOrder -> onOrderPut -> Unexpected Response -> Message = " + err.message); }
strategy.openStage.openExecution.error = err.message
}
}
function takePositionAtSimulation() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionAtSimulation -> Entering function."); }
/* Continue with the simulation */
calculateTakeProfit();
calculateStopLoss();
marketRate = candle.close;
previousBalanceAssetA = balanceAssetA;
previousBalanceAssetB = balanceAssetB;
lastTradeProfitLoss = 0;
lastTradeROI = 0;
if (baseAsset === 'BTC') {
balanceAssetB = balanceAssetB + tradePositionSize * tradePositionRate;
balanceAssetA = balanceAssetA - tradePositionSize;
} else {
balanceAssetA = balanceAssetA + tradePositionSize / tradePositionRate;
balanceAssetB = balanceAssetB - tradePositionSize;
}
positionInstant = candle.end;
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
yesterday.balanceAssetA = balanceAssetA;
yesterday.balanceAssetB = balanceAssetB;
yesterday.lastTradeProfitLoss = lastTradeProfitLoss;
yesterday.lastTradeROI = lastTradeROI;
}
}
addRecord();
controlLoop();
return
}
}
/* Closing a Position */
@@ -1385,7 +1491,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
yesterday.Roundtrips++;
}
}
}
if (baseAsset === 'BTC') {
@@ -1398,7 +1504,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize;
if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
profit = balanceAssetB - initialBalanceB;
}
}
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
@@ -1410,7 +1516,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
currentTrade.lastTradeROI = lastTradeROI;
currentTrade.stopRate = stopLoss;
if (lastTradeProfitLoss > 0) {
hits++;
@@ -1438,7 +1544,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
ROI = (initialBalanceB + profit) / initialBalanceB - 1;
hitRatio = hits / roundtrips;
anualizedRateOfReturn = ROI / days * 365;
}
}
if (currentDay !== undefined) {
if (positionInstant < currentDay.valueOf()) {
@@ -1462,7 +1568,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
takeProfitStage = 'No Stage';
stopLossPhase = 0;
takeProfitPhase = 0;
continue;
controlLoop();
return
}
@@ -1470,8 +1577,11 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
marketRate = candle.close;
addRecord();
controlLoop();
return
function addRecord() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> addRecord -> Entering function."); }
// Since we are going to write the message to a file that the Simulation Executor is going to read, we use the abbreviations.
let messageType;
@@ -1498,7 +1608,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
} else {
messageType = MESSAGE_TYPE.OrderUpdate;
}
}
}
let exitOutcome = ""
@@ -1698,38 +1808,53 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/*
Before returning we need to see if we have to record some of our counters at the interExecutionMemory.
To do that, the condition to be met is that this execution must include all candles of the currentDay.
*/
if (currentDay !== undefined) {
if (lastCandle.end === lastInstantOfTheDay) {
interExecutionMemory.balanceAssetA = yesterday.balanceAssetA;
interExecutionMemory.balanceAssetB = yesterday.balanceAssetB;
interExecutionMemory.lastTradeProfitLoss = yesterday.lastTradeProfitLoss;
interExecutionMemory.profit = yesterday.profit;
interExecutionMemory.lastTradeROI = yesterday.lastTradeROI;
interExecutionMemory.roundtrips = interExecutionMemory.roundtrips + yesterday.Roundtrips;
interExecutionMemory.fails = interExecutionMemory.fails + yesterday.fails;
interExecutionMemory.hits = interExecutionMemory.hits + yesterday.hits;
interExecutionMemory.periods = interExecutionMemory.periods + yesterday.Periods;
interExecutionMemory.messageId = interExecutionMemory.messageId + yesterday.messageId;
interExecutionMemory.orderId = interExecutionMemory.orderId + yesterday.orderId;
interExecutionMemory.hitRatio = yesterday.hitRatio;
interExecutionMemory.ROI = yesterday.ROI;
interExecutionMemory.anualizedRateOfReturn = yesterday.anualizedRateOfReturn;
function controlLoop() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> controlLoop -> Entering function."); }
i++
if (i < candles.length) {
loop()
} else {
afterLoop()
}
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> callback -> recordsArray.length = " + recordsArray.length); }
function afterLoop() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> afterLoop -> Entering function."); }
/*
Before returning we need to see if we have to record some of our counters at the interExecutionMemory.
To do that, the condition to be met is that this execution must include all candles of the currentDay.
*/
if (currentDay !== undefined) {
if (lastCandle.end === lastInstantOfTheDay) {
interExecutionMemory.balanceAssetA = yesterday.balanceAssetA;
interExecutionMemory.balanceAssetB = yesterday.balanceAssetB;
interExecutionMemory.lastTradeProfitLoss = yesterday.lastTradeProfitLoss;
interExecutionMemory.profit = yesterday.profit;
interExecutionMemory.lastTradeROI = yesterday.lastTradeROI;
interExecutionMemory.roundtrips = interExecutionMemory.roundtrips + yesterday.Roundtrips;
interExecutionMemory.fails = interExecutionMemory.fails + yesterday.fails;
interExecutionMemory.hits = interExecutionMemory.hits + yesterday.hits;
interExecutionMemory.periods = interExecutionMemory.periods + yesterday.Periods;
interExecutionMemory.messageId = interExecutionMemory.messageId + yesterday.messageId;
interExecutionMemory.orderId = interExecutionMemory.orderId + yesterday.orderId;
interExecutionMemory.hitRatio = yesterday.hitRatio;
interExecutionMemory.ROI = yesterday.ROI;
interExecutionMemory.anualizedRateOfReturn = yesterday.anualizedRateOfReturn;
}
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> callback -> recordsArray.length = " + recordsArray.length); }
callback(tradingSystem, executionArray, recordsArray, conditionsArray, strategiesArray, tradesArray, lastObjectsArray);
}
callback(tradingSystem, executionArray, recordsArray, conditionsArray, strategiesArray, tradesArray, lastObjectsArray);
function getElement(pArray, begin, end) {
Multi-Period-Daily/User.Bot.js
+4 -1
View File
@@ -21,10 +21,11 @@
let utilities = UTILITIES.newCloudUtilities(bot, logger);
let dataDependencies;
let assistant;
return thisObject;
function initialize(pDataDependencies, callBackFunction) {
function initialize(pDataDependencies, callBackFunction, pAssistant) {
try {
@@ -34,6 +35,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
dataDependencies = pDataDependencies;
assistant = pAssistant;
callBackFunction(global.DEFAULT_OK_RESPONSE);
@@ -102,6 +104,7 @@
startDate,
endDate,
interExecutionMemory,
assistant,
writeFiles,
callBackFunction)
Multi-Period-Market/User.Bot.js
+4 -1
View File
@@ -19,10 +19,11 @@
};
let dataDependencies;
let assistant;
return thisObject;
function initialize(pDataDependencies, callBackFunction) {
function initialize(pDataDependencies, callBackFunction, pAssistant) {
try {
@@ -32,6 +33,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
dataDependencies = pDataDependencies;
assistant = pAssistant;
callBackFunction(global.DEFAULT_OK_RESPONSE);
@@ -102,6 +104,7 @@
startDate,
endDate,
interExecutionMemory,
assistant,
writeFiles,
callBackFunction)
this.bot.config.json
+26 -1
View File
@@ -1,7 +1,7 @@
{
"displayName": "Jason",
"codeName": "AAJason",
"type": "Indicator",
"type": "Trading-Engine",
"version": {
"major": 1,
"minor": 0,
@@ -382,6 +382,31 @@
"codeName": "PlottersTradingSimulation",
"moduleName": "Trades"
}
},
{
"codeName": "Live Trading History",
"displayName": "Live Trading History",
"shortDisplayName": "Live",
"description": "Live Trading Execution.",
"dataSets": [
{
"codeName": "Oficial History",
"type": "File Sequence",
"validPeriods": [ "24-hs", "12-hs", "08-hs", "06-hs", "04-hs", "03-hs", "02-hs", "01-hs", "45-min", "40-min", "30-min", "20-min", "15-min", "10-min", "05-min", "04-min", "03-min", "02-min", "01-min" ],
"filePath": "@DevTeam/@Bot.1.0/AACloud.1.1/Poloniex/dataSet.V1/Output/Trading-Process",
"fileName": "Execution.History.Live.@Sequence.json"
}
],
"exchangeList": [
{
"name": "Poloniex"
}
],
"plotter": {
"devTeam": "AAMasters",
"codeName": "PlottersTradingSimulation",
"moduleName": "SimulationExecution"
}
}
]
}